16 May 2013 FX Blueprint: Dashing Buck GI0 and hence is susceptible to rebound. Within the Eurozone, another factor to consider is the risk sensitive safe-haven unwinds (mainly from Switzerland and the UK) which could further add to this trend. The favoured trades In sum, a further increase in trading volumes and monetary policy divergence could see a broad-based volatility pick-up. Looking across a number of relative value trades, we recommended buying a 6M GBP/USD variance swap struck at 7.75%. and a 3M AUD/USD variance swap (9.00% strike), due to the low transaction volumes in GBP/USD and attractive historical realized volatility levels (see chart 6). Furthermore, these trades benefit from the negative spot-to-empirical volatility skew. Nicholas Weng, London, James Malcolm, London, Pago 20 IGBP/USD volumes falling sharply in 2013 — GBPUSO 2W vaume —2W eabsed vcialny (RHSi Ms-11 Jul-11 Nov.11 Me, I? Jul-12 NDv-12 Mw-13 SIXOTI Ms, Nocvntwo nnirce Options mar ket ADVs on the rise 10 6 .1 2 0 Mor.11 Jull I Nov-II Mar-12 Jul•12 Nov.12 Ma r• 13 Sant' CAW roe —GBPUSO 1M opoons volume GBP 1M realised volablety IRKS, '2 TO 4 2 0 IAUD and GBP realised volatilities are historically cheap 2 1.5 05 0 -0.5 -1.5 -2 1111111110min. .11 MGM re ed t-SCOte /Qe29§2g§ 9§1112 - 6 88E202*o2Rm802.2 2 8 g. 2 a a8?atiVe42. S°3@2sa@ae...3 .2) BS Soots litentery Anne LP Zeta', MUM nealetlasd any Mow ,.an Minded J Doutscho Bank AG/London CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0104584 SDNY_GM_00250768 EFTA01449251