FWP 1 dp47125_fwp-commind.htm FORM FWP
 
 

June 2014

Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-184193
Dated June 12, 2014

Deutsche Bank Commodity Indices

June 2014

                                                                               1


 
 
 
 

 
 
 

Contents

Section

1.  Optimum Yield Indices

    *   DB Commodity Booster - DJUBS ERAC Index

    *   DB Commodity Booster DJUBS - TV14 ERAC Index

    *   DB Commodity Booster - Benchmark Index

2.  Mean Reversion Indices

    *   DBLCI - MR Index

    *   DBLCI - Mean Reversion Enhanced ex Nat Gas ERAC Index

    *   DB MR Enhanced 15 Index

    *   DBLCI - MR+ Index

3.  Market Neutral Indices

    *   DB Commodity Harvest ERAC Index

    *   DB Commodity Harvest -- 10 ERAC Index

4.  Long-Short Indices

    *   DB Commodity Backwardation Alpha 22 Index

5.  DB Commodity Risk Parity 18 Index

6.  Optimum Yield Enhanced Indices

    *   DB Commodity Booster OYE DJUBS Index

    *   DB Commodity Booster OYE Benchmark Light Energy Index

    *   DB Commodity Curve Alpha ERAC Index

    *   DB Commodity Curve Alpha ERAC 10 Index

Appendix

1   Appendix

                                                                               2


 
 
 
 

 
 
 

Executive Summary

The Evolution of Commodity Markets

[]  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

[]  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

[]  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

[]  As the commodity market has evolved, Deutsche Bank has created new indices
    that may benefit from the special features of the asset class


                                                                               3


 
 
 
 

 
 
 

DB Commodity -- Family of Indices

Introduction

[]  The Deutsche Bank suite of Commodity indices seeks to enhance returns by
    altering traditional commodity index construction rules related to: Relative
    value asset allocation (Mean Reversion); Market momentum filter (Momentum);
    Futures Rolling Methodology (Optimized Yield); Controlled Risk (Target
    Volatility) and Risk Parity


DB Commodity Indices              Mean Reversion   Momentum  Optimized Yield
DB Commodity Booster -- DJUBS
                                                                  []
ERAC
DB Commodity Booster DJUBS --                                     []
TV14 ERAC
DB Commodity Booster -- Benchmark                                 []
DBLCI-MR                                   []
DBLCI-MR+                                  []          []
DBLCI -- Mean Reversion Enhanced           []                     []
ex NG ERAC
DB MR Enhanced 15                          []                     []
DB Commodity Harvest ERAC                                         []
DB Commodity Harvest -- 10 ERAC                                   []
DB Commodity Backwardation Alpha
22
DB Commodity Risk Parity 18 Index                                 []
DB Commodity Booster OYE DJUBS
DB Commodity Booster OYE
Benchmark Light Energy
DB Commodity Curve Alpha ERAC
DB Commodity Curve Alpha ERAC 10


DB Commodity Indices              Optimized Yield  Risk Parity Target Volatility
                                     Enhanced
DB Commodity Booster -- DJUBS

ERAC
DB Commodity Booster DJUBS --                                           []
TV14 ERAC
DB Commodity Booster -- Benchmark
DBLCI-MR
DBLCI-MR+
DBLCI -- Mean Reversion Enhanced
ex NG ERAC
DB MR Enhanced 15                                                        []
DB Commodity Harvest ERAC
DB Commodity Harvest -- 10 ERAC                                          []
DB Commodity Backwardation Alpha       []
22
DB Commodity Risk Parity 18 Index                        []              []
DB Commodity Booster OYE DJUBS         []
DB Commodity Booster OYE
Benchmark Light Energy                 []
DB Commodity Curve Alpha ERAC          []
DB Commodity Curve Alpha ERAC 10       []                                []


                                                                               4


 
 
 
 

 
 
 

Optimum Yield Indices

Section 1

                                                                               5


 
 
 
 

 
 
 

DB Commodity Booster -- DJUBS ERAC

Index Summary

[]  Composition of DB Commodity Booster DJUBS ERAC Index: The DB Commodity

Booster  --  DJUBS  ERAC  Index  has  the  same base weights as the DJUBS Index.
Weights are rebalanced annually.

[]  Optimizing Roll Returns: 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

[]  Embedded Cost: 0.70% per annum

[]  Transparency: Rule-based index with the closing level and weights published
    daily on Bloomberg (DBCMBDEN)

Note:

1 ERAC: Excess Return After Cost

                                                                               6


 
 
 
 

 
 
 


[]  Optimize roll returns by attempting to invest in contracts with the highest
    implied roll yield

DB Commodity Booster -- DJUBS

[]  Subtract 0.70% fees per annum

DB Commodity Booster -- DJUBS ERAC


Note:

1   Weights shown are: Current Weight (Base Weight). Current weights are as of
    30 May 2014

2   ERAC: Excess Return After Cost

                                                                               7



 
 
 
 

 
 
 

DB Commodity Booster -- DJUBS ERAC

Performance Analysis

Index Returns (1)

400

Live Date: 12 Oct 2010

0
Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14
------ --------- ----------
DJUBS S&P-GSCI DB Commodity Booster - DJUBS ERAC

Performance Analysis 1

                             DB Commodity
Jan 2004 -- May 2014         Booster -- DJUBS DJUBS          S&P-GSCI
                             ERAC
Annualized Returns           4.9%             -0.1%          -0.5%
Volatility                   16.9%            18.3%          24.5%
Sharpe Ratio(2)              0.29             -0.01          -0.02
Maximum Drawdown             -54.3%           -57.1%         -71.6%
  Start Date                 Jul-08           Jul-08         Jul-08
  End Date                   Mar-09           Mar-09         Feb-09
Max Monthly Consecutive Loss -51.7%           -54.5%         -67.8%
  Start Date                 Jul-08           Jul-08         Jul-08
  End Date                   Feb-09           Feb-09         Feb-09
Max/Min Returns
  Rolling 12 Months          46% / -48.8%     39.9% / -52.7% 74.8% / -64.8%
  Rolling 3 Months           24.2% / -38.5%   24.7% / -39.7% 34.4% / -53.4%
Average Monthly Returns      0.5%             0.1%           0.2%
% Months with Gains          60.0%            57.6%          56.8%
Correlation
  DJUBS                      0.97             1.00           0.91
  S&P-GSCI                   0.89             0.91           1.00
---------------------------- ---------------- -------------- --------------


Notes:

Index Sector Exposure (1)
------------------------- ----------------------
Sector                    Current Weight (%)
Energy                                     32.21
Precious Metal                            14.57
Industrial Metal                           15.84
Agriculture                                37.40
------------------------- ----------------------


Year on Year Performance Comparison 1

                    Annual Returns for Excess Return / ERAC Indices
                  -------------------------------------------------
                             DB Commodity
                             Booster --
Calendar Year                DJUBS ERAC    DJUBS   S&P-GSCI
2004                                22.26%  7.64%     15.65%
2005                                29.73% 17.54%     21.61%
2006                                11.79%  -2.71%    -19.07%
2007                                15.87% 11.08%     26.81%
2008                               -30.94% -36.61%    -47.29%
2009                                18.97% 18.72%     13.30%
2010                                16.13% 16.67%      8.88%
2011                                -9.77% -13.37%     -1.23%
2012                                 0.21%  -1.14%     -0.01%
2013                               -11.24%  -9.58%     -1.28%
2014 YTD                             4.37%  6.43%      3.50%
Annualized Return                    4.87%  -0.10%     -0.52%
----------------- ------------------------ ------- ----------------


1   Source: Bloomberg. DB Commodity Booster -- DJUBS ERAC has been
    retrospectively calculated and did not exist prior to 12 October 2010 (the
    "Live Date"). The index has very limited performance history and no actual
    investment which allowed tracking of the performance of the Index was
    possible before its Live Date. Accordingly, the results shown before the
    Live Date are hypothetical and 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 Booster --
DJUBS  ERAC Index would have been lower than the Index as a result of fees and /
or  costs.  Data  from 31 Dec 2003 till 30 May 2014. See Risk Considerations for
more information.

