Subject: FW: One idea for diver in policies - calls on global dispersion [C] From: Paul Morris Date: Thu, 29 Jan 2015 17:22:41 -0500 To: Stewart Oldfield ‹ > Classification: Confidential Paul Morris Managing Director Deutsche Bank Private Bank Office: Cell: 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 $100k 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 EFTA01400679 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, As we look at the world, the enormous dispersion of monetary and fiscal policies is obvious. One transaction we have used in the past to articulate this theme, and it trickling down to equity markets, are calls on dispersion. This is an OTC transaction in which a client pays a premium and receives a payout based on the average realized dispersion across global markets. It is a way to be economically short correlation and long volatility across markets, similarly to outperformance index options. I have plotted the historical ly average realized dispersion between S&P500, EuroStoxx50, Nikkei, EEM and HSCEI to illustrate. {cid:image001.jpg@OlD03BE6.7A4FEE80} Indicative Transaction Terms: Client buys: European Call on Dispersion, quanto USD Dispersion Basket: SPX, EEM, SX5E, HSCEI, NKY Expiry: 18 Dec 2015 Strike: ATMF (11.2%) Offer: 2.4% where EFTA01400680 Final Payout = Notional * max(Average Realized Dispersion — Strike,0) Average Realized Dispersion = Average(absolute value of Individual Dispersion for each Index i) Individual Dispersion for Index i = Final Performance for Index i — Average Performance Average Performance = average (Final Performance for each Index i) Final Performance for Index i = (Final_level(i)/Initial_level(i) -1) Please let us know when would be a good time to connect. Regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email EFTA01400681