EFTA Document EFTA01364381

From: Tazia Smith Sent: 12/7/2017 9:25:25 AM To: Ashish Malhotra CC: Briana Little Shoshan • Xavier Avila I; Davide-A Sferrazza ; Michael S Jacob Martin Zeman ;Joshua ; Alison-T Sinicropi Subject: RE: Sample Risk Premia Portfolio Attachments: MANS Risk Premia Transaction Profile 6 30 17_MRG Approved.pdf; Risk Premia-Alternative Beta Intro - 2017Q1 KCP.PDF Good Morning Ashish — Recall our two risk premia discussions from earlier this year including the revenue share opportunity with Deutsche Asset Management. I don't want to distract you from Eden, but my colleagues have solved for a note implementation solution — cusip can be booked into your current account — as opposed to the swap implementation we were discussing for the example in the April email chain below. We currently have an anchor indication on a 10x levered note on a 5% target vol, multi asset portfolio with 90% put protection. I thought this underlying and exposure was very relevant for you based on our prior conversations, AND the implementation solves the ISDA issues! See below/attached. We will give you a call to discuss. All Our Best, Tazia DB Delta One Full Capital at Risk Note Linked to a Leveraged Risk Premia Basket Portfolio Format DB Senior Unsecured Note Trade Date j Dec 2017 Issue Date Ilan 2018 Maturity 2yrs Notional Minimum USD I 1 jmio Payout Maturity Notional * 1 + Performance * 10 j Performance Max -10.00%, Basket Performance — Basket Protection Fee I Basket Performance Final Basket / Initial Basket -1 Basket Protection Fee TBD on Trade Date [expected 1% to 1.50%] Basket Definition Risk Premia Multi-Asset Class 5% Target Volatility Portfolio CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0054914 CONFIDENTIAL SDNY_GM_00201098 EFTA01364381