2   Sharpe Ratio = annualized return / volatility. ERAC = Excess Return After
    Cost. Statistics shown are either for excess return indices or ERAC indices.

                                                                               8

 
 
 
 

 
 
 

DB Commodity Booster DJUBS -- TV14 ERAC

Index Summary

[]  Composition: Same base weights as the DJUBS Index

[]  Optimizing Roll Returns: 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

[]  Target Volatility: Varies its exposure to the DB Commodity Booster -- DJUBS
    ERAC Index with a view to target a volatility of 14%. Exposure is capped at
    500%.

[]  Transparency: Rule-based index with the closing level and weights published
    daily on Bloomberg (DBCMBTVN)

Note:

1 ERAC: Excess Return After Cost

                                                                               9


 
 
 
 

 
 
 


Index replicates the DJUBS Index by using the corresponding OY indices, thereby
providing similar commodity exposure while seeking to manage roll returns more
effectively

Applies Target Volatility technology with the aim of achieving a smoother return
profile, as well as to benefit from the historically negative correlation
between index returns and realized volatility


DB Commodity Booster DJUBS -- TV14 ERAC

Index Construction


   Agriculture      Industrial Metals   Precious Metals           Energy
37.40% (35.94% (1)) 15.84% (16.59% (1)) 14.57% (15.67% (1)) 32.21% (31.79% (1))


Apply Optimum Yield Technology

[]  Optimize roll returns by attempting to invest in contracts with the highest
    implied roll yield

DB Commodity Booster -- DJUBS

[]  Subtract 0.70% fees per annum

DB Commodity Booster -- DJUBS ERAC

DB Commodity Booster DJUBS

Note:

1   Weights shown are: Current Weight (Base Weight) . Current weights are as of
    30 May 2014

2   ERAC: Excess Return After Cost

Apply Target Volatility Technology

[]  Volatility is targeted at 14% by varying exposure to the DB Commodity
    Booster -- DJUBS ERAC Index

-- TV14 ERAC

                                                                              10


 
 
 
 

 
 
 

DB Commodity Booster DJUBS -- TV14 ERAC

Performance Analysis

Index Returns (1)

DB Commodity Booster - DJUBS ERAC
DJUBS
DB Commodity Booster DJUBS - TV14 ERAC

Performance Analysis 1

Jan 2004 -- May 2014

Annualized Returns Volatility Sharpe Ratio Maximum Drawdown Start Date End

Date
Max Monthly Consecutive Loss Start Date End Date

Max/Min Returns Rolling 12 Months Rolling 3 Months Average Monthly Returns %
Months with Gains Correlation
DB Commodity Booster -- DJUBS ERAC
DJUBS

Notes:


                      DB Commodity    DB Commodity
Jan 2004 - May 2014   Booster DJUBS - Booster -       DJUBS
                      TV 14 ERAC      DJUBS ERAC
Annualized Returns      6.0%             4.9%       -0.1%
Volatility             14.6%            16.9%       18.3%
Sharpe Ratio            0.41            0.29        -0.01
Maximum Drawdown       -37.8%          -54.3%      -57.1%
Start Date            Jul-08          Jul-08      Jul-08
End Date              Jan-14          Mar-09      Mar-09
Max Monthly
Consecutive Loss       -33.2%          -51.7%      -54.5%
Start Date            Jul-08          Jul-08      Jul-08
End Date              Feb-09          Feb-09      Feb-09
Max/Min Returns
Rolling 12 Months   41%/-31.6%      46%/-48.8%   39.9%/-52.7%
Rolling 3 Months    21.6%/-23.6%    24.2%/-38.5% 24.7%/-39.7%
Average Monthly
Returns                0.6%            0.5%         0.1%
% Months with Gains     60.0%          60.0%       57.6%
Correlation
DB Commodity Booster
- DJUBS                 0.94           1.00        0.97
ERAC
DJUBS                   0.92           0.97       1.00






Index Exposure (1)
------------------ ---------------------- ---------------- -------------
Current Exposure to DB Commodity
Booster -- DJUBS ERAC                                          200.00%
Underlying Sector                                     Current Weight (%)
Energy                                                          32.21
Precious Metal                                                  14.57
Industrial Metal                                                15.84
Agriculture                                                     37.40
------------------ ---------------------- ---------------- -------------
Year on Year Performance Comparison (1)
========================================================== =============
                   Annual Returns for Excess Return / ERAC Indices
------------------ -----------------------------------------------------
                   DB Commodity             DB Commodity
                    Booster DJUBS - TV 14 Booster -- DJUBS
Calendar Year              ERAC                      ERAC      DJUBS
2004                       26.18%                   22.26%       7.64%
2005                       29.49%                   29.73%      17.54%
2006                       10.23%                   11.79%      -2.71%
2007                       15.91%                   15.87%      11.08%
2008                      -16.19%                  -30.94%     -36.61%
2009                       12.73%                   18.97%      18.72%
2010                       15.63%                   16.13%      16.67%
2011                       -8.94%                   -9.77%     -13.37%
2012                       -2.25%                    0.21%      -1.14%
2013                      -16.79%                  -11.24%      -9.58%
2014 YTD                    9.14%                    4.37%       6.43%
Annualized Return           6.05%                    4.87%      -0.10%
------------------ ---------------------- ---------------- -------------



1   Source: Bloomberg. DB Commodity Booster DJUBS -- TV14 ERAC has been
    retrospectively calculated and did not exist prior to 12 October 2010 (the
    "Live Date"). The index has very limited performance history and no actual
    investment which allowed tracking of the performance of the Index was
    possible before its Live Date. Accordingly, the results shown before the
    Live Date are hypothetical and 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 Booster DJUBS --

TV14  ERAC  Index would have been lower than the Index as a result of fees and /
or  costs.  Data  from 31 Dec 2003 till 30 May 2014. See Risk Considerations for
more information.

2   ERAC = Excess Return After Cost. Statistics shown are either for excess
    return indices or ERAC indices. Current weights shown are for DB Commodity
    Booster -- DJUBS ERAC Index

                                                                              11

 
 
 
 

 
 
 

DB Commodity Booster -- Benchmark

Index Summary

[]  Composition: Same base weights as the S&P GSCI Index

[]  Optimizing Roll Returns: 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

[]  Transparency: Rule-based index with the closing level and weights published
    daily on Bloomberg (DBCMBSEU)


                                                                              12


 
 
 
 

 
 
 


[]  Optimize roll returns by attempting to invest in contracts with the highest
    implied roll yield

DB Commodity Booster -- Benchmark

Note:

1   Weights shown are: Current Weight (Base Weight). Current weights are as of
    30 May 2014

                                                                              13


 
 
 
 

 
 
 

DB Commodity Booster -- Benchmark

Performance Analysis

Index Returns (1)


Index Sector Exposure (1)
------------------------- ----------------------
Sector                    Current Weight (%)
Energy                                     72.03
Precious Metal                              2.57
Industrial Metal                            6.32
Agriculture & Livestock                    19.08
------------------------- ----------------------

             DB Commodity
Jan 2004 -
May 2014            Booster -   DJUBS   S&P-GSCI
                    Benchmark
Annualized Returns      7.0%    -0.1%   -0.5%
Volatility             21.9%   18.3%   24.5%
Sharpe Ratio           0.32    -0.01   -0.02
Maximum Drawdown        -64.6%  -57.1%  -71.6%
Start Date            Jul-08  Jul-08  Jul-08
End Date              Feb-09  Mar-09  Feb-09
Max Monthly
Consecutive Loss      -60.7%  -54.5%  -67.8%
Start Date           Jul-08  Jul-08  Jul-08
End Date               Feb-09  Feb-09  Feb-09
Max / Min Returns
Rolling 12 Months  76.3% / -56.7%  39.9% / -52.7%  74.8% / -64.8%
Rolling 3 Months    33.4% / -47.4%  24.7% / -39.7%  34.4% / -53.4%
Average Monthly Returns 0.8%    0.1%    0.2%
% Months with Gains     56.0%   57.6%   56.8%
Correlation
DJUBS                   0.89    1.00    0.91
S&P-GSCI                0.98    0.91    1.00



