EFTA00607178.pdf

Deutsche Asset & Wealth Management Key Client Partners - U.S. Investment Themes and Solutions November 2014 Pc,n-itrz,-fu Peefrawt, I J1 FMS. Key Client Partners (KCP) Clients Only Not for Further Distribution EFTA00607178 A global partner for our clients Deutsche Bank A leading global financial services institution with a strong vate client franchise Deutsche Asi& Wealth Management (DeAWM) Offers individuals and institutions traditional and alternative investments across all major asset classes Wealth Management Has been providing open architecture, investment management and capital markets solutions as well as wealth management. banking and lending services to high-net-worth individuals, families and select institutions for more than a century Key Client Partners (KCP) Key Client Partners aims to provide select sophisticated investors seamless access to cross asset class. cross border investment opportunities and financing solutions from Deutsche Asset & Wealth Management (DeAWM), Corporate Banking & Securities (CB&S), Global Transaction Banking (GTB) and 3rd party providers on a non-advised and non-fiduciary basis Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only EFTA00607179 Positioned to guide clients through the current market Deutsche Bank financial standing Total assets Common equity tier 1 capital ratio USD 2,280 billion 11.5% DeAWM financial standing — total assets Global Americas Wealth Management-Americas USD 1,307 billion USD 359 billion' USD 118.4 billion' Deutsche Bank Ratings (as of July 29 2014) Moody's Investors Service Standard & Poor's Fitch Ratings A3 A A+ Presence and span Global employees (FTE) Countries with DB presence (as of 12.31.2013) Total clients (as of 12.31.2013) 96,733 Over 70 Over 30 million (1) Included in total global assets (2) For a full list of awards visit: http://www.db.comren/contentrcompany/current_awards.htm Source: Company data, as of June 30. 2014 (unless noted otherwise) d highlights2 BARKONS • IFR AWARDS 2013 Institutional Investor Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 2 EFTA00607180 Wealth Management One of Deutsche Bank's five core businesses Private & Business Clients Global Transaction Banking Corporate Banking & Securities Global Corporate Markets Finance Deutsche Bank Asset & Wealth Management Wealth Management Asset Management Key Client Partners Non-Core l Operations Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 3 EFTA00607181 What is Key Client Partners (KCP)? A global team with the capabilities and broad coverage to better serve key clients KCP has been established to provide high-level coverage and unique investment opportunities to a subset of the top tier UHNWI & Family Offices through a differentiated product offering and investment platform KCP global coverage KCP clients will be serviced from one of these regional hubs KCP capabilities & differentiated offering Key Client Partners point of access: Deutsche Asset & Wealth Management (DeAWM) Corporate Banking & Securities (CB&S) Global Transaction Banking (GTB) 3rd Party KCP capabilities ""\Pr • Direct investments KCP clients Private Markets • Co•investments. tactical structured vehicles • Specialty and boutique offering for our UHNW base with dedicated coverage expertise • Structured finance and lending solutions Structured Finance • • KCP clients are institutional in size, need. sophistication, and are transactional in nature Select UHNW individuals with net worth of at least USD 100 million & Lending • Structured credit and loan syndication • • Provide a comprehensive coverage of capital markets opportunities. private investments. and asset and liability management Work with all DB divisions and institutional focus areas to deliver the best investment opportunities with a solution oriented approach • Flow trading, listed & OTC derivatives • Tactical trading opportunities Capital Markets • Non•advisory platform • Private equity. hedge funds Alternatives • Real estate. infrastructure Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 4 EFTA00607182 Access to exclusive offerings for qualified clients Key Client Partners (KCP) aims to provide selected investors seamless access to the full resources of Deutsche Bank on a non-advised and non-fiduciary basis2 Connectivity DeAWM — Corporate Banking & Securities — Global Transaction Banking — Research — Third Party Providers — Open Architecture Clients3 — UHNW Individual Investors — Family Offices — Foundations, Endowments — Private Companies — Small-Medium Sized Institutions Cross Asset Class — Alternatives — Commodities — Credit — Currencies Equities Fixed Income — Multi Asset — Real Estate Cross Border — USA — Latin America — Europe — Asia Pacific — Middle East (1) Institutional investors only as defined by FINRA 2111 (2) KCP services are offered to a select group of OeAWM clients who are able to meet certain criteria including, without limitation, financial and sophistication qualifications. All KCP opportunities may not be available in all DeAWM locations (3) The KCP on-boarding process applies Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 5 EFTA00607183 Key Client Partners capabilities Our goal is to provide innovative. personalized investment solutions and opportunities across a full range of unique asset classes that meet the needs of