From: Nay Gupta <a

From: Nay Gupta <a To: jeevaeation(iimail.com Cc: Paul Morris c , Tazia Smith < a>, Subject: Jeffrey - update - Alpha bank warrants / eurusd / eurchf / Barclays CoCo Date: Tue, 01 Jul 2014 19:47:15 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6) Jeffrey 1) the alpha bank warrants richened 3pct since monday with the stock unchanged. holders of the stock rotated in the warrants. i still like the trade but think best from here is on an order 1-3pct lower. Size i suggest 100-150k warrants 2) EURUSD. the recent move from bottom to top is only 1.4% -Its noise and speculators de-risking before ECB+payroll+long weekend. half the move was the dollar, the other half EUR. i believe the right plan is do nothing here and add if EURUSD rises to 139 from 136.8 currently. the approx p&I since inception of your last collar is roughly -eur20k 3) EURCHF - speculators long EURCHF (many hedge funds have been long) have been bailing. A 6mth ATM call costs 0.75% but i think the better trade is just to get long spot below 1.21 if it gets there. Size i suggest eur20mm. 4) CoCo's cheapened 20bp last week but Barclays CoCo's underperformed an additional 40-45bp on the dark pool DOJ lawsuit. The GBP tranche 7% perp NC Sep19 yields approx 7.15% which is 60bp more than a week ago. Highly highly doubt a national champion Western European bank like Barclays (or their regulator) let Core Tier 1 equity ratio deteriorate to impair the cashflows of these bonds. Suggest £3-5mm notional . Anything I should watch for you in mkts let me know Nav From: Nay Gupta/Oh/dhow, To. Jeffrey E." lemeacation@gmailcom>©DEUBAINT. Cc: Tazia SrMh!dbldbcom@DBAMERICAS. Paul Morrisklbklbcom©DBAMERICAS. Date: 27/06/2014 10:22 Subject: Jeffrey - I like Alpha Bank (Greece) listed Call Warrants (ticker ALPHAW GA) to play the Greek story from here Suggest sizing to worst case because the warrant is levered to the stock and the stock itself has 40% delivered vol 125,000 warrants (currently 1.81/1.82 size 100k x 25k) listed on athens exchange) cost EUR227k = 5309k Daily turnover is currently just under lmillion warrants per day so 125k warrants bought carefully should be no prob in 1-2 days. for 250k warrants i would suggest working an order for 2-3 days but i would avoid >350k of warrants because then its tricky to liquidate efficiently. Recall, 1 warrant allows the holder to exercised into 7.408683 shares at a price of 0.4686 on 10dec14 (and at a fractionally higher px in the future). Worst case Vali iation analysis; Stock Warrant intrinsic 0.40 0 0.50 0.23 0.60 0.97 EFTA01193824 0.70 0.80 0.90 1.71 2.46 3.20 For the warrant to lose say 80% of its value, the stock would need to trade down to 0.45 or 0.50 from 0.69 currently. In fact a year ago the stock was trading at 0.5 (athough the warrant was trading 1.00 then) So i would size conservatively. Nav Nav Gupta Managing Director Deutsche Bank AG, Alias London Deutsche Asset 8 Wealth Management Any proposed ideas are being delivered to you by the DeAWM Key Client Partners ("KCP") London desk for discussion purposes only, and do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affiliates ("Dr). These ideas are for the consideration of the intended recipients of this mail only. The KCP London desk does not provide investment advice. All intended recipients are Professional investors (as defined by MiFID). who understand the strategy. characteristics and risks associated with any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. PAnitrwirr ?e.'foan From: "affray E. leevacation@gmailcom> To: Nav Gupta/dbfrIbcom@DBEMEA. Date: 26/06/2014 20:10 Subject: Re: Jeffrey - I like Alpha Bank (Greece) listed Call Warrants (ticker ALPHAW GA) to play the Greek story from here size? On Thu, Jun 26, 2014 at 2:34 PM, Nav Gupta > wrote: Jeffrey I like the Greek recovery story, i like Alpha Bank among the banks there and I think the 3.5y1 Sall warrants issued a year ago which have very little time value priced in and priced close to intrinsic: are the best wayis2luythesiodsantilielagicleralgry- Backgraund 1. Greece experienced a worse recession than the Eurozone. The wage and unemployment adjustments have been far more severe than the Eurozone. Greece's economy is showing signs of return to growth over the next year. IMF forecasts 0.6% GDP growth 2014 and faster growth than EFTA01193825 broad Eurozone from 2015+. 2. In the short term bank asset quality continues to deteriorate. NPL is 35, double the rate of Italy and > 3x that of Spain 3. Greek banks raised eur50bn in 2013 to recapitalise losses from Greek Govt bond PSI (private sector involvement). The sector is now 35-70% state owned. Greek Banks Presently Greek banks rank as some of the least profitable in Europe (ROA <0.5%, ROE 2-2.5%). Looking forward to 2018 they should trade at least in line with European banks. Sector consolidation, NC asset disposal, rapidly declining cost of wholesale funds and efficiency savings will all contribute to that. The Sector comprises Alpha Bank, Eurobank, Nat Bk of Greece and Piraeus. The are no longer distressed and trade broadly in-line with European peers in terms of EPS and TBV multiples. Alpha Bank (ALPHA GA) Of the three, Alpha Bank looks the most interesting. It trades at a discount to the others and has less complex re-structuring. A recent capital raise increased CT1 to 12%. Most analysts prefer Alpha Bank to its peers for these reasons. Alpha Bank Stock Price ■ Last Price 0.69 T High on 10/23/09 4.6085 -9- Average 1.2225 I Low on 01/10/12 0.1498 0 • Volume 15.089M ■ SMAVG (15) 33.801M 200M 100M 0891,1 2009 2010 2011 2012 2013 2014 ALPHA GA Equity (Alpha Bank AE} Daily 273.112009-26X112014 Copyright 2014 Bloomberg finance . 