Year on Year Performance Comparison (1)
============================================================= ==========
                     Annual Returns for Excess Return Indices
                  ------------------------------------------- ----------
                        DB Commodity
Calendar Year     Booster -- Benchmark DJUBS                  S&P-GSCI
2004                            38.49%  7.64%                    15.65%
2005                            41.80% 17.54%                    21.61%
2006                            -2.31%  -2.71%                   -19.07%
2007                            25.49% 11.08%                    26.81%
2008                           -36.65% -36.61%                   -47.29%
2009                            20.31% 18.72%                    13.30%
2010                             9.69% 16.67%                     8.88%
2011                            -0.55% -13.37%                    -1.23%
2012                             0.60%  -1.14%                    -0.01%
2013                            -1.86%  -9.58%                    -1.28%
2014 YTD                         2.85%  6.43%                     3.50%
Annualized Return                7.04%  -0.10%                    -0.52%


Notes:


1   Source: Bloomberg. DB Commodity Booster -- Benchmark has been
    retrospectively calculated and did not exist prior to 15 December 2007 (the
    "Live Date"). The index has very limited performance history and no actual
    investment which allowed tracking of the performance of the Index was
    possible before its Live Date. Accordingly, the results shown before the
    Live Date are hypothetical and 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 Booster --

Benchmark  Index  would have been lower than the Index as a result of fees and /
or  costs.  Data  from 31 Dec 2003 till 30 May 2014. See Risk Considerations for
more information.

2 Statistics shown are for excess return indices.

                                                                              14

 
 
 
 

 
 
 

Mean Reversion Indices

Section 2

                                                                              15

 
 
 
 

 
 
 

DBLCI -MR

Index Summary

[]  Components: Tracks the performance of a basket of 6 commodity futures:
    Aluminum, WTI Crude Oil, Heating Oil, Gold, Corn, and Wheat

[]  Dynamic Weights: Seeks to underweight relatively expensive commodities and
    overweight relatively cheap commodities among six of the most liquid futures
    contracts in four sectors: Energy, Base Metals, Precious Metals,
    Agriculture. The commodity weight is determined formulaically based on the
    ratio between a one-year and five-year moving average price

[]  Rebalancing: A rebalancing will occur whenever one of the commodities
    undergoes a "trigger event. " A trigger event occurs when the one-year
    moving average price of the commodity trades +/-- 5% than the five-year
    moving average

[]  Roll Frequency and Method: Fixed monthly roll for Energy components, fixed
    yearly roll for Metals and Agriculture components

[]  Transparency: Rule-based index with the closing level and weights published
    daily on Bloomberg (DBLCMMCL)


                                                                              16


 
 
 
 

 
 
 


[]  Weight of each component determined based on the ratio of 1 year moving
    average price to 5 year moving average price


   Corn          Gold     Heating Oil  WTI Crude Oil  Aluminium      Wheat
(20.87% (2)) (13.74% (2)) (11.18% (2))   (19.56% (2)) (23.19% (2)) (11.46% (2))


Source: Deutsche Bank, 2014

Notes:

1 Base Weights of DBLCI-MR Index

2 Current Weights as of 30 May 2014



                                                                              17


 
 
 
 

 
 
 

DBLCI -MR

Performance Analysis

40%
100
20%
0

Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14

DBLCI DJUBS DBLCI - MR 0%

Jan-04 Jan-06 Jan-08 Jan-10
Jan-12 Jan-14
Energy Industrial Metals Precious Metals
Agriculture
Performance Analysis (1) Year on Year Performance Comparison (1)

Annual Returns for Excess
Return Indices

Jan 2004 -- May 2014         DBLCI-MR       DBLCI             DJUBS
Annualized Returns           7.7%           3.1%              -0.1%
Volatility                   21.0%          22.4%             18.3%
Sharpe Ratio                 0.37           0.14              -0.01
Maximum Drawdown             -62.8%         -65.2%            -57.1%
  Start Date                 Jul-08         Jul-08            Jul-08
  End Date                   Feb-09         Feb-09            Mar-09
Max Monthly Consecutive Loss -59.0%         -61.9%            -54.5%
  Start Date                 Jul-08         Jul-08            Jul-08
  End Date                   Feb-09         Feb-09            Feb-09
Max / Min Returns
  Rolling 12 Months          84% / -56.3%   83.1% / -60.7%    39.9% / -52.7%
  Rolling 3 Months           33.3% / -43.1% 28.4% / -47.4%    24.7% / -39.7%
Average Monthly Returns      0.8%           0.4%              0.1%
% Months with Gains          59.2%          55.2%             57.6%
Correlation
  DBLCI                      0.91           1.00              0.90
  DJUBS                      0.84           0.90              1.00

Calendar Year         DBLCI-MR               DBLCI       DJUBS
2004                      25.85%             26.11%       7.64%
2005                       2.96%             13.89%       17.54%
2006                      39.22%              3.06%        -2.71%
2007                      42.49%             34.67%        11.08%
2008                      -35.43%            -39.60%       -36.61%
2009                      22.29%             10.17%         18.72%
2010                      13.62%             12.33%          16.67%
2011                       -2.47%             -1.13%         -13.37%
2012                       3.33%              0.79%           -1.14%
2013                       -9.05%             -9.58%          -9.58%
2014 YTD                   2.59%              2.82%           6.43%
Annualized Return          7.71%              3.14%          -0.10%

Notes:

1     Source:  Bloomberg.  Past performance is not necessarily indicative of how
      the  Index  will  perform in the future. The performance of any investment
      product  based  on  the  DBLCI  -- MR Index would have been lower than the
      Index  as  a  result of fees and / or costs. Data from 31 Dec 2003 till 30
      May 2014. See Risk

 Considerations for more information.

2     Statistics shown are for excess return indices.

                                                                              18

 
 
 
 

 
 
 

DBLCI -- Mean Reversion Enhanced ex NG ERAC

Index Summary

[]  Components:  Tracks the performance of a basket of 11 commodities: Aluminum,
    Nickel,  Zinc,  Copper,  Lead,  WTI Crude Oil, Gold, Silver, Corn, Wheat and
    Soybeans.

[]  Wheat  :  Wheat  exposure  is  taken  through  an equally-weighted basket of
    Chicago Wheat, Minneapolis Wheat and Kansas Wheat

[]  Dynamic   Weights  and  Diversification:  Seeks  to  underweight  relatively
    expensive  commodities  and  overweight  relatively  cheap commodities among
    twelve  of the most liquid commodities in four sectors: Energy, Base Metals,
    Precious  Metals,  Agriculture.  In  order to avoid concentration and ensure
    adequate  diversification, single commodity allocations are first subject to
    a 32% cap and then to 18% cap on subsequent commodities.