sophisticated. qualified clients Futures & options Commodities Equities Credit Rates FX Real estate Hedge funds Infrastructure Portable alpha Alternative beta Custom indices Private equity funds Capital Markets Alternative Investments Private Markets Structured Finance and Lending Co-investment opportunities Private direct investments Client-to-Client interaction Special opportunities Debt participation Deal sourcing Securitization Municipal finance Supply chain finance Commercial real estate Loans vs. illiquid collateral • Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 6 EFTA00607184 Agenda emphasis 01 Areas of expertise Key investable themes Implementation of themes For U.S. Key Client Partners (KCP) Clients Only 7 EFTA00607185 KCP areas of expertise Private Markets Co-investment opportunities Private direct investments Client-to-Client interaction Special opportunities Debt participation Deal sourcing Facilitate the sourcing, trading, structuring, arranging and executing of opportunistic, asset backed debt and equity related investments Struct an, red Finance Lending Loans vs. illiquid collateral Commercial real estate Supply chain finance Municipal finance Securitization Provide industry leading solutions that vary in terms of complexity, customization, and underlying asset type Capital Markets Futures & Options Commodities Equities Credit Rates FX Provide superior expertise and execution capabilities for all traded investment and liability management products Real estate Private equity funds Alternative beta Custom indices Portable alpha Infrastructure Hedge funds A leader in the alternative investment space which can provide a clients portfolio with exposure to opportunistic special situations and targeted sources of return Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 8 EFTA00607186 KCP investment themes and solutions 02 Areas of expertise Key investable themes Implementation of themes For U.S. Key Client Partners (KCP) Clients Only 9 EFTA00607187 Themes for UHNW investors I. Sources of current income II. Hard assets III. Transitional capital IV. Uncorrelated/risk management V. Current tactical ideas Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only io EFTA00607188 KCP investment themes and solutions 01 02 03 Areas of expertise Key investable themes Implementation of themes For U.S. Key Client Partners (KCP) Clients Only it EFTA00607189 November agenda for implementation of themes Alternative investments — Rated Infrastructure Notes Ltd (RIN) 'rivate markets — Marinas: Suntex NewCo — Lift One: Aspen resort property — Home Partners of America — Proton therapy bonds BiWMiMlIIIMiMhliihl Ika . • • a — Structured finance: an overview — Structured finance: corporate credit transactions — Equity bridge financing for financial sponsors Capital markets — Harvesting volatility risk premia in commodities: DB Brent Short Volatility II index — CLO mezzanine debt — Short duration CLO mezzanine debt — Hedging and monetization — Hedging and monetization: case study Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 12 EFTA00607190 Rated Infrastructure Notes Ltd. (RIN) Area of expertise: Private markets Theme: Sources of current income/transitional capital Overview — There is a long-term need for infrastructure investment; the total shortfall in U.S. infrastructure funding over the next 10 years is estimated to be $2tn1 $200bn per annum) — Estimates project approximately $50bn2 of U.S. private infrastructure loans maturing by 2017 — As U.S. infrastructure needs increase, more private capital, both equity and debt, will be required to replace and augment inadequate public funding Investment opportunity — RIN Ltd. (the "Issuer") is a newly formed private debt investment, utilizing CLO structuring, that will seek to originate a diversified portfolio of private infrastructure loans — The Issuer is seeking $75mm of commitments from institutional investors to fund junior interests in the form of preferred shares ("Equity") — The first round closed in November, with a second close planned for December — The risk profile is attractive, as data demonstrates that infrastructure loans have lower default and loss characteristics than non- infrastructure debt — Stable nature of infrastructure operating cash flows and tangible asset coverage — Lender protections provide ability to monitor borrowers and allow lenders to actively address underperformance — Risks: Possibility of loan default, lack of liquidity, increase in raw material prices, loss of principal, loss of share value, and deflation Management team — Provided approximately $14.0bn (€10.7bn) of financing to 18 infrastructure businesses — Pioneers of infrastructure finance involved in marquis transactions in Europe and North America — Over 40 years of collective infrastructure experience — Extensive experience across geographies and infrastructure sub-sectors (1) Source: The American Society of Civil Engineers report. March 2013 (2) Source: DeAWM's proprietary database of infrastructure financing details for approximately 500 transactions between January I. 2005 and August 31. 