EFTA01377144.pdf

From: Darlene Zong Sent: 10/14/2016 4:29:21PM To: Richard Kahn CC: Stewart 0ldfield ; Daniel Sabba I I; Vahe Stepanian Subject: Bearish Russia FX plays (C) Classification: Confidential Hi Rich, As requested, please find below indicative levels on two iterations. Happy to discuss further on the strategy and refresh pricing, together with 9-month versions on Monday when Russia is open. Spot ref 63 6-month ATMF ref 65.6732 Indicative notional $10mm #1 — Seagull 6 months Sell European USD put RUB call 62.4 strike Buy European USD call RUB put 68.96 strike (- 5% OTMF) Sell European USD call RUB put 72.5 strike Expiry 4/14/2017 Costless upfront #2 — USD/RUB ratio call spread 6 months Buy European USD call RUB put 68.96 strike Sell 2x European USD call RUB put 72.25 strike Expiry 4/14/2017 Costless upfront Darlene Zong, CFA Key Client Partners Deutsche Bank Securities, Inc 345 Park Avenue, 26th Floor, New York, NY, 10154 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0073722 CONFIDENTIAL SDNY_GM_00219906 EFTA01377144