EFTA01409401.pdf

Subject: RE: bullish expression of single stocks [C] From: Daniel Sabba Date: Wed, 10 Jun 2015 13:30:16 -0400 To: jeffrey E. <[email protected]>, Paul Morris < Cc: Stewart Oldfield Vahe Stepanian < Ariane D er Classification: Confidential Jeffrey — these are different structures. The payout of the worst-of note can't be replicated with vanilla options. Assuming the note is not called before expiry and coupon barriers are not met, it would allow you to get some downside protection (25% worst of barrier), and higher carry. 18m ATM calls on BK are at —9-10% premium and AAPL at —12-13% premium. This is for 18m, so average annualized premium carry is at around 7.5% vs. 10% of the note. On the other hand, you would be investing in a callable BNP 18m note, which can be called at BNP's discretion and has different liquidity/credit/market parameters than long stock/short call. These comparison points are non-exhaustive. Let us know if you would like to discuss further. From: jeffrey E. [mailto:[email protected]] Sent: Wednesday, June 10, 2015 11:50 AM To: Daniel Sabba; Paul Morris Subject: Re: bullish expression of single stocks [C] why is this differnet or better than sellling calls against the stock? ? no provisoin to call can change mind overnight no exectuion risk? On Wed, Jun 10, 2015 at 10:14 AM, Daniel Sabba a wrote: Classification: Confidential EFTA01409401 Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email From: jeffrey E. [mailto:[email protected]] Sent: Wednesday, June 10, 2015 10:13 AM To: Daniel Sabba Subject: Re: bullish expression of single stocks [C] number to call? On Wed, Jun 10, 2015 at 9:48 AM, Daniel Sabba e > wrote: Classification: Confidential Jeffrey, I called you back yesterday and left a message with . We had reached out to discuss using short dated structured notes to articulate constructive views on single name stocks. We priced the example below for AAPL and BK, and could do the same for your favorite names from the list we sent you last week (email below). Sample transaction terms - 18mo Callable Yield Note Issuer: BNP Paribas EFTA01409402 Maturity: 18 months (callable after 3 months) Underlying: Lesser of: Apple Inc (AAPL) Bank of New York Mellon (BK) Callable: Quarterly — at issuer's discretion Contingent Coupon: 10.00% p.a. subject to coupon barrier Observed and paid quarterly Coupon Barrier: 75% of initial strike observed quarterly Principal Barrier: 75% of initial strike observed at maturity only Description: The investor receives 2.50% per quarter (10% p.a.) if all (2) underlying stocks are above the coupon barrier on the quarterly observation date. The note is callable at the discretion of the issuer on each quarterly observation date. If not redeemed early, at maturity, the principal is at risk if one or more of the underlying stocks has a final strike below their principal barrier, with the investor being exposed to the return of the worst performing underlying stock. Settlement at termination can be either cash or physical. Looking forward to discussing, Daniel EFTA01409403