EFTA Document EFTA01456546

Historical Average Realized Dispersion 60.00% 50.00% 40.00% 30.00% 20.00% 10.00% 0.00% - _ AS' Nr t• ot> .41 ss' t —Current Strike Price of Dec15 Calls on Dispersion 1 v Average Realized Dispersion (SX'SE, HSCEI, NKY, EEM, SPX) 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. Tel. Mobile Email CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 115778 CONFIDENTIAL SDNY_GM_00261962 EFTA01456546