EFTA01409338.pdf

Subject: Risk Premia: Multi-Asset Class 5% Target Volatility Portfolio From: Xavier Avila ‹ > Date: Thu, 07 Dec 2017 09:21:55 -0500 To: Mark Ghobrial Jeff Klunzinger Cc: Joshua Shoshan Martin Zeman Liam Osullivan Michael King < Davide-A Sferrazza Mark, hope you are well. As you might know, we have been working with to open your GM Equities account and we are making progress, Josh is on top of things. I recall we also discussed Risk Premia strategies when you were in NY. Attached you will find a couple of presentations on our Risk Premia 5% Target Vol Portfolio and below you find the details of a DB Note we are issuing for some clients over the next weeks. The idea was to take a leveraged exposure to the Risk Premia Basket without having to put down a lot of cash invested. As you can see, the returns of the basket have been between 5% to 7.5% annualized on a non-leveraged basis while the cost of buying the downside protection at -10% return (in this case to protect the full value of your cash invested) is around 0.50% to 0.75% annualized. So the note would redeem between 0% if the Basket drops more than 10% in 2yrs, and 200%-250% if the Basket continues to perform as per historical returns. Let's discuss if you think there might be interest and if you have any questions. Thanks DB Delta One Full Capital at Risk Note Linked to a Leveraged Risk Premia Basket Portfolio Format DB Senior Unsecured Note Trade Date [ ] Dec 2017 Issue Date [ ] Jan 2018 Maturity 2yrs Notional Minimum USD [ 1 ]mio Payout Maturity Notional * [ 1 + Performance * 10 ] Performance Max [ -10.00%, Basket Performance — Basket Protection Fee ] EFTA01409338 Basket Performance Final Basket / Initial Basket - 1 Basket Protection Fee TBD on Trade Date (Around 1% to 1.50%) Basket Definition Risk Premia Multi-Asset Class 5% Target Volatility Portfolio fcid:[email protected] Xavier Avila Managing Director I Key Clients Partners Wealth Management Americas Deutsche Bank Securities Inc 345 Park Avenue, New York, NY, 10154-0004 Office Mobile Email Key Client Partners (KCP) Americas does not provide investment advice and the products, investment ideas and solutions and related matters discussed herein are provided for discussion purposes only, and strictly on a non - advisory basis. 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. Trades and transactions are subject to relevant internal approvals of DBSI or its affiliates prior to execution, and the execution of any transaction or idea discussed herein is conditional on your becoming a client of Deutsche Bank. The information set forth herein is confidential and personal to you and is being presented for your information and for discussion purposes only. Any reproduction and/or redistribution thereof (in whole or in part) or disclosure of its content without our written consent is strictly forbidden. This communication does not create any legally EFTA01409339 binding obligation on the part of DBSI or any of its affiliates. EFTA01409340