EFTA01446767

From: Tazia Smith UM: 1/17/2014 10:48:14 AM To: jeevacation@gmaitcom CC: m; Paul Morrie); Vinit Sahni Nay Gupta Vahe Stepanian j Subject: Trade Idea: Long 3-Month USDCAD ICI Call Spread - 1.10 with a 1.13 sold call knocking-in only if USDCAD trades to 1.17 [II Attachments: pic13619.gif; pic21564.gif; pic23182.gif; pic14465.gif; pic14942.gif; pic22102.gif classification: For internal use only Jeffrey - Our uS FX traders agree/like Nav's call here. The 3-month 1.10/1.13 VSDCAD, 1.17 knock -in call spread (where that 1.13 short call only exists if USDCAD goes to 1.17 during the life of the trade) described below is currently offered —1.1% (Source: DB FX Sales, 1/17/14). Please see the investment thesis below and let us know your thoughts. Best, Tazia Indicative levels only. Subject to market movement. Source: DB Key Client Partners London, as of 1/17/ 14. Forwarded by Tazia Smith/db/dbcom on 01/17/2014 10:35 AM From: Nay Gupta/db/dbcom@DBEMEA To: Date: 01/17/2014 07:35 AM Subject: I like buying USDCAD calls to position for further weakness in CAD. Spot FX is currently 1.095. (I] classification: For internal use only I like USDCAD call options to position for further weakness in CAD. spot FX is currently 1.095. Over the course of the past week the interest rate curve has started pricing in a small amount of rate cuts - this development is significant and clearly a beginning of a pain trade. I believe it can go further. Lower CAD rates from here will drive USD CAD higher. (Embedded image moved to file: pic13619.gif) The limited downside play I like best in USDCAD is buying a 3month expiry 1.10 / 1.13 call spread on USDCAD but where the short 1.13 call position only exists (knocks-in) if USD trades at 1.17 trades in the market before the option expires, otherwise the option payoff is the same as a 1.10 call option. It costs 1% of USD notional. I believe the buyer is well compensated for the knock-in component. If USDCAD rises to 1.15 the option payout is 5 big figures. If 1.17 trades before expiry the payout is limited to 3 big figures. Max loss is premium paid. we can price other structures to fit the risk tolerance (higher or lower) of clients - let us know Key Macro Highlights The economy clearly lags the us. Dec13 unemployment unexpectedly rose last Friday to 7.2% • South of the border demand for USDCAD is declining as the US heads towards energy independence CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0101144 CONFIDENTIAL SDNY_GM_00247328 EFTA01446767