![]() | Strictly Private and Confidential December 2009 Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No. 333-162195 Dated December 18, 2009 Deutsche Bank Commodity Index Enhanced Beta and Alpha Indices December 2009 |
![]() | Commodity Indices Executive Summary o DB Commodity Booster DJUBS 14 TV Index Excess Return (the "DJUBS Booster TV 14") DB Commodity Harvest o 10 Index USD Total Return (the "DB Commodity Harvest TV 10") Appendix o Types of Returns in a Commodity Index o Optimized Yield o Target Volatility o Comparative Statistics o Market Data Sources o Available Optimized Yield Indices o Important Considerations 2 |
![]() | Executive Summary The Evolution of Commodity Markets o Commodities are an asset class in their own right and exhibit unique characteristics such as historically low correlation with traditional asset classes and a positive correlation with inflation o An investment in a commodity index is a simple way for investors to gain exposure to the asset class while insulating them from the mechanics of rolling futures and posting collateral. This transparent, rule-based roll mechanism eliminates human intervention o Deutsche Bank is one of the largest providers of non-benchmark commodity indices with a comprehensive suite of commodity index products aimed at enhancing beta returns and extracting market neutral alpha returns in the commodity space o As the commodity market has evolved, Deutsche Bank has created new indices that may benefit from the special features of the asset class 3 |
![]() | Enhanced Beta and Alpha Indices OPTIMUM YIELD BASED INDEX o Since 2003, investors have been drawn to enhanced beta allocation and alpha strategies using commodity indices. The need for these strategies arises due to several properties that are unique to the commodities asset class. o Managing Roll Returns: Unlike other asset classes, roll returns form a significant part of the overall returns in the commodity complex. Most commodity indices do not react to the changing nature of the commodity term structure. - DJUBS Booster TV 14 Index enables investors to replicate the performance of their commodity benchmark index using Deutsche Bank's proprietary optimum yield ("OY") indices(1). ALPHA GENERATING INDEX o Market Neutral Alpha Returns: The OY methodology enables Deutsche Bank to create non directional, market neutral exposure to commodities. This is done by combining the short exposure to a benchmark commodity index with an equivalent long exposure through replication of that index using the OY methodology. - The DB Commodity Harvest TV 10 Index is designed to provide market neutral stable returns at a controlled volatility level. Note: 1 Please see Appendix for a brief explanation of the roll return. 4 |
![]() | DB Commodity Booster DJUBS 14 TV Index Excess Return (ER) Index Summary Key Features o Composition of DJUBS Booster Index: The DJUBS Booster Index has the same base weights as the DJUBS Index. o Optimizing Roll Returns: The DJUBS Booster Index employs Deutsche Bank's proprietary optimum yield ("OY") technology, which rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months. o Target Volatility: The DJUBS Booster TV 14 Index varies its participation in the DJUBS Booster Index with a view to target a volatility of 14%. o Transparency: The DJUBS Booster TV 14 is a rules-based index with the closing level and weights published daily on Bloomberg (DBCMBTVE) and DBIQ. 5 |
![]() | DB COMMODITY BOOSTER DJUBS 14 TV INDEX EXCESS RETURN INDEX CONSTRUCTION Index replicates the DJUBS Index by using DBLCI-OY sub-indices, thereby providing similar commodity exposure with the benefit of managing roll returns more effectively DJUBS Booster TV 14 Apply Target Volatility Technology o Volatility is targeted at 14% by providing variable exposure to the DJUBS Booster Index DJUBS Booster Apply Optimum Yield Technology o Optimize roll returns by attempting to invest in contracts with the highest implied roll yield DJUBS Precious Industrial Agriculture & Livestock Energy (33%) Metals (10.75%) Metals (20.33%) (35.92%) 6 |