2013 in Western Europe and North America Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 13 EFTA00607191 Marinas: Suntex NewCo Area of expertise: Private markets Theme: Hard assets/sources of current income Overview — Suntex Ventures, LLC is forming a new company, Suntex NewCo, for the purpose of acquiring and managing institutional quality marinas — Suntex intends to create an investment vehicle that will aggregate these marinas with the goal of listing in the public markets as an internally managed pure play REIT in a three year timeframe — An investment in Suntex is intended to provide investors with a highly predictable and durable current income with the potential for significant capital growth Investment overview of marinas Marinas may provide a compelling investment opportunity for several reasons: — REIT status: The industry has significant scale, growth potential, strong free cash flow, and generates an attractive yield; in addition, the asset class now qualifies for REIT status. Marinas provide yields at the top of the range for all REIT asset classes (-8.5% nominal cap rate) — Stability: Quality marinas are historically stable throughout economic cycles and resistant to down turns while closely mirroring inflationary trends — Barriers to entry: The number of marinas hardly fluctuates due to limited appropriate land, regulations and environmental protection laws, and high initial capital investments — Consolidation opportunity: In the U.S. there are 2,500-3,000 institutional quality marinas. -90% of owners are "mom and pop" businesses poised for acquisition and operational improvement — Risks: Economic downturn that results in fall in marina values, unforeseen weather events, changing environmental regulation The Suntex advantage Suntex is uniquely positioned to capitalize on today's market opportunity and be the standard bearer for the institutionalization of the marine real estate sector: — Leading marina industry sponsor: the Suntex team has been operating marinas since 1995. Today Suntex is one of the largest and most reputable marina companies in the U.S, owning and/or operating 22 institutional quality marinas across the U.S. — Proven track record: Suntex principals and management have over 100 years of aggregate experience in managing marinas — Actionable pipeline: Suntex will take advantage of fragmentation in the marina industry to acquire high quality assets at attractive initial yields. The pipeline exceeds $1.5bn of current opportunities with $200mm in the acquisition and closing process' (1) As of 10114 Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 14 EFTA00607192 Deal terms Lift One: Aspen resort property Area of expertise: Private markets Theme: Hard assets Overview — KCP is partnering with an established Sponsor to find co-investors for the acquisition, development and sellout of a world-class luxury residence and private ski club in Aspen, Colorado; it is the last remaining ski-in/ski-out development parcel directly on Aspen Mountain known as "Lift One" — The Sponsor is an independent investment group engaged in acquisitions and repositioning of prime properties, with a proven track record in the development of ultra-luxury real estate assets — The opportunity allows equity investors to generate returns resulting from the sale proceeds of luxury residences and memberships in an exclusive private ski club; revenues constitute sale proceeds from condo-hotel fractional units, whole ownership luxury units, exclusive club memberships and commercial retail space on the mountain — Risks: challenges in the development and sale of the property, potential full loss of investment Investment highlights — Strong sponsorship: the Sponsor has significant experience within luxury development and real estate — Rare generational opportunity: the remaining supply of Aspen's mountain-side development parcels is essentially non-existent, and this real estate rests within a long-favored destination that is a pinnacle of luxury mountain resorts — Alignment of interest: Sponsor agrees to commit 5% of capital and equity investors are given priority to net profit via a high hurdle rate — Branding: expected affiliation with world class brands including Bulgari, Cheval Blanc and Baccarat — Already entitled: current ownership spent over 8 years entitling the site and the Sponsor believes amendments will be swift — Pro-development political climate: the current City Commission is expected to be very receptive to the development, especially in light of the 2017 FIS World Cup Ski Competition coming to Aspen, finishing at Lift One — Compelling fundamentals: rapidly escalating pricing, strong sales velocity and pent up demand for luxury product all coexist in the Aspen market Offer size Minimum Term Up to $30mm $3mm 3-5 years. expected Leverage Transaction financed with 75% debt, procured at a later date Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 15 EFTA00607193 Home Partners of America Area of expertise: Private markets Theme: Hard assets as inflation protection/sources of current income Overview — Home Partners of America ("HPA," formerly Hyperion homes) is a single-family housing investment platform launched in November 2012 with the goal of providing responsible households that cannot access mortgage credit a new path to ownership — The program is built on a resident led model: approved clients are allowed to find a home from all available housing stock in agreed communities; HPA purchases the home, leases it and provides a purchase right to the client — DB