From: Daniel Sabba

From: Daniel Sabba To: "jeffrey E." <[email protected]> CC: Vahe Stepanian , Richard Kahn < Paul Morris Subject: One idea for diverging policies - calls on global dispersion [C] Date: Thu, 29 Jan 2015 19:53:46 +0000 Infirm-Images: image001.jpg Classification: Confidential Jeffrey, As we look at the world, the enormous dispersion of monetary and fiscal policies is obvious. One transaction we have used in the past to articulate this theme, and it trickling down to equity markets, are calls on dispersion. This is an OTC transaction in which a client pays a premium and receives a payout based on the average realized dispersion across global markets. It is a way to be economically short correlation and long volatility across markets, similarly to outperformance index options. I have plotted the historical 1y average realized dispersion between S&P500, EuroStoxx50, Nikkei, EEM and HSCEI to illustrate. Historical Average Realized Dispersion 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% "k O N, t. SP A A 0 N ..cp, 1 1 O 41/4' 4 " 1 N. ger Current Strike Price of Dec15 Calls on Dispersion —ly Average Realized Dispersion (SX5E,HSCEI, NKY, EEM, SPX) Indicative Transaction Terms: Client buys: European Call on Dispersion, quanta 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) EFTA01139516 Please let us know when would be a good time to connect. Regards, Daniel Daniel Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. + Mobi 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. EFTA01139517