![]() | DB Commodity Booster DJUBS 14 TV Index Excess Return Performance Analysis Index Level (1) Annual Returns (1) 700 60% 600 40% 500 400 20% 300 0% 200 20% 100 0 40% 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 DJUBS Booster TV14 DJUBS BoosterDJUBS DJUBS Booster TV14DJUBS Booster Performance Analysis (1) Historical 12 Month Volatility (1) DJUBS 35% January 1999 - November Booster 2009 TV14DJUBS Booster DJUBS Annualized Returns 15.6% 11.7% 5.3% 30% Volatility 14.7% 15.9% 17.8% Sharpe Ratio 1.06 0.73 0.30 25% Maximum Drawdown -35.0% -54.1% -57.1% Start Date Jul-08 Jul-08 Jul-08 20% End Date NA NA NA 15% Max Monthly Consecutive Loss -32.8% -51.5% -54.5% Start Date Jul-08 Jul-08 Jul-08 10% End Date Feb-09 Feb-09 Feb-09 Max / Min Returns 5% Rolling 12 Months 59.6% / -31.1% 47% / -48.5% 39.9% / -52.7% 0% 7.8% / -23.5% 24.4% / Rolling 3 Months 2 -38.4% 24.7% / -39.7% Average Monthly Returns 1.3% 1.0% 0.6 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 % Months with Gains 66.4% 66.4% 56.5% DJUBS Booster TV14DJUBS Booster DJUBS Correlation DJUBS Booster 0.93 1.00 0.96 DJUBS 0.91 0.96 1.00 Note: 1 Source: Bloomberg. DJUBS Booster and DJUBS Booster TV14 have been retrospectively calculated and did not exist prior to February 27, 2008 and August 8, 2009 respectively. 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 DJUBS Booster TV14 Index would have been lower than the Index as a result of fees and / or costs. 7 Data is as of 30-Nov-2009. Statistics shown are for excess return indices |
![]() | DB Commodity Booster DJUBS 14 TV Index Excess Return Performance Analysis (Cont'd) Monthly Return Analysis (1) 1999 (%) 2000 (%) 2001 (%) 2002 (%) 2003 (%) 2004 (%) 2005 (%) 2006 (%) 2007 (%) 2008 (%) 2009 (%) Jan -2.67 6.10 0.06 -1.60 13.72 3.02 1.94 5.98 -0.08 5.21 -2.03 Feb -4.84 2.07 -0.20 2.58 3.89 8.15 6.44 -6.75 3.31 9.69 -1.47 Mar 11.73 1.90 -4.19 12.14 -7.63 4.37 3.31 2.82 1.08 -4.79 1.75 Apr 4.70 -0.42 3.94 0.97 0.08 -1.94 -4.06 7.26 1.13 2.13 0.29 May -5.46 7.87 -3.39 0.05 5.28 3.61 -0.26 0.42 0.08 2.36 6.67 Jun 5.29 0.22 -4.39 2.35 -1.45 -1.58 4.03 -0.69 -1.00 5.60 -1.29 Jul 1.08 -3.55 1.65 -1.07 1.42 1.68 4.25 2.05 2.38 -7.51 2.22 Aug 7.31 7.50 -2.26 4.56 5.80 0.33 4.73 -1.18 -4.83 -4.36 0.47 Sep 5.57 2.38 -8.56 0.39 1.85 6.59 3.68 -3.40 7.17 -6.89 0.15 Oct -2.22 -5.73 -3.62 1.00 6.93 3.25 -3.41 3.43 4.59 -11.98 2.47 Nov 0.97 6.12 0.14 1.03 2.13 0.72 1.55 5.09 -2.50 -2.80 3.10 Dec 3.43 0.17 -2.47 4.55 8.46 -3.35 5.26 -3.54 4.85 -1.28 - ----------------------------------------------------------------------------------------------------------------------------------- Ann. Rtn.(%) 26.10 26.38 -21.43 29.64 46.67 27.08 30.40 11.01 16.73 -15.61 12.70 Exposure of DJUBS Booster TV 14 to DJUBS Booster (1) DJUBS Booster Index Sector Exposure (1) - --------------------------------------------------------------------- ----------------------------------------------- Sector Current Weight (%) Current Exposure 67.96% Energy 29.00 - --------------------------------------------------------------------- Precious Metal 13.26 Industrial Metal 27.24 Agriculture & Livestock 30.52 Note: 1 Source: Bloomberg. DJUBS Booster TV14 has been retrospectively calculated and did not exist prior to August 8, 2009. Accordingly, results shown during the retrospective period 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 DJUBS Booster TV14 Index would have been lower than the Index as a result of fees and / or costs. Data is as of 30-Nov-2009 8 |
