EFTA01383194.pdf

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 < > wrote: Classification: Confidential Jeffrey, I called you back yesterday and left a message with Lesley. 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 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 From: Ariane Dwyer Sent: Tuesday, June 02, 2015 9:24 AM To: 'jegyegetion@g.................. Cc: Vahe Stepanian; Daniel Sabba; Paul Morris Subject: RE: send to rich please [C] Classification: Confidential Good morning, CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0082863 CONFIDENTIAL SDNY_GM_00229047 EFTA01383194