EFTA01461145.pdf

Brent Jun14 reference: 5104.2 Brent spot: $106.5 (1) Risk Reversal: Buy 6m 5109.41 call (105% of Jun14 ref): 53.51/bbl Sell 6m $85 put: 50.95/bbl Net Debit: 52.56/bbl (-2.5%) Indicative cost on 55mm Notional: $125,000 Max Loss: 587.56/bbl For your reference: 6m 5104.2 call (ATM): 55.90/bbl (-5.7%) 6m 5109.41 call (105% of Jun14 ref): 53.51/bbl (-3.4%) 6m 585 put: 50.95/bbl (-0.9%) 6m 590 put: 51.58/bbl (-1.5%) (2) ATM 6m0 Swap A futures look-alike in the form of a Jun14 ATM swap, which has positive carry of -52/bbl (differential between Jun14 and spot) (3) Absolute Return Note on Brent Structure Absolute Return Note on Brent crude underlier: Brent Barrier Observation: European Maturity: 2yrs Upside Max: uncapped Barrier Level: 82.5% Max Loss: 100% In fully-funded form, the absolute return structure prices well on crude. You can unwind this early to capture a move. This vehicle gives room to monetize moves in crude prices both on the upside and downside. This structure has a relatively high delta, should crude move higher and can help offset/compensate for your premium paid should crude move lower, but stay above the barrier. Implied vol & Price Curves: The degree of backwardation has subsided but vols are still very low compared to their average over the last 10 years. Investors looking to express a bullish view on Brent crude oil can take advantage of premiums which are close to 10-year lows. IPE Brent lmo Implied Vol - Mid Implied Vol (Embedded image moved to file: pic19678.gif) (Embedded image moved to file: pic00922.gif) Source: DB AnalyzerLite, 11/5/13 (Embedded image moved to file: pic26227.gif) Tazia smith Director I Key Client Partners - uS Deutsche Bank Securities Inc Deutsche Asset & wealth Management 345 Park Avenue, 26th Floor New York NY 10154 Tel. Fax Mobil Email (Embedded image moved to file: pic04017.gif) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 122991 CONFIDENTIAL SDNY_GM_00269175 EFTA01461145