20% - 18% - 16% - • 4"Th,.‘, 7 5'r 14% - Jan-10 1.15 1.10 1.05 Nri " 1 v \ 1.00 0.95 0.90 0.85 0.80 Jan-10 — EURUSD Om real .ol — EURZAR Eel real war — EURZAR-USDZAR em maroon is Mi Jul-10 Jan-11 Jul-11 90% • 80% • 70% 60% - SO% • 40% 30% Jan-12 —EuRuSID spot uSDZ4 R

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

25% 20% 15% 10% 5% 0% Jul-14 — EURUSDem real Lir USDZAR 6rn real tiol EURZAR0m real uel — EURZAR-USDZAR ern real coret j- j Jan-15 Jul-15 Jan-16 100% 90% 80% 70% 60% 50% Jul-16 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0

10056 9396 8096 70% 60% 50% 43% 3O96 20% EURZAR-USDZAR 1y real con- EURZAR-USIXA R 3m real car —83.556 2007 2006 2O09 2010 2011 2012 2013 2014 2015 2016 2017 CONFIDENTIAL - PURSUANT TO FED. R.

1.60 1.45 1.30 1.15 1.00 0.55 0.70 Jul-14 EuRuSD spot USDZAR spot EURZAR spot EU RZA Fd-U SDZAR emrealcorr Jan-15 Jul-15 Jan-16 100% 90% 80% 70% 60% 50% Jul-16 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e)

From: Xavier Avila Sent: 12/5/2017 To: Paul Barrett CC: Stewart Oldfield Joshua Shoshan [ Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap 14104 3391 70% 60% 50% 30% 20% — EURZAR-USIZAR 1y re Icon 6062AR-0502AR 3m ral car —83.5% 2007 3XI3 2003 2010 201

24% - — EURUSD6n1 real.441 U54,24R awn real y01 90% 22% - — EURZAR ern real vol — EURZAR-USDZAR em real coo • 80% 20% - • 70% 18%- 16% - 14% - 'AAA, Md • . 01 60% - 50% 12% - • 40% 10% - 8% 30% Jan-10

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

nt: Tuesday, December 05, 2017 4:17 PM To: 'Paul Barrett Cc: Stewart Old MIIIMIIM, Joshua Shoshan Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap Paul, file attached to look at calculations of implied and realized. Thanks From: Xavier Avila Sent: Tuesday, December OS,

Xavier Avila Sent: 12/7/2017 4:10:16 PM To: Paul Barrett CC: Stewart Oldfield ; Joshua Shoshan ; Martin Zeman Subject: RE: DB EX trade idea: EURZAR-USDZAR correlation swap Attachments: SF_CorrelationSwap_Dec17.xlsx Paul, I was with trading today. We have seen also good interest in TRY correlati

ent: 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

avier Avila Sent: Wednesday, December 06, 2017 1:15 PM To: 'Paul Barrett Cc: Stewart Oldfield < >; Joshua Shoshan Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap Paul, we tried to call you on the corr swap. >; Martin Zeman CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-008

WM% ly inwlSd e$ spend EtiRUSD-USINAM iY impied vial spied Graph 4: 2v realized correlation vs. strike >; Xavier Avila Subject: DB FX trade idea: EURZAR-USDZAR correlation swap Paul, 100% 8396 n 60% 2096 \ — EURMXICUSDS1042y mai CO" EURIAXI+LISDIAXN 3m roll car 0% -2016 2007 2003 20% 2010

November 28, 2017 12:42 PM To: Paul Barrett Cc: Stewart Oldfield >; Xavier Avila ; Joshua Shoshan >; Liam Osullivan Subject: DB FX trade idea: EURZAR-USDZAR correlation swap Paul, this could be an interesting trade on ZAR without really getting directional exposure to it. The payout is defined a

1.15 1.10 1.05 1.00 0.95 0.90 0.85 EURUS D spot USDZAR spot EURZAR spot EU Ft/A R-USDZAR 6 m rea I ton 90% 80% 70% 60% 50% 40% 0.80 30% Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 CONFIDENTIAL - PURSUANT TO FED

correlation realized at significantly lower levels, during 2010-2011 and 2015. Overlaying the realized correlation during those periods with USDZAR, EURZAR and EURUSD FX spot rates (each rebased to 1), we can see that lower realized correlation is driven by significant trends and moves in EURUSD partic

From: Xavier Sent: 12/5/2017 4:16:56 PM To: Paul Barrett CC: Stewart Oldfield ; Joshua Shoshan ; Martin Zeman Subject: RE: DB FX trade idea: EURZAR-USDZAR correlation swap Attachments: ZAR_CorrelationSwap_Dec17.xlsx Paul, file attached to look at calculations of implied and realized. Thanks Fr

50% 33% • 20% . --r— r EURZAR-USOZAR Gin real co-:- EURZAR-USMAR 3m real (err 2007 2001 210t6 2010 2011 2012 2013 2014 2315 2016 2017 Sources: Deutsche Bank, Bloomberg Finance L

lation is a max loss of $200k. Let me know if you'd like to discuss. Martin DB FX Trade Idea EURZAR-USDZAR Cor !at n Swap irade Idea • Sell 6m EURZAR-USDZAR correlation swap at 80% (USD payout) • Sell 1y EURZAR-USDZAR correlation swap at 80.5% (USD payout) Rationale • EURZAR-USDZAR implied cor