EFTA01435723.pdf

Subject: USDBRL Idea/Axe From: Martin Zeman < Date: Mon, 04 Jun 2018 09:24:22 -0400 To: "Paul Barrett ( Cc: Xavier Avila Davide-A Sferrazza <MORWMPRIPAMPRIONWIMPRIMM, Stewart Oldfield Paul, I think this trade makes sense: Ever since we sent the recommendation to buy ly USDBRL riskies back in mid April, they have come a long way. From the low of 2.25 that we saw, they last traded at 3.5 and bid on (this morning). I'm recommending holding that position for now. However, I like fading the riskies in the front end, especially pre-elections. The BCB seems to be keen on reducing volatility above the 3.75 level. They are not really protecting a level per se, but rather, they sell enough USD via the swaps (750 per day) anytime USDBRL seems headed towards 3.80. The 4m expiry is pre elections, and the 25d r/r have gone from 1.6 to 2.75 or so in the last month. I suggest the following: Buy a 4m (4th October) 3.60 and sell a 4m 3.90 in equal notional, and earn 1.03% USD in premium. Vols are 15.75 and 14.0. We can do 300 per at that level. Let me know if you have any questions or need pricing variations. EFTA01435723 4m 25d riskies: {cid:[email protected]} Martin Zeman Director I Key Client Partners Deutsche Bank Wealth Management DB Securities Inc 345 Park Avenue, 10154-0004 New York, NY, USA Tel. +1(212) 250-0432 Mobile Email KCP products and services are intended and available only for persons who are sophisticated institutional investors within the meaning of the FINRA Rule 4512(C)(3), and who are capable of evaluating the strategies, characteristics and investment risks of, and exercising independent judgment in evaluating, the ideas and products discussed herein. Trades and transactions are subject to relevant internal approvals of DBSI or its affiliates prior to execution, and the execution of any transaction or idea discussed herein is conditional on your becoming a client of Deutsche Bank. Key Client Partners (KCP) products, investment ideas and solutions and related matters discussed herein are provided for discussion purposes only, and strictly on a non-advisory basis. The KCP Americas desk does not provide investment advice. The information set forth herein is confidential and personal to you and is being presented for your information and for discussion purposes only. Any reproduction and/or redistribution thereof (in whole or in part) or disclosure of its content without our written consent is strictly forbidden. This communication does not create any legally binding obligation on the part of DBSI or any of its affiliates. EFTA01435724