EFTA01456549.pdf

Historical Average Realized Dispersion 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% 1 1, e) 3:, 4) Nti~ N \ t' <c '0 ,s4 (fr —Current Shiite Price of Dec15 Calls on Dispersion ply Average Realized Dispersion {5X5E, HSCEI, NKY, 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. Tel. Mobile Email This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 115782 CONFIDENTIAL SDNY_GM_00261966 EFTA01456549