EFTA01458748.pdf

1 • Last Price 253.332 T High on 09/29/15 327.000 4.- Average 222.237 I Low on 12/02/14 154.000 253.332 Dec Mar Jun Sep 2014 j 2015 CTURK1US Curtsy (TURKEY CDS USD SR SY D14) Daily 30CC72014-300C1201S Copyright@ 2015 Bloomberg Finance L.P. 30-Oct-2015 10:59:43 2) Revisiting CNH as we know you're generally bearish Asian currencies. Given vols and skew, indicative pricing for ly, USD/CNH 6.5 — 7.0 call spread: Spot Ref: 6.3935 (pricing as of 10/27/15) Leg 1: European Option Call SOFL buys European USD Call on USD/CNH Strike: 6.5 Notional: USD 10,000,000 Expiry: Thu 27.Oct-2016 (ly) Premium: USD 287,100 (2.87%) Delta: 53% Strike vol: 6.24% Leg 2: European Option Call SOFL sells European USD Call on USD/CNH Strike: 7.0 Notional: USD 10,000,000 Expiry: Thu 27-Oct-2016 (ly) Premium: USD -127,100 (1.27%) Delta: 24% Strike vol: 9.15% Net premium: USD 160,000 (1.60%) Thank you, Vahe Vahe Stepanian Assistant Vice President I Key Client Partners Deutsche Bank Securities Inc. CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0118814 CONFIDENTIAL SDNY_GM_00264998 EFTA01458748