EFTA01413274

Subject: Idea for Greece Resolution & Continued ECB Quantitative Easing [C] From: Daniel Sabba cffi. Date: Thu, 18 Jun 2015 11:02:03 -0400 To: jeffrey E. <[email protected]> Cc: Paul Morris < Stewart Oldfield Vahe Stepanian < Ariane Dwyer Richard Kahn Classification: Confidential Recent dynamics on Greece negotiations have been a constant headline in major news outlets. Clients can use the following transaction to position for a resolution and rally in European equity and bond markets. Trade rationale: Uncertainty over Greece has been regarded as a contributor to the recent sell-off in European equities. The DAX has sold-off around 12% over the last three months. The transaction below is designed to position for a European equity rally over the short term, followed by a decline in EUR interest rates. This could happen in the event of a Greece resolution or continuation of ECB quantitative easing, among other drivers. An investor can buy 2% out of the money DAX call options expiring on September 18 2015 for 1.90% of the notional amount. If DAX gets back to April highs and EUR interest rates decline to levels observed in June, investors would receive —10% of Notional (-5x initial premium). Additionally, this transaction would offer further upside in the event of greater equity appreciation. Indicative transaction terms: Client buys: DAX 102% call options contingent on lOy EUR CMS ATMF-25bps at expiry Notional: EUR50mm Expiry: 18 Sep 2015 Offer (mid): 1.90% (1.52%) Ref vanilla calls: 3.75% EFTA01413274 DAX futures ref: 10850 lOy EUR CMS ATMF: 1.16% DAX Index YTD Price History: {cid:[email protected]} 10 Year Euro Swaps YTD Price History: fcid:[email protected] Please let us know if you would like to discuss. Best regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. + Mobile Email All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. EFTA01413275