and other institutional investors like BlackRock and KKR have committed to invest an aggregate of more than $480mm in HPA — Target unlevered cash on cash returns above 6%, leveraged gross IRRs between 14-23%, and five year total returns in excess of 2x capital Market opportunity — HPA believes that the current lending environment has created an attractive opportunity to invest in single-family homes — Compared to the market pre-housing crisis, significant numbers of middle class American households cannot obtain mortgage credit — Access to middle market mortgage credit is almost exclusively driven by government programs which may not be sustainable. Government sponsored enterprises are currently responsible for 93% of all mortgage credit — Strict lending standard across all credit sources now require FICO scores that are well above the national average, creating a need for alternative methods of financing — Risks: potential loss of full investment, lack of operating history, limited liquidity GSA and FHA Credit Scores at Underwriting) no SOO - SO 700 650 Fannie Mae Freddie Mac Crinni•• aoo S?) Se Se SP Se SP Se s> Ss> 7?) .st‘ 4 $1. 1 4 .4 -to' ' 4-4‘ # 444' (1) Chigroup F Indicative terms Term Permanent, with investors holding a specific percentage of shares having ability to seek certain liquidity events beginning after two years Investment period 18 months Management fee None — the company is internally managed and will bear its G&A load Minimum commitment $5mm. though the Company reserves the right to accept subscriptions of lesser amounts Distributions Required to distribute to its stockholders each year at least 90% of taxable income Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 16 EFTA00607194 Proton therapy bonds Area of expertise: Private markets Theme: Sources of current income Overview — The Provision Center for Proton Therapy (PCPT) is an ancillary healthcare facility providing cutting edge proton therapy treatment to cancer patients in Knoxville, Tennessee — The bonds were issued through the Health, Education & Housing Facilities Board of the County of Knox, Tennessee with a 20 year fully amortizing term maturing in 2034. They are secured by a first mortgage on all property, plant and equipment comprising the project as well as a pledge of gross revenues — The amortization profile of the bonds provides a WAL of 6 years for the 2025 bonds and 16 years for the 2034 bonds — Debt service coverage ratio is expected to climb to 1.75x by the end of 2015 — Risks: Interest rate risk, credit risk of issuer, medical reimbursement risk Implementation Bond structure: Maturity Par/mm Coupon Average life Turbo A/L 5/1/2034 5/1/2025 75.60 53.97 15.25% 1 11/4/2020 I 6.00% 9/19/2030 8/1/2020 — Unlevered, the bonds provide a tax exempt return of approximately 5-6% with upside potential once the project is stabilized — The tax exempt municipal bonds backed by the fully stabilized proton therapy center in Jacksonville, FL, recently traded at 3.60% yield to worst, illustrating the value the market assigns to a stabilized project — Applying TRS leverage, an investor can receive mid to high teens in taxable interest — For investors that value the tax exempt income, DB can utilize a Senior/Sub trust structure to achieve low double digit tax exempt yield Credit strengths Timeline Business model Protected market share Management team Operating results Project completed on time and budget. Ramp-up accelerating with all three initial treatment rooms operational, partially mitigating stabilization risk Requires 8.8% market share (515 annual patients) of primary service area proton-eligible patients to reach breakeven, and just 2.3% when extended to secondary service area Provided through restrictive state certificate of need process. Strong location on a mature cancer-care medical campus shared with clinical partners. Nearest competitor over 500 miles away Considerable experience managing new medical technologies from both a facilities management and reimbursement development standpoint Impressive YTD operating results with the May through July period producing above budget patient volume, net patient revenues and cash collections, offsetting initial ramp off softness Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 17 EFTA00607195 Financial assets transaction types Structured finance: an overview Area of expertise: Structured finance and lending Theme: Transitional capital Overview - DB Structured Credit team works on a fully integrated basis with the entire Structured Credit group to provide financing, structuring and risk management solutions for clients with capital needs that are not well served by traditional banking products — Through a continued partnership with KCP, Client Coverage and Structuring, the DB Structured Credit team is able to provide innovative financing solutions to an expanding universe of investors and clients - As of 9/29/14 the group has closed over 25 deals and deployed over $4.5bn of capital' — Risks: loss of capital, adverse movement of underlying asset value Corporate credit transaction types — High growth debt & equity upside — Turnarounds — Complex contract monetization — Trophy asset financing with complex collateral pool — Transformational financings (novocure cancer therapy, renovation) — Financing acquisition of assets out