EFTA Document EFTA01436409

Subject: FW: Launched: Coupon From: Stewart Oldfield Date: Wed, 07 Feb 2018 To: Martin Zeman [13.0]% p.a. Callable Yield Note with Contingent <a> 17:17:56 -0500 Maybe better to have a call to discuss. I'm happy to be on that. If he wants certainty of call under specific circumstances, need to structure as an autocall, but yield will be slightly lower From: Paul Barrett [mailto: Sent: Wednesday, February 07, 2018 5:14 PM To: Martin Zeman Cc: Stewart Oldfield ; Vahe Stepanian ; Joshua ShoshanS; Davide-A Sferrazza IIIIIIIII Subject: RE: Launched: [13.0]% p.a. Callable Yield Note with Contingent Coupon Xavier Avila When do you think the issuer calls it? What conditions are necessary? Paul Barrett Alpha Group Capital LLC 142 W 57th Street, 11th Floor, New York, NY 10019 646-876-5277 (o) From: Martin Zeman [mailto: Sent: Wednesday, Februar 07, 2018 11:58 AM To: Paul Barrett EFTA01436409 Cc: Stewart Oldfield ; Xavier Avila ›; Vahe Stepanian ; Joshua Shoshan < Davide-A Sferrazza Subject: Launched: [13.01% p.a. Callable Yield Note with Contingent Coupon Paul, Did you see this note we are issuing this week? Let's talk about it after lunch, and also about the rates trade. Martin Good morning, We are launching a 2 year Callable Yield Note (CYN) with Contingent Coupons for broad subscription through Friday, February 9, 2018 at 10 AM ET. The note is available to clients with either a DPM or DBSI brokerage account. See a summary of terms below. The CYN is one of the best ways for investors to take advantage of increased volatility — we've seen the issues with XIV and SVXY, while trading in VXX can be difficult to time and should only be for short-term positions. With the CYN you don't need the foresight to invest prior to volatility going up — pricing continues to look good as long as implied volatility remains elevated. Callable Yield Note Overview: Callable Yield Notes with Contingent Coupon are considered equity alternatives, which pay a coupon on a quarterly basis, provided none of the underlying indexes breach the pre-defined coupon barrier during any quarter (observed daily, on closing index levels). On final valuation day, if the performance of the least performing underlying index closes below the final barrier, investors will incur a loss of EFTA01436410 principal that is proportionate to the decline of that underlying index (max loss potential 100%). The issuer has the right to call the notes at par on a quarterly basis. All note terms, including coupon payments, and final redemption payment, are subject to the solvency of the note issuer, which for this offering is JP Morgan. Link to: Offering Materials Link to: Client Approved Educational Fact Sheet for the Callable Yield Notes with Contingent Coupon Offering Summary: Callable Yield Note with Contingent Coupon Issuer: JP Morgan Trade Date: February 9, 2018, orders by 10 AM ET Maturity: 2 years Coupon: At least 13.0% p.a., paid each quarter in which no barrier breach occurs. Coupon rate determined on trade date Callable Feature: Callable quarterly at issuer discretion, at par Underlying: Least performing of S&P 500 (SPX), Russell 2000 (RTY) and EURO STOXX 50 (SXSE) EFTA01436411 Coupon Barrier: 75% of initial index levels (-25% decline), observed daily at close. Coupon will be lost in any quarter where the least performing index breaches the barrier Final Reference Barrier: 75% of initial index levels (-25% decline), observed on the final valuation date. If the barrier is breached by any underlying, full downside risk of least performing index (100% loss potential), otherwise full return or principal. Initial Index Levels: S&P 500 & Russell 2000 and EURO STOXX 50 set on 2/9/18 close Fees: Target 1.50% up-front Product Risk Categorization: Callable Yield Notes with Contingent Coupon are categorized as Product Risk Level 3, "Contingently Protected Notes." Product Risk Level categorizations 1-4 are detailed on the Structured Products Agreement & Approval Form (DBTCA & DBSI versions enclosed), which, prior to any purchase of a structured product, must be completed by the client. Disclaimer This is not an offer, recommendation or solicitation to buy or sell, nor is it an official confirmation of terms. It is based on information from sources believed to be reliable. No representation is made that it is EFTA01436412 accurate or complete or that any returns indicated will be achieved. Changes to assumptions may have a material impact on any returns detailed. Past performance is not indicative of future returns. Price and availability are subject to change without notice. Additional information is available upon request. This has been prepared solely for informational purposes, and does not contain the full range of products and services available through Deutsche Bank. Client-Facing Professionals should not rely solely on this material to determine the products or services to introduce to clients, as all products included herein may not be suitable for every client. Client-Facing Professionals are responsible for determining the suitability of products and services recommended to clients. This material is a product of Deutsche Bank Wealth Management and not Deutsche Bank's CB&S Division. The views of Deutsche Bank Wealth Management may differ from those of CB&S. Deutsche Bank Wealth Management does not maintain proprietary positions in the securities that are the subject of this material. Structured products may not be suitable for all investors due to illiquidity, optionality, time to redemption and payoff nature of the strategy. 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