📄 Extracted Text (199 words)
Client Rcvs: 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 Rcvs: [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
DBUSSDUT
0:01 . 4739.30 4739.30 4739.30 4739.50
Settings 3 Actions - Page 1; Comparative Return
Range r Oar:a "" tunft(s;
,tn w Curren Dr;ce Change Total Return Difference Annual Eq
CEUSSDUT Index
SPX Index
in, No dividends or coupons
119 3M .611 YID 1Y 2Y 3Y .1" 154r . 10Y !„...t" o mmt
• CROtl. US Dividends TR + Track Annota n .200
. S&P 500 DC€
.150
.100
.50
0
2009 2010 2011 2012 2013 1 2014
Total Return
Used with permission of Bloomberg Finance LP
CONFIDENTIAL - PURSUANT TO FED. R. GRIM. P. 6(e) DB-SDNY-0 112255
CONFIDENTIAL SDNY_GM_00258439
EFTA01454255
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EFTA01454255
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