EFTA01409332.pdf

Subject: Risk Premia Solution... From: Tazia Smith a> Date: Thu, 07 Dec 2017 09:37:12 -0500 To: Gene Lynch Cc: Stewart Oldfield Xavier Avila Martin Zeman Joshua Shoshan Davide-A Sferrazza Vahe Stepanian Alison-T Sinicropi 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 EFTA01409332 Trade Date [ ] Dec 2017 Issue Date [ ] Jan 2018 Maturity 2yrs Notional Minimum USD [ 1 ]mio Payout Maturity Notional * [ 1 + Performance * 10 ] Performance Max [ -10.00%, 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 All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. Structured products are not suitable for all investors due to illiquidity, optionality, time to redemption, and payoff nature of the strategy. We or our affiliates or persons associated with us or such affiliates may: maintain a long or short position in securities referred to herein, or in related futures or options, purchase or sell, make a market in, or engage in any other transaction involving such securities, and earn brokerage or other compensation. Calculations of returns on the instruments may be linked to a referenced index or interest rate. In such cases, the investments may not be suitable for persons unfamiliar with such index or interest rates, or unwilling or unable to bear the risks associated with the transaction. Products denominated in a currency, other than the investor's home currency, EFTA01409333 will be subject to changes in exchange rates, which may have an adverse effect on the value, price or income return of the products. These products may not be readily realizable investments and are not traded on any regulated market. Additional risks to consider involve interest rates, currencies, credit, political, liquidity, time value, commodity and market risks. Please consider carefully before investing. Most structured products are only available to certain investors who qualify as "Accredited Investor" as defined in the Regulation D under the Securities Act of 1933, as amended ("the Securities Act"), and/ or "Qualified Purchasers" as defined in Section 2(a)(51) of the Investment Company Act of 1940, as amended ("the Investment Company Act"). In addition, prospective investors must sign the Structured Products Account Agreement and Approval Form affirming investor status as well as other matters. From: Audie Apple Sent: Wednesday, Ma 03, 2017 11:36 AM To: Gene Lynch Cc: Stewart Oldfield ; Tazia Smith Subject: RE: Checking in Hi Gene. Thanks for the note. And thank you for taking the time to dig into the subject. We really appreciate your consideration! We will keep you posted on any interesting developments in the space that might be of interest. As you continue to revisit items for further investigation, I want to emphasize that in general clients are implementing risk premia portfolios because these portfolios have essentially zero correlation/beta to equity markets. I think this point can get lost easily since our presentation book introduces the concept with a simple portfolio constructed from 4 risk premia that are equity-based. The trend in the industry is to build risk premia portfolios across asset classes in a way that focuses specifically on diversifying cyclical exposures like equities (public or private) and real estate. EFTA01409334 Thank you again Gene. Best Regards, Audie From: Gene Lynch [mailto: Sent: Friday, April 28, 2017 3:53 PM To: Audie Apple Cc: Stewart Oldfield; Tazia Smith Subject: RE: Checking in Thanks for checking in Audie. Ran this in addition to a bunch of things by Bill and I think we're on pause for the time being. Not really adding to any equity-type exposure at the moment. Best, Gene From: Audie Apple [mailto: Sent: Wednesday, April 26, 2017 3:08 PM To: Gene Lynch Cc: Stewart Oldfield; Tazia Smith Subject: Checking in Hi Gene. I hope you are well. EFTA01409335 When we last spoke a few weeks ago you mentioned running the risk premia conversation past a colleague for further investigation. I think Bill? (Can't recall the name for certain). I just wanted to check and see if you thought it might be helpful to arrange a time for a brief intro conversation on the subject with him or any other colleagues that might have an interest. Thank you again for your time Gene. Best regards, Audie 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. EFTA01409336 This e-mail (including all attachments) is confidential and may be privileged. It is for the exclusive use of the addressee only. If you are not the addressee, you are hereby notified that any dissemination of this communication is strictly prohibited. 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