[]  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

[]  Rebalancing:  A rebalancing will occur if on the monthly rebalance date, the
    one-year  moving average price of one or more commodities trade +/-- 5% than
    the five-year moving average

[]  Embedded Cost: 1.00% per annum

[]  Transparency:  Rule-based index with the closing level and weights published
    daily on Bloomberg (DBLCMNGU)

Note:

1 ERAC: Excess Return After Cost

                                                                              19


 
 
 
 

 
 
 

Invests in 11 liquid commodity contracts.
Over-weights cheap commodities and under-weights expensive ones

Employs OY technology seeking to maximize roll yield by selecting
the optimum futures contract

DBLCI -- Mean Reversion Enhanced ex NG ERAC

Index Construction

Agriculture Industrial Metal Precious Metal
(25% (1)) (20% (1)) (20% (1)) Energy (35% (1))

Basket with Base Weights

Apply Optimum Yield Technology

[]  Optimize  roll returns by attempting to invest in contracts with the highest
    implied roll yield

Basket with Base Weights using OY sub-indices

Apply MR Technology

[]  Weight  of  each  component  determined  based on the ratio of 1 year moving
    average (MA) price to 5 year MA price

DBLCI Mean Reversion Enhanced ex NG

[]  Subtract 1.00% fees per annum

DBLCI Mean Reversion Enhanced ex NG ERAC





Agriculture Industrial Metal Precious Metal Energy
(22.39% (2)) (29.25% (2)) (25.68% (2)) (22.68% (2))
Source: Deutsche Bank, 2014
Notes:
1  Base  Weights of DBLCI-MR Enhanced ex NG ERAC Index. Current Weights as of 30
May 2014

2 ERAC: Excess Return After Cost

                                                                              20

 
 
 
 

 
 
 

DBLCI -- Mean Reversion Enhanced ex NG ERAC


Jan 2004 -- May 2014

Annualized Returns Volatility Sharpe Ratio Maximum Drawdown Start Date End
Date
Max  Monthly  Consecutive  Loss  Start  Date End Date Max/Min Returns Rolling 12
Months Rolling 3 Months Average Monthly Returns % Months with Gains Correlation

DBLCI -- MR
DJUBS
Notes:




DBLCI Mean
Reversion Enhan DBLCI-MR      DJUBS
ced ex NG ERAC
10.5%          7.7%           -0.1%
20.1%          21.0%          18.3%
0.52           0.37           -0.01
-50.9%         -62.8%         -57.1%
Jul-08         Jul-08         Jul-08
Dec-08         Feb-09         Mar-09
-46.9%         -59.0%         -54.5%
Jul-08         Jul-08         Jul-08
Feb-09         Feb-09         Feb-09
72.9% / -43.2% 84% / -56.3%   39.9% / -52.7%
38.1% / -38.4% 33.3% / -43.1% 24.7% / -39.7%
1.0%           0.8%           0.1%
60.0%          59.2%          57.6%
0.89           1.00           0.84
0.86           0.84           1.00
-------------- -------------- --------------





Index Sector Exposure (1)
------------------------- ----------------------
Sector                    Current Weight (%)
Energy                                     22.68
Precious Metal                            25.68
Industrial Metal                           29.25
Agriculture                                22.39
------------------------- ----------------------


Year on Year Performance Comparison 1




                         Annual Returns for Excess Return / ERAC Indices
                  ------------------------------------------------------ -------
                          DBLCI Mean
                  Reversion Enhanced
Calendar Year             ex NG ERAC   DBLCI-MR                          DJUBS
2004                           20.87%     25.85%                          7.64%
2005                           11.93%       2.96%                        17.54%
2006                           29.59%     39.22%                          -2.71%
2007                           34.65%     42.49%                         11.08%
2008                           -25.15%    -35.43%                        -36.61%
2009                           55.25%     22.29%                         18.72%
2010                           19.46%     13.62%                         16.67%
2011                            -9.69%     -2.47%                        -13.37%
2012                             3.22%      3.33%                         -1.14%
2013                           -12.66%     -9.05%                         -9.58%
2014 YTD                         6.48%      2.59%                         6.43%
Annualized Return              10.54%       7.71%                         -0.10%
----------------- -------------------- --------------------------------- -------

1   Source:  Bloomberg.  DBLCI  --  Mean  Reversion Enhanced ex NG ERAC has been
    retrospectively  calculated  and  did not exist prior to 30 August 2012 (the
    "Live  Date").  The index has very limited performance history and no actual
    investment  which  allowed  tracking  of  the  performance  of the Index was
    possible  before  its  Live  Date. Accordingly, the results shown before the
    Live  Date  are  hypothetical  and  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 DBLCI --
    Mean  Reversion  Enhanced  ex  NG  ERAC Index would have been lower than the
    Index  as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May
    2014. See Risk Considerations for more information.

2   ERAC  =  Excess  Return  After  Cost. Statistics shown are either for excess
    return indices or ERAC indices.

                                                                              21

 
 
 
 

 
 
 

DB MR Enhanced 15

Index Summary

[]  Components:  Tracks the performance of a basket of 12 commodities: Aluminum,
    Nickel,  Zinc, Copper, Lead, WTI Crude Oil, Natural Gas, Gold, Silver, Corn,
    Wheat and Soybeans

[]  Wheat  (1)  :  Wheat exposure is taken through an equally-weighted basket of
    Chicago Wheat, Minneapolis Wheat and Kansas Wheat

[]  Dynamic  Weights  and  Diversification  (2): Seeks to underweight relatively
    expensive  commodities  and  overweight  relatively  cheap commodities among
    twelve  of the most liquid commodities in four sectors: Energy, Base Metals,
    Precious  Metals,  Agriculture.  In  order to avoid concentration and ensure
    adequate  diversification,  single  commodity allocations except Agriculture
    commodities are first subject to a 32% cap and then to 18% cap on subsequent
    commodities. Agriculture commodities are subject to a cap of 18%

[]  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

[]  Target  Volatility:  Exposure  to the DBLCI Mean Reversion Enhanced is reset
    monthly  in order to target a realized volatility of 15%. Exposure is capped
    at 300%.

[]  Rebalancing:  A rebalancing will occur if on the monthly rebalance date, the
    one-year  moving average price of one or more commodities trade +/-- 5% than
    the five-year moving average

[]  Transparency:  The  DB MR Enhanced 15 is a rule-based index with the closing
    level and weights published daily on Bloomberg (DBLCMTEU)






Notes:

1   Until  Feb  2012  exposure to Wheat in the Mean Reversion Enhanced Index was
    aken entirely through Chicago Wheat futures

2   Until  Feb  2012  the single commodity weighting cap was 35% (currently 32%)
    and the subsequent individual cap was 20% (currently 18%)


                                                                              22

 
 
 
 

 
 
 

DB MR Enhanced 15

Invests in 12 liquid commodity contracts.
Over-weights cheap commodities and under-weights expensive ones

Employs OY technology seeking to maximize roll yield and Target
Volatility technology with the aim of obtaining a smoother return profile

Index Construction
Agriculture Industrial Metal Precious Metal
(25% (1)) (18% (1)) (17% (1)) Energy (40% (1))

Basket with Base Weights

Apply Optimum Yield Technology

[]  Optimize  roll returns by attempting to invest in contracts with the highest
    implied roll yield

Basket with Base Weights using OY Sub-indices

Apply Mean Reversion Technology

[]  Weight of each component determined based on the ratio of 1 year MA price to
    5 year MA price

DBLCI -- Mean Reversion Enhanced 2

Agriculture(22.95%), Industrial Metal(26.98%), Precious Metal(22.38%) &
Energy(27.69%)

Apply Target Volatility Technology

[] Volatility targeted at 15% by varying exposure to the DBLCI -- Mean
Reversion Enhanced Index

DB MR Enhanced 15

Note:
1 Base Weights of DBLCI -- Mean Reversion Enhanced Index

2 Current Weights of DBLCI-Mean Reversion Enhanced Index as of 30 May 2014

                                                                              23

 
 
 
 

 
 
 

DB MR Enhanced 15

Participation(L) 3m MRE
Vol(R)

