EFTA01368576

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efta-01368576

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EFTA Disclosure

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From: Vahe Stepanian Sent: 8/20/2015 3:30:35 PM To: jeffrey E. Ueevacation mail com CC: Daniel Sabba Ariane Dwyer Paul Morris Stewart Oldfield Richard Kahn Subject: AAPL / SUNE Note (CI Classification: Confidential Jeffrey — we indicatively priced up the below structured note today on the back of weakness in both AAPL and SUNE. Please let us know if this is of interest. Thank you, Vahe Sample transaction terms - 18mo Callable Yield Note For discussion purposes only — pricing subject to change Issuer: Maturity: BNP Paribas 18 months (callable after 3 months) Underlying: Lesser of: Apple Inc (AAPL) SunEdison Inc. (SUNE) Callable: Quarterly if both are above initial level Contingent Coupon: 30.00% p.a. subject to coupon barrier Observed and paid quarterly Coupon Barrier: 60% of initial strike observed quarterly Principal Barrier: 60% of initial strike observed at maturity only Description: The investor receives 7.50% per quarter (30% p.a.) if all (2) underlying stocks are above the coupon barrier on the quarterly observation date. The note is autocallable on each quarterly observation date if both of the underlying stocks are above initial level on 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. Cash settlement at termination. SUNE Chart: CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0060380 CONFIDENTIAL SDNY_GM_00206564 EFTA01368576

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From: Paul Morris Sent: 7/1/2015 3:52:39 PM To: 'Jeffrey E.' [email protected]) Subject: RE: EURUSD Risk Reversal Pricing [C] Ok ---Original Message--- From: Jeffrey E. [jeevacation©gmail.com] Sent: Wednesday, July 01, 2015 03:51 PM Eastern Standard Time To: Paul Morris Subject: Re: EURUSD Risk Reversal Pricing [C] on plane with people talk tomor morning On Wed, Jul 1, 2015 at 9:50 PM, Paul Morris < > wrote: Jeffrey Daniel and Vahe are on the desk if you have a few minutes no

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