25% — EURUSDem real wl USDDIA ern real 74:ti 100% 20% — EURThR Mn real voi - EURZ4R-U5CZAR email 90% 15% 80% 10% 70% 5% 60% S0% 0% Jul 14 Jan-15 Jul-15 Jan-16 Jul 16 1.60 —EURUSD spot 100% — EISDZA P. spat — EURMRwot 1.45 EURZAR-115DZAR Om realDarr 90% ..‘s 1.30 I., '1/4, ,An S Y si 80% 1.15 .1-:/ -re 1.00 70% 0.85 60% 0.70 50% Jul 14 Jan-15 Jul-15 Jan-16 Jul18 From: Xavier Avila Sent: Friday, December 01, 2017 3:54 PM To: 'Paul Barrett Cc: Stewart Oldfield < >; Joshua Shoshan >; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap Paul, Vimal is working on the analysis and we'll send soon with the termsheet and mathematical claculations of implied and reaslied correlation. See also below the same idea but in EURMXN-USDMXN, the strike is a bit lower but Vimal wanted to point out that the historical realized has gone also much lower than in the ZAR situation, so the potential for positive payout seems higher here than in ZAR. Vimal also told me that we have seen clients do more the MXN and TRY crosses than the ZAR one, but typically MXN and TRY are currencies with more interest. Talk soon. Thanks DB FX Trade Idea EURMXN-USDMXN Correlation Swap Trade Idea • Sell ly EURMXN-USDMXN correlation swap at 77% CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0089127 SDNY_GM_00235311 EFTA01387067