EFTA01461144.pdf

From: Tazia Smith 1 Sent: 11/5/2013 1:52:50 PM To: [email protected] CC: Paul Morris l; Caroline Kitidis h Vahe Stepanian Subject: Brent Solutions (CI Attachments pic19678.gif; pic00922.gif; pic26227.gif; pic04017.gif Classification: Confidential Jeffrey - Below please find solutions that can be combined to reflect your view that transport/supply constraints will cause Brent to spike within the next S-6months for a brief (-2 week) period; your objective is to monetize both the potential upside spike and downward reversion. we know you've traded risk-reversals and knock-in options in the past. The knock-in puts are compelling to reflect your reversion view. Examples below include three iterations of 6mo knock-in puts on the June 2014 contract (currently trades —1.9% below spot). Implied vol is near 10yr lows. Consider a risk reversal combined with a KI put. Consider overlaying these on an absolute return note given attractive curve and vol entry point. Please find indicative levels below. will call you to discuss further. Best Regards, Tazia Knock-In Put Iterations: Indicative levels only, subject to market movement. Source: DB Commodities Structuring, as of 11/4/13. Brent Jun14 reference: $104.2 Brent spot: 1106.5 (1) 6mo KI Put Put on Jun14 Brent, strike 115. Option knocks in only if Brent Jun14 closes above 115 on any day. Indicative Offer: —S1.96/bbl (-1.9%) Indicative cost on SSmm notional: 495,000 Max Loss: Premium Paid (2) 6mo KI Digital Put Digital Put on Jun14 Brent, strike 115. Option knocks in only if Brent Jun14 closes above 120 on any day. Indicative offer: 11.9% Digital Payout: 100% Indicative cost on Slmm notional: 4119,000 Max Payout on Slmm notional: 41,000,000 (—8.4x premium paid) Max Loss: Premium Paid (3) 6mo Max Strike Put If Brent Jun14 fixes above S115/bbl on any day during trade, then: max [ 0, Maximum Brent Jun14 fix during trade - Brent Jun14 at expiry - S10/bbl] Indicative offer: -S1.51/bbl (-1.5%) Indicative cost on S5mm notional: $75,000 Max Payout: Max Brent Jun14 fix during trade - Brent Jun14 at expiry - 410/bbl Max Loss: Premium Paid Upside Exposure Solutions: Indicative levels only, subject to market movement. Source: D8 Commodities Structuring, and DB AWM Structured Solutions, as of 11/4/13. CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 122990 CONFIDENTIAL SDNY_GM_00269174 EFTA01461144