Subject: Re: Barrier Notes [C]
From: Tazia Smith ‹ >
Date: Wed, 05 Feb 2014 12:41:47 -0500
To: jeevacation@gmail.com
Cc: Paul Morris ‹ >
Classification: Confidential
Jeffrey -
This is for comparative purposes, as the worst-of component (previously sent/-
below) improves pricing a quite a bit at present. 13mo on SXSE by itself is
a non-starter!
#1 - 13mo Contingent Minimum Return
SXSE
4% Cont Min Return
80% Barrier Daily obs.
6% cap
max loss: 100%
#2 - 2yr Contingent Minimum Return
SXSE
10% Cont Min Return
80% Barrier Daily obs.
17% cap
max loss: 100%
Indicative levels only, subject to market movement, source: DB AWM
Structured Solutions, 2/5/14.
From: Tazia Smith/db/dbcom To: eevacation@gmail.com, Cc:
Paul Morris, Vahe Stepanian/db/-
Vinit Sahni/db Nav Gupta/db
Date: 02/05/2014 11:49 AM Subject: Barrier Notes [C]
EFTA01462386
Classification: Confidential
Jeffrey -
US
ADP report came in light this morning at +175k v 185k cons, as you saw,
payrolls catalyst on Friday. For US exposure on pullback and jump-up in
volatility, consider (proposed percentages = 5.0):
S&P Current: 1742
80%: 1394
Russell 2000 Current: 1086
80%: 868
13mo Contingent Minimum Return Worst-of Note (S&P 500 and Russell 2000):
WoF SPX/RTY
8% Cont Min Return
80% Barrier Daily obs.
29.30% Cap
Indicative levels only, subject to market movement, source: DB AWM
Structured Solutions, 2/5/14.
Europe
Note: your current Eurostoxx Contingent Note matures 8/26/14, cont min was
4%, cap was 17%, barrier was 70% (1935). A direct comp to your existing
structure is currently not pricing well (10.0 on proposed sheet, 5.0 on
suggested). Combining US and European views improves the terms and upside
participation:
SX5E Current: 2962
80%: 2369
13mo Contingent Minimum Return Worst-of Note (Eurostoxx50 and Russell 2000):
WoF SXSE/RTY
11.5% Cont Min Return
80% Barrier Daily obs.
uncapped
Indicative levels only, subject to market movement, source: DB AWM
Structured Solutions, 2/5/14.
EFTA01462387
Tazia Smith
Director I Key Client Partners - US
Deutsche Bank Securities Inc
Deutsche Asset & Wealth Management
345 Park Avenue, 26th Floor
New York, NY 10154
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EFTA01462388