1 MRE TV15 Average Vol(R) Target
Vol(R)
Performance Analysis Year on Year Performance Comparison (1)

DBLCI -- Mean Annual Returns for Excess
 Return Indices

DB MR Enhanced

Jan 2004 -- May 2014                        Reversion      DJUBS   15
                                            Enhanced
Annualized Returns           7.6%           5.5%           -0.1%
Volatility                   15.4%          19.6%          18.3%
Sharpe Ratio                 0.49           0.28           -0.01
Maximum Drawdown             -42.1%         -55.9%         -57.1%
Start Date                   Jul-08         Jul-08         Jul-08
End Date                     Jan-14         Mar-09         Mar-09
Max Monthly Consecutive Loss -33.5%         -53.8%         -54.5%
 Start Date                  Jul-08         Jul-08         Jul-08
 End Date                    Feb-09         Feb-09         Feb-09
Max/Min Returns
 Rolling 12 Months           51.8% / -31.1% 71.2% / -46.5% 39.9% / -52.7%
 Rolling 3 Months            22.8% / -22.2% 36% / -37.4%   24.7% / -39.7%
Average Monthly Returns      0.7%           0.6%           0.1%
% Months with Gains          55.2%          55.2%          57.6%
Correlation
 DBLCI-MR                    0.93           1.00           0.85
 DJUBS                       0.81           0.85           1.00
                                DB MR      DBLCI -- Mean
 Calendar Year             Enhanced 15 Reversion Enhanced       DJUBS
 2004                            25.18%           23.16%        7.64%
 2005                            15.77%           10.43%        7.54%
 2006                            30.96%           28.54%        -2.71%
 2007                            24.84%           26.67%       11.08%
 2008                           -11.82%          -26.29%       -36.61%
 2009                            18.57%           37.53%       18.72%
 2010                             5.99%            5.29%       16.67%
 2011                           -16.78%          -21.87%       -13.37%
 2012                            -5.02%           -4.42%       -1.14%
 2013                            -9.29%           -7.37%       -9.58%
 2014 YTD                        13.80%            7.33%       6.43%
 Annualized Return                7.59%            5.55%       -0.10%

Notes:

1   Source: Bloomberg. DB MR Enhanced 15 has been retrospectively calculated and
    did  not  exist  prior to 28 September 2009 (the "Live Date"). The index has
    very  limited  performance  history  and  no actual investment which allowed
    tracking  of the performance of the Index was possible before its Live Date.
    Accordingly,  the results shown before the Live Date are hypothetical and 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 MR Enhanced 15 Index would have been
    lower  than  the  Index as a result of fees and / or costs. Data from 31 Dec
    2003 till 30 May 2014. See Risk Considerations for more information.

2   Statistics shown are for excess return indices.

                                                                              24

 
 
 
 

 
 
 

DBLCI MR+

Index Summary

[]  Components:  Tracks  the  performance  of 6 commodity futures: Aluminum, WTI
    Crude Oil, Heating Oil, Gold, Corn and Wheat

[]  Dynamic  Weights:  Seeks to underweight relatively expensive commodities and
    overweight relatively cheap commodities among six of the most liquid futures
    contracts in four sectors: Energy, Base Metals, Precious Metals, Agriculture

[]  Dynamic  Allocation:  The  "Plus"  strategy  aims to preserve excess returns
    generated  by  the  DBLCI-MR  by  adjusting  its exposure monthly to reflect
    upward and downward momentum cycles. A sample set of returns for each period
    ranging between one and twelve months are calculated. The weight assigned to
    DBLCI-MR is based on the number of periods with positive returns

[]  Rebalancing:  A  rebalancing  in  the underlying index (DBLCI-MR) will occur
    whenever  one  of  the  commodities  undergoes a "trigger event. " A trigger
    event  occurs when the one-year moving average price of the commodity trades
    +/-- 5% than the five-year moving average

[]  Roll  Frequency  and Method: Fixed monthly roll for Energy components, fixed
    yearly roll for Metals and Agriculture components

[]  Transparency:  Rule-based index with the closing level, weights and exposure
    published daily on Bloomberg (DBLCMPUE)


                                                                              25


 
 
 
 

 
 
 

Invests in 6 liquid commodity contracts. Over-weights cheap
commodities and under-weights expensive ones

Aims to offer upside exposure to DBLCI -MR but limit potential drawdowns by
employing a momentum algorithm

DBLCI MR+

Index Construction

Corn Gold Heating oil WTI Aluminum Wheat
(11.25%(1)) (10%(1)) (20%(1)) (35%(1)) (12.5%(1)) (11.25%(1))

Basket with Base Weights

Apply Mean Reversion Technology

[]  Weight of each component determined based on the ratio of 1 year MA price to
    5 year MA price


DBLCI-MR Returns(3) DBLCI-MR (2)
--------------------------------------------------------------------------------


1 Month -0.6% Corn(20.9%), Gold(13.7%), Heating Oil(11.2%), Crude Oil(19.6%),
Aluminium(23.2%) & Wheat(11.5%)

2 Month 2.0%

3 Month 5.8%

Apply 'Plus' Strategy
4 Month 8.8%

5 Month 3.9%

[]  Variable exposure to DBLCI-MR with the aim of preserving the

6 Month 4.0% upside but limiting loses

7 Month -1.6%

8 Month -1.9%

[]  Exposure to DBLCI-MR = total number of positive returns / 12

(6/12 = 50.00%)
9 Month -0.7%

10 Month -0.9%

11 Month 0.1%

12 Month -0.6%

DBLCI MR+


Note:

1   Base Weights of DBLCI-MR Index

2   Current Weights of DBLCI-MR Index as of 30 May 2014

3   Returns are calculated as of 6(th) business day of each month, from May 2013
    to May 2014.

                                                                              26


 
 
 
 

 
 
 



DBLCI MR+

Performance Analysis
Index Returns 1 Historical Weighting 1
400 100% 1,400

Live Date: 20 Jun 2007 80% 1,200
300
1,000
200 60% 800


40% 600

100 400
20% 200
0
Current Participation 1: 50.00%
Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 0% 0
DBLCI - MR DJUBS DBLCI MR+ Jan-04Jan-06Jan-08Jan-10 Jan-12Jan-14
Participation(L) DBLCI - MR(R)

Jan 2004 - May 2014     DBLCI MR+  DBLCI-MR  DJUBS
Annualized Returns      6.7%        7.7%     -0.1%
Volatility              14.9%     21.0%   18.3%
Sharpe Ratio            0.45       0.37    -0.01
Maximum Drawdown        -33.8%    -62.8%  -57.1%
Start Date              Jul-08    Jul-08  Jul-08
End Date                Jun-10    Feb-09  Mar-09
Max Monthly
Consecutive Loss        -27.1%    -59.0%  -54.5%
Start Date              Jul-08    Jul-08  Jul-08
End Date                Nov-08    Feb-09  Feb-09
Max/Min Returns
Rolling 12 Months       81.8% / -31.4%  84% / -56.3%    39.9% / -52.7%
Rolling 3 Months        28.4% / -26.7%  33.3% / -43.1%  24.7% / -39.7%
Average Monthly Returns 0.6%      0.8%    0.1%
% Months with Gains     51.2%     59.2%   57.6%
Correlation
DBLCI - MR              0.85      1.00    0.84
DJUBS                   0.71      0.84    1.00


        Annual Returns for Excess Return Indices
Calendar
Year   DBLCI MR+ DBLCI-MR DJUBS
2004    24.07%  25.85%  7.64%
2005    -4.53%  2.96%   17.54%
2006    24.53%  39.22%  -2.71%
2007    38.57%  42.49%  11.08%
2008    -0.67%  -35.43% -36.61%
2009    8.87%   22.29%  18.72%
2010    2.36%   13.62%  16.67%
2011    -2.84%  -2.47%  -13.37%
2012    -2.45%  3.33%   -1.14%
2013    -7.36%  -9.05%  -9.58%
2014
YTD     -1.09%  2.59%   6.43%
Annualized
Return  6.70%   7.71%   -0.10%


Notes:

1   Source: Bloomberg. DBLCI MR+ has been retrospectively calculated and did not
    exist  prior  to  20 June 2007 (the "Live Date"). The index has very limited
    performance  history  and no actual investment which allowed tracking of the
    performance of the Index was possible before its Live Date. Accordingly, the
    results  shown  before  the  Live  Date  are hypothetical and 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  DBLCI  MR+  Index  would have been lower than the Index as a
    result  of  fees and / or costs. Data from 31 Dec 2003 till 30 May 2014. See
    Risk Considerations for more information.

