EFTA01435560

Subject: Pinehurst "Russell 3000" Collateralized Note From: Xavier Avila <[email protected]> Date: Fri, 01 Dec 2017 17:06:38 -0500 To: "Paul Barrett ( Richard Kahn Cc: Stewart Oldfield Martin Zeman Vahe Stepanian Joshua Shoshan Paul, this is the rationale and economics Collateralized Note that we discussed today. We can get in a call next week with the experts if you want to understand the collateralization mechanism and the legal enforceability issues. I can also send you the Prospectus before any trade and you can take a read, but it's 200 pages long and I need to get compliance approval first. So let's discuss next week and see what you think. Thanks and have a good weekend. Xavi Pinehurst "Russell 3000" Collateralized Note Rationale Client earns yield on long cash position while taking secured DB credit risk by purchasing a Note issued by a bankruptcy-remote Entity (Pinehurst Securities SA Luxembourg) Entity will use the Note proceeds to purchase a fully-funded interest rate swap from DB, for which DB will pay Interest to the Entity; and DB will pledge collateral into a triparty account at Bank of New York Mellon secured in favor of the Entity. Collateral is adjusted daily to compensate for changes in the value of the pledged securities In the event of a DB default, the Entity takes possession of the collateral and liquidates it. The Note Buyer has credit risk to DB only insofar as the proceeds from collateral sale fail to exceed the value of DB's cash obligation to the Entity EFTA01435560 Interest paid at agreed intervals during term of the Note and at expiry Client redeems the principal cash amount Indicative Economics Reg S Note with a maturity of 6 months with no early redemption features The yield will be a fixed rate equivalent to [ 6m Forward Fed Funds + 0.40% ] to be fixed at the time of Note Issuance (currently around 1.85% annualized yield) DB will pledge as collateral 105% of the cash notional in the form of actively-traded equities from the Russell 3000 Minimum Commitment per client of USD [ 5 ]mio Documentation: WM Brokerage Account and KCP Letter. Buyer reads and agrees to Note Prospectus Trade Mechanics fcid:[email protected] EFTA01435561 Xavier Avila Managing Director I Key Clients Partners Wealth Management Americas Deutsche Bank Securities Inc 345 Park Avenue, New York, NY, 10154-0004 Office +1 212 454 2892 Mobil Email Key Client Partners (KCP) Americas does not provide investment advice and the products, investment ideas and solutions and related matters discussed herein are provided for discussion purposes only, and strictly on a non- advisory basis. KCP products and services are intended and available only for persons who are sophisticated institutional investors within the meaning of the FINRA Rule 4512(C)(3), and who are capable of evaluating the strategies, characteristics and investment risks of, and exercising independent judgment in evaluating, the ideas and products discussed herein. Trades and transactions are subject to relevant internal approvals of DBSI or its affiliates prior to execution, and the execution of any transaction or idea discussed herein is conditional on your becoming a client of Deutsche Bank. The information set forth herein is confidential and personal to you and is being presented for your information and for discussion purposes only. Any reproduction and/or redistribution thereof (in whole or in part) or disclosure of its content without our written consent is strictly forbidden. This communication does not create any legally binding obligation on the part of DBSI or any of its affiliates. This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Please refer to https://db.com/disclosures for additional EU corporate and regulatory disclosures. Deutsche Bank does not render legal or tax advice, and the information EFTA01435562 contained in this communication should not be regarded as such. EFTA01435563