EFTA01454251

From: jeffrey E. [[email protected]) Sent: 5/16/2014 9:19:32 AM To: Tazia Smith ; Paul Morris MIIIIIIIIIIIIIIIIIIN Subject: Re: Fw: Consider: $10-15mm Total Return Swap on Cash Return On Capital Invested (CR0CI), 3mL+85bps or relative value IRS vs S&P.... (CI I dont want to buy product from your desk again, . I have other brokers that deal with me straight up. we can buy traded postions only, the quotes bids offers have been ridiculous. sorry, On Thu, May 15, 2014 at 3:51 PM, Tazia Smith wrote: Classification: Confidential Jeffrey - Our global colleagues are re-highlighting the CROCI solution at current levels and/or for outperformance in this rotational environment. sending their commentary and resending implementation solutions here (full detail if you scroll down): Long only - TRS on CROCI US Dividends (DBUSSDUT): Underlying: CROCI Div (DBUSSDUT) Client Pays: 3mLibor + 0.85% p.a.,x Notional compounded quarterly Client Rcvs: Notional x [Final/Initial - 1] Initial Margin: 20% Long/short US Only - Long CROCI US Dividends vs. Short S&P 500 (two swaps): Underlying: CROCI Div (DBUSSDUT) and S&P 500 (SPTR) Client Pays: [SPTR Perf - (3mLibor + 0.20% p.a)] x Notional Client Rcvs: [DBUSSDUT Perf - (3mLibor + 0.80% p.a.)] x Notional Initial Margin: 20% Index Perf = [(Final/Initial - 1)] Indicative levels. Source: DB GM Equity Derivatives. * (Enterprise Value/Net Capital Invested)/(Cash Return on Capital Invested) Forwarded by Tazia Smithrdbldbcom on 051512014 03 28 PM -- From. Pierlugi Arnicarelled To: Date: 05/152014 0624 AM Subject Bond Yields and DB Dividend Strategies (i) Classification: For internal use only Ciao as bond yields are still going down (US 10Y to the lowest YTD (chart 1) and bunds to the lowest in CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0112251 CONFIDENTIAL SDNY_GM_00258435 EFTA01454251