![]() | DB Commodity Booster DJUBS 14 TV Index Excess Return Performance Comparison Annual Returns for Excess Return Indices --------------------------------------------------------------------------------- Calendar Year DJUBS (%) DJUBS Booster (%) DJUBS Booster TV14 (%) 1999 18.60 19.61 26.10 2000 24.21 23.01 26.38 2001 -22.32 -17.06 -21.43 2002 23.86 23.21 29.64 2003 22.66 27.76 46.67 2004 7.64 23.13 27.08 2005 17.54 30.64 30.40 2006 -2.71 12.57 11.01 2007 11.08 16.70 16.73 2008 -36.61 -30.46 -15.61 2009 YTD 16.42 18.54 12.70 - ------------------------------------------------------------------------------------------------------------------ Average Return (%) 5.28 11.69 15.58 Note: 1 Source: Bloomberg. DJUBS Booster and DJUBS Booster TV14 have been retrospectively calculated and did not exist prior to February 27, 2008 and August 8, 2009 respectively. 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 DJUBS Booster TV14 Index would have been lower than the Index as a result of fees and / or costs. Data is as of 30-Nov-2009. Statistics shown are for excess return indices 9 |
![]() | Excess Return vs. Total Return Indices o The DB Commodity Booster DJUBS 14 TV Index Excess Return is an "Excess Return" Index. An Excess Return Index has two sources of return: - Movements in Spot Prices, and - Roll Returns: Commodity indices are made up of futures contracts, and the method in which these contracts are bought and sold as contracts approach expiry is called "Rolling". Depending on the prices in the futures market, there may be gains and losses associated with this rolling process, known as "roll returns." o The DB Commodity Harvest - 10 Index USD Total Return is a "Total Return" Index. A Total Return Index has three sources of return: - Movements in Spot Prices: while it is true in general that a Total Return commodity index would have exposure to movements in commodity prices, since the DB Commodity Harvest - 10 Index USD Total return is a long-short index, it is not affected by movements in spot prices. The gain on the long leg due to movements in spot prices is offset by the loss on the short leg and vice versa. - Roll Returns, and - Collateral Return: 3-month T-bill return earned on notional tied to the index 10 |
![]() | DB Commodity Harvest - 10 Index USD Total Return (TR) Index Summary Key Features o Market Neutral Strategy: The DB Commodity Harvest Index goes short the S&P-GSCI Light Energy Index and long the DB Commodity Booster - Benchmark Light Energy Index, an Optimum Yield version of the S&P - GSCI Light Energy Index, in an attempt to provide market-neutral exposure, and to generate returns from DB's optimum yield technology. o Optimizing Roll Returns: Deutsche Bank's proprietary optimum yield ("OY") technology rolls an expiring contract into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months. o Target Volatility: The DB Commodity Harvest TV 10 Index varies its participation in the DB Commodity Harvest Index with a view to target a volatility of 10%. o Transparency: The DB Commodity Harvest TV 10 is a rule based index with the closing level and weights published daily on Bloomberg (DBCMHVEE) and DBIQ. 11 |
![]() | DB Commodity Harvest - 10 Index USD Total Return Index Construction Strategy aims to generate alpha from roll returns and to smoothen the return profile by adjusting exposure in response to changes in realized volatility DB Commodity Harvest After Cost TV10 TR Include 3 month T-bill Return DB Commodity Harvest After Cost TV10 Apply Target Volatility Technology o Volatility targeted at 10% by varying exposure to the DB Commodity Harvest DB Commodity Harvest After Cost Subtract Index Cost (60 bps pa) DB Commodity Harvest Short Long Carry Strategy o Market neutral equally weighted Long and Short positions to generate Alpha DB Commodity Booster - Benchmark Light Energy Apply Optimum Yield Technology o Optimize roll returns by attempting to maximize implied roll yield S&P GSCI Light Energy S&P GSCI Light Energy Energy Precious Metals Industrial Metals Agriculture & Livestock (36.73%) (7.22%) (16.42%) (39.65%) 12 |
