From: Sent: To: Subject: Attachments Paul Morris [paul.morris@db.com) 1/30/2015 10:26:26 AM Stewart 0ldfield [stewart.oldfield@db.coml Fw: One idea for diverging policies - calls on global dispersion [C) Global Basket Vanilla Dispersion - SF - 01.30.2015.pdf Classification: Confidential From: Daniel Sabba Sent: Friday, January 30, 2015 10:23 AM To: Jeffrey E. <jeevacation@gmail.com> Cc: Vahe Stepanian; Richard Kahn <richardkahn12@gmail.com>; Paul Morris Subject: RE: One idea for diverging policies - calls on global dispersion [C] Classification: Confidential Jeffrey, Our London desk was able to improve the ATMF strike to 11.15% and their offer still at 2.4% (1.9% mid) on this trade. Given the trade has little delta at inception, our desk is able to set the initial strikes for the structure at market on close today for all markets (SPX, EEM, SXSE, HSCEI, NKY), even though Asia has already closed. Attached is a draft term sheet for the trade. Regards, Daniel From: Daniel Sabba Sent: Thursday, January 29, 2015 5:12 PM To: Daniel Sabba; jeffrey E. Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: RE: One idea for diverging policies - calls on global dispersion [C] Classification: Confidential Jeffrey, Per our conversation, we received your order to bid on this structure at the indicated terms for 5100k premium (—$4.166mm notional). As discussed, we communicated your overnight order to our London desk and we will revert tomorrow on whether the transaction has been executed. Thank you, Daniel From: Daniel Sabba Sent: Thursday, January 29, 2015 2:54 PM To: 'Jeffrey E.' Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: One idea for diverging policies - calls on global dispersion [C] Classification: Confidential Jeffrey, CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0086184 CONFIDENTIAL SDNY_GM_00232368 EFTA01385134