EFTA01193202.pdf

From: Daniel Sabba •c > To: "jefirey E." <[email protected]> CC: Vahe SterEM., ia Paul Morris Richard Kahn a. Jay Lipman Subject: Swaps + high dividends - an interesting combination... ICI Date: Wed, II Feb 2015 00:31:10 +0000 Milne-Images: inutge001.gif: image002.gif Classificabon: Confidential Jeffrey. We cane across with the Sowing structure that takes advantage of high dividends to finance the funding of an excess return swap with floored downside. I thought it was clever... Interested in hearing your thoughts. If you would like we can refresh pricing. Structure linked to Stoxx Low Beta High Dividend Index Index Description The STOXX Europe Low Beta High Div 50 index is denved from the STOXX Europe 600 Index. To be eligible for inclusion in the new index. companies must have a net dividend yield for the past twelve months that is higher than the overall net dividend yield of the EURO STOXX 50 Index over the same time period. All those companies are then screened for New beta to the EURO STOXX 50 Index over the past twelve months. and only those 50 companies with the lowest beta are selected. A cap of eight companies per country is applied to ensure diversification in the index. The STOXX Europe Low Beta High Ow 50 Index is weighted by liquidity measured through components' three month average daily trading volume (ADTV). with a single component's weight cap of 5 percent. The Index es reviewed annually in December. with the cutoff date for dividend yield and beta data being the last trading day of the previous month. Structure Terms Tenor: 5 Yrs Counterpart: Deutsche Bank Fermat: Swap Ccy: USO Undedying: STOXX Europe low Beta High Ow 50 Price Return Index (SOBSOEP Index) Participation Factor: 120% to the positive performance of the underlying (PF) Performance: (Underlying Final - Indialyinitial At Maturity: If Performance is positive: Client Recess • PF • max (0%. Performance) l.e. CAOM pertclpates 1.2x in the upside performance oldie index. uncapped If Performance is negative. no settlement Client Pays: USD3rnLlbor • 1.55% pa. Benefits 1. Structure allows the client to participate 1.2 x times in the upside performance of the in index. i.e. At maturity. if the index is up 15%. Clients final redemption. 18% 2. The performance on the upside in uncapped 3. The Index allows participating clients to take a view on stoats which have low volatility. low beta and high dividend yield n the Eurozone area 4. 8addesting. the benefits of this index have been higher dividend. higher returns. lower volabaly and lower drawdowns than Eurosioxx50 Index and Stmoc600 Index S. Higher dividends (lower forwards) and lower volabily makes the undedyng optionally n the trade cheaper leading to a leveraged upside partiopation Risks 1. Counterpart Risk 2. Mark-to-Market Risk 3. Risk of rising Libor Rates Payoff Comparison at Maturity EFTA01193202  in 25% 20% 15% 10% 5% - Irtclex Long Only 0% - StruCturt liggegge t g4:elfgtelg 4% 10% 15% a" , 20% 25% Sex performance comparison vs benchmarks — Higher returns and lower volatility than the benchmark — The Index is a90 showing tower drawdowns than the benctimatts — The beta to SXSE Index is about 55% over the full period Performance since Index inception Return statistics 250 STOXX Europe Low Beta High 225 Dw 50 Index SXSE Index STOXX Europe 200 (PR) Index (PR) 600 Index (PR) 175 IRR since inception 6.80% 2.34% 4.42% YTD return 7.89% 3.76% 4.51% 150 1-month return -0.45% 1.68% 0.32% 125 3-month return -0.79% -0.07% 0.36% 100 1year return 15.42% 11.50% 10.51% 75 3 year return 42.45% 48.00% 51.68% Worst day -801% -7.88% -7.62% 50 Dec 02 Dee 04 Dee 06 Dee OS Dee 10 Dee 12 Best day 10.34% 11.00% 9.87% Maximum Drawdown -42.56% -60.29% -60.54% - STOXX Europe Low Beta High Div 50 Index (PR) Annualised Volatility 14.29% 22.45% 18.93% — EuroSTOXX 50 index (PR) Return/Risk ratio 0.48 0.10 0.23 — STOXX Europe 600 Index (PR) Beta 100.00% 55.63% 68.86% Correlation 100.00% 87.42% 91.14% Daniel Sabba Key Client Partners Deutsche Bank Secunties Inc. Tel. •1 212 454 0857 Mobile •1917 374 4185 Email 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. My 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. EFTA01193203