EFTA00634072.pdf

From: Laurie Cameron To: Jeffrey Epstein <jeevacation@gmail.com> Subject: Brazil and Russia Date: Thu, 19 Dec 2013 18:03:46 +0000 I will come back to you with ideas/levels on how to play Russia. As I currently don't have a bank that can quote me prices, I am left to my own resources which is why i didn't have any RUB prices this am. BZQ is a proshares ETF which is essentially a collection of daily total return swaps with banks in which Proshares pays the banks a USD LIBOR int rate and receives at the end of each day, twice the value of the daily market fluctuation of the MSCI Brazil 25/50 index. It has daily currency exposure, but the payout into the proshares NAV at the end of each day is in USD (i.e. if the currency falls significantly in one day, more USD will be paid out as a result at the end of the day). As the daily results are paid out each day back to the NAV there is a benefit of compounding over time, which is a great benefit if there is a strong directional move (this case lower BRL and MSCI Brazil). This same effect detracts a lot from performance if the market moves sideways. We can discuss this live if you would like. Benefits of this instrument are - high vol on the options as underlying is a series of daily total return swaps paying out double market performance of underlying index - option orders can be set to take advantage of quick moves up in BRL or the Brazilian MSCI gtc - - very low commissions (can't be marked up as it is not OTC) - best instrument to use in strongly directional market - excellent liquidity when markets are open - gains currency exposure in addition to market exposure Disadvantages of this instrument are - if the MSCI index moves sideways, the compounding effect will whittle away profitability - expense ratio is higher than most ETFs due to the swaps 1.25-1.5%) - currency and stock market (MSCI index) really need to move in the same direction in order for the index to drop. This makes this instrument have a "double contingency." This is an important risk to consider, although I think that factors weighing against the BRL will also weigh against the stock market. This index is down ytd apprx 12.5% The bottom line is that you want to be long this index in the low 7os/high 6os range. This means being opportunistic and leaving orders. Currently BZQ is 83.15. After the FED news last night, the index fell for some reason to around 80. At that time a MAY 2014 73 EFTA00634072 put paid $6.5, putting the breakeven at 66.5. It is a longer dated option. I propose this because this is what I have access to, I can ask DB to give me some levels on the RUB options, I imagine that they will come back and ask you if it is ok for them to show me levels. Please let me know what you think. Are you in the city next week? Can I come in and visit you on Monday? Thank you Laurie EFTA00634073