of bankruptcy — Bridge to event Natural resources transaction types — Oil and gas producers — Mature field acquisitions: stretch first lien + second lien — New developers: PUD margin loans — Securitization: rated ABS distributed to Capital Markets — Logistics and infrastructure: structured PF debt — Metals & mining: refinancing of combined equipment finance, contract monetization, cash flow lending DB Structured Credit - Esoteric securitization (franchises, royalties, broadcast/wireless towers, ground leases, license fees, long- term service contracts, vendor loans, rental contracts) — Purchases of portfolios of hard asset leases (containers, aircraft, rail cars, ships) - Single asset financings (loans against concentrated distressed debt positions and concentrated private equity) (1) DB Structured Credit release Deutsche Asset & Wealth Management Hard assets transaction types — Aircraft & components — Rail cars and rail lines — Marine assets (container, cargo ships, drill ships) — Auto/truck fleets — Energy: solar, wind, biomass For U.S. Key Client Partners (KCP) Clients Only 18 EFTA00607196 Structured finance: corporate credit transactions Area of expertise: Structured finance and lending Theme: Transitional capital Recapitalization on gas station properties Mir Resort lease monetization Overview: — Senior loans, — This existing using — Allows mezzanine — -300 barriers Terms: secured credit solution consisting of first, second and third lien non-revolving secured by the assets of the borrower and subsidiaries transaction appealed to the owner because it would allow (i) the refinancing term and subordinated debt and (ii) the payment of a dividend to equity holders the residual proceeds from the new facility the owner to consolidate multiple facilities and remove an expensive piece debt underlying gas stations provide a unique, diversified, recession-proof asset to entry term of all by of with high Overview: — Terms: Senior financing to borrower secured by contracted lease payments from a credit- worthy counterparty to conduct the operations at the resort owned by the borrower Financing amount -$300mm Tenor 4 years + 1 year option to extend Economics Mid single digits Financing amount -$260mm Medical device company — pre-IPO financin g Tenor 5 years Overview: — Terms: Senior secured debt to venture capital- backed company seeking to expand clinical trials and provide liquidity prior to a potential IPO Undrawn fee 2% per annum on any undrawn proceeds under the facility Security First, second and third lien secured by priority interests on all the assets of the borrower and the applicable subsidiaries Financing amount -$50mm Tenor 3 years Indicative interest rate First lien: L + 4.75% Second lien: L + 8.00% Third lien: L +14.00% Economics Mid teens Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 19 EFTA00607197 Equity bridge financing for financial sponsors Area of expertise: Structured finance and lending Theme: Transitional capital Overview — Before realizing synergies, financial sponsors are often required to inject a large amount of capital to finance the acquisitions of target companies or the construction of hard assets (ships, aircrafts, mines, power plants, pipelines, large properties, etc.) — Equity bridge financing funds a large percentage of the capital contribution required for these projects while also offering delayed capital investment by the financial sponsor (until permanent financing available at higher LTVs), higher IRRs and multiples of capital, and lower operational intensity with fewer draws — DB Structured Credit can syndicate this bridge loan credit, offering investors the asset side of the transaction with higher yields on a market- comparable underlying credit — Risks: loan default, potential loss of full investment Case study: transportation assets liquidity financing — DB provided delayed draw term financing to a portfolio company of a large US private equity fund — The financing was used to fund almost 100% of the capital contribution required for the construction and acquisition of shipping vessels — The facility benefits from the credit support of various Sponsor funds. Each fund is required to maintain a certain amount of unfunded commitments to meet its credit support obligations — Direct recourse to Sponsor's funds allows meaningfully tighter pricing and the efficient structure allows the Sponsor to effectively bridge the capital contributions required for the acquisition and construction of the vessels until permanent financing is available at a higher LTV (and thus better IRRs) — While providing benefits to the Financial Sponsor, these facilities also become opportunities for investors to participate in an economically compelling, recourse investment with an advantageous risk/reward profile Financing amount $100mm Draw conditions — Prior written notice of borrowing — Accuracy of representations and warranties — Absence of default Tenor 3 years Economics Low-mid single digits Covenants — Limitations on distributions and additional indebtedness — Minimum liquidity & maximum leverage Security Credit supported by various funds of the Sponsor Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 20 EFTA00607198 Harvesting volatility risk premia in commodities: DB Brent Short Volatility II index Area of expertise: Capital