EFTA01461716.pdf

Ref spot: 1.3610 Put strike: 1.347 (1.03% OTMspot) Call strike: 1.372 (0.81% OTMspot) 3m forward: 1.3611 Mid premium: -0.03% of EUR notional (i.e. investor would receive 0.03% of EUR notional) Put option vol: 6.0%, call option vol: 5.9% Scenario analysis for Trade 2: Table shows mid net premium (as % of EUR notional, that investor pays) for the above trade, as spot and time to expiry vary (only the highlighted premium for current spot is the offer level) (Embedded image moved to file: pic18766.gif) EURUSD spot FX rate - 1 year history (Embedded image moved to file: pic01779.gif) KCP capital markets (Embedded image moved to file: pic19464.gif) Apurva Gupta Associate I Key client Partners capital markets Group Deutsche CIB Centre Private Limited Asset and wealth management Block 81, Nirlon Knowledge Park Goregaon (E), 400063 Mumbai, India Tel. Mobile Email (Embedded image moved to file: pic00811.gif) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123912 CONFIDENTIAL SDNY_GM_00270096 EFTA01461716