EFTA01461147.pdf

Indicative Offer: -$1.51/bbl (-1.5%) Indicative cost on $5mm notional: $75,000 Max Payout: Max Brent Jun14 fix during trade — Brent Jun14 at expiry — $10/bbl Max Loss: Premium Paid Upside Exposure Solutions: Indicative levels only, subject to market movement. Source: DB Commodities Structuring, and DB AWM Structured Solutions, as of 11/4/13. Brent Jun14 reference: $104.2 Brent spot: $106.5 (1) Risk Reversal: Buy 6m $109.41 call (105% of Jun14 ref): $3.51/bbl Sell 6m $85 put: $0.95/bbl Net Debit: $2.56/bbl (-2.5%) Indicative cost on $5mm Notional: $125,000 Max Loss: $87.56/bbl For your reference: 6m $104.2 call (ATM): $5.90/bbl (-5.7%) 6m $109.41 call (105% of Jun14 ref): $3.51/bbl (-3.4%) 6m $85 put: $0.95/bbl (—0.9%) 6m $90 put: $1.58/bbl (-1.5%) (2) ATM 6mo Swap A futures look-alike in the form of a Jun14 ATM swap, which has positive carry of -$2/bbl (differential between Jun14 and spot) (3) Absolute Return Note on Brent Structure Absolute Return Note on Brent Crude Underlier: Brent Barrier Observation: European Maturity: 2yrs Upside Max: Uncapped Barrier Level: 82.5% Max Loss: 100% In fully-funded form, the absolute return structure prices well on crude. You can unwind this early to capture a move. This vehicle gives room to monetize moves in crude prices both on the upside and downside. This structure has a relatively high delta, should crude move higher and can help offset/compensate for your premium paid should crude move lower, but stay above the barrier. Implied Vol & Price Curves: The degree of backwardation has subsided but vols are still very low compared to their average over the last 10 years. Investors looking to express a bullish view on Brent crude oil can take advantage of premiums which are close to 10-year lows. IPE Brent Imo Implied Vol - Mid Implied Vol CONFIDENTIAL — PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 122997 CONFIDENTIAL SDNY_GM_00269181 EFTA01461147