From: Daniel Sabba

From: Daniel Sabba To: "jeffrey E." <[email protected]> CC: Vahe Stepanian ca. Paul Morris Subject: FW: Swaps + high dividends - an interesting combination... [CI Date: Mon, 23 Feb 2015 21:34:38 +000U Inline-Images: imagc001.gie, image002.gif Arian Dwycr Classificanco:Conddentlel Resending... The payout is quanta USD. From: Daniel Sabin Sent: Tuesday, February 10, 2015 7:31 PM To: 'saffrey E.' Cc: Vahe Stepanian; Paul Morris; 'Richard Kahn', Say Lipman Subject: Swaps + high dividends • an interesting combination... [C] Classificatice. Confidential Jeffrey. We cane across with Me (cloning structure that takes advantage of high dMdends to finance the funding of an excess return swap with floored downside. I thought it was clever... Interested in hearing your thoughts. If you would like we can refresh pricing. Structure linked to Stoxx Low Beta High Dividend Index Index Description The STOXX Europe Low Beta High Ow 50 Index is derived from the STOXX Europe 600 Index. To be eligible fa inclusion in the new index. companies must have a net avidend yield fa the past twelve months that is higher than the overall net dividend yield of the EURO STOXX 50 Index over the same time period. All those companies are then screened for thee beta to the EURO STOXX 50 Index over the past twelve months. and onty those 50 companies with the lowest beta are selected. A cap of eight companies per country is applied to ensure diversification in the index. The STOXX Europe Low Seta High Div 50 Index is weighted by liquidity measured hough components' three month average dairy tra]eng volume (ADTV). with a single component's weight cap of 5 percent. The Index is reviewed annualty in December. wrth the cutoff date for dividend yield and beta data being the last trading day of the previous moth. Structure Terms Tenor: 5 Yrs Counterparly: Deutsche Bank Fermat: Swap Ccy: USD Underlying: STOXX Europe low Beta High Div 50 Price Return Index (SOB50EP Index) Participation Factor: 120% to the positive performance of the underlying (PF) Performance: (Underlyng Final - In/MU/Initial At Maturity: If Performance is positive: Client Receives + Pf • max (0%. Performance) i.e. Client earth:pates t.2x in the upside performance of the index. uncapped If Performance is negative. no settlement Client Pays: USD3rnLlbor + 1.55% pa. Benefits 1. Structure allows the client to participate 1.2 x times n the upside performance of the undenying Index. i.e. At maturity. of the index is up 15%. Clients final redemption = 18% 2. The performance on the upside in uncapped 3. The Index allows participating clients to take a view on stocks which have low volaterly. low beta and high dividend yield in the Eurozone area 4. 8aclaesbng. the benefits of this index have been higher dividend. higher returns. Iowa volablity and lower drawdowns than Eurostoxx50 Index and Sionc600 Index 5. Higher dividends power forwards) and lower volatility makes the underlying optionally in the trade cheaper leading to a leveraged upside paniopabon Risks 1. Counterpart' Risk 2. Mark-to-Market Risk 3. Risk of rising Libor Rates Payoff Comparison at Maturity EFTA01193219 WA 25% 20% 15% 10% 5% 0% 5% li e gg gge t g e e t egl Ul g 10% 15% 20% 25% Index performance comparison vs benchmarks — Higher returns and loner volatility than the benchmark — The Index es also shoving tower drawdowns than the benchmarks — The beta to SXSE Index is about 55% over the full period Performance since Index inception - Iridexl.ongOnly • Str0C050 175 150 125 100 75 50 Dec 02 Dec 04 Dec 06 Dec 08 Dec 10 Dec 12 — STOXX Europe Low Beta High Div 50 Index (PR) — EuroSTOXX 50 Index (PR) — STOXX Europe 600 Index (PR) Ciente' Sabba Key Client Partners Deutsche Bank Securities Inc. Tel. Mobile Email Return statistics IRR since inception STOXX Europe Low Beta High DP/ 50 Index (PR) 6.80% SXSE Index Index (PR) 2.34% STOXX Europe 600 Index (PR) 4.42% YTD return 7.89% 3.76% 4.51% 1-month return -0.45% 1.68% 0.32% 3-month return -0.79% -0.07% 0.36% 1 year return 15.42% 11.50% 10.51% 3 year return 42.45% 48.00% 51.68% Worst day -8.01% -7.88% -7.62% Best day 10.34% 11.00% 9.87% -42.56% -80.29% -60.54% Maximum Di • Annualised Volatility 14 29% 22.45% 18.93% RetunVRisk ratio 0.48 0.10 0.23 Beta 100.00% 55.63% 68.86% Correlation 100.00% 87.42% 91.14% 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. My unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01193220