From: Daniel Sabba

From: Daniel Sabba To: "jeffrey E." <jeevacation®gmail.com> CC: Paul Morris , Vahe Ste anian , Ariane Dwyer , Richard Kahn Subject: RE: Levered plays on BASF, Allianz and Volkswagen [C] Date: Thu, 23 Apr 2015 16:09:37 +0000 Classification: Confidential Jeffrey — please find listed-look-alike OTC pricing below per your request for American Calls. Note that the pricing is in EUR, and assumes EUR 5mm notional, which is a minimum guideline to transact this OTC. American Calls: Volkswagen (Bloomberg Ticker VOW3 GY) Ref: 228.60 Expiry: July 15 2015 Strike: 230 Offer: 9.45 IV: 27.25 / 27.95 Delta: 0.45 BASF (Bloomberg Ticker BAS GY) Ref: 90.28 Expiry: July 15 2015 Strike: 92 AC Offer: 2.68 IV: 25.52 / 26.08 Delta: 0.38 Allianz (Bloomberg Ticker ALV GY) Ref: 159.30 Expiry: July 15 2015 Strike: 160 Offer: 3.85 IV: 21.10 / 21.85 Delta: 0.42 Regards, Daniel From: Jeffrey E. [mallto:JeevacatIon@gmalLoom] Sent: Thursday, April 23, 2015 10:29 AM To: Daniel Sabba Subject: Re: Levered plays on BASF, Alllanz and Volkswagen [C] yes On Thu, Apr 23, 2015 at 10:24 AM, Daniel Sabba < Classification: Confidential Jeffrey, > wrote: Refreshed levels on the quanto-USD options are below. Would you have a moment to finish our conversation from this morning? Also, would you like us to price listed look-alike OTC trades since listed trades can't EFTA00705212 currently be cleared by DB to a US Person? qUSD 100% Call 3m Offer Mid Level Spot BASFn.DE 4.05% 3.74% 90.01 ALVG.DE 2.70% 2.40% 159.6 4.90% 4.59% 226.15 qUSD 90% Call 6m Offer Mid Level Spot BASFn.DE 11.50% 11.16% 90.01 ALVG.DE 9.80% 9.46% 159.6 12.35% 12.40% 226.15 Regards, Daniel From: Daniel Sabba Sent: Tuesday, April 14, 2015 10:38 AM To: 'jeffrey E.' Cc: Vahe Stepanian; Ariane Dwyer; Paul Morris; 'Richard Kahn' Subject: RE: Levered plays on BASF, Allianz and Volkswagen [C] Classification: Confidential Jeffrey, We received the quanto USD prices for 3m 100% calls and 6m 90% calls. They work for a notional of USD 5mm. 3m qUSD 100% Call Offer Mid Level Spot Ref BASFn.DE 3.55% 3.22% 94.67 ALVG.DE 2.10% 1.78% 168.05 4.60% 4.25% 246.2 6m qUSD 90% Call Offer Mid Level Spot Ref BASFn.DE 11.15% 10.82% 94.67 ALVG.DE 9.35% 8.99% 168.05 12.55% 12.16% 246.2 Looking forward to discussing, Daniel From: Daniel Sabba Sent: Monday, April 13, 2015 2:41 PM To: 'jeffrey E.' Cc: Vahe Stepanian; Ariane Dwyer; Paul Morris; Richard Kahn Subject: Levered plays on BASF, Allianz and Volkswagen [C] Classification: Confidential Jeffrey, EFTA00705213 This is a first cut of what we are looking at for you. We are pricing these alternatives tomorrow when European markets reopen. Will also connect with European colleagues to explore other opportunities, including credit. A. Quanto call options (denominated in USD). - The idea is to benefit on the performance in local currency in USD, without the need to hedge for EUR FX. B. In-the-money vanilla call-options (denominated in EUR). - The goal is to purchase options whose premium is mostly composed by intrinsic value to obtaining large embedded option leverage. Vol references (from Bloomberg): 3m BASF (VAS GR) 100% implied vol: 22.15% 3m Allianz (ALV GR) 100% implied vol: 15.35% 3m Volkswagen (VOW GR) 100% implied vol: 25.08% We will revert tomorrow. Please let us know if anything else comes to mind. Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobila Email This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and EFTA00705214 destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA00705215