EFTA01454222.pdf

To: [email protected], Cc: Joe Hall , Paul Morris, vahe Stepanian , vinit sahni Nay Gupta Date: 04/08/2014 01:42 PM Subject: Consider: 510-15mm Total Return Swap on Cash Return On Capital Invested (CROCI), 3mL+85bps [c] Classification: confidential * * Prepared exclusively for Jeffrey Epstein, Key client Partners (KcP) o * Jeffrey - Globally you are seeing the rotation from high-beta, small cap and growth stocks into large-cap value. This is inline with your early call for us to pull out a concentrated five names. Entry point here. Instead of those single stocks, consider a 510-15mm total return swap on cash Return On Capital Invested (CROCI) index. Specifically, the CROCI sub-index focused on dividend paying/dividend-growing US equities. I've included my colleague, Joe Hall, who sits on the CROCI team and will gladly detail this stock-selection 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 global universe (800 stocks) from an Economic PE* perspective, adjusting balance sheets to reconcile operating cash flow across sectors for comparable stock-valuation Quantitative selection - stocks selected each month based on the lowest price-to-operating-earnings 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, sectors III, Global Dividends and us Dividends CROCI Dividends targets companies with sustainable dividends AND attractive valuations (performance 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 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 SOO (SPTR) Client Pays: [SPTR Perf - (3mLibor + 0.20% p.a)] x Notional Client Rcvs: [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) CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 112209 CONFIDENTIAL SDNY_GM_00258393 EFTA01454222