EFTA01364408.pdf

From: Tazia Smith SeM: 12/7/2017 9:37:12 AM To: Gene Lynch CC: Stewart 0ldfield [ j; Xavier Avila [ I; Martin Zeman • Joshua Shoshan I; Davide-A Sferrazza Vahe Stepanian ison-T Sinicropi Subject: Risk Premia Solution... Attachments: MATVS Risk Premia Transaction Profile 6 30 17_MRG Approved.pdf; Risk Premia-Altemative Beta Intro - 2017Q1 KCP.PDF Good Morning Gene — Recall our risk premia discussions from earlier this year. I appreciate that Bill had `pressed pause' on the alternative beta and market-neutral replacement conversation, but my colleagues have solved for a note implementation solution — cusip can be booked into your current account — as opposed to the swap or Deutsche Asset Management fund implementations that we were discussing in the spring. We currently have an anchor order for a 10x levered note on a 5% target vol, multi asset portfolio with 90% put protection. I thought this underlying exposure was very relevant for your risk/return objectives, AND the implementation is simplified! See below/attached. We will give you a call to discuss. All Our Best, Tazia DB Delta One Full Capital at Risk Note Linked to a Leveraged Risk Premia Basket Portfolio Format DB Senior Unsecured Note Trade Date [ ]Dec2017 Issue Date [ ] Jan 2018 Maturity 2yrs Notional Minimum USD [ I ]mio Payout Maturity Notional • [ 1 + Performance • 10 ] Performance Max [ -10.00°A, Basket Performance — Basket Protection Fee ] Basket Performance Final Basket / Initial Basket - 1 Basket Protection Fee TBD on Trade Date [expected 1% to 1.50%] Basket Definition Risk Premia Multi-Asset Class 5% Target Volatility Portfolio CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0054944 CONFIDENTIAL SONY GM_00201128 EFTA01364408