2   Statistics shown are for excess return indices.

                                                                              27

 
 
 
 

 
 
 

Market Neutral Indices

Section 3

                                                                              28

 
 
 
 

 
 
 

DB Commodity Harvest ERAC

Index Summary

[]  Market  Neutral Strategy: The DB Commodity Harvest ERAC Index goes short the
    S&P  Goldman  Sachs  Light Energy Index and long the DB Commodity Booster --
    Benchmark  Light  Energy  Index, an Optimum Yield version of the S&P Goldman
    Sachs  Light Energy Index, in an attempt to provide market-neutral exposure,
    and to generate returns from DB's optimum yield technology.

[]  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

[]  Embedded Cost: 0.60% per annum

[]  Transparency:  Rule based index with the closing level and weights published
    daily on Bloomberg (DBLCHNUE)

Note:

1 ERAC: Excess Return After Cost

                                                                              29


 
 
 
 

 
 
 





DB Commodity Harvest ERAC

Index Construction

Precious Industrial
Agriculture &
Strategy aims to Energy Metals Metals
Livestock
39.17% (39.09% (1))
generate alpha from 5.60% (5.96% (1)) 13.78% (14.73%
(1)) 41.45% (40.25%(1))
roll returns by going
long the OY index and
short the
benchmark index
S&P GSCI Light Energy
S&P GSCI Light Energy
Apply Optimum Yield Technology

[]  Optimize roll returns by attempting to S&P GSCI Light Energy rolls maximize
    implied roll yield each commodity to its nearest available futures contract


DB Commodity Booster --
Benchmark Light Energy





Long Short

Carry Strategy

[]  Market neutral equally weighted Long and Short positions to generate Alpha.
    Exposure to long and short legs rebalanced monthly DB Commodity Harvest to
    maintain overall neutrality

[]  Subtract 0.60% fees per annum At each rebalance date, the Short position
    (S&P GSCI Light Energy) rolls to the nearest dated futures contract for each
    commodity whereas the Long position (DB Commodity Booster -- Benchmark Light
    Energy) rolls to the future contract with the highest implied roll yield and
    expires within DB Commodity Harvest ERAC the next 13 months.

                    Note:

1   Weights shown are: Current Weight (Base Weight). Current eights are as of 30
    May 2014

2   ERAC: Excess Return After Cost


                                                                              30



 
 
 
 

 
 
 




DB Commodity Harvest ERAC
Performance Analysis
Index Returns (1) Index Constituents (1)
300
Live Date: 14 Oct 2008 Index Current Weight (%)
0

Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14

---------------

DB Commodity Booster - Benchmark Light Energy

S&P-GSCI Light Energy

DB Commodity Harvest ERAC

Performance Analysis (1) Year on Year Performance Comparison (1)

                                              DB Commodity
 Return / ERAC Indices

 ------------------------------------------------------
                                 DB Commodity                      S&P-GSCI
    Jan 2004 -- May 2014         Booster -- Benchmark
                                 Harvest ERAC                      Light Energy

                                              Light Energy
    Annualized Returns           3.9%         4.9%                 0.2%
    Volatility                   3.1%         17.7%                19.1%
    Sharpe Ratio                 1.26         0.28                 0.01

    Maximum Drawdown             -6.5%        -56.8%               -60.9%
      Start Date                 Feb-09       Jul-08               Jul-08
      End Date                   Mar-14       Mar-09               Feb-09


    Max Monthly Consecutive Loss -5.3%        -53.8%               -42.0%

      Start Date                 Jun-07       Jul-08               Jul-08
      End Date                   Sep-07       Feb-09               Feb-09
    Max / Min Returns

      Rolling 12 Months          17% / -4.9%  51.7% / -50.3%      48.2% / -55.8%
      Rolling 3 Months           6.4% / -5.6% 24.8% / -42.4%      26.1% / -44.6%


    Average Monthly Returns      0.3%         0.5%                 0.2%

    % Months with Gains          65.6%        56.8%                55.2%
    Correlation


      DB Commodity Booster --

                                 -0.39        1.00                 0.98

      Benchmark Light Energy
      S&P-GSCI Light Energy      -0.52        0.98                 1.00

                        Annual Returns for Excess
                                  DB        DB  Commodity
                  Commodity Harvest   Booster --  Benchmark    S&P-GSCI
Calendar Year                  ERAC         Light Energy  Light Energy
2004                           12.84%         22.05%         7.31%


2005                           10.17%        28.51%        15.51%
2006                           12.30%         9.15%       -3.77%
2007                           -0.44%         17.49%        17.16%
2008                           10.61%         -33.20%      -40.39%
2009                            0.58%         17.02%        15.17%
2010                           -1.38%         16.11%        16.94%
2011                            1.58%         -5.21%       -7.28%
2012                           -0.89%        1.46%        1.60%
2013                           -2.02%         -9.40%       -8.16%
2014 YTD                       -1.21%         3.94%        4.93%
Annualized Return               3.87%         4.95%        0.18%

Notes: 1 Source: Bloomberg. DB Commodity Harvest ERAC has been retrospectively
    calculated and did not exist prior to 14 October 2008 (the "Live Date"). The
    index has very limited performance history and no actual investment which
    allowed tracking of the performance of the Index was possible before its
    Live Date. Accordingly, the results shown before the Live Date are
    hypothetical and 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 ERAC
    Index would have been lower than the Index as a result of fees and / or
    costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for
    more information.

2   ERAC = Excess Return After Cost. Statistics shown are either for excess
    return indices or ERAC indices.

                                                                              31

 
 
 
 

 
 
 

DB Commodity Harvest -- 10 ERAC

Index Summary

[]  Market Neutral Strategy: The DB Commodity Harvest Index goes short the S&P
    Goldman Sachs Light Energy Index and long the DB Commodity Booster --
    Benchmark Light Energy Index, an Optimum Yield version of the S&P Goldman
    Sachs Light Energy Index, in an attempt to provide market-neutral exposure,
    and to generate returns from DB's optimum yield technology

[]  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

[]  Target Volatility: Varies exposure to the DB Commodity Harvest ERAC Index
    with a view to target a volatility of 10%. Exposure is capped at 500%.

[]  Transparency: Rule based index with the closing level and weights published
    daily on Bloomberg (DBCMHVEG)

Note:

1   ERAC: Excess Return After Cost

                                                                              32


 
 
 
 

 
 
 





DB Commodity Harvest -- 10 ERAC

Index Construction

Strategy aims to Energy Precious Industrial
Agriculture &
generate alpha from 39.17% (39.09% (1)) Metals Metals
Livestock
5.60% (5.96% (1)) 13.78% (14.73%
(1)) 41.45% (40.25%(1))
roll returns and to
smoothen the return
profile by varying
exposure to the
underlying index in S&P GSCI Light Energy
S&P GSCI Light Energy
response to changes
in realized volatility

Apply Optimum Yield Technology

[]  Optimize roll returns by attempting to maximize implied roll yield S&P GSCI
    Light Energy rolls each commodity to its nearest

DB Commodity Booster -- available futures contract Benchmark Light Energy Long
Short

DB Commodity Harvest ERAC

Apply Target Volatility Technology

[]  Volatility targeted at 10% by varying exposure to the DB Commodity Harvest
    ERAC





DB Commodity Harvest -- 10 ERAC
Note:

1   Weights shown are: Current Weight (Base Weight). Current weights are as of
    30 May 2014


2   ERAC: Excess Return After Cost

                                                                              33

 
 
 
 

 
 
 

DB Commodity Harvest -- 10 ERAC

Performance Analysis

Current Exposure (1): 500.00%

DB Commodity Harvest ERAC S&P-GSCI Light Energy
DB Commodity Harvest - 10 ERAC 0%
Jan-04 Jan-06 Jan-08 Jan-10 Jan-12
Jan-14

Performance Analysis (1)
                             DB Commodity   DB
 ERAC Indices
                                                         S&P-GSCI

