The document outlines the terms for a financial transaction involving a European Call on Dispersion with a dispersion basket including SPX, EEM, SXSE, HSCEI, and NKY. The expiry date is set for 18 Dec 2015 with a strike at ATMF (11.2%) and an offer of 2.4%. The final payout is calculated based on the average realized dispersion and the strike.
documents/vol00010-efta01456541-pdf.pdf
{"key_people":["Daniel Sabba"],"document_type":"correspondence","document_subtype":"financial transaction terms","key_organizations":["Deutsche Bank Securities Inc."],"reference_numbers":["DB-SDNY-0115771","SDNY_GM_00261955","EFTA01456541"]}