EFTA Document EFTA01365908

DB proposes a strategy referencing the combined return of the Friday and Monday trades with gains or losses reinvested in the strategy on a daily basis (alternatively, a strategy on Monday-only could also be implemented) Strategy will use SPY, the SPDR S&P 500 ETF, to replicate the S&P 500 total return Strategy assumes dividends are reinvested on the ex-date Strategy incorporates a transaction cost of 0.002% per execution on notional amount executed Deutsche Bank Strategy Implementation Monday outperformance vs SPY Friday underperformance vs SPY 800 700 600 500 400 300 200 100 0 0 114 A [repeated 3 times] Off' OP 1 4 1fr Vlis se Ann. Return '08 to '10 11.5% '11 to Present 30.6% Volatility 14.2% 11.5% Sharpe Ratio 0.81 2.67 800 700 Ann. Return Vplablity Sharpe Ratio '08 to 10 1.2% 14.6% 0.08 600 '11 to Present 13 4% 8.4% 1.59 500 400 300 200 100 . 1/4 0 szi% .1•1\ e off' .061 Combined Friday / Monday performance vs SPY Annual Returns 800 - Ann Return Volatility Shiite.Rein '08 to 410 12.8% 19.9% 064 700 '11 to Present 48 2% 12.5% 3.86 600 500 400 300 200 100 0 AA I' 0 Ce ti t e ct dif sti o 80% 70% 60% -I 50% I 40% 30% -1 20% I 10% 0% -10% 1 -20% as Monday oFriday ', Combined 2008 Monday Friday Combined -7.6% 16.8% 2009 1 27.3% -9.5% 8.0% 152% 2010 2011 2012 2013 I 2014 YTD 180% 33.1% 47.0% 23.5% 32.8% -1 7% 2 5% 19.5% 27.4% -0.1% 159% 365% 757% 574°A 327% This Strategy assumes trading an equal dollar amount long and short (or then and long) of AAPL and SPY on each execution day and reinvesting the gains or losses in the strategy. Source: Deutsche Bank. Bloomberg Finance L.P., as of November 3, 2014 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL PROT1 DB-SDNY-0057293 PROT0