EFTA01462287.pdf

2.8000 2.7060 1 • Last Price 2.7060 2.6000 T High on 12/16/14 2.7387 -0- Average 1.%36 J. Low on 07/26/11 1.5391 2.4000 2.2000 2.0000 1.8000 1.6000 2010 2011 2012 2013 2014 USDBRL Curacy (L5D-BRL X-RATE) Daily 05JAN2010-05JAN2015 CopyrightA 2015 Bloomberg Finance LP. OS-Jan-201516:53:43 Frcnil Daniel Satba tlt obcom To jeevacation@gmail corn Cc Paul Morris. Date 01/0520Th 11:38 AM Subic'cl Commodity currencies: bullish reversals in BRL.„ ICJ Classification: Confidential Jeffrey, Happy new year.This idea looks particularly interesting to USDBRL. Indicative pricing and rationale below: Notional: USD 10mm Expiry: 6m Client buys USDBRL put / sells USDBRLcall Put strike: 2.70 Call strike: 3.10 Net Premium Offer: Zero (mid of put $162.5k and mid on call is $175k) Spot ref. 2.7210 6m forward ref : 2.8560 / 2.8635 Rationale: • Given the recent downward move in commodities, commodity linked currencies have experienced increased volatility and marked depreciation vs. USD (see historical price chart below) • Affected commodity linked currency pairs include AUDUSD, USDBRL, USDCAD, USDMXN, and USDNOK • Premium neutral bullish risk reversals on commodity currencies can take advantage of implied vol, skew and forward dynamics (i.e. client buys foreign currency call and sells foreign currency put) • Looking at volatility adjusted skew amongst commodity currencies, current USDBRL levels provide a compelling entry point into premium neutral risk reversals. CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 124772 CONFIDENTIAL SDNY_GM_00270956 EFTA01462287