From: Tazia Smith

From: Tazia Smith To: [email protected] aln . N Cc: , Paul Morris , Vahe Stepanian , Vinit Sahni , av Gupta Subject: Fw: Consider: $10-15mm Total Return Swap on Cash Return On Capital Invested (CROCI), 3mL+85bps or relative value TRS vs S&P.... [C] Date: Thu, 15 May 2014 19:51:48 +0000 Attachments: FINAL_I-34272-1_slimCROCI_12-31-13.pdf Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6) 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% M.,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% .)] x Notional Client Rcvs: [DBUSSDUT Perf- (3mLibor + 0.80% a m 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 SmithEdb/dbcom on 05115/2014 03:28 PM — From: Pierluigi Arnicarellaidbiswiss/dbcom@dbcom To: Date: 05/15/2014 06:24 AM Subject: Bond Yields and DB Dividend Strategies III 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 12mths (Chart 2)) we could see further inflows in favour of "income strategies in the equity space. Dividends could come back again as a theme to play in this "anaemic" market for returns. A part from CROCI DIVIDEND strategies (the core for an asset allocation in dividend stocks via dynamic strategies), here are a few DB custom synthetic baskets that are investing in "dividend" related stocks (static baskets): EFTA01202453 USGG10YR Index (US Generic Govt 10 Year Yield) Grant' 133 ecpyrightS 2014 Bloomberg Finance LP. 15-May-2014 06:54:48 2012 I 2013 Chart 2: Bunds DBCGDD3N DBCTDGYN DBCTUQDN DBUSDIVG Dependable Dividends Dividend Growth, high yield UK Quality Dividend US Dividend Growth You can invest in the baskets easily via delta 1 certificates. You can find the constituents on bloomberg (page DBCU) or ask me if you need. Chart 1: US 10Y Dec Mar Jun Sep Dec Mar Jun 2014 2009 2010 2011 GDBR10 Index (Germany Generic Govt ICY Yield) Graph 133 2012 2013 Copyrights 2014 Bloomberg Finance . 2.4000 2.2000 2.0000 1.8000 1.6000 2014 15-May-2014 06:55:12 Kind regards, Pierluigi Amicarella EFTA01202454 Pierluigi Amicarella Deutsche Bank (Suisse) SA Key Client Partner Prime Tower Hardstrasse 201. 8005 Zurich. Switzerland Tel. Fax Mobile +41 791202631 Email The proposed ideas are being delivered to you by the DBS Key Client Partners ("KCP") EMEA Switzerland desk on your request for discussion purposes only and strictly on a non advisory basis. The proposed ideas do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affiliates ("DB"). These ideas are for the consideration of the intended recipients of this mail only. NOTE: The KCP EMEA Switzerland desk does not provide investment advice. All intended recipients are sophisticated. qualified investors within the meaning of the Swiss Collective Investment Schemes Act of June 23. 2006 (CISA) and MIFID professionals who understand the strategy. characteristics and risks associated with the ideas proposed herein and will be able to evaluate it independently. The products mentioned in this presentation may not be registered with the Swiss Financial Market Supervisory Authority (FINMA). and therefore. not supervised by the FINMA. As a result. you cannot claim any protection for unregistered products under the CISA. No assurance can be given that the objectives of the mentioned products/services will be achieved. Moreover, a decision to invest in the mentioned products may have accounting. tax. legal and other implications. Therefore. you should discuss and review the content of this document and the offering documentation of the mentioned products with your own advisors and/or counsel. and conduct your own investigation to independently determine the suitability and consequences of such investments on your own financial circumstances prior to any decision. This document is confidential and personal to you and is being presented for informational and discussion purposes only. My reproduction and/or redistribution thereof. in whole or in part, and any disclosure of its content without our consent is strictly forbidden. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. -- Forwarded by Tazia Smith/db/dbcom on 05/15/2014 03:27 PM -- From: Tazia Smithldbldbcom To: [email protected]. Cc: Joe Hall/db/dbcom©DBAMERICAS. Paul Morris. Vahe Stepanian/db/dbcom@DBAmericas. Vinit Sahni/db/dbcorn©DBEMEA. Nav Gupla/dbklbcom@DBENIEA Date: 04/08/2014 01:42 PM Subject: Consider: $10-15mm Total Return Swap on Cash Return On Capital Invested (CROCI). 