![]() | DB Commodity Harvest - 10 Index USD TR Performance Analysis Index Level (1) 600 500 400 300 200 100 0 [GRAPHIC OMITTED] 1998 1999 2000 2001 2005 2006 2002 2003 2004 2007 2008 DB Commodity Harvest DB Commodity TV10 Harvest DJUBS ----- ----- ---- Performance Analysis (1) - --------------------------------------------------------------------- DB Commodity DB Commodity January 1999 - November 2009 Harvest TV 10 Harvest DJUBS Annualized Returns 17.4% 8.4% 8.5% Volatility 10.9% 3.6% 17.8% Sharpe Ratio 1.59 2.33 0.47 Maximum Drawdown -18.8% -4.9% -56.9% Start Date May-07 Jun-07 Jul-08 End Date May-08 Jan-08 NA Max Monthly Consecutive Loss -15.9% -3.8% -54.3% Start Date Jun-07 Oct-00 Jul-08 End Date Sep-07 Dec-00 Feb-09 Max / Min Returns 3.2% / -3.4% 44.1% / Rolling 12 Months 69.8% / -12%2 -52.1% 24.7% / Rolling 3 Months 21.2% / -16% 7.5% / -4.5% -39.5% Average Monthly Returns 1.4% 0.7% 0.8% % Months with Gains 70.2% 75.6% 60.3% Correlation DB Commodity Harvest 0.95 1.00 -0.58 DJUBS -0.57 -0.58 1.00 - --------------------------------------------------------------------- Note: Annual Returns (1) 60% 40% 20% 0% -20% 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 DB Commodity Harvest TV10DB Commodity Harvest Historical 12 Month Volatility (1) 35% 30% 25% 20% 15% 10% 5% 0% 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 DB Commodity Harvest B Commodity Harvest JUBS TV10 D D ----- ----- ----- 1 Source: Bloomberg. DB Commodity Harvest TV10 and DB Commodity Harvest have been retrospectively calculated and did not exist prior to October 25, 2008 and December 15, 2007 respectively. 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 Commodity Harvest TV10 Index would have been lower than the Index as a result of fees and / or costs. 13 Statistics shown are for total return indices and Sharpe Ratio is computed assuming a threshold return of 0%. Data is as of 30-Nov-2009 |
![]() | DB Commodity Harvest - 10 Index USD TR Performance Analysis (Cont'd) Monthly Return Analysis (1) [GRAPHIC OMITTED] 999 (%) 2000 (%) 2001 (%) 2002 (%) 2003 (%) 2004 (%) 2005 (%) 2006 (%) 2007 (%) 2008 (%) 2009 (%) Jan -3.09 -0.43 6.01 2.33 1.46 1.73 2.58 4.63 0.49 3.88 3.69 Feb 3.85 0.95 2.47 -1.12 -5.96 1.36 0.17 4.37 2.34 -0.84 1.02 Mar -4.59 -0.80 2.19 -3.89 6.14 2.17 3.76 0.70 2.42 3.72 0.32 Apr -1.74 2.24 1.71 0.23 2.25 1.48 11.52 2.66 3.77 0.71 -0.46 May 4.63 -3.08 0.69 3.43 -1.61 6.03 1.41 2.13 2.85 3.61 -1.59 Jun 1.39 -3.88 6.21 1.16 4.59 8.73 7.24 3.16 -3.78 2.12 -1.86 Jul -1.95 8.39 1.61 -1.42 -1.60 1.74 0.61 2.87 -5.61 3.27 3.12 Aug -5.02 -9.67 -0.20 -1.17 1.20 6.50 -6.05 7.48 -1.59 3.90 -0.62 Sep -0.05 7.95 9.12 -7.87 5.54 -2.89 2.65 4.93 -5.95 0.97 -0.75 Oct 5.38 -2.90 0.85 1.51 -1.96 4.57 3.47 -0.99 3.66 4.69 0.37 Nov -0.30 -4.84 0.64 1.38 0.72 6.16 3.64 0.81 2.77 3.53 3.15 Dec 1.16 -2.63 0.28 -0.97 0.37 3.77 3.42 4.09 1.26 5.94 - ------------------------------------------------------------------------------------------------------------------------------ Ann. Rtn.(%) -0.98 -9.68 35.99 -6.70 11.00 49.40 39.15 43.39 1.94 41.63 6.40 Exposure of DB Commodity Harvest TV 10 to DB Commodity Harvest (1) S&P GSCI Light Energy Index Sector Exposure (1) - --------------------------------------------------------------------- ---------------------------------------------------------- Sector Current Weight (%) Current Exposure 344.83% Energy 36.73 Precious Metal 7.22 - --------------------------------------------------------------------- Industrial Metal 16.42 Agriculture & Livestock 39.65 Note: 1 Source: Bloomberg. DB Commodity Harvest TV10 has been retrospectively calculated and did not exist prior to October 25, 2008. 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 Commodity Harvest TV10 Index would have been lower than the Index as a result of fees and / or costs. 14 Data is as of 30-Nov-2009 |
