EFTA02512477

From: Daniel Sabba < Sent: Thursday, January 15, 2015 3:41 AM To: Jeffrey Epstein Cc: Vahe Stepanian Subject: quick update - crude vol + Brazil CDS Classification: Public Jeffrey — see cr=de oil trading commentary below. Implied vols went = down and the index is slightly up. Mar15 WTI vol (which e=pires in Feb15) is down to 47.80%. More info below. Brazil Sy CDS closed a= 197/201. When you entered the trade it was 201/205. The 4bps tightening w=th a spread DVO1 of approximately 4.5k should lead to approximately -18k P=L on the position. BRL appreciated 1.02% =oday, so being short BRL on an NDF for same notional should have yielded a=out -100k PnL. Stavros Valavanis Sent: Wednesday, January 14, 2015 4:28 PM Subject: EOD Commodities Note - 14 Jan Classification: Public OIL &nbs=; A crazy day in oil. WTI failed to break 45$ and we r=llied 8.7% after that and tested 49$! The rally started as NY walked in, h=wever bearish stats interrupted it. Nevertheless, news that North Dakota N=vember production was flat again caused some questions, as now the 2m growth has also been flat. Last year&=8217;s respective 2month growth was 45kbd...Some are blaming the weath=r, which is definitely a factor. However, 1 interesting thing is tha= the state said that it needs 130 rigs to maintain production at current levels; it has 152 currently operating (this number =as dropped from 180) and that it foresees only 120 by Q3. So N Dakota coul= start DROPPING mom by late Q2. In conjunction with the relentless gasolin= rally due to large planned and unplanned TARs for this time of year as well as the last day of the GSCI i=dex rebalance (although this is 4k wti/day and 8k bre per day-hardly enoug= I'd say to explain the 400K+ volume in both prompt crude future=) caused to a massive short covering. WTI spreads and BRE spreads were also extremely bid as these have been consens=s trades over the past couple of months...I think oil will try to test=50$ in the short term- what happens there is critical...On stats, they =ere bearish as we built 5.4M bbls overall off the back of a sizeable EFTA_R1_01645260 EFTA02512477 rebound in imports and drop in runs. P2 built 2.3M,=Cush built 1.8M, and P3 built 900k. Products also built, although consider=bly less than the past few weeks... OIL VOLS Vols were offered all daya, even before the large sp=ke. We saw interest in selling Cal15 vols across the board, and there were=also big sellers of call6 vol in the market. As it still seems worth being=long gamma, the back is selling off more than the front. H5/Z5 WTI is above 13 vols!!! There has been a large =bsence of any type of producer business so far this year as far as I can t=II, and January is typically one of the busiest producer hedging months:11=30;i think that vol selling will continue, especially if we break 50$ to the upside in the prompt...</=> &=bsp; &nbs=; =nbsp; WTI (/change) &=bsp; &nb=p; BRE (/change)=/span> H15 &nbs=; =nbsp; 47.80% -0.90% &=bsp; 45.10%&n=sp; -2.00% M15 &nbs=; =nbsp; 42.10% -1.50% =nbsp; 38.60%&n=sp; -1.70% Z15 &=bsp; &nbs=; 34.15% -2.00% = &=bsp; 32.45% -1.85% Z16 &nbs=; 8erbsp; 27.00% -1.85% &nbs=; 28.75% -2.00% Base Metals 3m Ivls = dod=change support &nbs=; resistance Al $1774 &nb=p; -$17.5 &n=sp; $1770 &n=sp; $1800 Cu $5548 &nb=p; -$312 &n=sp; $5500 &=bsp; $5600 Zn $2035 &nb=p; -$46 &nb=p; $2030 &nb=p; $2125 Ni $14,310 &=bsp; -$340 &=bsp; $14,000 =14,600 Pb $1768 &nb=p; -$61.5 &n=sp; $1750 &=bsp; $1790 The base complex tanked in Asian trading as stop losses were =it on a downward revision in global growth forecasts by the World Ba=k from 3.4% to 3% due to the underperformance of the Eurozone, Japan and some major emerging markets despite lower oil prices. The =CJ commenting that the ECB's plans on buying government bond is legal did =ittle to stem the flow. Copper led the way, hitting 5 year lows driven by =he breaking of the $5800 mark where there were a lot of puts sold with potentially another big slug of option =elling at $5500 to come and concerns about economic 2 EFTA_R1_01645261 EFTA02512478 growth in China is hav=ng an impact on predicted demand in the region. However there are co=cerns that fundamentally ther could be a bullish story lurking. Cuts in copper mine output for geologica= and technical reasons such as the 150kMT cut at Escondida and the 100 KMT=cut at Kennecott are rasing questions as to whether the global surplus exp=cted in 2015 with Macquarie expecting the market to be balanced. The late arrival of the rainy season in Zambia =nd Democratic Republic of Congo may have a significant impact on open pit =ining in both regions, cutting supplies in coming months. There also remai=s one last dominant holder of LME stocks with over half of current stocks who could reap a handsome reward i= they hold their position, given that the market is $80 backwardated, indi=ating a tight market. Aluminium remained relatively firm but still f=llowed the complex down. Around 500 kMT of Chinese smelting capacity is likely to close in coming months as do=estic prices drop below the cost of production. China expects to add=4.5 mMT of new capacity in 2015 but up to 2.5 mMT of existing capacity is =t risk and could significantly offset this figure. Nickel, Zinc and Lead prices recovered strongly in the =fternoon but came off towards the close. Shanghai Aluminium on warrant stocks are up 21.62% to 56 kMT.=LME Aluminium on warrant stocks are flat at 1839.8 kMT. Shanghai Copper on=warrant stocks are up 23.08% to 48.4 kMT. LME Copper stocks are up 2.4% to 170.9 kMT. LME Nickel stocks are down 2.55% to 317.8=kMT. Copper Vols are up 5.28%, Ali Vols are down 0.46%, Nickel Vol= up 6.28%, Lead Vols are up 2.53% Zinc Vols are up 1.78% Upcoming Data 14/1- EC Industrial Production SA MoM-Sury 0%, Actual 0.2%, Prio= 0.1%, Revised 0.3% 14/1- US MBA Mortgage Applications- Actual 49.1%, Prior 11.1% 14/1- US Retail Sales Advance MoM- Actual -0/1%, Actual -0.9•A, P=ior 0.7%, Revised 0.4% 14/1- China Money Supply YoY-Actual 12.5%, Prior 12.3% This communication may contain confidential and/or privileged information. =f you are not the intended recipient (or have received this communication =n error) please notify the sender immediately and destroy this communicati=n. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidde=. Deutsche Bank does not render legal or tax advice, and the information cont=ined in this communication should not be regarded as such. 3 EFTA_R1_01645262 EFTA02512479