From: Tazia Smith To: [email protected] aln . N Cc: , Paul Morris , Vahe Stepanian , Vinit Sahni , av Gupta Subject: Fw: Consider: $10-15mm Total Return Swap on Cash Return On Capital Invested (CROCI), 3mL+85bps or relative value TRS vs S&P.... [C] Date: Thu, 15 May 2014 19:51:48 +0000 Attachments: FINAL_I-34272-1_slimCROCI_12-31-13.pdf Inline-Images: unnamed; unnamed(1); unnamed(2); unnamed(3); unnamed(4); unnamed(5); unnamed(6) Classification: Confidential Jeffrey - Our global colleagues are re-highlighting the CROCI solution at current levels and/or for outperformance in this rotational environment. sending their commentary and resending implementation solutions here (full detail if you scroll down): Long only - TRS on CROCI US Dividends (DBUSSDUT): Underlying: CROCI Div (DBUSSDUT) Client Pays: 3mLibor + 0.85% M.,x Notional compounded quarterly 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% .)] x Notional Client Rcvs: [DBUSSDUT Perf- (3mLibor + 0.80% a m x Notional Initial Margin: 20% Index Perf = [(Final/Initial - 1)] Indicative levels. Source: DB GM Equity Derivatives. * (Enterprise Value/Net Capital Invested}/(Cash Return on Capital Invested) Forwarded by Tazia SmithEdb/dbcom on 05115/2014 03:28 PM — From: Pierluigi Arnicarellaidbiswiss/dbcom@dbcom To: Date: 05/15/2014 06:24 AM Subject: Bond Yields and DB Dividend Strategies III Classification: For internal use only Ciao as bond yields are still going down (US 10Y to the lowest YTD (chart 1) and bunds to the lowest in 12mths (Chart 2)) we could see further inflows in favour of "income strategies in the equity space. Dividends could come back again as a theme to play in this "anaemic" market for returns. A part from CROCI DIVIDEND strategies (the core for an asset allocation in divi