Issuer Free Writing Prospectus Bloomberg Ticker: SPGRCUUT Filed Pursuant to Rule 433 Reuters Ticker: .SPGRCUUT Registration Statement No. 333-137902 Dated August 4, 2009 S&P U.S. Carbon Efficient Index Benchmark Performance With Lower Carbon Emissions July 31 2009 Presentation The S&P U.S. Carbon Efficient Index was launched on March 9, 2009. Accordingly, the Index performance from September 17, 2004 to March 6, 2009 shown in this presentation does not reflect the performance of the actual Index, but has been back-calculated on a retrospective basis by Standard & Poor's. The Index did not exist during the period of retrospective calculation, and past performance is not indicative of how the Index will perform in the future. A Passion to Perform. DB Logo p00 |
Carbon Emissions Growing Impact Everywhere o It is widely believed that CO2 emissions are causing global warming and [GRAPHIC OMITTED] climate change with far reaching negative impact to the planet o Potential Effects on Environment: [GRAPHIC OMITTED] - Substantial temperature increase and sea-level rise by end of century - Glacial retreat: Glacier National Park had 27 glaciers in 2007 versus 150 in 1910 and it is speculated that Himalayan glaciers could disappear by mid century - Rising levels of CO2 in oceans will harm aquatic life and ecosystems; many species are threatened due to rising sea temperatures - Severe storms and weather patterns causing destruction of property and crops o Potential Effect on Humanity: [GRAPHIC OMITTED] - Millions of homes around the world may be flooded by rising sea levels - Underdeveloped nations may face armed conflict and riots over shortages of resources and food Sources: Wikipedia, National Geographic Magazine, The Telegraph DB Logo page 1 |
Low Carbon Indices Have Been Unsuccessful Thus Far o Existing Carbon Indices have underperformed their equity benchmarks - There has been negative alpha in most long-only Carbon Indices - Some European Low Carbon Indices have underperformed by more than 20% since 2004 - Investors have been unwilling to forgo performance in order to be "green" o Carbon Index "Trackers" have recently been introduced in Europe - These indices include all benchmark companies - overweight Low Carbon companies and underweight high carbon companies - Resulting performance is in line with benchmark but only marginally lower carbon footprint o How can market performance be delivered with a meaningfully lower Carbon Footprint? DB Logo page 2 |
S&P U.S. Carbon Efficient Index Market Performance with a Carbon Efficient Perspective o S&P U.S. Carbon Efficient Index aims to closely track S&P 500 performance with a lower Carbon Footprint and Greenhouse Gas emissions o A "Green" alternative/complement to the S&P 500 benchmark - Very high correlation to S&P 500 (0.99) - Historically close tracking to S&P 500 performance since 2004 (1.1% annualized tracking error) - 45% lower Carbon Footprint (higher energy efficiency) compared to S&P 500 - 60% lower Greenhouse Gas emissions (total emissions tonnage per year) o S&P U.S. Carbon Efficient Index was developed in collaboration with Deutsche Bank and Trucost, the market leader in company Carbon Footprint analysis DB Logo page 3 |
S&P U.S. Carbon Efficient Index Executive Summary o An index of up to 375 of the lowest Carbon Footprint companies from the S&P 500 - Carbon Footprint measured by Trucost PLC, an industry leader in providing detailed Carbon Footprint analysis worldwide - The Index excludes "worst" polluters from the S&P 500 (reduces overall Carbon Footprint) - No more than 50% of an S&P GIC Sector can be excluded(1) (minimize tracking error) o Index constituents are re-optimized quarterly to track the S&P 500 - Northfield Optimizer used to create the optimal number of constituents and their weights within the Carbon Index - Optimizer is completely quantitative and contains no discretion or subjectivity o Owned and calculated by Standard & Poor's, developed in collaboration with Deutsche Bank o Deutsche Bank has been granted a period of worldwide exclusivity on Structured Products and ETFs on the Index (1)During the exclusion process, a company can be eligible for the Carbon Index if the current total excluded percentage of a sector is below 50% and the company's incremental S&P weight causes the excluded percentage of its sector to exceed 50% but not 55%. DB Logo page 4 |
