EFTA01192015.pdf

From: Tazia Smith <I To: [email protected] Cc: Nav Gu to , Paul Morris , Vahe Stepanian , Vinit Sahni Subject: BRL March note matured [C] Date: Fri, 21 Mar 2014 15:08:00 +0000 Inline-Images: unnamed; unnamed(I); unnamed(2); unnamed(3) Classification: Confidential Jeffrey - BRL March note final value of 2.342. Redemption value will be 806.259239 per bond, or $806,259.239, down $193 740 76 on your position. Will settle 3/27. Source: HSBC Structured Solutions, 3/21/14 BZFXPTAX 2.34140 As Of 03/20/14 Reals/Dollar Brazil USD Avg Rate Central Bank Ptax BZFXPTAX Index 9s) SaveAs 96) Actionne R) Edit - 98) Table Line Chart CI:Z:12013 03120/2014 Sid Price Li El Compare Ma. No Lower Char rI /D 3D 1M 6M YTD ax Daily Y S et Seculty/St4/ M :vent O + Track Annotate 'A News Q Zoom • Bid Price 2.34140 T High on 08/22/13 2.44510 0-2.40000 -9- Average 2.24054 1 Low on 04/11/13 1.97310 GEM 9-2.30000 0 t.25620 I-2.20000 I-2.10000 I-2.00000 Mar Jun Sep Dec Mar 2013 2014 From: To: [email protected], Cc: Paul Morris. Vinit Sahn Nay Gupta/db// ahe Stepanian Date: 03(17/2014 03:44 PM Subject: First BRL note valuation date 3/20. poised to settle beyond barrier (down —20%) (C) EFTA01192015 Classification: Confidential Jeffrey - First BRL note's valuation date is this Thursday, 3/20 (settles 3/27); presently down 19.8%, intrinsic. Your original investment was $1mm notional. Initial strike: 1.9619 15% european barrier: 2.2562 Current USDBRL spot: 2.3505 Your second note has a final valuation of 4/14. Initial strike 2.0035, european barrier =2.3040. Recall that the payout on these was as follows: a) make 28.5% if BRL is up more than 3% vs. USD at maturity, b) make 5% if BRL is up between 0-3% vs USD, c) get your principal down less than 15% vs. USD, d) loose 1 for 1 if BRL is down more than 15% vs USD at maturity (max loss 100%) BRL 2.3505 -.0099 BGN 2.3500/2.3511 BGN At 15:19 Op 2.3447 Hi 2.3566 Lo 2.3433 Close 2.3467 Value 03/19/14 BRL BGN Curnc 9$aS ve As 9$ Actions -' --Vrtifrzi - 9$ Table art 03/13/2013 03/17/2014 DI Comps re !XV. Avgs === No Lower Chart !Ca l I 10 30 1M 6m YTD lY SY Kix Daily • Security/Study st Event 0 + Track .! Annotate News 0 Zoom ill • Last Price 2.3505 T High on 08/21/13 2.4543 -9- Average 2.2376 t‘ .-2.4000 2.3505 I Low on 04112/13 1.9695 .-2.3000 - 2.2562 .-2.2000 i-2.1000 .-2.0000 Mar Jun Sep Dec Mar 2013 2014 Used with permission of Bloomberg Finance LP Tazia Smith Director F Key Client Partners - US EFTA01192016 Deutsche Bank Securities Inc Deutsche Asset 8 Wealth Management 345 Park Avenue, 26th Floor New York, NY 10154 Tel. +1 (212)454-2889 Fax +1 (646)257-3131 Mobile +1 917 327-4107 Email Pan-to-J/4-uPeiftrent This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01192017