![]() | DB Commodity Harvest - 10 Index USD TR Performance Comparison Annual Returns for Excess Return Indices ------------------------------------------------------------------------------ ------------------------------------------------------------------------------ Calendar Year DB Commodity Harvest (%) DB Commodity Harvest TV10 (%) 1999 4.70 -0.98 2000 0.57 -9.68 2001 15.83 35.99 2002 -0.41 -6.70 2003 5.54 11.00 2004 15.11 49.40 2005 14.41 39.15 2006 18.53 43.39 2007 4.74 1.94 2008 12.82 41.63 2009 YTD 2.50 6.40 - ------------------------------------------------------------------------------------------------------------- Average Return (%) 8.44 17.40 Note: 1 Source: Bloomberg. DB Commodity Harvest TV10 and DB Commodity Harvest have been retrospectively calculated and did not exist prior to October 25, 2008 and December 15, 2007 respectively. 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 Commodity Harvest TV10 Index would have been lower than the Index as a result of fees and / or costs. 15 Statistics shown are for total return indices and Sharpe Ratio is computed assuming a threshold return of 0%. Data is as of 30-Nov-2009 |
![]() | Appendix |
![]() | Types of Returns in a Commodity Index Total Return vs. Excess Return Stock and Bond returns come from two sources: o Underlying price movement o Dividends (Stocks) or Coupons (Bonds) Commodity returns come from three sources: o Collateral Yield |X> Interest earned on capital held as collateral o Spot Return |X> Change in front month futures contract o Roll Return |X> Process of buying a futures contract at a premium (negative roll) or discount (positive roll) to the spot price Excess Return = Spot Return + Roll Return Total Return = Excess Return + Collateral Yield Collateral yield of 3-Month US Treasury Bills is added to the DB Commodity Harvest TV10 excess return version to create the DB Commodity Harvest TV10 total return version 17 |
![]() | Optimized Yield Contract Selection to Create an "Optimal Yield" Contract selection and roll return can have a significant impact in the overall return of the index o Deutsche Bank's proprietary optimum yield ("OY") technology rolls into the contract that maximizes positive roll yield (in a backwardated market) or minimizes negative roll yield (in a contango market) from the list of tradable futures which expire in the next 13 months Greater Roll Yield Less Negative Price Roll Yield Futures Greater Negative Roll Yield Futures Price Less Roll Yield Contract Expiry Date o Longer dated contracts typically have less negative carry when the curve slopes upward (contango) Contract Expiry Date o Shorter dated contracts typically offer greater positive carry when the curve slopes downward (backwardation) 18 |
![]() | Optimized Yield Annualized Excess returns from Jan Energy Sector Base Metals Sector 1999 to Nov 2009. Most Optimum Yield indices have outperformed corresponding front-month rolling indices 30% 20% 10% 0% -10% - -20% - -30% rent Heating atural Gas WTI Crude B Crude Oil Gas Oil N RBOB Oil Oil Gasoline DB OY Indices S&P GSCI Indices Agriculture Sector - --------------------------------------------------------------------- 10% 5% 0% -5% -10% -15% -20% Wheat Corn Soybean Sugar Cotton Coffee Cocoa 20% 15% 10% 5% 0% Alum inium CopperZinc NickelLead DB OY Indices S&P GSCI Indices Precious Metals Sector - --------------------------------------------------------------------- 10% 8% 6% 4% 2% 0% -------------------------------------------------------------- Gold Silver DB OY Indices S&P GSCI Indices DB OYIndices S&P GSCI Indices Source: Bloomberg. Data as of 30 Nov 2009 Note: All indices have been retrospectively calculated and did not exist prior to May 31, 2006. 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 19 |
