The document discusses a financial transaction involving European Call on Dispersion, where a client pays a premium for a payout based on average realized dispersion across global markets. The transaction is economically short correlation and long volatility across markets. Historical average realized dispersion data is provided for indices like S&P500, EuroStoxx50, Nikkei, EEM, and HSCEI. The indicative transaction terms include a dispersion basket of SPX, EEM, SXSE, HSCEI, NKY, with an expiry date of 18 Dec 2015 and a strike at ATMF (11.2%).
doj/DataSet10/EFTA01385135.pdf
{"title":"Indicative Transaction Terms for European Call on Dispersion","key_people":["Daniel Sabba"],"document_type":"correspondence","document_subtype":"memo","key_organizations":["Deutsche Bank Securities Inc."]}