EFTA01462581.pdf

Subject: Consider: $10-15mm Total Return Swap on Cash Return On Capital Invested (CROCI), 3mL+85bps [C] From: Tazia Smith < Date: Tue, 08 Apr 2014 13:42:53 -0400 To: jeevacationegmail.com Cc: Joe Hall <joe.hall9db.com>, mark.wh man8db.com Paul Morris < Vahe Stepanian Vinit Sahni < >, Nav Gupta Classification: Confidential • * Prepared exclusively for Jeffrey Epstein, Key Client Partners (KCP) Jeffrey - Globally you are seeing the rotation from high-beta, small cap and growth stocks into large-cap valu e. This is inline with your early call for us to pull out a concentrated five names. Entry point h ere. Instead of those single stocks, consider a $10-15mm total return swap on Cash Return On Capital Inve sted (CROCI) index. Specifically, the CROCI sub-index focused on dividend paying/dividend-growing U S equities. I've included my colleague, Joe Hall, who sits on the CROCI team and will gladly detail this stock-s election strategy with you directly at any point. Full presentation is attached, a few key points here: Achieve benefits of active valuation for passive price Bottoms-up valuation - DB CROCI Analyst team (60 people globally) assess each company in it's glo bal universe (800 stocks) from an Economic PE* perspective, adjusting balance sheets to reconcile o perating cash flow across sectors for comparable stock-valuation Quantitative selection - stocks selected each month based on the lowest price-to-operating-earnin gs ratio, based on their valuation metrics (above) Stock universe is ex-financials Re-sets monthly Transparent - pull up the CROCI indices on Bloomberg for mark-to-market (ex: DBUSSDUT = CROCI US Dividends) Implementation can be customized via a separately managed account (SMA) of single stocks Tax-efficient, liquid, levered exposure can be achieved via total-return swap (TRS) 10 principal indices in the CROCI family: US, UK, Japan, Germany, Euro, World, World Ex-Japan, Se ctors III, Global Dividends and US Dividends CROCI Dividends targets companies with sustainable dividends AND attractive valuations (performan ce below and p 7 of the attached) Long only - TRS on CROCI US Dividends (DBUSSDUT): Underlying: CROCI Div (DBUSSDUT) Client Pays: 3mLibor + 0.85% p.a.,x Notional compounded quarterly Client Revs: Notional x (Final/Initial - 1] Initial Margin: 20% Long/short US Only - Long CROCI US Dividends vs. Short S&P 500 (two swaps): Underlying: CROCI Div (DBUSSDUT) and S&P 500 (SPTR) Client Pays: [SPTR Perf - (3mLibor + 0.20% p.a)] x Notional Client Revs: [DBUSSDUT Perf - (3mLibor + 0.80% p.a.)] x Notional Initial Margin: 20% Index Perf = [(Final/Initial - 1)] Indicative levels as of 4/8/14. Source: DB GM Equity Derivatives. * (Enterprise Value/Net Capital Invested)/(Cash Return on Capital Invested) 5-Year History of CROCI US DIVIDENDS vs. S&P 500 Inedex (source: Bloomberg, as of close 4/7/14) (Embedded image moved to file: pic04888.gif) Used with permission of Bloomberg Finance LP (Embedded image moved to file: pic12339.gif) EFTA01462581 (See attached file: FINAL I-34272-1 slimCROCi 12-31-13.pdf) (Embedded image moved to file: pic24140.gif) Tazia Smith Director I Key Client Partners - US DB Securities Inc Deutsche Asset & Wealth Management 345 Park Avenue, 10154-0004 New York, NY, USA Tel. Fax Mobile Email (Embedded image moved to file: pic15541.gif) EFTA01462582