EFTA01462384.pdf

Subject: Re: Barrier Notes From: Tazia Smith < Date: Wed, 05 Feb 2014 12:41:47 -0500 To: [email protected] Cc: Paul Morris Classification: Confidential Jeffrey - This is for comparative purposes, as the worst-of component (previously sent/below) improves pricing a quite a bit at present. 13mo on SXSE by itself is a non-starter! 11 - 13mo Contingent Minimum Return SXSE 4% Cont Min Return 80% Barrier Daily obs. 6% cap max loss: 100% 12 - 2yr Contingent Minimum Return SXSE 10% Cont Min Return 80% Barrier Daily obs. 17% cap max loss: 100% Indicative levels only, subject to market movement, source: DB AWM Structured Solutions, 2/5/14. From: Tazia Smith/db/dbcom To: [email protected], Cc: -• Paul Morris, Vahe Stepanian/db/dbcom@DBAmeric as, Vinit Sahni/db/dbcom@DBEMEA, Nav Gupta/db/dbcom@DBEMEA Date: 02/05/2014 11:49 AM Subject: Barrier Notes (C) Classification: Confidential Jeffrey - US ADP report came in light this morning at +175k v 185k cons, as you saw, payrolls catalyst on Friday. For US exposure on pullback and jump-up in volatility, consider (proposed percentages = 5.0): S&P Current: 1742 80%: 1394 EFTA01462384 Russell 2000 Current: 1086 80%: 868 13mo Contingent Minimum Return Worst-of Note (SSP 500 and Russell 2000): WOF SPX/RTY 8% Cant Min Return 80% Barrier Daily obs. 29.30% Cap Indicative levels only, subject to market movement, source: DB AWM Structured Solutions, 2/5/14. Europe Note: your current Eurostoxx Contingent Note matures 8/26/14, cont min was 4%, cap was 17%, barrier was 70% (1935). A direct comp to your existing structure is currently not pricing well (10.0 on proposed sheet, 5.0 on suggested). Combining US and European views improves the terms and upside participation: SXSE Current: 2962 80%: 2369 13mo Contingent Minimum Return Worst-of Note (Eurostoxx50 and Russell 2000): WOF SX5E/RTY 11.5% Cont Min Return 80% Barrier Daily obs. uncapped Indicative levels only, subject to market movement, source: DB AWM Structured Solutions, 2/5/14. (Embedded image moved to file: pic01544.gif) Tazia Smith Director I Key Client Partners - US Deutsche Bank Securities Inc Deutsche Asset a Wealth Management 345 Park Avenue, 26th Floor New York NY 10154 Tel. Fax Mobile Email (Embedded image moved to file: pic23531.gif) EFTA01462385