Jan 2004 -- May 2014         Harvest -- 10  Commodity    Light Energy
                             ERAC           Harvest ERAC
 S&P-GSCI
Annualized Returns           10.9%          3.9%         0.2%
Volatility                   10.6%          3.1%         19.1%
Sharpe Ratio                 1.03           1.26         0.01
Maximum Drawdown             -29.7%         -6.5%        -60.9%
  Start Date                 Jun-10         Feb-09       Jul-08
  End Date                   Mar-14         Mar-14       Feb-09
Max Monthly Consecutive Loss -17.2%         -5.3%        -42.0%
  Start Date                 Jun-07         Jun-07       Jul-08
  End Date                   Sep-07         Sep-07       Feb-09
Max / Min Returns

  Rolling 12 Months          66.4% / -21.5% 17% / -4.9%  48.2% / -55.8%
  Rolling 3 Months           20.9% / -17.6% 6.4% / -5.6% 26.1% / -44.6%
Average Monthly Returns      0.9%           0.3%         0.2%
% Months with Gains          65.6%          65.6%        55.2%
Correlation
  DB Commodity Harvest ERAC  0.96           1.00         -0.52
  S&P-GSCI Light Energy      -0.49          -0.52        1.00

 Year on Year Performance Comparison(1)

                          Annual Returns for Excess Return /

                                                  DB
                         DB Commodity Commodity Harvest

Calendar Year        Harvest -- 10 ERAC        ERAC     Light Energy
2004                            47.35%         12.84%      7.31%
2005                            34.80%         10.17%     15.51%
2006                            36.68%         12.30%     -3.77%
2007                             -2.51%        -0.44%     17.16%
2008                            39.69%         10.61%     -40.39%
2009                             1.85%          0.58%     15.17%
2010                             -5.88%        -1.38%     16.94%
2011                             3.51%          1.58%     -7.28%
2012                             -6.10%        -0.89%      1.60%
2013                             -9.13%        -2.02%     -8.16%
2014 YTD                         -6.01%        -1.21%     4.93%
Annualized Return               10.91%          3.87%     0.18%

Notes:

1   Source: Bloomberg. DB Commodity Harvest -- 10 ERAC has been retrospectively
    calculated and did not exist prior to 14 October 2008 (the "Live Date"). The
    index has very limited performance history and no actual investment which
    allowed tracking of the performance of the Index was possible before its
    Live Date. Accordingly, the results shown before the Live Date are
    hypothetical and 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 --
    10 ERAC Index would have been lower than the Index as a result of fees and /
    or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations
    for more information.

2   ERAC = Excess Return After Cost. Statistics shown are either for excess
    return indices or ERAC indices.

                                                                              34

 
 
 
 

 
 
 

Long-Short Indices

Section 4

                                                                              35

 
 
 
 

 
 
 

DB Commodity Backwardation Alpha 22

Index Summary

[]  Concept: The Index goes long the top 11 backwardated commodities, and short
    the remaining 11 commodities, from a universe of 22 commodities. The
    hypothesis is that the backwardated commodities' basket will outperform the
    basket of the remaining commodities.

[]  Components: 22 commodities futures spanning the energy, industrial metals,
    agriculture and precious metals sectors.

[]  Summary: The strategy goes long the 11 commodities with the most
    backwardation (or least contango) with a weight of 1/11 each and shorts the
    remaining 11 commodities with a weight of 1/11 each.

--  Short exposure is provided via front month contracts

--  Long exposure is provided via OY Enhanced single commodity Indices

[]  'Backwardation' Measure: Backwardation for each commodity is measured as the
    weighted backwardation of the basket of contracts included in the Optimum
    Yield Enhanced Index for such commodity.

[]  Rebalancing: The index is rebalanced every month at the end of the 2(nd)
    index business day of the month.

[]  Transparency: Rule-based index with the closing level published daily on
    Bloomberg (DBRCBWUE)

                                                                              36


 
 
 
 

 
 
 

DB Commodity Backwardation Alpha 22

Index Construction

Industrial metals Precious metals Energy Agriculture

Basket with 22 Commodities

Measure Backwardation

Measure implied roll return of the OYE basket of contracts

Long basket of 11 commodities Short basket of 11 commodities

OY Enhanced single commodity indices Single commodity front month indices

Weight = 1/11 for each commodity

Weight = 1/11 for each commodity

DB Commodity Backwardation Long DB Commodity Backwardation Short
Weight = 100% Weight = -100%

DB Commodity Backwardation Alpha 22

DB Commodity Backwardation Alpha 22

                                                                              37


 
 
 
 

 
 
 

DB Commodity Backwardation Alpha 22

Performance Analysis

Index Returns (1)


              S&P GSCI       DJUBS     DB Commodity Backwardation Alpha 22
Performance Analysis (1)
                              DB Commodity
Jan 2004 -- May 2014          Backwardation S&P GSCI       DJUBS
                              Alpha 22
Annualized Returns           17.7%          -0.5%          -0.1%
Volatility                   13.9%          24.5%          18.3%
Sharpe Ratio                 1.28           -0.02          -0.01
Maximum Drawdown             -18.8%         -71.6%         -57.1%
  Start Date                 Apr-12         Jul-08         Jul-08
  End Date                   Jul-12         Feb-09         Mar-09
Max Monthly Consecutive Loss -14.9%         -67.8%         -54.5%
  Start Date                 Apr-12         Jul-08         Jul-08
  End Date                   Jul-12         Feb-09         Feb-09
Max / Min Returns
  Rolling 12 Months          67.4% / -13.8% 74.8% / -64.8% 39.9% / -52.7%
  Rolling 3 Months           24.4% / -17.1% 34.4% / -53.4% 24.7% / -39.7%
Average Monthly Returns      1.4%           0.2%           0.1%
% Months with Gains          68.0%          56.8%          57.6%
Correlation
  S&P GSCI                   0.06           1.00           0.91
  DJUBS                      0.06           0.91           1.00

Year on Year Performance Comparison (1)

                          Annual Returns for Excess Return Indices

                        DB Commodity
                  Backwardation Alpha  S&P GSCI                    DJUBS
Calendar Year                       22
2004                           30.90%     15.65%                    7.64%
2005                           40.71%     21.61%                   17.54%
2006                           48.18%    -19.07%                    -2.71%
2007                           10.97%     26.81%                   11.08%
2008                           26.71%    -47.29%                   -36.61%
2009                           35.40%     13.30%                   18.72%
2010                             3.73%     8.88%                   16.67%
2011                             8.35%    -1.23%                   -13.37%
2012                            -3.31%    -0.01%                    -1.14%
2013                             5.15%    -1.28%                    -9.58%
2014 YTD                        -7.89%     3.50%                    6.43%
Annualized Return              17.71%     -0.52%                    -0.10%


Notes:


1   Source: Bloomberg. DB Commodity Backwardation Alpha 22 has been
    retrospectively calculated and did not exist prior to 15 October 2012 (the
    "Live Date"). The index has very limited performance history and no actual
    investment which allowed tracking of the performance of the Index was
    possible before its Live Date. Accordingly, the results shown before the
    Live Date are hypothetical and 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 Backwardation Alpha 22 Index would have been lower than the Index
    as a result of fees and / or costs. Data from 31 Dec 2003 till 30 May 2014.
    See Risk Considerations for more information.

2   Statistics shown are for excess return indices.

                                                                              38

 
 
 
 

 
 
 

DB Commodity Risk Parity 18 Index

Section 6

                                                                              39

 
 
 
 

 
 
 

DB Commodity Risk Parity 18

Index Summary

[]  Risk Parity: Provides exposure to 4 commodity sector indices such that risk
    contribution of each to the resulting portfolio is equal. Risk contribution
    is determined by using past 3 month realized volatilities and correlations.
    Volatility is targeted at 18% by leveraging the equal risk weighted
    portfolio; such leverage is capped at 300%.

[]  Components: The 4 sector indices used to construct the index are: DBLCI-OY
    Energy Index, DBLCI-OY Industrial Metal Index, DBLCI-OY Precious Metal Index
    and DBLCI-OY Agriculture Index.

[]  Rebalancing: Each month, sector exposures are adjusted with the aim of
    achieving equal risk contributions and a volatility of 18%.

