EFTA01461053.pdf

From: Bharat Garg Sent: 13 February 2015 21:28 To: Ayush Agrawal Subject: FW: thank you and follow-up pricing request [C] Classification: Confidential Ayush can you pis send a price on the below Use mark vol , -20bps repo From: Daniel Sabba Sent: 12 February 2015 13:30 To: Akilesh Eswaran; Ujwal Chandra; Ashok Venkiteswaran; Bharat Garg Cc: Vahe Stepanian; Jay Lipman Subject: Re: thank you and follow-up pricing request [C] Classification: Confidential Hi guys, I hope all is well. Following up on the indication below. Thank you, Daniel From: Daniel Sabba Sent: Wednesday, February 11, 2015 02:30 PM To: Akilesh Eswaran; Ujwal Chandra; Ashok Venkiteswaran; Bharat Garg Cc: Vahe Stepanian; Jay Lipman Subject: thank you and follow-up pricing request [C] Classification: Confidential Gents, Great to meet today... It was awesome to chat and brainstorm ideas. Could you please refresh this trade - one of our clients might be interested. What would be the upfront premium (paid or received) for client to enter the trade with you. Also can you please give us a sense on unwind liquidity on the trade for a client facing DB through an ISDA. Structure Terms Notional: EUR 25mm Tenor: 5 Yrs Counterparty: Deutsche Bank Format: Swap Ccy: USD Underlying: STOXX Europe low Beta High Div 50 Price Return Index (SDB50EP Index) Participation Factor : 120% to the positive performance of the underlying (PF) Performance: (Underlying Final - At Maturity: If Performance is positive: Client Receives + PF max (0%, Performance) i.e. Client participates 1.2x in the upside performance of the index, uncapped If Performance is negative, no settlement CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 122866 CONFIDENTIAL SDNY_GM_00269050 EFTA01461053