S&P U.S. Carbon Efficient Index Methodology A quarterly process maintained by Standard & Poor's [GRAPHIC OMITTED] (1)During the exclusion process, a company can be eligible for the Carbon Index if the current total excluded percentage of a sector is below 50% and the company's incremental S&P weight causes the excluded percentage of its sector to exceed 50% but not 55%. DB Logo page 5 |
Carbon Reduction Analysis Annual Carbon Footprint Comparison (GHG Emissions / Annual Revenues) [GRAPHIC OMITTED] DB Logo page 6 |
Carbon Reduction Analysis Annual Total Carbon Emissions (Total GHG Emissions Tonnage) [GRAPHIC OMITTED] Source: Standard & Poor's, Trucost PLC DB Logo page 7 |
S&P U.S. Carbon Efficient Index Historical and retrospective index levels vs. S&P 500 TR Index [GRAPHIC OMITTED] S&P U.S. Carbon Efficient Index has been retrospectively calculated and did not exist prior to March 9, 2009. Accordingly, the results shown during the retrospective periods are hypothetical and do no 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 Index would have been lower than the Index as a result of fees and/or costs. Source: Standard & Poor's, Bloomberg DB Logo page 8 |
S&P U.S. Carbon Efficient Index Historical and retrospective annual returns vs. S&P 500 TR Index [GRAPHIC OMITTED] S&P U.S. Carbon Efficient Index has been retrospectively calculated and did not exist prior to March 9, 2009. Accordingly, the results shown during the retrospective periods are hypothetical and do no 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 Index would have been lower than the Index as a result of fees and/or costs. 2004 return is from Index Inception Date of September 17, 2004; Annualized return is over entire period from September 17, 2004 Source: Standard & Poor's, Bloomberg DB Logo page 9 |
S&P U.S. Carbon Efficient Index Historical and retrospective annual tracking error vs. S&P 500 TR Index [GRAPHIC OMITTED] S&P U.S. Carbon Efficient Index has been retrospectively calculated and did not exist prior to March 9, 2009. Accordingly, the results shown during the retrospective periods are hypothetical and do no 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 Index would have been lower than the Index as a result of fees and/or costs. 2004 tracking error is from Index Inception Date of September 17, 2004; Annualized tracking error is over entire period from September 17, 2004 Source: Standard & Poor's, Bloomberg DB Logo page 10 |
S&P U.S. Carbon Efficient Index Performance Summary S&P U.S. Carbon Efficient Index - Retrospective Index Levels - ------------------------------------------------------------------------------- [GRAPHIC OMITTED] S&P U.S. Carbon Efficient Index - Summary Analytics - ------------------------------------------------------------------------------- S&P U.S. Carbon S&P 500 Total Efficient TR Index Return Index - ------------------------------------------------------------------------------ Returns 1 Month 7.3% 7.6% 3 Month 12.8% 13.8% YTD 11.0% 11.0% - ------------------------------------------------------------------------------ Annualized Returns 1 Year -21.1% -20.0% 3 Years -6.3% -6.2% Since Inception* -0.9% -0.7% - ------------------------------------------------------------------------------ Annualized Volatility Since 24.2% 24.1% Inception* - ------------------------------------------------------------------------------ Sharpe Ratio Since N/A N/A Inception* - ------------------------------------------------------------------------------ Correlation: S&P 500 Since 0.9989 1.00 Inception* Tracking Error vs S&P 500 Since Inception* 1.1% - - ------------------------------------------------------------------------------ Retrospective Annual Performance vs. Actual S&P 500 Returns - ------------------------------------------------------------------------------- [GRAPHIC OMITTED] Volatility Analysis September 17, 2004 - June 30, 2009 - ------------------------------------------------------------------------------- [GRAPHIC OMITTED] S&P U.S. Carbon Efficient Index has been retrospectively calculated and did not exist prior to March 9, 2009. Accordingly, the results shown during the retrospective periods are hypothetical and do no 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 Index would have been lower than the Index as a result of fees and/or costs. *Inception date for the Index was September 17, 2004 Source: Standard & Poor's, Bloomberg DB Logo page 11 |
