Re: First BRL note valuation date 3/20, poised to settle beyond barrier (down ~20%) [C]

Classification: Confidential

Jeffrey -

First BRL note's valuation date is this Thursday, 3/20 (settles 3/27); presently down 19.8%, intrinsic. Your original investment was $1mm notional.

Your second note has a final valuation of 4/14. Initial strike 2.0035, european barrier =2.3040.

Recall that the payout on these was as follows:

a) make 28.5% if BRL is up more than 3% vs. USD at maturity, b) make 5% if BRL is up between 0-3% vs USD, c) get your principal down less than 15% vs. USD, d) loose 1 for 1 if BRL is down more than 15% vs USD at maturity (max loss 100%)

Used with permission of Bloomberg Finance LP

Tazia Smith
Director I Key Client Partners - US

Deutsche Bank Securities Inc
Deutsche Asset & Wealth Management

EFTA01467924

EFTA01467923

is there a number ???

Classification: Confidential

Mark-to-market on the note was $799k (down $201k) intrinsic value is $802k (down $198k), subject to moves in BRL for the next 3 days.

Tazia Smith
Director
Key Client Partners - US

Deutsche Bank Securities, Inc.
Deutsche Asset & Wealth Management
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Classification: Confidential

When did jp put this one on? And I guess there is no way to get out of them, thx