EFTA Document EFTA01456938

From: Vahe Stepanian Sent: 3/6/2015 10:00:12 AM To: Paul Morris CC: Daniel Sabba Subject FW: Swaps + high dividends - an interesting combination... (CI Classification: Confidential Paul — pis see below. Fyi, pricing is stale. From: Daniel Sabba Sent: Monday, February 23, 2015 4:35 PM To: jeffrey E. Cc: Vahe Stepanian; Paul Morris; Ariane Dwyer Subject: FW: Swaps + high dividends - an interesting combination... [C] Classification: Confidential Resending... The payout is quanto USD. From: Daniel Sabba Sent: Tuesday, February 10, 2015 7:31 PM To: 'Jeffrey E.' Cc: Vahe Stepanian; Paul Morris; 'Richard Kahn'; Jay Lipman Subject: Swaps + high dividends - an interesting combination... [C] Classification: Confidential Jeffrey, We came across with the following structure that takes advantage of high dividends to finance the funding of an excess return swap with floored downside. I thought it was clever... Interested in hearing your thoughts. If you would like we can refresh pricing. Structure linked to Stoxx Low Beta High Dividend Index Index Description The STOXX Europe Low Beta High Div 50 Index is derived from the STOXX Europe 600 Index. To be eligible for inclusion in the new index, companies must have a net dividend yield for the past twelve months that is higher than the overall net dividend yield of the EURO STOXX 50 Index over the same time period. All those companies are then screened for their beta to the EURO STOXX 50 Index over the past twelve months, and only those 50 companies with the lowest beta are selected. A cap of eight companies per country is applied to ensure diversification in the index. The STOXX Europe Low Beta High Div 50 Index is weighted by liquidity measured through components' three month average daily trading volume (ADTV), with a single component's weight cap of 5 percent. The index is reviewed annually in December, with the cutoff date for dividend yield and beta data being the last trading day of the previous month. Structure Terms Tenor: 5 Yrs Counterparty: Deutsche Bank Format: Swap Ccy: USD Underlying: STOXX Europe low Beta High Div 50 Price Return Index (SDB50EP Index) Participation Factor : 120% to the positive performance of the underlying CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 116286 CONFIDENTIAL SDNY_GM_00262470 EFTA01456938