12%
10%
8% — SRL carry cat
COP own/ cost
CLP cany oast
AM carry cos
6% —PEN arty owl
4%
4%
Jun-I4 Jui14 Aup-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15
18%
BRE ly imp vd
—COP I y Imp vd
16% CLP ty imp vd
—MTh 1y imp voI
14% —PEN I y fop
12%
10%
8%
6%
4%
2%
Jun-I4 Ju0-14 Aup14 Sep-14 Oct -14 Nov-14 Dec-I4 Jen-15
60%
—ERL lyskeW irebti*loicp vdi
COP ly skew (retanweto impl wok
55% CLP 1y skew (re*tve to 'owl vci)
LIXN Iy skew(relathe to om 01 vol)
50% PEN ly skew (rebtstetond vo)
45%
40%
35%
30%
25%
20%
Jun-14 Aup-14 Sep-14 Oc1-14 Nor -14 Dec-I4 Jan-15
Spot ref:
USDBRL: 2.6991
USDCOP: 2373.07
USDCLP: 626.75
USDMXN: 14.7622
USDPEN: 3.0595
ATMF ly USD calls — Indications:
USDBRL, premium: 6.45% (strike = 2.992), mid=5.95%
USDCLP, premium : 5.53% (strike = 2449.42), mid=5.03%
USDCLP, premium: 4.50% (strike = 645.4), mid=4.10%
USDMXN, premium: 5.00% (strike = 15.1057), mid=4.60%
USDPEN, premium: 3.00% (strike = 3.1979), mid=2.50%
Looking forward to discussing further.
Regards,
Daniel
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 115805
CONFIDENTIAL SDNY_GM_00261989
EFTA01456566