3mL+85bps (C) Classification: Confidential " Prepared exclusively for Jeffrey Epstein, Key Client Partners (KCP) • " Jeffrey - Globally you are seeing the rotation from high-beta, small cap and growth stocks into large-cap value. This is inline with your early call for us to pull out a concentrated five names. Entry point here. Instead of those single stocks, consider a $10-15mm total return swap on Cash Return On Capital Invested (CROCI) index. Specifically, the CROCI sub-index focused on dividend paying/dividend-growing US equities. I've included my colleague, Joe Hall, who sits on the CROCI team and will gladly detail this stock-selection strategy with you directly at any point. Full presentation is attached, a few key points here: • Achieve benefits of active valuation for passive price • Bottoms-up valuation - DB CROCI Analyst team (60 people globally) assess each company in its global universe (800 stocks) from an Economic PE perspective, adjusting balance sheets to reconcile operating cash flow across sectors for comparable stock-valuation EFTA01202455 • Quantitative selection - stocks selected each month based on the lowest price-to-operating-earnings ratio, based on their valuation metrics (above) • Stock universe is ex-financials • Re-sets monthly • Transparent - pull up the CROCI indices on Bloomberg for mark-to-market (ex: DBUSSDUT = CROCI US Dividends) • Implementation can be customized via a separately managed account (SMA) of single stocks • Tax-efficient, liquid, levered exposure can be achieved via total-return swap (TRS) • 10 principal indices in the CROCI family: US, UK, Japan, Germany, Euro, World, World Ex-Japan, Sectors III, Global Dividends and US Dividends • CROCI Dividends targets companies with sustainable dividends AND attractive valuations (performance below and p 7 of the attached) Long only - TRS on CROCI US Dividends (DBUSSDUT): Underlying: CROCI Div (DBUSSDUT) Client Pays: 3mLibor + 0.85% 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% I.)] x Notional Client Rcvs: [DBUSSDUT Perf - (3mLibor + 0.80% N.)] x Notional Initial Margin: 20% Index Perf = [(Final/Initial - 1)] Indicative levels as of 4/8/14. Source: DB GM Equity Derivatives. ' (Enterprise Value/Net Capital Invested)/(Cash Return on Capital Invested) 5-Year History of CROCI US DIVIDENDS vs. S&P 500 Inedex (source: Bloomberg. as of close 4/7/14) DBUSSDUT At 0:01 4739.30 - .20 0o 4739.30 Hi 4739.30 Lo 4739.30 Prey 4739.50 Security Currency EDBUSSDUT Index ®SPX Index USD USD ill 311 611 YID lY 2Y • CROCI US Dividends TR a SW 500 MU 3Y ri Period Price iw 195.33% 14.52% .5Y 1.0y Tota Comparative Return No. of Period 59 Month(s) Return) Difference' MI muaniT 57.35% 24.62% 19.27% 195.38% ++ 138.03% ** No dividends or coupons -+ Track at •Anriptate A ZOOM - , 0-200 •-150 •-100 6.50 2009 2011 Total Return 2012 I 2013 1 2014 0 Used with permission of Bloomberg Finance LP EFTA01202456 Index performance since live date vs. benchmark indices '11 as of 1/3114 CROCI Index Index live date' Cumulative growth Compounded annual growth cess annualised retum2 index US S&P 500 Index 7R 2/1/04 151.4%1 9.7% 2.9 Euro EuroSTOXX 50 TR 2/1/04 102.6% 7.3% 3.7 Japan TOPIX 100 TR 2/1/04 42.7% 3.5% lA World USD MSCI World USD Net TR Index 11/25/10 47.9% 13.1% 2.0 Sectors III USD MSCI World USD Net TR Index 3/31/05 184.8% 12.5% 6.6 Germany DAX Index 7/29/05 123.2% 9.9% 2. UK ELSE 100 TR Index 2/1/07 92.5% 9.8% 5.5 World ex Japan MSCI Kokusai Net USD Index 8/31/10 78.0% 18.3% 3.2% Global Dividends USD MSCI World HDY Net USD Index 3/15/12 28.7% 14.3% 1.7 US Dividends Net S&P High Yield Dividend Aristocrats TR Index 5/28/12 43.6% 24.0% 3.7 Scone: Deutsche Bars and EllocenCerg as Cl U3lita Performance Is historical and does not guarantee Uwe remit& Indices are eponexed by DB AG LC0300. Performance Information ter Indices wee not calculate] by an Independent calculator, agent. Index rains assume renveament of °vicars% and do not rtoeu any rees a expenses It is rot pram to nets dimly Mann:lex. Ms performance is rot repress Laze sae perfarran:e any 0PM investment slate% a rmndae. Ten represents peormirce Cl tne CROCI mans. DIIM is not a pan to Me management or onlcalan a nose molest. Nue DMA expects to manage InveW1'sC arateges based on CR0CI 310 nese in* es. 016 is not Mended to represent Tkit =rely. Pee OrranM sae Mow 03 not tate Ito =out the not Cl management tees NCI caw trans-t on oasts w-rdv•Iteci WM 'i.e manajement a a wante acoctrit saategy rixienenbIg i.e CROCI vaitklan process. These tees and spenses all reclua an imestrs oveial return. ' index eve date rears to Me na dale that CROCI levelsnem cazuraed main* tasise.e.. not baciCestern 'Dress annualael ran is re difference in the commode] arnua groan rate (CAGR)Ix a partials Index and mat a its henchman Tazia Smith Director I Key Client Partners - US DB Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue. 10154-0004 New York. NY. USA Tel. Fax Mobile Email Panio-z,fr Pe/titan 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. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01202457