![]() | Target Volatility Applying Volatility Targeting to Potentially Control Risk Step I Step II Step III Volatility Based Participation: Vol Target Index Rebalancing Realized Volatility Monitoring Participation = Target Volatility / Return = Participation x once a month Based on Last 90 Days Returns Realized Volatility, subject to certain Underlying Index Return maximum and minimum 3 Month Underlying Volatility Realized Volatility Vol Target Allocation Index Return Target Return Month (Annualized %) (%) (%) (%) 12 10.00 150.00 +5.00 +7.50 13 12.50 120.00 -1.00 -1.20 Numerical Example: 14 5.00 300.00 +3.00 +9.00 Volatility Target = 15% 15 7.50 200.00 -2.00 -4.00 16 15.00 100.00 -5.00 -5.00 17 20.00 75.00 +1.00 +0.75 18 30.00 50.00 -10.00 -5.00 20 |
![]() | Comparative Performance Statistics Annualized Returns for Excess Return Indices ------------------------------------------------------------- YTD 1 Year 3 Year 5 Year 10 Year Return (1) Return Return Return ReturnVolatility (2) Sharpe (%) (%) (%) (%) (%) (%) Ratio (3) Beta Allocation Indices S&P GSCI Light Energy 14.00 7.00 -8.87 -3.44 0.85 18.31 0.05 DJUBS Excess Return 16.42 11.19 -7.98 -2.31 4.24 17.89 0.24 Enhanced Beta Indices DJUBS Booster 18.54 14.33 -2.49 6.47 11.16 16.04 0.7 DJUBS Booster TV14 12.70 11.26 2.31 9.20 14.82 14.44 1.03 Alpha Indices DB Commodity Harvest 2.50 4.74 7.30 10.74 8.83 3.63 2.43 DB commodity Harvest TV10 6.40 12.72 16.92 26.02 19.39 10.74 1.8 Other Asset Classes Equities (S&P 500) 24.07 25.39 -5.78 0.71 -0.57 21.83 -0.03 Fixed Income (US Govt. All Total Return) 1.80 4.32 5.49 5.17 5.72 2.82 2.03 - --------------------------------------------------------------------------------------------------------------------------------- Source: Bloomberg. Data as of 30 Nov 2009 Notes: Statistics shown for "Other asset classes" and "Alpha indices" are computed using Total Return Indices. Sharpe Ratio for these indices is computed using a threshold return of zero All indices have been retrospectively calculated and did not exist prior to their respective Index Live Date. 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 1 YTD Return is not annualized 2 Volatility is calculated as the annualized volatility of the daily lognormal returns over the last 10 years 3 Sharpe Ratio is calculated as a quotient of 10 Year Return and the Volatility 21 |
![]() | Market Data Sources Bloomberg Tickers and Index Live Dates: Bloomberg Ticker Index Live Date S&P GSCI Light Energy Excess Return SPGSLEP[Index] DJUBS Excess Return DJUBS [Index] DJUBS Total Return DJUBSTR [Index] DJUBS Booster Excess Return DBCMBDEU [Index] 27 Feb 2008 DJUBS Booster TV14 Excess Return DBCMBTVE [Index] 8 Aug 2009 DB Commodity Harvest Total Return DBCMHLTU [Index] 15 Dec 2007 DB Commodity Harvest TV10 Total Return DBCMHVEE [Index] 25 Oct 2008 Equities (S&P 500) Total Return SPTR [Index] Fixed Income Total Return JHDCGBIG [Index] 22 |
![]() | Optimized Yield Available Indices Commodity Contract Expiry Date Bloomberg Ticker Energy WTI Crude Oil 22-Jun-10 DBLCOCLE Index Brent Crude Oil 15-Sep-10 DBLCYECO Index Heating Oil 28-May-10 DBLCOHOE Index RBOB Gasoline 29-Oct-10 DBLCYERB Index Gasoil 12-Jul-10 DBLCYEGO Index Natural Gas 27-Aug-10 DBLCYENG Index Base Metals Aluminum 17-Nov-10 DBLCOALE Index Copper 17-Mar-10 DBLCYECU Index Zinc 19-May-10 DBLCYEZN Index Nickel 18-Aug-10 DBLCYENI Index Lead 18-Aug-10 DBLCYEPB Index Precious Metals Gold 28-Apr-10 DBLCOGCE Index Silver 28-Dec-10 DBLCYESI Index Agriculture Wheat 14-Jul-10 DBLCOWTE Index Kansas Wheat 14-Jul-10 DBLCYEKW Index Corn 14-Dec-10 DBLCOCNE Index Soybean 12-Nov-10 DBLCYESS Index Cotton 7-Oct-10 DBLCYECE Index Sugar 30-Jun-10 DBLCYESB Index Coffee 19-Mar-10 DBLCYEKC Index Cocoa 16-Mar-10 DBLCYECC Index - --------------------------------------------------------------------------------------------------- Source: DBIQ, Data as of 30-Nov-2009 Note: Bloomberg Tickers shown are for Excess Return version of the indices 23 |
