EFTA01453861

makes this bet inexpensive to put on. v) Because FX vol is so low betting now or soon with a one year time horizon costs very little. id rather be early than late here vi) i prefer ly expiry because this trade could take 6-12mths to play out lY EURUSD VOL: Low - but then again most most vols are what I like about EURUSD is that central bank policy on each side is diverging (Embedded image moved to file: pic24575.gif) This Table shows mid-market premiums (in % of notional) as spot and time change. (Embedded image moved to file: pic13627.gif) 19.5 is mid (offer is 21) 4) scale into f4mm Nationwide (UK Building society) 6.875% perpetual which yields 6.4% in GBP and is likely to be called in 5years European Bank AT1 HyBrid Bonds (aka CoCo's) have rallied significantly. We were unable to get the BBVA issue at the right levels. A very similar bond which has rallied 30bp less than the BBVA is the Nationwide (UK Building Society) 6.875% perpetual which currently yields 6.4% and is likely to be called in 5years time. It has a tierl capital trigger of 7% and current tierl capital ratio is 13% which is fair margin. The Nationwide one I'm suggesting today is rated Fitch/S&P BB+, its parent is Fitch/S&P rated single-A The BBVA bond we tried to buy earlier is rated Fitch BB-, its parent is 5&P rated 888- I suggest scaling E2mm at 6.5% and f2mm at 6.75%. Transaction cost is 6bp from mid. Yield to call of Nationwide 6.875% perpetual ISIN XS1043181269 (Embedded image moved to file: pic21712.gif) Tazia for any execution, Q&A to me. Best, Nay (Embedded image moved to file: pic11747.gif) Nav Gupta Managing Director Deutsche Bank AG, Filiale London Deutsche Asset & wealth Management 105/108 old Broad St (Pinners Hall), EC2N lEN London, united Kingdom Tel. +44 (20) 754-13613 Mobile Email 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 ("08"). 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. (Embedded image moved to file: pic31266.gif) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 111701 CONFIDENTIAL SDNY_GM_00257885 EFTA01453861