Case File
efta-01456541DOJ Data Set 10OtherEFTA01456541
Date
Unknown
Source
DOJ Data Set 10
Reference
efta-01456541
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1
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0
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Extracted Text (OCR)
Text extracted via OCR from the original document. May contain errors from the scanning process.
Historical Average Realized Dispersion
60.00%
50.00.
40.00%
30.00%
20.00%
10.00%
0.00% -
_ AS'
Nr
t•
ot>
.41
ss'
t
—Current Strike Price of Dec15 Calls on Dispersion
1 y Average Realized Dispersion (SX5f, HSCEt, 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.
CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e)
DB-SDNY-0 115771
CONFIDENTIAL
SDNY_GM_00261955
EFTA01456541
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