Markets Theme: Current tactical ideas Overview — Rationale: Historically, the uncertainty risk (implied volatility) priced in by market participants tends to overestimate the realized risk (realized volatility) — Commodity markets are said to exhibit one of the highest volatility risk premia across markets. partly caused by risk management activities of consumers and producers) — DB's offering of algorithmic Short Volatility Strategies allow investors to monetize this implied/realized spread in different commodities — DB Brent Short Volatility Strategy offers investors a simple and convenient vehicle to monetize the implied volatility premium in Brent Crude. This strategy is available for WTI crude and other commodities such as Gold, Copper, Nickel and Natural Gas Implementation — Description: DB Brent Short Volatility II strategy aims to capture the differential between implied and realized volatility in the Brent crude oil market by systematically selling straddles and subsequently delta hedging these straddles — The index is constructed as an equally weighted average of 3 sub-indices, each rolling on different dates in order to minimize path dependency and keep an (almost) constant volatility duration exposure at all times — On the relevant quarterly roll date, each sub-index sells an equal number of call and put options — Every day the delta position implied by these options is hedged by buying the delta amount of underlying futures at market close — Profit and loss from each sub index is the sum of: — Product of number of options sold on previous rebalance date and the change in option price from the previous day, for both the call and put — Product of number of options sold, the implied delta position on previous day and the change in underlying future price from previous day Commodity markets offer persistent implied/realized premium2 Implied vc Realised Premium (long-term).; Brent crude oil W11 crude oil Natural Gas Aluminium Copper Nickel Gold Silver 5.52% 3.30% 3.19% 1.32% 0.93% 1.40% 1.10% -0.55% Implied vc. Realised Premium (since 2010) 6.67% 4.84% 1.23% 1.65% 4.02% 2.72% 0.84% -0.98% Index returns4 400 300 200 100 0 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-I3 Jan-td DDB Brent Short voiatiity II - SW 500 (1) Academic Background: Pinco Viewpoint (2012). 'The Volatility Risk Premium' (2) Figures in the table represent the 3m implied volatility risk premium. Historical implied volatility based on DB internal data. 'Data since 1999 for energy. 1997 for ildustrial metals. 2003 for precious metals and 2007 for agriculture: data intil June 2014 (3) Data since 1999 for energy. 1997 for industrial metals. 2003 for precious metals and 2007 for agriculture: data until June 2014 (4) Soiree: Bloomberg. DB Brent Shod Volatility II Index has been retrospectively calculated and did not exist prior 10 04 March 2014. Accordingly. the results shown during the retrospective periods do not reflect actual returns. Past performance is not necessarily indicative of how the index will perform in the future. The performance of any investment product based on the DB Brent Short Volatility II Index have been lower than the Index as a result of fees and / or costs. Statistics shown are for excess return incbces except 500 (SPTR cindex,), which is a total return index. Data is as of 14 Oct 2014 Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 21 EFTA00607199 Harvesting volatility risk premia in commodities: DB Brent Short Volatility II index (cont.) Area of expertise: Capital markets Theme: Current tactical ideas 1 Index summary — Transparent: the strategy is fully transparent as it is based on listed option prices — Market Neutral: the strategy is constructed using a basket of options and implies limited directional exposure to Brent front month prices — Rebalancing: the index is rebalanced every year to provide equal exposure over the course of the year — Embedded Cost: index cost is embedded in the after cost implied volatility calculation — Transparency: rules-based index with the closing level published on Bloomberg page DBCMBSV2 <index> — Risk: losses , and mark to market losses , resulting from increase in volatility Comparative performance analysis' Year on year performance comparison' Jan 2008 - Oct 20142 DB Brent Short Volatility II S&P 500 Calendar Year Annual Returns for Excess Return Indices DB Brent Short Volatility II S&P 500 Annualized Returns Volatility 21.4% 12.8% 6.0% 23.3% Sharpe Ratio 1.67 0.26 2008 -25.95% -37.00% Maximum Drawdown -27.2% -52.5% Start Date Jan-08 Dec-07 2009 83.19% 26.46% End Date Dec-08 Mar-09 2010 30.65% 15.06% Max Monthly Consecutive Loss -19.6% -29.6% 2011 22.60% 2.11% Start Date Sep-08 Sep-08 End Date Dec-08 Nov-08 2012 38.04% 16.00% Max / MM Returns Rolling 12 Months 83.7% / -25.9% 72.3% / -47.5% 2013 20.22% 32.39% Rolling 3 Months 25.8% / -20.6% 40.4% / -40.9% Average Monthly Returns 1.7% 0.7% 2014 YTD 3.50% 3.22% 0/0 Months with Gains 71.6% 64.2% Annualized Return 21.40% 5.98% Correlation S&P 500 0.28 1.00 (1) Source: Bloomberg. DB Brent Short Volatility II Index has been retrospectively calculated and did not exist prior to 04 March 2014. Accordingly. the results shown cluing the retrospective periods do not reflect actual returns. Past perlormance is not necessarily indicative of how the index will perform in