From: Vahe Stepanian
Sent: 3/6/2015 10:00:12 AM
To: Paul Morris
CC: Daniel Sabba
Subject FW: Swaps + high dividends - an interesting combination... (CI
Classification: Confidential
Paul — pis see below. Fyi, pricing is stale.
From: Daniel Sabba
Sent: Monday, February 23, 2015 4:35 PM
To: jeffrey E.
Cc: Vahe Stepanian; Paul Morris; Ariane Dwyer
Subject: FW: Swaps + high dividends - an interesting combination... [C]
Classification: Confidential
Resending... The payout is quanto USD.
From: Daniel Sabba
Sent: Tuesday, February 10, 2015 7:31 PM
To: 'Jeffrey E.'
Cc: Vahe Stepanian; Paul Morris; 'Richard Kahn'; Jay Lipman
Subject: Swaps + high dividends - an interesting combination... [C]
Classification: Confidential
Jeffrey,
We came across with the following structure that takes advantage of high dividends 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 Div 50 Index is derived from the STOXX Europe 600 Index. To be eligible for inclusion
in the new index, companies must have a net dividend yield for 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 their beta to the EURO STOXX 50 Index over the past twelve months, and only
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 Beta High Div 50 Index is weighted by liquidity measured through components' three month
average daily trading volume (ADTV), with a single component's weight cap of 5 percent. The index is reviewed annually
in December, with the cutoff date for dividend yield and beta data being the last trading day of the previous month.
Structure Terms
Tenor: 5 Yrs
Counterparty: Deutsche Bank
Format: Swap
Ccy: USD
Underlying: STOXX Europe low Beta High Div 50 Price Return Index (SDB50EP Index)
Participation Factor : 120% to the positive performance of the underlying
CONFIDENTIAL — PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 116286
CONFIDENTIAL SDNY_GM_00262470
EFTA01456938