EFTA01462289.pdf

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. (Embedded image moved to file: pic02959.gif) other commodity currencies: while for USDBRL call strike is about 14% away from spot while put is about 1% away, for USDMXN the call strike would be approximately 8% away while put strike would be 3% away from spot. Best regards, Daniel Daniel sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 124775 CONFIDENTIAL SDNY_GM_00270959 EFTA01462289