EFTA01387685.pdf

Following the call yesterday we have attached an example termsheet for a correlation swap. We have also looked at 2 historical periods where USDZAR-EURZAR correlation realized at significantly lower levels, during 2010-2011 and 2015. Overlaying the realized correlation during those periods with USDZAR, EURZAR and EURUSD FX spot rates (each rebased to 1), we can see that lower realized correlation is driven by significant trends and moves in EURUSD particularly relative to ZAR. This coincided with EURUSD realized volatility rising relative to ZAR realized volatility. In other words EURUSD spot became bigger driver compared to ZAR spot. — EURUSD ern mat •o1 24% USDZAR 9m real 90% — EUR7AR 8m real rol 22% EUFakR-LISDZAR m festoon 60% 20% et: mr‘Of\„ ...„,_ 70% 18% 16% 60% 14% 50% 12% 40% 10% 8% 30% Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 — EURUSD spot 1.15 USDZAR spot 90% EURZAR spot 1.10 EURZAR-USDZAR Om !saloon. 80% I ' lllii 1.05 ek‘N1 70% 1.00 v,fe 17 1N . 60% 0.95 •). 50% 0.90 0.85 40% 11\ 4. 0.80 30% Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0090763 CONFIDENTIAL SDNY_GM_00236947 EFTA01387685