From: Daniel Sabba To: "jeffrey E." <[email protected]> CC: Vahe Stepanian ca. Paul Morris Subject: FW: Swaps + high dividends - an interesting combination... [CI Date: Mon, 23 Feb 2015 21:34:38 +000U Inline-Images: imagc001.gie, image002.gif Arian Dwycr Classificanco:Conddentlel Resending... The payout is quanta USD. From: Daniel Sabin Sent: Tuesday, February 10, 2015 7:31 PM To: 'saffrey E.' Cc: Vahe Stepanian; Paul Morris; 'Richard Kahn', Say Lipman Subject: Swaps + high dividends • an interesting combination... [C] Classificatice. Confidential Jeffrey. We cane across with Me (cloning structure that takes advantage of high dMdends 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 Ow 50 Index is derived from the STOXX Europe 600 Index. To be eligible fa inclusion in the new index. companies must have a net avidend yield fa 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 thee beta to the EURO STOXX 50 Index over the past twelve months. and onty 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 Seta High Div 50 Index is weighted by liquidity measured hough components' three month average dairy tra]eng volume (ADTV). with a single component's weight cap of 5 percent. The Index is reviewed annualty in December. wrth the cutoff date for dividend yield and beta data being the last trading day of the previous moth. Structure Terms Tenor: 5 Yrs Counterparly: Deutsche Bank Fermat: Swap Ccy: USD Underlying: STOXX Europe low Beta High Div 50 Price Return Index (SOB50EP Index) Part