From: Vahe Stepanian

From: Vahe Stepanian To: "jeffrey E." <jeevacation@gmail.com> CC: Daniel Sabba , Ariane Dwyer , Paul Morris , Stewart Oldfield , Richard Kahn Subject: Turkey and CNH [C] Date: Fri, 30 Oct 2015 15:27:07 +0000 Attachments: DB Turkiye_Oct15.pdf Inline-Images: image001.png Classification: Confidential Jeffrey — we're following up our phone calls earlier this week with two trade ideas: 1) Buy Turkey 5y CDS — currently E —253 • It seems Turkey has rallied recently on the back of the broader macro EM rally and FOMC dovishness, although fundamentally not much has changed in Turkey • General elections are taking place this weekend, which have created increased tension within Turkey and continue to generate headlines • Recent opinion polls still point to another hung parliament (additional details in attached DB research piece) • Outright short EM positions have cleaned up extensively and we believe it makes sense to slowly build out those positions • Cheap funding has resulted in large rise in corporate debt in Turkey, some of which has been funded in foreign currency • Turkey foreign reserves amongst lowest of EM countries, second only to Ukraine • Last Price 1 253.332 T High on 09/29/15 327.000 -9- Average 222.237 I Low on 12/02/14 154.000 300 253.332 200 150 Dec Mar Jun Sep 2014 I 2015 CT URK1U5 Cumcy (TURKEY an USD SR SY D14) Daily 3COCT2014-3COCT201S Copyright 2015 Bloomberg Finance 30-Oct-2015 10:59:43 2) Revisiting CNH as we know you're generally bearish Asian currencies. EFTA01131636 Given vols and skew, indicative pricing for 1y, USD/CNH 6.5 — 7.0 call spread: Spot Ref: 6.3935 (pricing as of 10/27/15) Leg 1: European Option Call SOFL buys European USD Call on USD/CNH Strike: 6.5 Notional: USD 10,000,000 Expiry: Thu 27-Oct-2016 (ly) Premium: USD 287,100 (2.87%) Delta: 53% Strike vol: 6.24% Leg 2: European Option Call SOFL sells European USD Call on USD/CNH Strike: 7.0 Notional: USD 10,000,000 Expiry: Thu 27-Oct-2016 (ly) Premium: USD -127,100 (1.27%) Delta: 24% Strike vol: 9.15% Net premium: USD 160,000 (1.60%) Thank you, Vahe Vahe Stepanian Assistant Vice President I Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01131637