EFTA Document EFTA01462286

• Given the recent downward move in commodities, commodity linked currencies have experienced increased volatility and marked depreciation vs. USD (see historical price chart below) • Affected commodity linked currency pairs include AUDUSD, USDBRL, USDCAD, USDMXN, and USDNOK • Premium neutral bullish risk reversals on commodity currencies can take advantage of implied vol, skew and forward dynamics (i.e. client buys foreign currency call and sells foreign currency put) • Looking at volatility adjusted skew amongst commodity currencies, current USDBRL levels provide a compelling entry point into premium neutral risk reversals. Commodity Currencies and Oil • 6 month Normalized Performance 110. 100k 100. 7//2014 —SPLI$D sea --• AVM* — NOMAD ---,4•LADUSD 700 — (amity 30% 11/2/2014 9/21 /014 10•21.t014 II/It/014 Iliti/011 I it.flaIS Ca no Other commodity currencies: While for USDBRL call strike is about 14% away from spot while put is about 1% away, for USDMXN the call strike would be approximately 8% away while put strike would be 3% away from spot. Best regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 124770 CONFIDENTIAL SDNY_GM_00270954 EFTA01462286