![]() | Important 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 The DB Commodity Harvest Indices adopt a market neutral strategy by taking a long position in a specified booster index and a short position in a specified benchmark index. However, this market neutral strategy may not be successful, and each index may not be able to achieve its desired objective. The Optimal Roll Yield strategy described herein aims to maximize the potential roll benefits in backwardated markets and minimize potential roll losses in contango markets by purchasing the relevant new futures contracts that would generate the maximum implied roll yield. However, indices employing the Optimal Roll Yield strategy may not be successful in achieving the desired objective. The Target Volatility strategy described herein aims to achieve a specified realized volatility in the base index by adjusting the level of participation based on the historical realized volatility of the base index. However, indices employing the Target Volatility strategy may not be successful in achieving the desired objective. 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. 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. 24 |
![]() | Important Considerations Backtesting Backtested, hypothetical or simulated performance results discussed herein have inherent limitations. Unlike an 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. Free Writing Prospectus Deutsche Bank AG has filed a registration statement (including a prospectus) with the Securities and Exchange Commission, or SEC, for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents that Deutsche Bank AG has filed with the SEC for more complete information about Deutsche Bank AG and any such offering. You may obtain these documents without cost by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Deutsche Bank AG, any agent or any dealer participating in the offering will arrange to send you the prospectus if you so request by calling toll-free 1-800-311-4409. 25 |
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Notwithstanding the foregoing, UBS AG, UBS Securities and their respective subsidiaries and affiliates may independently issue and/or sponsor financial products unrelated to any securities issued by Licensee, but which may be similar to and competitive with such securities. In addition, UBS AG, UBS Securities and their subsidiaries and affiliates actively trade commodities, commodity indexes and commodity futures (including the Dow Jones-UBS Commodity IndexSM and Dow Jones-UBS Commodity Index Total ReturnSM), as well as swaps, options and derivatives which are linked to the performance of such commodities, commodity indexes and commodity futures. It is possible that this trading activity will affect the value of the Dow Jones-UBS Commodity IndexSM and any securities Deutsche Bank AG may issue from time to time. NONE OF DOW JONES, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE DOW JONES-UBS COMMODITY INDEXSM OR ANY DATA RELATED THERETO, AND NONE OF DOW JONES, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. NONE OF DOW JONES, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY DEUTSCHE BANK AG, OWNERS OF ANY SECURITIES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE DOW JONES-UBS COMMODITY INDEXSM OR ANY DATA RELATED THERETO. NONE OF DOW JONES, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE DOW JONES-UBS COMMODITY INDEXSM OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL DOW JONES, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS AMONG DOW JONES, UBS SECURITIES AND DEUTSCHE BANK AG, OTHER THAN UBS AG. "Dow Jones(R)", "DJ", "UBS(R)" "Dow Jones-UBS Commodity Index(SM)" are service marks of Dow Jones & Company, Inc. and UBS AG, as the case may be, and have been licensed for use for certain purposes by Deutsche Bank. The DB Commodity Harvest - DJUBS and DB Commodity Booster - DJUBS, which is based in part on the Dow Jones-UBS Commodity Index, is not sponsored or endorsed by Dow Jones & Company, Inc. or UBS Securities LLC, but is published with their consent. 26 |