[2.000 0.000 Term Structure of Forward swap rates (OIS) in CAD and USD 0 3 6 9 12 15 18 21 24 27 30 33 36 —USD —CAD The limited downside play I like best in USDCAD is buying a 3month expiry 1.10 / 1.13 call spread on USDCAD but where the short 1.13 call position only exists (knocks-in) if USD trades at 1.17 trades in the market before the option expires, otherwise the option payoff is the same as a 1.10 call option. It costs 1% of USD notional. I believe the buyer is well compensated for the knock-in component. If USDCAD rises to 1.15 the option payout is 5 big figures. If 1.17 trades before expiry the payout is limited to 3 big figures. Max loss is premium paid. We can price other structures to fit the risk tolerance (higher or lower) of clients - let us know Key Macro Highlights • The economy clearly lags the US. Dec13 unemployment unexpectedly rose last Friday to 7.2% • South of the border demand for USDCAD is declining as the US heads towards energy independence • Low inflation and weak exports are likely to preclude any rate hikes in 2014 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 110250 CONFIDENTIAL SDNY_GM_00256434 EFTA01452921