EFTA01461409.pdf

From: Tazia Smith Sent: 3/17/2014 3:44:24 PM To: [email protected] CC: Paul Morris • Vinit Sahni ; Nay Gupta I ; Vahe Stepanian Subject: First BRL note valuation date 3/20, poised to settle beyond barrier (down - 20%) [CI 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 Si mm 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 I 2..350S +.0039 RCN 2.3500;2.3511 BGli 15:19 en 2.3447 Hi 2.3566 Le 2.3433 Close 2.3467 °.a 0 / 19/14 o'g Save As 94 Actions • 93 Edit • 9* Table Line Chart 03118/2013 03/17/1014 =CCM"err, it n co^-,:a -e ft to't' chart E Track / Annotate • News xnn - • Last Price 2.3505 0-2.4000 - T High on 08/21/13 2.4543 t - -4- Average 2.2376 i N GEO - 1 Low on 04/12/13 1.9695 0-2.3000 rfil Avi in 2.2562 k ) ilclANI 'Aviv I-2.2000 8-2.1000 8-2.0000 Mar Jun Sep I Mar 2013 2014 Used with permission of Bloomberg Finance LP CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0123440 CONFIDENTIAL SDNY_GM_00269624 EFTA01461409