EFTA01097458.pdf

For Key Client Partners ("KCP") Americas Only. FOR INSTITUTIONAL INVESTORS ONLY. NOT FOR FURTHER DISTRIBUTION. DB Brent Short Volatility II Index October 2014 A Passion to Perform. Deutsche Bank El EFTA01097458  DB Brent Short Volatility II Index Summary ■ Rationale: Historically, on average Brent implied volatility has been higher than subsequent realized volatility. In other words, historically implied volatility has priced at a premium. This may be because of corporate hedging flows. DB Brent Short Volatility Strategy offers investors a simple and convenient vehicle to monetize the implied volatility premium. ■ Description: The DB Brent Short Volatility II strategy aims to capture the differential between implied and realized variance in the Brent crude oil market by systematically selling straddle 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 (t_r), each sub-index sells 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 future 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 previous day, for each of 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 ▪ Option prices are calculated using Black-Scholes model using an after cost implied volatility (etc) ▪ Option strike is the closest integer strike to the at the money future price on a quarterly roll date • a tAC = at — max(4% a , 0.75%); where at is the volatility calculated using the exchange published option prices 2 Deutsche Bank EFTA01097459  DB Brent Short Volatility II 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 no directional exposure to Brent front month prices ■ Rebalancing: The index is rebalanced every year to provide equal exposure to the 3 sub-indices once a year. The rebalance date is the Brent December contract option expiry date. ■ Embedded Cost: Index cost is embedded in the after cost implied volatility (otc) calculation ■ Transparency: Rules-based index with the closing level published on Bloomberg page DBCMBSV2 <index> 3 Deutsche Bank EFTA01097460  DB Brent Short Volatility II Index Construction Brent Contracts Brent Contracts Brent Contracts (January. April. July. (February. May. August. (March. June. September. October) November) December) Roll Dates Short position in 3-month straddles on the respective Roll Dates ■ 3 business days prior to option expiry of the current contract ■ Dynamic delta hedging on the options Hedge by buying delta amount of Brent futures Sub Index I Sub Index II Sub Index III Rebalancing ■ Rebalanced to equal weights every year on the option expiry of December contract DB Brent Short Volatility II Deutsche Bank EFTA01097461  DB Brent Short Volatility II Performance Analysis Index Returns Year on Year Performance Comparison' 400 Annual Returns for Excess Return Indices DB Brent Short S&P 500 Calendar Year Volatility II 300 2008 -25.95% -37.00% 200 2009 83.19% 26.46% 100 2010 30.65% 15.06% 2011 22.60% 2.11% 0 Jan-08 Jan-09 Jan-10 Jan-11 Jan-12 Jan-13 Jan-14 2012 38.04% 16.00% -DB Brent Short Volatility II —S&P 500 2013 20.22% 32.39% Performance Analysis' 2014 YTD 3.50% 3.22% Jan 2008 — Oct 20142 DB Brent Short Volatility II S&P 500 Annualized Return 21.40% 5.98% Annualized Returns 21.4% 6.0% Volatility 12.8% 23.3% Sharpe Ratio 1.67 0.26 Maximum Drawdown •27.2% 52.5rs: Stan Date Jan-08 Dec-07 End Date Dec•08 Mar•09 Max Monthly Consecutive •19.6% -29.6% Loss Stan Date Sep•08 Sep•08 End Date Dec•08 Nov-08 Max / Min Returns Rolling 12 Months 83.7% / -25.9% 72.3%!.47.5% Rolling 3 Months 25.8%1.20.6% 40.4%!.40.9% Average Monthly Retums 1.7% 0.7% %Months with Gains 71.6% 64.2% Correlation S&P 500 0.28 1.00 Note: 1 Source: Bloomberg. DB Brent Short Wittig II Irelex has bean retroscadively calculated and did not exist prior lo 04 Mardi 2014. Accordingly. tux results shown during the retrospectiveperiods 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 0 Index have been lower than the Index as a result of lees and for costs 2 Statistics shown are tor excess return indces except S&P 5OD (SPTFkindex>). vrhidi is a total return index. Data is as of 14 Oct 2014 Deutsche Bank EFTA01097462  DB Brent Short Volatility II Monthly Returns 2008 2009 2010 2011 2012 2013 2014 January 1.76% 11.44% 3.76% -0.21% 7.75% 5.47% 1.28% February -4.35% 5.77% 0.72% -0.86% 0.80% 1.80% 2.90% March -3.37% 0.55% 3.43% 2.78% 3.62% 3.74% 0.53% April 1.05% 9.37% 2.62% 3.30% 6.01% -3.33% 0.05% May -1.62% 9.03% -4.29% -4.90% -1.33% 1.02% 4.11% June -1.70% -0.05% 2.95% -1.90% 0.46% 0.63% -0.57% July 0.19% 2.35% 3.07% 3.32% 1.70% 2.30% -0.37% August 0.01% 4.59% 1.71% -0.56% 2.09% -1.37% 0.40% September -7.19% -1.49% 7.28% 0.74% 2.42% 4.55% -2.04% October -6.96% 7.91% 0.46% 7.50% 4.16% 1.77% -2.65% November -0.57% 3.48% 1.31% 3.47% 2.62% -0.43% December -6.34% 10.12% 4.44% 8.68% 2.69% 2.73% Calendar Year -25.95% 83.19% 30.65% 22.60% 38.04% 20.22% 3.50% Note: 1 Source: Bloomberg. 00 Brent Short Vastiity II Index has been retrospectively calculated and did not exist prior lo 00 March 2014. Accordingly, the results shown during the retrospective periods de not reflect actual returns. Past performance is not recessargy indicative ol how the Index will perform in the future. The performance of any investment product based on the DB Brent Short vdatimy II keex have been lower than the Index as a result of lees and for coals Deutsche Bank O 2 Statistics shown are ter excess return index. Data is as of 14 Oct 2010 6 EFTA01097463  Risk Considerations ■ The information contained in this presentation does not provide personal investment advice. You should consult with independent accounting, tax, legal and regulatory counsel regarding such matters as they may apply to your particular circumstances Strategy Risk ■ Commodities are speculative and highly volatile and the risk of loss from investing in financial instruments linked to commodities or commodity indices can be substantial ■ The DB Brent Short Volatility Index shorts Brent volatility. Realized volatility might be much higher than Implied Strikes, leading to a big drawdown in the index. In theory, losses in the index are uncapped. Furthermore, realized volatility might be high and the index might decline at the same time as mainstream investments like DJUBS and SPX are declining. Past Performance ■ An index's performance is unpredictable, and past performance is not indicative of future performance. We give no representation or warranty as to the future performance of any index or investment ■ Some of the indices described herein have very limited performance history Backtesting ■ Backtested, hypothetical or simulated performance results discussed herein have inherent limitations. Unlike actual historical performances, simulated results are achieved by means of the retroactive application of a backtested model itself designed with the benefit of hindsight. Taking into account historical events, the backtesting of performance also differs from actual account performance because an actual investment strategy may be adjusted any time, for any reason, including a response to material, economic or market factors. The backtested performance includes hypothetical results that do not reflect the deduction of advisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid. Past hypothetical backtest results are neither an indicator nor guarantee of future returns. Actual results will vary, perhaps materially, from the analysis contained herein 7 Deutsche Bank EFTA01097464  Disclaimer MARKETING MATERIAL THIS MATERIAL IS INTENDED FOR INSTITUTIONAL CUSTOMERS ONLY. 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