EFTA01202462.pdf

From: "Jeffrey E." <jeevacation®gmail.com> To: Tazia Smith < >, Paul Morris Subject: Re: Fw: Consider: $10-15mm Total Return Swap on Cash Return On Capital Invested (CROCI), 3mL+85bps or relative value TRS vs S&P.... [C] Date: Fri, 16 May 2014 13:19:32 +0000 Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6) I dont want to buy product from your desk again, . I have other brokers that deal with me straight up. we can buy traded postions only, the quotes bids offers have been ridiculous. sorry, On Thu, May 15, 2014 at 3:51 PM, Tazia Smith < > wrote: Classification: Confidential Jeffrey - Our global colleagues are re-highlighting the CROCI solution at current levels and/or for outperformance in this rotational environment. sending their commentary and resending implementation solutions here (full detail if you scroll down): Long only - TRS on CROCI US Dividends (DBUSSDUT): Underlying: CROCI Div (DBUSSDUT) Client Pays: 3mLibor + 0.85% IM.,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% IMI)] x Notional Client Rcvs: [DBUSSDUT Perf - (3mLibor + 0.80% M.)] 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/db/dbcom on 05/S12014 03:28 PM — From: Pierluigi Amicarellakibtswissfdbcom@dbcom To: Date: 05115/2014 06:24 AM Subject: Bond Yields and DB Dividend Strategies [I] Classification: For internal use only Ciao EFTA01202462 as bond yields are still going down (US 10Y to the lowest YTD (chart 1) and bunds to the lowest in 12mths (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 dynamic 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 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 3.0000 2.8000 2.4000 2.2000 2.0000 1.8000 1.6000 Dec Mar Jun Sep Dec Mar Jun 2012 I 2013 2014 USGGIOYR Index (US Generic Govt 10 Year Yield) Graph 133 Copyright@ 2014 Bloomberg Finance . 15-May-201406:54:48 Chart 2: Bunds EFTA01202463  3.500 3.000 2.500 2.000 CAA 1.369 1.000 2009 2010 2011 2012 2013 2014 GOBR10 Index (Germany Generic Govt 10Y Yield) Graph 133 Copyright@ 2014 Bloomberg Finance LP. 15-May-2014 06:55:12 Kind regards, Pierluigi Amicarella Pierluigi Amicarella Deutsche Bank (Suisse) SA Key Client Partner Prime Tower Hardstrasse 201. 8605 Zurich. Switzerland Tel. Fax Mobile +41 791202631 Email The proposed ideas are being delivered to you by the DBS Key Client Partners ("KCP") EMEA Switzerland desk on your request for discussion purposes only and strictly on a non advisory basis. The proposed ideas do not create any legally binding obligation on the part of Deutsche Bank AG and / or its affiliates (-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. PJI 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 risks 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 Supervisory Authority (FINMA). and therefore. not supervised by the FINMA. As a result. you cannot claim any protection for unregistered products under the CISA. No assurance can be given that the objectives of the mentioned products/services will be achieved. Moreover, a decision to invest in the mentioned products may have accounting. tax. legal and other implications. Therefore. you should discuss and review the content of this document and the offering documentation of the mentioned products with 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 any decision. This document is confidential and personal to you and is being presented for informational 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. PJI trades on proposed ideas shall be subject to the relevant internal approvals prior to execution. -- Forwarded by Tazia Smith/db/cfbcom on 05/15/2014 03:27 PM -- From: Tazia Smith/db/dbcorn To: evacao ti grrt om. Cc: Joe Hall/db/dbcom@DBAMERICAS. Paul Morris. Vahe Stepanian/db/dbcorn®OBAmericas. Vinit Sahni/db/dbcom®OBEMEA. Nav Guptaldb!dbcom@DBEMEA Date: 04108/2014 01:42 PM Subject: Consider: $10-15mm Total Retum Swap on Cash Return On Capital Invested (CROCI). 