Subject: Fw: Consider: $10-15mm Total Return Swap on Cash Return On Capital Invested (CROCI), 3mL+85 bps or relative value TRS vs S&P.... [C] From: Tazia Smith Date: Thu, 15 May 2014 15:51:48 -0400 To: eevacation mail.com Cc: Paul Morris < Vahe Stepanian Vinit Sahni < Nav Gupta < Classification: Confidential Jeffrey - Our global colleagues are re-highlighting the CROCI solution at current levels and/or for outperform ance in this rotational environment. sending their commentary and resending implementation solution s here (full detail if you scroll down): Long only - TRS on CROCI US Dividends (DBUSSDUT): Underlying: CROCI Div (DBUSSDUT) Client Pays: 3mLibor + 0.85% p.a.,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% 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. Source: DB GM Equity Derivatives. * (Enterprise Value/Net Capital Invested)/(Cash Return on Capital Invested) Forwarded by Tazia Smith-on 05/15/2014 03:28 PM From: Pierluigi Amicarella To: Date: 05/15/2014 06:24 AM Subject: Bond Yields and DB Dividend Strategies [I] 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 1 2mths (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 dividend stocks via dynam is strategies), here are a few DB custom synthetic baskets that are investing in "dividend" related stocks (static baskets): DBCGDD3N Dependable Div