EFTA Document EFTA01462626

Subject: Fw: Consider: $10-15mm Total Return Swap on Cash Return On Capital Invested (CROCI), 3mL+85 bps or relative value TRS vs S&P.... [C] From: Tazia Smith Date: Thu, 15 May 2014 15:51:48 -0400 To: eevacation mail.com Cc: Paul Morris < Vahe Stepanian Vinit Sahni < Nav Gupta < Classification: Confidential Jeffrey - Our global colleagues are re-highlighting the CROCI solution at current levels and/or for outperform ance in this rotational environment. sending their commentary and resending implementation solution s here (full detail if you scroll down): Long only - TRS on CROCI US Dividends (DBUSSDUT): Underlying: CROCI Div (DBUSSDUT) Client Pays: 3mLibor + 0.85% p.a.,x Notional compounded quarterly Client Rcvs: Notional x (Final/Initial - 1] Initial Margin: 20% Long/short US Only - Long CROCI US Dividends vs. Short S&P 500 (two swaps): Underlying: CROCI Div (DBUSSDUT) and S&P 500 (SPTR) Client Pays: [SPTR Perf - (3mLibor + 0.20% p.a)] x Notional Client Revs: [DBUSSDUT Perf - (3mLibor + 0.80% p.a.)] x Notional Initial Margin: 20% Index Perf = [(Final/Initial - 1)] Indicative levels. Source: DB GM Equity Derivatives. * (Enterprise Value/Net Capital Invested)/(Cash Return on Capital Invested) Forwarded by Tazia Smith-on 05/15/2014 03:28 PM From: Pierluigi Amicarella To: Date: 05/15/2014 06:24 AM Subject: Bond Yields and DB Dividend Strategies [I] Classification: For internal use only Ciao as bond yields are still going down (US 10Y to the lowest YTD (chart 1) and bunds to the lowest in 1 2mths (Chart 2)) we could see further inflows in favour of "income" strategies in the equity space. Dividends could come back again as a theme to play in this "anaemic" market for returns. A part from CROCI DIVIDEND strategies (the core for an asset allocation in dividend stocks via dynam is strategies), here are a few DB custom synthetic baskets that are investing in "dividend" related stocks (static baskets): DBCGDD3N Dependable Dividends DBCTDGYN Dividend Growth, high yield DBCTUQDN UK Quality Dividend EFTA01462626 DBUSDIVG US Dividend Growth You can invest in the baskets easily via delta 1 certificates. You can find the constituents on bloomberg (page DBCU) or ask me if you need. Chart 1: US 10Y (Embedded image moved to file: pic20893.gif) Chart 2: Bunds (Embedded image moved to file: pic09211.gif) Kind regards, Pierluigi Amicarella (Embedded image moved to file: pic15697.gif) Pierluigi Amicarella Deutsche Bank (Suisse) SA Key Client Partner Pri e 201, 8005 Zurich, Switzerland Tel Fax Mobil Email The proposed ideas are being delivered to you by the DBS Key Client Partners ("KCP") EMEA Switzerlan d desk on your request for discussion purposes only and strictly on a non advisory basis. The propos ed ideas do not create any legally binding obligation on the part of Deutsche Bank AG and / or its a ffiliates ("DB"). These ideas are for the consideration of the intended recipients of this mail only NOTE: The KCP EMEA Switzerland desk does not provide investment advice. All intended recipients are sophisticated, qualified investors within the meaning of the Swiss Collective Investment Schemes Act of June 23, 2006 (CISA) and MIFID professionals who understand the strategy, characteristics and ri sks associated with the ideas proposed herein and will be able to evaluate it independently. The products mentioned in this presentation may not be registered with the Swiss Financial Market Su pervisory Authority (FINMA), and therefore, not supervised by the FINMA. As a result, you cannot cla im any protection for unregistered products under the CISA. No assurance can be given that the objec tives of the mentioned products/services will be achieved. Moreover, a decision to invest in the men tioned products may have accounting, tax, legal and other implications. Therefore, you should discus s and review the content of this document and the offering