S&P U.S. Carbon Efficient Index Monthly Comparisons S&P U.S. Carbon Efficient Index - Simulated Montly Performance - ----------------------------------------------------------------------------- 2004 2005 2006 2007 2008 2009 - ----------------------------------------------------------------------------- Jan -2.17% 2.14% 1.25% -6.22% -8.17% Feb 1.53% 0.28% -1.98% -2.73% -10.74% Mar -1.49% 1.32% 1.01% -0.45% 9.13% Apr -1.82% 0.90% 4.29% 4.63% 10.06% May 3.19% -2.77% 3.37% 1.94% 5.01% Jun 0.26% 0.17% -1.66% -8.25% 0.06% Jul 3.79% 0.86% -3.10% -0.44% 7.33% Aug -0.92% 2.72% 1.58% 1.46% Sep -1.15% 0.40% 2.64% 3.52% -9.08% Oct 1.20% -1.47% 3.16% 1.70% -17.45% Nov 3.84% 4.00% 2.03% -4.54% -7.68% Dec 3.22% 0.12% 1.89% -0.79% 1.06% - ----------------------------------------------------------------------------- Annual 7.22% 5.28% 16.32% 4.31% -37.15% 11.04% - ----------------------------------------------------------------------------- S&P U.S. Carbon Efficient Index - Monthly Excess Return vs. S&P 500 - ------------------------------------------------------------------------------ 2004 2005 2006 2007 2008 2009 - ------------------------------------------------------------------------------ Jan 0.26% -0.50% -0.26% -0.22% 0.26% Feb -0.57% 0.01% -0.02% 0.52% -0.09% Mar 0.28% 0.08% -0.11% -0.02% 0.37% Apr 0.08% -0.45% -0.14% -0.24% 0.49% May 0.01% 0.11% -0.12% 0.65% -0.58% Jun 0.12% 0.04% 0.01% 0.18% -0.14% Jul 0.07% 0.24% 0.00% 0.40% -0.23% Aug -0.01% 0.34% 0.08% 0.01% Sep 0.04% -0.41% 0.06% -0.22% -0.17% Oct -0.32% 0.19% -0.10% 0.11% -0.66% Nov -0.21% 0.22% 0.13% -0.36% -0.51% Dec -0.19% 0.08% 0.49% -0.10% -0.01% - ------------------------------------------------------------------------------ Annual -0.72% 0.37% 0.52% -1.18% -0.15% 0.07% - ------------------------------------------------------------------------------ S&P 500 - Actual Monthly Performance - ------------------------------------------------------------------------------ 2004 2005 2006 2007 2008 2009 - ------------------------------------------------------------------------------ Jan -2.44% 2.65% 1.51% -6.00% -8.43% Feb 2.10% 0.27% -1.96% -3.25% -10.65% Mar -1.77% 1.24% 1.12% -0.43% 8.76% Apr -1.90% 1.34% 4.43% 4.87% 9.57% May 3.18% -2.88% 3.49% 1.30% 5.59% Jun 0.14% 0.14% -1.66% -8.43% 0.20% Jul 3.72% 0.62% -3.10% -0.84% 7.56% Aug -0.91% 2.38% 1.50% 1.45% Sep -1.19% 0.81% 2.58% 3.74% -8.91% Oct 1.53% -1.67% 3.26% 1.59% -16.79% Nov 4.05% 3.78% 1.90% -4.18% -7.18% Dec 3.40% 0.03% 1.40% -0.69% 1.06% - ------------------------------------------------------------------------------ Annual 7.94% 4.91% 15.79% 5.49% -37.00% 10.97% - ------------------------------------------------------------------------------ S&P U.S. Carbon Efficient Index Monthly Annualized Tracking Error - ------------------------------------------------------------------------------ 2004 2005 2006 2007 2008 2009 - ------------------------------------------------------------------------------ Jan 0.83% 1.10% 0.64% 1.44% 1.43% Feb 0.80% 0.76% 0.48% 1.39% 1.55% Mar 0.80% 0.73% 0.73% 1.22% 1.44% Apr 1.04% 1.19% 0.53% 1.33% 1.35% May 0.66% 1.08% 0.68% 1.13% 1.24% Jun 0.71% 0.78% 0.64% 1.01% 1.14% Jul 0.69% 0.99% 1.32% 2.02% 1.12% Aug 0.65% 0.62% 1.21% 0.75% Sep 0.77% 0.80% 0.67% 1.83% Oct 0.59% 0.82% 0.62% 1.23% 2.95% Nov 0.70% 0.48% 0.58% 1.25% 2.02% Dec 0.53% 0.60% 0.85% 0.76% 1.87% - ------------------------------------------------------------------------------ Annual 0.65% 0.76% 0.86% 0.89% 1.68% 1.32% - ------------------------------------------------------------------------------ S&P U.S. Carbon Efficient Index has been retrospectively calculated and did not exist prior to March 9, 2009. Accordingly, the results shown during the retrospective periods are hypothetical and do no 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 Index would have been lower than the Index as a result of fees and/or costs. September results shown are from Index Inception Date of September 17, 2004 Source: Standard & Poor's, Bloomberg DB Logo page 12 |
Contacts o Global Markets Structuring - Americas Michael Nadel - T. +1 212 250 8866 o Structured Equity Sales - US T. +1 212 250 9905 DB Logo page 13 |
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