From: Vahe Stepanian

From: Vahe Stepanian To: "jeffrey E." <jeevacation@gmail.com> CC: Richard rK , Paul Morris < Sabba Subject: RE: Trade Recap - 01.30.2015 - Call options on dispersion - SPX, EEM, SXSE, HSCEI, NKY [C] Date: Fri, 30 Jan 2015 23:13:55 +0000 Attachments: Global_Basket_Vanilla_Dispersion_Termsheet_-_SF_-_01_30_2015.pdf Inline-Images: image002.png; image003.png; image004.png; image005.png; image006.jpg >, Daniel Classification: Confidential Jeffrey- please find attached final termsheet for the dispersion trade. Note that the premium settlement date is Feb. 4th, 2015 instead of Feb. 3 as noted below. Have a great weekend. Thank you, Vahe From: Daniel Sabba Sent: Friday, January 30, 2015 11:00 AM To: Jeffrey E. Cc: Richard Kahn; Paul Morris; Vahe Stepanian Subject: Trade Recap - 01.30.2015 - Call options on dispersion - SPX, EEM, SXSE, HSCEI, NKY [C] Classification: Confidential Jeffrey, Southern Financial LLC entered into the following transaction with Deutsche Bank AG, acting through its London branch. Southern Financial purchased calls on dispersion with the following terms. Initial strike to be set at close of each market today. Final termsheet and official confirm to follow. Transaction terms - European Call on Dispersion, quanto USD Option Seller Option Buyer Notional Amount Dispersion Basket Strike Date Expiry Settlement Price Strike Offer Deutsche Bank AG, London Branch Southern Financial LLC USD 4,166,000.00 SPX, EEM, SXSE, HSCEI, NKY 30 Jan 2015 18 Dec 2015 Option payout calculated with Official Close of each Dispersion Basket component at expiry date 11.15% (ATMF) 2.4% Premium Payment Date 3 Feb 2015 Option Payout cid:image002.png©01D03CA9.04BA4440 citimage003.png®01D03CA9.04BA4440 EFTA00631131 I acid:image004.png®01D03CA9.04BA 4440 god, cid:image005.png®01D03CA9.04 BA4440 Best regards, Daniel From: Daniel Sabba Sent: Friday, January 30, 2015 10:23 AM To: Jeffrey E.' Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: RE: One idea for diverging policies - calls on global dispersion [C] Classification: Confidential Jeffrey, Our London desk was able to improve the ATMF strike to 11.15% and their offer still at 2.4% (1.9% mid) on this trade. Given the trade has little delta at inception, our desk is able to set the initial strikes for the structure at market on close today for all markets (SPX, EEM, SXSE, HSCEI, NKY), even though Asia has already closed. Attached is a draft term sheet for the trade. Regards, Daniel From: Daniel Sabba Sent: Thursday, January 29, 2015 5:12 PM To: Daniel Sabba; Jeffrey E. Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: RE: One idea for diverging policies - calls on global dispersion [C] Classification: Confidential Jeffrey, Per our conversation, we received your order to bid on this structure at the indicated terms for $100k premium (- $4.166mm notional). As discussed, we communicated your overnight order to our London desk and we will revert tomorrow on whether the transaction has been executed. Thank you, Daniel From: Daniel Sabba Sent: Thursday, January 29, 2015 2:54 PM To: Jeffrey E.' Cc: Vahe Stepanian; Richard Kahn; Paul Morris Subject: One idea for diverging policies - calls on global dispersion [C] Classification: Confidential Jeffrey, EFTA00631132 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 ly average realized dispersion between S&P500, EuroStoxx50, Nikkei, EEM and HSCEI to illustrate. ;:cid:image001.jpg@01D03BE6.7A4FEE80 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. Email EFTA00631133 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. EFTA00631134