EFTA Document EFTA01453762

i) Yellen has done a poor job of communicating the Fed's thinking but its increasingly clear the Fed will brake later than usual ii) Betting on higher US interest rates in the rates market isn't cost effective because the forward curve is already pricing in higher rates iii) The Dollar hasn't appreciated yet because short rates in the us haven't risen meaningfully iv) THE KEY POINT - FX volatility is very low in currency pairs like EURUSD where central bank policy on each side is increasingly diverging. The low vol 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: pic25367.gif) This Table shows mid-market premiums (in % of notional) as spot and time change. (Embedded image moved to file: pic05385.gif) 19.5 is mid (offer is 21) 4) Scale into £4mm 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 S&P rated BBB- I suggest scaling f2mm at 6.5% and £2mm at 6.75%. Transaction cost is 6bp from mid. Yield to call of Nationwide 6.875% perpetual ISIN XS1043181269 (Embedded image moved to file: pic28402.gif) Tazia for any execution, Q&A to me. Best, Nay (Embedded image moved to file: pic05230.gif) Nam Gupta Managing Director Deutsche Bank AG, Filiale London Deutsche Asset & wealth Management 105/108 old Broad St (Pinners Hall), Ec2N lEN London, United Kingdom Any proposed ideas are being delivered to you by the peAwm 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 ("DB"). 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 CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 111569 CONFIDENTIAL SDNY_GM_00257753 EFTA01453762