the future. The performance of any investment product based on the DB Brent Short Volatility II Index have been lower than the Index as a result of fees and / or costs. Statistics shown are for excess return indices except S&P 500 (SPTR e:ricico›). wtich is a total return index. Data is as of 14 Oct 2014 Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 22 EFTA00607200 CLO mezzanine debt Area of expertise: Capital markets Theme: Structural solutions L Overview — Bank loan strategies have grown in popularity due to the unique features of the asset class (i.e. senior secured status and attractive cash coupons) - Investors recognize that the yield and stability of bank loans offer a prime opportunity to apply leverage and generate higher returns - CLO mezz is a floating rate product, so the coupon will rise with short term rates - CLO mezz offers high spread levels vs. loans and similar assets: — CLO 1.0 (pre-crisis) mezz offers upside in the event of deals being called, and ratings upgrades due to deleveraging of the deals and fast prepayment rates — At current levels CLO 2.0 (post crisis) mezz spreads carry the widest spreads vs. other structured products, relative to ratings — Risks: default of underlying collateral, credit risk of manager, liquidity risk Implementation — vehicle 1 Buy Ba2 ACAS CLO debt — American Capital, Ltd. "ACAS" is a leading manager of alternative assets, with an AUM of $93bn' — The Leveraged Finance Group of American Capital -LGG" manages syndicated corporate debt for ACAS with $1.5bn in CLO debt and equity2 CLO: — This is vanilla CLO managed by ACAS, arranged by DB — It is risk retention compliant, meaning ACAS retains an economic interest of at least 5% of the deal balance in the equity tranche of the CLO — We believe this feature adds value versus other U.S. CLOs as it shows an alignment of interest between the manager and investor — I Ills llal I lie is d lux IOIatel i VOA 70 vet- - lithe' wizeu Indicative Terms Ticker ACASC 2014-1A E Size $9.5mm Offer 90.50px Model Discount Margin° 650-680bps (dependent on call date) Rating Ba2/BB Coupon 3 month Libor + 495bps Maturity 7/18/26 legal final. 6-8.5 year WAL expected Yield to maturity -8.5% (1).(2) As of 12+31/13 (3).(4) As of 312013 (5),(6) Fixed spread over swap discount curve Deutsche Asset & Wealth Management mplementation — vehicle 2 Buy BB INGNOYA CLO debt — Voya Alternative Asset Management (previously ING U.S. Investment Management), is a leading manager of alternative assets with an AUM of $213bn3 — The Senior Loan Group consists of a team of 27 investment professionals and 25 support staff. It manages $19bn in assets in its portfolio that includesl9 CLOs° CLO: — This is a short deal from INGNOYA, a conservative manager — It has significant subordination vs. other new issue CLOs (approaching subordination of an Investment Grade bond) — This tranche is approximately 110.0% over-collateralized — Its reinvestment period is over and is de-leveraging rapidly Indicative Terms Ticker INGIM 2011-1A D Size $5.0mm Offer 99.97px Model Discount Margins 451bps Rating Ba2/BB Coupon 3 month Libor + 450bps Maturity 6/22/21 legal final, 2.5-3 year WAL expected Yield to maturity -6.2% For U.S. Key Client Partners (KCP) Clients Only 23 EFTA00607201 Short duration CLO mezzanine debt Area of expertise: Capital markets Theme: Structural solutions C Overview — The US CLO market is becoming more open to creativity in deal structures and investment strategies — Strong demand for seasoned CLO deals has inspired the creation of short duration CLOs — DB is a pioneer in this space, having launched the first short duration CLO in the U.S. market in May 2014 for the leading credit manager, Ares Management Characteristics of short duration CLOs Short duration CLOs combine the best features of 1.0 and 2.0 CLOs, and offer an attractive alternative versus CLO 1.0 or refinanced 2011/2012 CLO bonds: — Very little or no reinvestment period, and one year non-call period — Capped amend-to-extend activity and capped reinvestment of prepayments gives more certainty over debt and equity life when compared to typical CLOs — These deals are debt friendly and simplified (no issuer repurchase of notes nor modification of weighted average life rule) — Risks: default of underlying collateral, credit risk of manager, liquidity risk Pre Credit Crisis Post Credit Crisi 3-5 years —2 years Launch Non-Call Period Reinvestment Period Final Maturity WAL 6-7 years 3-4 years 14-16 years 1-4 years (depending on amortization) 11-12 years 6-8 years 2014 1 year 1 year 10 years 5 years Implementation Buy BBB Regiment Capital Cavalry V short duration CLO debt — Regiment Capital Advisers is a Boston based independent investment manager WAL/ years Price talk Spread talk' (bps) — It was formed in 1999 by several principals who had provided A [Aaa] $ 244,000,000.00 66.35 ' 2.8 Par 137- 1 investment management services to Harvard Management Company B [Aa2] $ 35,750,000.00 9.72 5.1 99 235 — Regiment team members have an average of over 20 years of C [A2] $ 18,000,000.00 4.89 5.1 97.5 330 experience in the leveraged credit markets - Its investor base is diverse and is comprised of endowments, [8aa2] $ 14,000,000.00 3.81 5.1 96.5 430 foundations, insurance companies, pension funds, and family offices E 03a2] $ 20,000,000.00 5.44 5.1 96.5 