EFTA Document EFTA01438052

Subject: [/] Trade Idea -> TRY autocall swap From: Martin Zeman •, >. Date: Wed, 20 Jun 2018 11:58:15 -0400 To: "Paul Barrett ( Cc: Gaurang Chadha Xavier Avila Joshua Shoshan Stewart Oldfielc >, Liam Osullivan Paul, the dislocation in EM continues and we'd like to offer the below idea that can be traded in a note format and offers a 17-18% annual net coupon. If you don't like Turkey, but would like to see a similar payout structure in Brazil, Mexico, Rubble or a basket or EM currencies, we can price that up as well. this is not principal-protected (client is short an at-expiry knock-in barrier = EKI) but the whole point is that spot, forwards and vol are currently extended and 2 out of 3 (forwards + vol) are likely to come back in the next 12-18 months as political risk in Turkey goes down and inflation dynamics stabilise We have set the final autocall super-high (ATMF = at-the-money- forward) so that if client doesn't get autocalled the likelihood of them receiving the snowball coupon is still relatively high In a note format, the indication we have from WM CRM was that they would give this a 75% LTV. IN PLAIN ENGLISH, THE CLIENT TAKES ADVANTAGE OF A DISLOCATION IN TURKEY, RECEIVES AN ANNUALIZED COUPON OF 17-18%, AND WHEN USDTRY TRADES BELOW 4.75 ON ANY QUARTERLY OBSERVATION, THE TRADE ENDS. THE RISK TO THE CLIENT IS MODELED IN THE MARK-TO-MARKET ANALYSIS BELOW. IF USDTRY NEVER FIXES BELOW 4.75 ON ANY QUARTERLY OBSERVATION AND ENDS UP ABOVE 8.90 IN 5 YEARS, THE CLIENT INCURS A SIGNIFICANT LOSS (SEE ANALYSIS BELOW.) EFTA01438052 Refs: USDTRY Spot = 4.75 USDTRY 5y forward = 8.90 Indicative terms: Format Autocallable Swap Tenor 5 years, subject to early autocall Underlying USDTRY FX Rate Observation Dates Quarterly from Trade Date Autocall Barrier ATMS (= initial level as of Trade Date) for first 19 observation dates but ATMF level for last observation date Client pays 3m$LIBOR on a quarterly basis, subject to early autocall Client receives 5.20% x t (t = 1,1..20) if USDTRY < Autocall Barrier (and the swap stops) else 0 on that observation date. If never autocalled EFTA01438053 Then client is short USDTRY EKI Call Option with Strike = ATMS and EKI = ATMF Scenario Analysis assuming $10M notional - at yearly intervals* (the analysis is the MtM on the leg the client receives and does not include the 3mLibor payments) USDTRY Autocallable Swap MtM as of Trade Date Trade Date+ly Trade Date+2y Trade Date+3Y Trade Date+4y at Maturity USDTRY Spot Scenario 3.00 434,548 2,506,839 4,547,947 6,615,062 8,702,309 10,400,000 3.40 399,115 EFTA01438054 2,458,923 4,499,751 6,565,840 8,680,736 10,400,000 3.80 319,582 2,354,432 4,405,681 6,486,303 8,650,596 10,400,000 4.20 138,685 2,101,845 4,255,904 6,405,653 8,635,510 10,400,000 4.60 -290,675 1,665,865 3,880,006 6,327,389 EFTA01438055 8,732,346 10,400,000 5.00 -968,630 898,766 3,282,830 6,156,333 8,847,394 10,400,000 5.40 -1,764,484 -1,764,484 2,449,747 5,569,924 8,721,061 10,400,000 5.80 -2,619,886 -2,619,886 1,394,751 4,607,107 8,247,953 10,400,000 EFTA01438056 6.20 -3,481,588 -3,481,588 203,379 3,362,585 7,558,745 10,400,000 6.60 -4,297,245 -4,297,245 -1,015,976 1,945,424 6,600,819 10,400,000 7.00 -4,968,063 -4,968,063 -2,186,240 480,324 5,346,136 10,400,000 7.40 -5,569,177 -5,569,177 EFTA01438057 -3,266,189 -948,728 3,754,386 10,400,000 7.80 -6,045,274 -6,045,274 -4,221,886 -2,309,102 1,867,575 10,400,000 8.20 -6,456,375 -6,456,375 -5,001,091 -3,516,730 -59,745 10,400,000 8.60 -6,796,988 -6,796,988 -5,661,708 -4,467,434 -1,931,011 EFTA01438058 10,400,000 9.00 -7,068,686 -7,068,686 -6,153,564 -5,219,182 -3,377,233 -4,722,222 9.40 -7,280,117 -7,280,117 -6,522,842 -5,770,923 -4,557,597 -4,946,809 9.80 -7,451,348 -7,451,348 -6,807,704 -6,155,720 -5,299,238 -5,153,061 10.20 -7,581,454 EFTA01438059 -7,581,454 -6,997,152 -6,453,373 -5,804,593 -5,343,137 fcid:image005.jpg@OlD40883.D856E4F01 Martin {cid:image001.gif@OlD259D5.3E2DFOF0} Martin Zeman Director I Key Client Partners Deutsche Bank Wealth Management DB Securities Inc 345 Park Avenue, 10154-0004 New York, NY, USA Tel. +1(212) 250-0432 Mobile +1(808) 280-7881 Email martin.zeman@db.com KCP products and services are intended and available only for persons who are sophisticated institutional investors within the meaning of the FINRA Rule 4512(C)(3), and who are capable of evaluating the strategies, characteristics and investment risks of, and exercising independent judgment in evaluating, the ideas and products discussed herein. 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