EFTA Document EFTA01452517

From: Tazia Smith Sent: 2/14/2014 10:45:30 AM To: [email protected] CC: Paul Morri Subject: Re: Fwd: percentages from your team (CI Classification: Confidential Understood Jeffrey. Implementation: Today/Mon (and Tuesday in US due to holiday Mon) start with 1/4 positions (within that 50mm allocation) across the direct equities (healthcare, energy, financials, tech, Japan, Europe) Topix TRS - add $3.5mm usd notional via swap and indirect hedge = gives you capital efficient leverage (financing 3mL+70bps, --20% initial collateral). OR buy another $1mm of your DXJ (that position can represent your delta one allocation). Topix and DXJ charts below for your convenience. Today or Tuesday: Barrier notes - if we can achieve comparable terms (vol has come in) on that eurostoxx50/russell 2k (13mo, worst of >10% contingent minimum return, uncapped upside, 80% barrier) = consider 2.5mm (leaves 2.5mm to put to work in similar return profiles in europe and US) FX = opportunistic Let me know if this is implementation strategy works, or how you'd prefer. Thanks! Tazia TOPIX 1yr Price History TPXDDVD 11 12:59 kir./4C.7,bikrorMill it save As %Motto n s IIIII:11=111 It /twig aro iv r‘f max wily 4. Track ./ Annotate News Mar Prey 1608.76 'EtIlt"4 ell Table tine Chart C"r " re ;% rail= " EMI PI MI a' 1;ecititioStudv el !vent Zoom • Last Price 1587.41 T High on 01/08/14 1751.47 Average 1548.28 1. Low on 02/.15/13 1239.58 Jun Sep Dec 2013 2014 0-1700 MIEN .1500 ► 400 -1300 1200 CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0 109599 SDNY_GM_00255783 EFTA01452517