26-30.1-2014 14:12:43 Very recent analyst target prices for Alpha Bank are largely above the current price EFTA01193826 GRAB .4PHA. GA Equity Alpha Bank AE nsensus EUR 3.95 13 6 3 Consensus Rating Buys 59.1% Holds 273% Sells 13.6% 12M Tgt Px 17/23 Last Price Return Potential LTM Return EShov In-House Data rr 1) IN 2) • 311I 4) ■ 5) • 6) • 1)• 8) • 910 10) • 11) • 12)0 Deutsche Bank Australia 61 2 9777 8600 Brazil 5511 3048 4500 Europe 44 20 7330 7500 Gerecny 49 69 9204 1210 Hong Kong 852 2977 6000 Japan 81 3 3201 8900 Singapore 65 6212 1000 U-S- 1 212 318 2000 Copyright 2014 Bloomberg Finance SH 622439 H622-433-3 26-Jun-14 14.11:47 BST GMT+1:00 0.84 0.69 21.7% 80.2% 99 Actions - M Alert SO4 0 4 0.00 4 2Y 5Y Max ■ erica Spread (Tst - Di) 0.15 Analyst Recommendations As of 06/26/14 fl I I L • 0.80 • 0.60 • 0.40 I ' • 0.20 Jun top 2012 Dec Mar Jun Sep br Mar ... Jun 2013 2014 Wood 13. Company Euroxx Securities Alpha Finance Natixis Pantelakis Securities Nomura Credit Suisse Barclays Goldman Sachs HSBC IBG Research (ESN) !Recommendation Alexandros Bouloug buy Maria Kanell.opoulo overweight Nikolaos Lianeris restricted Alex Koagne Paris Mantzavras Daragh Quinn Hugo Swann Kiri Vijayarajah Pawel Dziedzic Buy/Neutral 0.80 06/06/14 Tamer Sengun t overweight 0.87 06/06/14 Konstantinos Manol buy 1.10 06/06/14 Rahul Shah buy • reduce overweight buy • neutral • overweight r-lign531 0.90 0.90 0.75 0.90 0.75 0.80 0.92 Date I liYM•lren INTAFTRfRank 06/20/14 06/19/14 15.00% 1st 1st 06/17/14 06/16/14 06/13/14 06/12/14 0.20% 2nd 06/11/14 06/10/14 Ic Ic LC IL IL Ic Ic 0.90 06/04/14 Ic Ic Warrants A year ago the bank issued 4.5year call warrants, exercisable every six months into the stock at a price schedule (appendix A) that varies over time the relationship between the warrant (which settles physically) and the stock price is: [current stock price (0.69) - next exercise price of warrant (0.4686)] x leverage ratio 7.408 = intrinsic warrant px = 1.64. Now, the warrant is offered at 1.83. The value here is that the difference between 1.83 and 1.64, in my view, doesnt compensate for the optionality you get holding the warrant compared to just holding the stock. Warrant price EFTA01193827 • Last Price 1.83 T High on 06/10/14'2.10 -9- Average 1 3141 1 Low on 07/11/13 0.625 • Volume 0.245M L L. SMAVG (15) 2.397M Mli allohnitl.;.16.,n......,na • KIIIIIIN;;Irweakbr......-.04Ilnaajlfliatranon.a.a..4........nAll,....-......:.. Sep Dec Mar 2013 J 2014 ALPHAW GA Equity (Alpha Bank AE) Daily 26JUN2013-26JUN2014 Copyright?. 2014 Bloomberg Finance 1.60 1.40 1.20 1.00 0.80 0.60 0.24511 . 26-Jun-2014 14:22:20 Were the stock to rise 10% over the next month the warrant would rise in value from 1.83 by approx 22%. Conversely if the stock were to fall the warrants would also fall - but its unlikely the warrant price trades at zero anytime soon due to the 3.5years of remaining time value. The warrants are quoted several thousand up I tick wide on exchange. My qns shout. Appendix A WARRANT ENTITLES HOLDER TO ACQUIRE NEW COMMON SHARES HELD BY HFSF AT A RATIO OF 7A08683070. ISSUE AMOUNT: 1,233,503,482. STEP-UP STRIKE:0.4488 12/10/2013, 0.4576 06/10/2014, 0.4686 12/10/2014, 0.4796 06/10/2014, 0.4928 12/10/2015, 0.506 06/10/2016, 0.5214 12/10/2016, 0.5368 06/10/2017, 0.5544 12/10/2017 Nay Nav Gupta Managing Director Deutsche Bank AG. Fiiale London Deutsche Asset & Wealth Management My proposed ideas are being delivered to you by the DeAWM Key Client Partners ("KCP") London desk for discussion purposes only, and do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affiliates ("Dr). These ideas are for the consideration of the intended recipients of this mail only. The KCP London desk does not provide investment advice. All intended recipients are Professional investors (as defined by MiFID). who understand the strategy, characteristics and risks associated with any ideas proposed herein and will be able to evaluate it independently. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. ?Anita...1yr Peefoint. EFTA01193828 This e-mail may contain confidential and/or privileged information. If you are not the intended recipient (or have received this e-mail in error) please notify the sender immediately and delete this e-mail. Any unauthorized copying, disclosure or distribution of the material in this e-mail is strictly forbidden. Please refer to blip://www.db.com/en/content/eudisclosures.htrri for additional EU corporate and regulatory disclosures and to hilpihtaiw,312,com/uniteasingdom/content/privanyahlm for information about privacy. This e-mail may contain confidential and/or privileged information. 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