3mL+85bps (C) EFTA01202464 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 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 $10-15mm 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% U.,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% I.)] x Notional Client Rcvs: [DBUSSDUT Perf - (3mLibor + 0.80% U.)] x Notional EFTA01202465 Initial Margin: 20% Index Peri= [(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) DBUSSDUT 4739.30 At 0:01 Op 4739.30 H 4739.30 Lc 4739.30 Prey 4739.50 11 Settings Actions Page vs Comparative Return ' Range 04 30 2009 rat 03 31 2014 " Der led Month/ No. of Period 59 Month(s) `Security Currency Price Change Total Return DifferenclWrAnnual Eq DBUSSDUT Index USD 195.38% 195.3S% ** 57.35% 24.62% SPX Index USD 114.52% 138.03% 19.27% ** No dividends or coupons 1FI 311 611 YTD 1Y 2Y 3Y sv 10Y • • CROCI US Dividends TR + Track z Annotate 0, Zoom- 4.-200 S&P SOO IIIDEK .150 0-100 , •-50 /'N 0 2009 2010 2011 2012 2013 2014 Total Return Used with permission of Bloomberg Finance LP EFTA01202466  Index performance since live date vs. benchmark indices as of 1/31/14 Excess Index live Cumulative Compounded CROC1 Index Benchmark index annualised date' growth annual growth return US S&P 500 Index TR 2/1 151.4% 9.7% 2.9% Euro EuroSTOXX 50 TR 2/1/04 102.6% 7.3% 3.7% Japan TOPIX 100 TR 2/1/04 42.7% 3.5% 1A% World USD MSCI World USD Net TR Index 11/25/10 47.9% 13.1% 2.0% Sectors III USD MSCI World USD Net TR Index 3/31/05 184.8% 12.5% 6.6% Germany DAX Index 7/29/05 123.2% 9.9% 2.0% UK FrSE 10D TR Index 2/1/07 92.5% 9.8% 5.5% World ex Japan MSCI Kokusai Net USD Index 8/31/10 78.0% 18.3% 3.2% Global Dividends USD MSCI World HDY Net USD Index 3/15/12 28.7% 14.3% 1.7% SW High Yield Dividend US Dividends Net 5/28/12 43.6% 24.0% 3.7% Aristocrats TR Index Sane: De none Rant and Blocenterg as a ills-U. Performance le IThstorlcal and does not °orate Uwe remits. MOMS we aponecea] by 06 AG LCOL100. RW011118003 Waterman for MOSS a net calmest.] by an Independent calanabon agent Index reams assume renvedmert of Emden% and do net reflect any tees or expenses It LS not pout* to nvest Sway Man Met Ties pertemanoe is not teinem tree of Me performance any OIMA investment s7Xegr or =MTh TUe represents pertinence rime CROCI nate. MA is net a party to the =flagmen! or p‘Olca0on of mese [races Nile DIVA expects to rnalage Investment strateges based on CR0CI and amen% es INS 16 not Maned Co moment mat aCtety Pee mice Cr me rams do not Me 1110 flown the erred ce management fees and omen transtcn costs aesodated WM Me management ce a separZe account Wategy erpererr.ng me CROCI valuallon process These fees and expenses all reduce ar Ifire$XICS 0'4CW felon. ' index eve ode ream me ern ame th l CROCI leaven cakua:ea °name tatate.. not tocrestea :aces& anrunea ran IsIle CrerellCeIn the compouxled emu grown rate (CAGR} ex a parecuar Index aroma: alts bencnmart. Tazia Smith Director I Key Client Partners - US DB Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue. 10154-0004 New York. NY, USA Tel. Fax Mobile Email PARTritn This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01202467  please note The information contained in this communication is confidential, may be attorney-client privileged, may constitute inside information, and is intended only for the use of the addressee. It is the property of JEE Unauthorized use, disclosure or copying of this communication or any part thereof is strictly prohibited and may be unlawful. If you have received this communication in error, please notify us immediately by return e-mail or by e-mail to [email protected], and destroy this communication and all copies thereof, including all attachments. copyright -all rights reserved EFTA01202468