EFTA Document EFTA01458752

Jeffrey - we're following up our phone calls earlier this week with two trade ideas: 1) Buy Turkey Sy CDS — currently @ —253 • It seems Turkey has rallied recently on the back of the broader macro EM rally and FOMC dovishness, although fundamentally not much has changed in Turkey • General elections are taking place this weekend, which have created increased tension within Turkey and continue to generate headlines • Recent opinion polls still point to another hung parliament (additional details in attached DB research piece) • Outright short EM positions have cleaned up extensively and we believe it makes sense to slowly build out those positions • Cheap funding has resulted in large rise in corporate debt in Turkey, some of which has been funded in foreign currency • Turkey foreign reserves amongst lowest of EM countries, second only to Ukraine 0 ■ Last Price 253.332 - T High on 09/29/15 327.000 Average 222.237 1 Low on 12/02/14 154.000 Dec 2014 Mar rftv7\11 Jun 2015 CTURKIUS Curncy (TURKEY CDS USD SR SY D14) Daily 3COCT2014-3COCT201S 300 253.332 200 150 Sep Copyright€ 2015 Bloomberg Finance L.P. 30-Da-2015 10 so 43 2) Revisiting CNH as we know you're generally bearish Asian currencies. Given vols and skew, indicative pricing for ly, USD/CNH 6.5 — 7.0 call spread: Spot Ref: 6.3935 (pricing as of 10/27/15) Leg 1: European Option Call SOFL buys European USD Call on USD/CNH Strike: 6.5 Notional: USD 10,000,000 Expiry: Thu 27-Oct-2016 (ly) Premium: USD 287,100 (2.87%) Delta: 53% Strike vol: 6.24% Leg 2: European Option Call SOFL sells European USD Call on USD/CNH Strike: 7.0 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 118820 CONFIDENTIAL SDNY_GM_00265004 EFTA01458752