From: Daniel Sabba To: "jeffrey E." <jeevacation®gmail.com> CC: Paul Morris , Vahe Ste anian , Ariane Dwyer , Richard Kahn Subject: RE: Levered plays on BASF, Allianz and Volkswagen [C] Date: Thu, 23 Apr 2015 16:09:37 +0000 Classification: Confidential Jeffrey — please find listed-look-alike OTC pricing below per your request for American Calls. Note that the pricing is in EUR, and assumes EUR 5mm notional, which is a minimum guideline to transact this OTC. American Calls: Volkswagen (Bloomberg Ticker VOW3 GY) Ref: 228.60 Expiry: July 15 2015 Strike: 230 Offer: 9.45 IV: 27.25 / 27.95 Delta: 0.45 BASF (Bloomberg Ticker BAS GY) Ref: 90.28 Expiry: July 15 2015 Strike: 92 AC Offer: 2.68 IV: 25.52 / 26.08 Delta: 0.38 Allianz (Bloomberg Ticker ALV GY) Ref: 159.30 Expiry: July 15 2015 Strike: 160 Offer: 3.85 IV: 21.10 / 21.85 Delta: 0.42 Regards, Daniel From: Jeffrey E. [mallto:JeevacatIon@gmalLoom] Sent: Thursday, April 23, 2015 10:29 AM To: Daniel Sabba Subject: Re: Levered plays on BASF, Alllanz and Volkswagen [C] yes On Thu, Apr 23, 2015 at 10:24 AM, Daniel Sabba < Classification: Confidential Jeffrey, > wrote: Refreshed levels on the quanto-USD options are below. Would you have a moment to finish our conversation from this morning? Also, would you like us to price listed look-alike OTC trades since listed trades can't EFTA00705212