From: Daniel Sabba

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DOJ Data Set 9

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From: Daniel Sabba To: "jeffrey E." <jeevacation@gmail.com> 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

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From: Vahe Stepania Sent: 12/4/2015 1:56:49 PM To: Richard Kahn mj CC: Daniel Sabba riane Dwyer " ' 'Paul Morris [ Stewart Oldfield Subject: RE: Dispersion Call Option [CI Classification: Confidential One more point worth mentioning - the realized dispersion when we spoke on Wednesday was - 9.95%. This decline from 9.95% to 9.41% would also affect the indicative bid of the option. From: Vahe Stepanian Sent: Friday, December 04, 2015 1:09 PM To: Richard Kahn Cc: Daniel Sabba

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Date: 10/29/2014 08:43 AM Subject: Re: [C] vwap ok On wed, Oct 29, 2014 at 8:39 AM, Tazia Smith wrote: classification: confidential Good Morning Jeffrey - Re-enter order? use limit and/or participate % volume? Thanks, Tazia Fro Tazia Smith/db/dbcom m: To: "jeffrey E." <jeevacation@gmail.com>, Cc: Daniel Sabba/db Paul Morris, Richard Kahn < Stewart Oldfield/db , vahe Stepanian Dat 10/28/2014 04:14 PM e: Sub Trade Report 10/28/14 [C] jec t: classification: confidential Jef

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