EFTA Document EFTA01385908

YS 00s Y100•4 21 001 20 Ma • 450014 M.l1OY CO% • OMs. 00 IC ItO0% %owPayout corktingint ale fulelbrat van conditiset fC cio IOU ID) • le .4,1 vs s. of Reference Srol Historical 10y Swap Rates: 9 0 '. 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% sp 0. sit, O5, sst, .6' k CS& \`>< CFA' '1%-3A +134 '464. Pqc 0C' Source: Bloomberg Indicative Transaction Terms: Notional: USD 10mm Expiry: 1 Year Payout: SPX 90% Put subject to loy USD CMS rate > ATMF + 40bps at expiry (ISDAFIX3) Offer: 1.00% Vanilla ref: 4.00% Ref SPc1: 2069 Ref loy ATMF: 2.265% (this is vanilla swap forward reference) Market to market analysis and terminal payout scenarios: SPX level a al Rth4441611 Spa 5O% 60% 70% 80% 90% 100% 110% 120% 130% 140% 4.0% J 10 •• 227% 1.33% 066% 029% 013% 0O6% 004% 003% 002% .O5% 800% 565% 345% 1.81% 084% 038% 020% 0 12% 007% 005% 0.0% 15 98% 1156% 7 38% 4 10% 2 00% 1 00% 0 52% 033% 0 22% 0 14% 0.5% 25.80% 1895% 1244% C:,"-. 7.19% :' 3.70% 123% 1.04% 068% 047% 0.32% 1.0% 33 95% N14% 16 76% 386% 5 23% 2 87% 1 55% 1 01% 0 70% 0 48% The table shows the option prices for corresponding changes in the equity and rates level immediately after buying the option. For example if the SPX drops by 20% and the loy USD CMS rate increases by 50bps immediately after the trade, the option value would move from 1.00% to 7.19%. Source: Deutsche Bank Hybrid Desk. Scenarios run with same parameters. DB research report: DB Global Markets Research believes risk assets are at a bifurcation point - their future path depends on the way the economy and stimulus unwind and interact with one another. This research report addresses this market scenario as well as the transaction (slide 22). Attached as -US Fixed Income Weekly 3.27.15.pdf' CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL DB-SDNY-0087370 PROT1 PROT0