documentation of the mentioned products w ith your own advisors and/or counsel, and conduct your own investigation to independently determine the suitability and consequences of such investments on your own financial circumstances prior to an y decision. This document is confidential and personal to you and is being presented for information al and discussion purposes only. Any reproduction and/or redistribution thereof, in whole or in part, and any disclosure of its content without our consent is strictly forbidden. All trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. Forwarded by Tazia SmitI on 05/15/2014 03:27 PM From: To: Cc: , Vahe Tazia Smith jeevacation8gmail.com, Joe Hall Stepanian/dt init Sahni Nav Gupta Paul Morris Date: 04/08/2014 01:42 PM EFTA01462627 Subject: Consider: $10-15mm Total Return Swap on Cash Return On Capital Invested (CROCI), 3mL+8 5bps [C] Classification: Confidential * • Prepared exclusively for Jeffrey Epstein, Key Client Partners (KCP) * Jeffrey - Globally you are seeing the rotation from high-beta, small cap and growth stocks into large-cap valu e. This is inline with your early call for us to pull out a concentrated five names. Entry point h ere. Instead of those single stocks, consider a $10-15mm total return swap on Cash Return On Capital Inve sted (CROCI) index. Specifically, the CROCI sub-index focused on dividend paying/dividend-growing U S equities. I've included my colleague, Joe Hall, who sits on the CROCI team and will gladly detail this stock-s election strategy with you directly at any point. Full presentation is attached, a few key points here: Achieve benefits of active valuation for passive price Bottoms-up valuation - DB CROCI Analyst team (60 people globally) assess each company in it's glo bal universe (800 stocks) from an Economic PE* perspective, adjusting balance sheets to reconcile o perating cash flow across sectors for comparable stock-valuation Quantitative selection - stocks selected each month based on the lowest price-to-operating-earnin gs ratio, based on their valuation metrics (above) Stock universe is ex-financials Re-sets monthly Transparent - pull up the CROCI indices on Bloomberg for mark-to-market (ex: DBUSSDUT = CROCI US Dividends) Implementation can be customized via a separately managed account (SMA) of single stocks Tax-efficient, liquid, levered exposure can be achieved via total-return swap (TRS) 10 principal indices in the CROCI family: US, UK, Japan, Germany, Euro, World, World Ex-Japan, Se ctors III, Global Dividends and US Dividends CROCI Dividends targets companies with sustainable dividends AND attractive valuations (performan ce below and p 7 of the attached) Long only - TRS on CROCI US Dividends (DBUSSDUT): Underlying: CROCI Div (DBUSSDUT) Client Pays: 3mLibor + 0.85% p.a.,x Notional compounded quarterly Client Revs: Notional x (Final/Initial - 1] Initial Margin: 20% Long/short US Only - Long CROCI US Dividends vs. Short S&P 500 (two swaps): Underlying: CROCI Div (DBUSSDUT) and S&P 500 (SPTR) Client Pays: [SPTR Perf - (3mLibor + 0.20% p.a)] x Notional Client Revs: [DBUSSDUT Perf - (3mLibor + 0.80% p.a.)] x Notional Initial Margin: 20% Index Perf = [(Final/Initial - 1)] Indicative levels as of 4/8/14. Source: DB GM Equity Derivatives. * (Enterprise Value/Net Capital Invested)/(Cash Return on Capital Invested) 5-Year History of CROCI US DIVIDENDS vs. S&P 500 Inedex (source: Bloomberg, as of close 4/7/14) (Embedded image moved to file: pic06002.gif) Used with permission of Bloomberg Finance LP (Embedded image moved to file: pic20567.gif) (See attached file: FINAL I-34272-1 slimCROCI 12-31-13.pdf) (Embedded image moved to file: pic25279.gif) Tazia Smith EFTA01462628 Director I Key Client Partners - US DB Securities Inc Deutsche Asset S Wealth Management 345 Park Avenue. 10154-0004 New York, NY, USA Tel Fax Mobile Email (Embedded image moved to file: pic31599.gif) EFTA01462629