EFTA01460936.pdf

outperformance index options. I have plotted the historical ly average realized dispersion between S&P500, EuroStoxx50, Nikkei, EEM and HSCEI to illustrate. Historical Average Realized Dispersion 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.006 e,. • NIC) SP ce N'Ne% 1, i> OC i \`> Oe is- - Current Strike Price of Dec15 Calls on Dispersion — 1y Average Realized Dispersion (SXSE. NSW. NEV. 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 CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 122682 CONFIDENTIAL SDNY_GM_00268866 EFTA01460936