📄 Extracted Text (158 words)
Historical Average Realized Dispersion
60.00%
50.00%
40.00%
30.00%
20.00%
10.00%
0.00% •
oe 4b N° x.% fs,
r>" erg Cfr
— Current StrlkePrke of Dec15 Calls on Dispersion
— ly Average Realized Dispersion (SXSE, HSCEI. MY, EEM, SPX!
Indicative Transaction Terms:
Client buys: European Call on Dispersion, quanto USD
Dispersion Basket: SPX, EEM, SXSE, HSCEI, NKY
Expiry: 18 Dec 2015
Strike: ATMF (11.2%)
Offer: 2.4%
where
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 = -1)
Please let us know when would be a good time to connect.
Regards,
Daniel
Daniel Sabba
Key Client Partners
Deutsche Bank Securities Inc.
=1.
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 115767
CONFIDENTIAL SDNY_GM_00261951
EFTA01456539
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EFTA01456539
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