From: Daniel Sabba Sent: 2/3/2015 10:54:37 AM To: jeffrey E. CC: Paul Morris Vahe Stepania Richard Kahn BCC: Subject: Short Latam FX Ideas llj Classification: For 'Memel use only Jeffrey, Carry in BRL is close to 11% and 1y implied vols are around 14-15%. As we discussed, this obviously makes buying puts on these currencies very expensive. Other LatAm pairs offer lower vol and carry but could be negatively impacted in a distress scenario in the region. A negative regional "halo-effect"? CLP has carry around 3% and 1y implied vol around 10%. Additionally, Chile is very exposed to the commodity complex. More details below. Trade Idea: Buy Puts on LatAm Currencies. Since June 2014, BRL, COP, CLP, MXN and PEN have all depreciated against USD, falling 17.8%, 28.2%, 15.0%, 16.0% and 10.1% respectively. These currencies have also exhibited a high positive realized correlation over this period. 115% 110% "5% 100% Realised Correlation BRL COP CLP MXN PEN BRL 100% 47% 40% 39% COP 100% 36% CLP 100% 40% 40% MXN 100% 46% PEN 100% COP, CLP, MXN and PEN benefit from significantly lower carry costs compared to BRL. In addition, many of these currencies currently have lower implied volatilities and less pronounced skew. Therefore it maybe more efficient to express bearish Latam views through COP, CLP, MXN and PEN compared to BRL. CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 115804 CONFIDENTIAL SDNY_GM_00261988 EFTA01456565