EFTA01461721

2009 2010 2011 2012 2013 2014 EURUSD lm implied volatility - 5 year history The volatilit is still near the lower end of its recent historical ran e, hence the low premium 18.0000 16.0000 14.0000 12.0000 10.0000 8.0000 ‘1,1,10,110 4.0000 BR015OV1M Cumcy (BAt-USO Cr a 1N) Daily 04.111N2009-03XIC014 Copyright0 2014 elamberg CI naive L.P. 03-3un-2014 13:29:V Trade 2: Buy a 3-month European style 1.03% OTMspot EURUSD put, funded by selling a 3-month European style 0.81% OTMspot EURUSD call, offered at zero premium Ref spot: 1.3610 Put strike: 1.347 (1.03% OTMspot) Call strike: 1.372 (0.81% OTMspot) 3m forward: 1.3611 Mid premium: -0.03% of EUR notional (i.e. investor would receive 0.03% of EUR notional) Put option vol: 6.0%, call option vol: 5.9% Scenario analysis for Trade 2: Table shows mid net premium (as % of EUR notional, that investor pays) for the above trade, as spot and time to expiry va (onl Spot % move the highli Spot level hied . remium for current s t is the offer level) Time to expiry 3m 2m In At exp 6% 1.4427 -4.98% -4.94% -4.90% -5.15% 4% 1.4154 -3.24% -3.18% -3.21% -3.17% 2% 1.3882 -1.56% -1.50% -1.48% -1.18% 0% 1.3610 0.00% -0.02% -0.06% 0.00% -2% 1.3338 1.48% 1.40% 1.28% 0.98% -4% 1.3066 3.25% 3.18% 3.13% 3.00% -6% 1.2793 5.32% 5.30% 5.30% 5.02% EURUSD spot FX rate - 1 year history CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 123920 CONFIDENTIAL SDNY_GM_00270104 EFTA01461721