Brent Jun14 reference: 5104.2 Brent spot: $106.5 (1) Risk Reversal: Buy 6m 5109.41 call (105% of Jun14 Sell 6m $85 put: Net Debit: Indicative cost on 55mm Notional: Max Loss: For your reference: 6m 5104.2 call (ATM): 6m 5109.41 call (105% of Jun14 6m 585 put: 6m 590 put: ref): 53.51/bbl 50.95/bbl 52.56/bbl (-2.5%) $125,000 587.56/bbl 55.90/bbl (-5.7%) ref): 53.51/bbl (-3.4%) 50.95/bbl (-0.9%) 51.58/bbl (-1.5%) (2) ATM 6m0 Swap A futures look-alike in the form of a Jun14 ATM swap, of -52/bbl (differential between Jun14 and spot) (3) Absolute Return Note on Brent Structure Absolute Return Note on underlier: Barrier Observation: Maturity: Upside Max: Barrier Level: Max Loss: Brent crude Brent European 2yrs uncapped 82.5% 100% which has positive carry In fully-funded form, the absolute return structure prices well on crude. You can unwind this early to capture a move. This vehicle gives room to monetize moves in crude prices both on the upside and downside. This structure has a relatively high delta, should crude move higher and can help offset/compensate for your premium paid should crude move lower, but stay above the barrier. Implied vol & Price Curves: The degree of backwardation has subsided to their average over the last 10 years. bullish view on Brent crude oil can take to 10-year lows. (Embedded (Embedded but vols are still very low compared Investors looking to express a advantage of premiums which are close IPE Brent lmo Implied Vol - Mid Implied Vol image moved to file: pic19678.gif) image moved to file: pic00922.gif) Source: DB AnalyzerLite, 11/5/13 (Embedded image moved to file: pic26227.gif) Tazia smith Director I Key Client Partners - uS Deutsche Bank Securities Inc Deutsche Asset & wealth Management 345 Park Avenue, 26th Floor New York NY 10154 Tel. Fax Mobil Email (Embedded image moved to file: pic04017.gif) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 122991 CONFIDENTIAL SDNY_GM_00269175 EFTA01461145