EFTA01460881.pdf

Classification: Confidential Hi Daniel, thank you for your efforts in getting this trade done. This is the first commodity vol index trade in North America. Trade recap: OTC index swap Buyer: SOFL Seller: DBAG London Underlying: DB Commodity WTI Short Volatility II Index Bloomberg Ticker: DBCMWSV2 Index Trade Date: 13 Jan 2015 Effective Date: 13 Jan 2015 Expiry Date: 13 Jan 2016 Resets at end of each calendar quarter. For clarity reset dates are: 31-Mar-15, 30-Jun-15, 30-Sep-15, 31-Dec-15, 13-Jan-16 Settlements: 1+2 Notional: $10,000,000 IA: $500,000 paid by SOFL to DBAG London on 14-Jan-2015. Upto 1.5% fees charged on exit under normal circumstances, irrespective of whether the exit is on scheduled Expiry Date or earlier. Strike: Underlying closing level on Effective Date Cash flows: On each reset date: Buyer receives: Notional / Strike • (Index closing level on reset date — Index closing level on previous reset date) For the first reset date, Index closing level on previous reset date = Strike Termsheet with additional details is attached. Official confirm will follow. Thanks, Jatin Bindal Vice President I Commodity Structuring Deutsche Bank AG 60 Wall Street New York. NY 11111BOW index swap iSpc(1) CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0 122506 CONFIDENTIAL SDNY_GM_00268690 EFTA01460881