EFTA01365035

From: Daniel Sabba Sent: 6/10/2015 1:30:16 PM To: Jeffrey E. [email protected]]; Paul Morris CC: Stewart Oldfield I; Vahe Stepanian Ariane Dwyer [email protected] Subject: RE: bullish expression of single stocks (Cl Classification: Confidential Jeffrey — these are different structures. The payout of the worst-of note can't be replicated with vanilla options. Assuming the note is not called before expiry and coupon barriers are not met, it would allow you to get some downside protection (25% worst of barrier), and higher carry. 18m ATM calls on BK are at -9-10% premium and AAPL at —12-13% premium. This is for 18m, so average annualized premium carry is at around 7.5% vs. 10% of the note. On the other hand, you would be investing in a callable BNP 18m note, which can be called at BNP's discretion and has different liquidity/credit/market parameters than long stock/short call. These comparison points are non-exhaustive. Let us know if you would like to discuss further. From: jeffrey E. [mailto:[email protected]] Sent: Wednesday, June 10, 2015 11:50 AM To: Daniel Sabba; Paul Morris Subject: Re: bullish expression of single stocks [C] why is this differnet or better than seining calls against the stock? ? no provisoin to call can change mind overnight no exectuion risk? On Wed, Jun 10, 2015 at 10:14 AM, Daniel Sabba < wrote: Classification: Confidential Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile + Email From: jeffrey E. [mailto:[email protected]] Sent: Wednesday, June 10, 2015 10:13 AM 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 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0055630 CONFIDENTIAL SDNY_GM_00201814 EFTA01365035