EFTA01461052.pdf

From: Daniel Sabba Sent: 2/17/2015 12:48:24 PM To: Vahe Stepanian Ariane Dwye CC: Mathew Negus Subject: new CM slide to deck, per CK's request... (CI Attachments: Swaps + high dividends - an interesting combination... [C] (65.5 KB).msg Importance: High Classification: Confidential Pricing below. Write up attached. This needs to be added to a slide. From: Bharat Garg Sent: Monday, February 16, 2015 7:03 AM To: Ayush Agrawal; Daniel Sabba; Akilesh Eswaran Cc: Samkit Tated Subject: RE: thank you and follow-up pricing request [C] Classification: Confidential Daniel, Price below From: Ayush Agrawal Sent: 13 February 2015 16:34 To: Bharat Garg Cc: Samkit Tated Subject: RE: thank you and follow-up pricing request [C] Classification: Confidential Hi Bharat, PnL: 1% 5Y, USD PF: 120% 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 No Downside Client Pays: USD3mLibor + 1.55% p.a. Upfront Premium (DB Pays): 0.71% Regards, Ayush Agrawal CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 122865 CONFIDENTIAL SDNY_GM_00269049 EFTA01461052