From: Daniel Sabba To: "jeffrey E." <jeevacationggmail.com> CC: Paul Morris < Stewart Oldfield < Vahe Stepanian "Ariane Dwyer" , Richard Kahn Subject: Idea for Greece Resolution & Continued ECB Quantitative Easing [C] Date: Thu, 18 Jun 2015 15:02:03 +0000 Inline-Images: image003.png; image004.png Classification: Confidential Recent dynamics on Greece negotiations have been a constant headline in major news outlets. Clients can use the following transaction to position for a resolution and rally in European equity and bond markets. Trade rationale: • Uncertainty over Greece has been regarded as a contributor to the recent sell-off in European equities. The DAX has sold-off around 12% over the last three months. • The transaction below is designed to position for a European equity rally over the short term, followed by a decline in EUR interest rates. This could happen in the event of a Greece resolution or continuation of ECB quantitative easing, among other drivers. • An investor can buy 2% out of the money DAX call options expiring on September 18 2015 for 1.90% of the notional amount. If DAX gets back to April highs and EUR interest rates decline to levels observed in June, investors would receive —10% of Notional (- 5x initial premium). Additionally, this transaction would offer further upside in the event of greater equity appreciation. Indicative transaction terms: Client buys: DAX 102% call options contingent on l0y EUR CMS < ATMF-25bps at expiry Notional: EUR50mm Expiry: 18 Sep 2015 Offer (mid): 1.90% (1.52%) Ref vanilla calls: 3.75% DAX futures ref: 10850 l0y EUR CMS ATMF: 1.16% DAX Index VTD Price History: EFTA01194719