630 — Regiment manages $1.3bn in structured products, with a total AUM of $3.8bn' Eq NR $ 36,000,000.00 9.79 N/A n/a n/a $ 367,750,000.00 100.0 (1) As of 09/15:14 (2X3)"Price talk' and "Spread Talk' refer to estimates. provided by DB's Syndicate team. of the prices and spreads expected for the bonds on the primary market Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 24 EFTA00607202 Hedging and monetization Area of expertise: Capital markets Theme: Sources of current income and risk management Strategy Zero Premium Collar Put Spread Collar Variable Delivery Forwards (VDFs) Covered Call Description Customized equity collars can be created to protect value and provide continued exposure to a stock position Implementation: Client purchases a put option and sells a call of equivalent value Collars can be customized to create a risk profile that protects only a strategic portion of the hedged stock's value, which may allow for an increase in upside participation beyond a standard collar Implementation: Client purchases a put, sells a lower put and also sells a call Variable Delivery Forwards ("VDF") are used to monetize a client's position such that the cash proceeds can be freely invested without any limitations Implementation: Collar structure with upfront payment of proceeds of a future sale of the stock Covered calls can create or enhance yield from an underlying stock position, while participating in price gains up to the call price Implementation: Client sells calls on his long position Implementation Advanta • es Terminal Payout Current Price Put Sinks_ utock Price Noll! Los Gin Seiko Current Price Stock Price 0. 44: Cuneol NCO Po SUII ip StOCk Mee Cal NOM LOSS Current Price Stock PACO Risks: OTC Derivative transactions Involve numerous risks including market, counterparty default and illiquidity risk. In certain transactions you could lose your entire investment or incur unlimited loss Deutsche Asset & Wealth Management Gn .S:i“c — Upside participation up to call strike — Downside protection below put strike — Potential for higher upside participation versus standard collar — Moderate downside protection — Downside protection — Upside participation to threshold level — Immediate liquidity and potential for diversification i p1 Disadvantages — Upside is capped — Some downside exposure — Investor remains undiversified — Upside is capped — Moderate downside protection — Investor remains undiversified — Upside is capped — Some downside exposure possible — Potential option cost within structure — Moderate liquidity — Upside is capped — Downside protection to — No downside extent of premium protection beyond received premium received — Investor remains undiversified For U.S. Key Client Partners (KCP) Clients Only 25 EFTA00607203 Hedging and monetization: case study Area of expertise: Capital markets Theme: Sources of current income and risk management Overview — An investors holds 70% of their net worth in XYZ currently trading at $25.00 per share — Client has a long-term bullish view on XYZ but is concerned about a general market pullback — Client recognizes the need to diversify their portfolio — Client is interested in generating income since the stock pays no dividend Solution Solution part 1: zero -premium collars — Objectives: protect value, upside participation — Solution: zero-premium collar on 100,000 shares 53' 00 O $29.00 '0 O $27.00 ▪ $25.00 $1800 $17.00 $15.00 Protected Value <— Current stock price a 4- $15 00 $1800 $21.00 $24.00 $27.00 $30.00 Stock price $33.00 $3100 — Put strike 85% ($21.25), call strike 115% ($28.75) — Full downside protection below the put-strike and appreciation up to the call strike Solution part 2: VDFs — Objectives: protect value, monetization, upside participation — Solution: VDF on 100,000 shares — The VDF provides downside protection and capped upside protection, similar to a collar while monetizing the protected value Structure PV of floor level Cost of o • Lion U•front •a ment 1 year 85-115% 84.00% 0.00% 84.00% 1 year 85.125% 84.00% 2.00% 82.00% 1 year 100-125% 98.80% 8.00% 90.80% Underlying stock 4. hedge $35.00 133.00 lifear 85% -125% $31.1x — I.year 100% -125% $29.00 $25 00 ' $2300 ' $21 .00 $19.00 $17.00 $15.00 $10.00 $13.00 $18.00 $19.00 $22.00 Stock price •‹—Current stock price $25.00 $28.00 $31.00 $34.00 Risks: OTC Derivative transactions involve numerous risks including market, counterparty default and illiquidity risk. In certain transactions you could lose your entire Investment or incur unlimited loss Deutsche Asset & Wealth Management For U.S. Key Client Partners (KCP) Clients Only 26 EFTA00607204 7 1 Disclaimer THIS MATERIAL IS INTENDED FOR INSTITUTIONAL CUSTOMERS ONLY AS DEFINED BY FINRA 4512C. The trading and investment ideas discussed herein are general and do not take into account an institutional client's particular circumstances (including tax situation), investment guidelines, investment goals. restrictions or needs. Deutsche Bank ("DB") is not acting as a legal. financial. tax or accounting adviser or in any other fiduciary capacity with respect to any proposed transaction(s) mentioned herein. This document does not constitute the provision of investment advice and is not intended to do so, but is only intended to be general information. 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