EFTA01479195.pdf

Subject: RE: One idea for diver in olicies - calls on global dispersion [C] From: Caroline Kitidis Date: Thu, 29 Jan 2015 1 . . - To: Daniel Sabba Dario Schirald Chip Packard < Classification: Confidential 4 trades w this client over the past 3 weeks ! Now we need more of these clients onboarded! Keep it up! Kind regards, Caroline Kitidis fcid:[email protected] Caroline V. Kitidis Managing Director I Head of Key Client Partners & Wealth Investment Coverage - Americas Deutsche Bank Securities Inc Deutsche Asset & Wealth Mana.ement fcid:[email protected] From: Daniel Sabba Sent: Thursday, January 29, 2015 3:27 PM To: Dario Schiraldi; Caroline Kitidis; Chip Packard Subject: Fw: One idea for diverging policies - calls on global dispersion [C] EFTA01479195 Classification: Confidential Dario - this is the trade I mentioned to you earlier. Printed just now with Epstein 20 minutes after sending the email. From: Daniel Sabba Sent: Thursday, January 29, 2015 02:53 PM To: jeffrey E. <[email protected]> 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:[email protected]} 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 EFTA01479196 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 = (Finallevel(i)/Initiallevel(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. Email EFTA01479197