EFTA01385908.pdf

YS 00s Y100•4 21001 %owPayout corktingint ale fulelbrat van conditiset 20 Ma • 450014 M.l1OY CO% • OMs. 00 IC fC cio IOU ID) ItO0% • le .4,1 vs s. of Reference Srol Historical 10y Swap Rates: 9 0 ‘. 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% sp 0. sit, O5, sst, .6'k CS& \`>< CFA' ‘1%-3A +134 ‘ 464. Pqc 0C‘ Source: Bloomberg Indicative Transaction Terms: Notional: USD 10mm Expiry: 1 Year Payout: SPX 90% Put subject to l0y USD CMS rate > ATMF + 40bps at expiry (ISDAFIX3) Offer: 1.00% Vanilla ref: 4.00% Ref SPc1: 2069 Ref l0y ATMF: 2.265% (this is vanilla swap forward reference) Market to market analysis and terminal payout scenarios: SPX level a al Rth4441611 Spa 5O% 60% 70% 80% 90% 100% 110% 120% 130% 140% 4.0% J 10 •• 227% 1.33% 066% 029% 013% 0O6% 004% 003% 002% .O5% 800% 565% 345% 1.81% 084% 038% 020% 0 12% 007% 005% 0.0% 15 98% 1156% 7 38% 4 10%..„, 2 00% 1 00% 0 52% 033% 0 22% 0 14% ..... 0.5% 25.80% 1895% 1244% C:,„-. 7.19% :' 3.70% 123% 1.04% 068% 047% 0.32% 1.0% 33 95% N14% 16 76% 386% 5 23% 2 87% 1 55% 1 01% 0 70% 0 48% The table shows the option prices for corresponding changes in the equity and rates level immediately after buying the option. For example if the SPX drops by 20% and the l0y USD CMS rate increases by 50bps immediately after the trade, the option value would move from 1.00% to 7.19%. Source: Deutsche Bank Hybrid Desk. Scenarios run with same parameters. DB research report: DB Global Markets Research believes risk assets are at a bifurcation point — their future path depends on the way the economy and stimulus unwind and interact with one another. This research report addresses this market scenario as well as the transaction (slide 22). Attached as -US Fixed Income Weekly 3.27.15.pdf' CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0087370 CONFIDENTIAL SDNY_GM_00233554 EFTA01385908