[]  Optimizing Roll Returns: All 4 sector indices employ 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 []
    Transparency: Rule-based index with the closing level and weights published
    daily on Bloomberg (DBCMRPTV)


                                                                              40


 
 
 
 

 
 
 




DB Commodity Risk Parity 18
Index Construction
------------------ ------------------ ------------------ ------------------
     DBLCI-OY         DBLCI-OY           DBLCI-OY           DBLCI-OY
   Energy Index    Industrial Metal   Precious Metal        Agriculture
      (26.57% (1)) Index (25.05% (1)) Index (21.83% (1)) Index (26.55% (1))

Basket with 4 Sector Indices

Apply Risk Parity Technology

[]  Allocates weights to each sector index such that the risk contribution of
    all components is equal

DB Commodity Risk Parity

Apply 0.50% fees per annum

Apply Target Volatility Technology

[]  Volatility is targeted at 18% by varying exposure to each underlying sector
    index

DB Commodity Risk Parity 18

Note:

1 Current weights are as of 30 May 2014


                                                                              41


 
 
 
 

 
 
 

DB Commodity Risk Parity 18

Performance Analysis

Index Returns (1)

500

Live Date: 12 Dec 2010


Performance Analysis 1


                             DB Commodity
Jan 2004 -- May 2014                        S&P GSCI       DJUBS
                             Risk Parity 18
Annualized Returns           11.4%          -0.5%          -0.1%
Volatility                   19.5%          24.5%          18.3%
Sharpe Ratio                 0.59           -0.02          -0.01
Maximum Drawdown             -44.4%         -71.6%         -57.1%
  Start Date                 Apr-11         Jul-08         Jul-08
  End Date                   Jan-14         Feb-09         Mar-09
Max Monthly Consecutive Loss -33.5%         -67.8%         -54.5%
  Start Date                 Jul-08         Jul-08         Jul-08
  End Date                   Feb-09         Feb-09         Feb-09
Max / Min Returns
  Rolling 12 Months          118.5% / -35%  74.8% / -64.8% 39.9% / -52.7%
  Rolling 3 Months           47.9% / -28.8% 34.4% / -53.4% 24.7% / -39.7%
Average Monthly Returns      1.1%           0.2%           0.1%
% Months with Gains          56.0%          56.8%          57.6%
Correlation
  S&P GSCI                   0.74           1.00           0.91
  DJUBS                      0.85           0.91           1.00



Historical Exposure(1)

300% Exposure to DBLCI -- OY Energy (2): 68.24%
Exposure to DBLCI -- OY Agriculture (2): 68.19%
250% Exposure to DBLCI -- OY Precious Metal (2): 56.05%
Exposure to DBLCI -- OY Industrial Metal (2): 64.34%
200%
150%
100%
50%
0%
Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14
Energy Agriculture Precious Metals Base Metals

Year on Year Performance Comparison 1

                           Annual Returns for Excess Return Indices
                  ------------------------------------------------- -------
                  DB Commodity Risk
                                       S&P GSCI                     DJUBS
Calendar Year                Parity 18
2004                          34.22%      15.65%                     7.64%
2005                          57.65%      21.61%                    17.54%
2006                          26.76%     -19.07%                     -2.71%
2007                          20.15%      26.81%                    11.08%
2008                          -17.48%    -47.29%                    -36.61%
2009                          26.22%      13.30%                    18.72%
2010                          27.90%       8.88%                    16.67%
2011                           -7.48%     -1.23%                    -13.37%
2012                           1.63%      -0.01%                     -1.14%
2013                          -26.18%     -1.28%                     -9.58%
2014 YTD                       3.58%       3.50%                     6.43%
Annualized Return             11.42%      -0.52%                     -0.10%

Notes:

1   Source: Bloomberg. DB Commodity Risk Parity 18 has been retrospectively
    calculated and did not exist prior to 12 December 2010 (the "Live Date").
    The index has very limited performance history and no actual investment
    which allowed tracking of the performance of the Index was possible before
    its Live Date. Accordingly, the results shown before the Live Date are
    hypothetical and 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 Risk Parity
    18 Index would have been lower than the Index as a result of fees and / or
    costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for
    more information.

2   Statistics shown are for excess return indices.

                                                                              42

 
 
 
 

 
 
 

Optimum Yield Enhanced Indices

Section 8

                                                                              43

 
 
 
 

 
 
 

DB Commodity Booster OYE DJUBS

Index Summary

[]  Composition: Same base weights as the DJUBS Index. Weights are rebalanced
    annually

[]  Optimizing Roll Returns: Employs Deutsche Bank's proprietary Optimum Yield
    Enhanced ("OY Enhanced") technology, which provides exposure to 3 different
    contracts on each commodity's curve, with a view to maximizing volatility
    adjusted implied roll yield. Exposure to the 3 contracts is assessed and
    rebalanced monthly

--  Exposure to short-term contract (front month), medium-term and long-term
    contracts (pre- defined schedule based on liquidity)

--  For livestock, exposure is to three-month forward contracts

[]  Transparency: Rule-based index with the closing level published daily on
    Bloomberg (DBCMODUE)


                                                                              44


 
 
 
 

 
 
 



Index  replicates  the  DJUBS  by  using  OY  Enhanced indices thereby providing
similar commodity exposure while seeking to manage roll returns more effectively

[]  Optimize roll returns by providing exposure to 3 different contracts on each
    commodity's curve, with a view to maximizing volatility adjusted implied
    roll yield

DB Commodity Booster OYE DJUBS

Note:

1 Weights shown are: Rebalance Weights for 2014
                                                                              45


 
 
 
 

 
 
 

DB Commodity Booster OYE DJUBS

Index Sector Exposure (1)
------------------------- -------------------------
Sector                    Rebalance Weight (%)
Energy                                        31.79
Precious Metal                                15.67
Industrial Metal                              16.59
Agriculture & Livestock                       35.94
------------------------- -------------------------

Year on Year Performance Comparison (1)
=================================================================== ==========
                           Annual Returns for Excess Return Indices
                  ------------------------------------------------- ----------
                  DB Commodity Booster OYE
Calendar Year                         DJUBS   DJUBS                 S&P-GSCI
2004                                   24.99%  7.64%                   15.65%
2005                                   34.94% 17.54%                   21.61%
2006                                   14.89%  -2.71%                  -19.07%
2007                                   19.35% 11.08%                   26.81%
2008                                  -27.14% -36.61%                  -47.29%
2009                                   21.67% 18.72%                   13.30%
2010                                   16.88% 16.67%                    8.88%
2011                                   -6.80% -13.37%                   -1.23%
2012                                    1.11%  -1.14%                   -0.01%
2013                                  -10.78%  -9.58%                   -1.28%
2014 YTD                                5.98%  6.43%                    3.50%
Annualized Return                       7.55%  -0.10%                   -0.52%
----------------- --------------------------- --------------------- ----------

Notes:

1   Source: Bloomberg. DB Commodity Booster OYE DJUBS has been retrospectively
    calculated and did not exist prior to 31 October 2011 (the "Live Date"). The
    index has very limited performance history and no actual investment which
    allowed tracking of the performance of the Index was possible before its
    Live Date. Accordingly, the results shown before the Live Date are
    hypothetical and 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 Booster OYE
    DJUBS Index would have been lower than the Index as a result of fees and /
    or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations
    for more information.

2   Statistics shown are for excess return indices.

                                                                              46

 
 
 
 

 
 
 

DB Commodity Booster OYE Benchmark Light Energy

Index Summary

[]  Composition: Same base weights as the S&P GSCI Light Energy Index. Weights
    are rebalanced annually

[]  Optimizing Roll Returns: Employs Deutsche Bank's proprietary Optimum Yield
    Enhanced ("OY Enhanced") technology, which provides exposure to 3 different
    contracts on each commodity's curve, with a view to maximizing volatility
    adjusted implied roll yield. Exposure to the 3 contracts is assessed and
    rebalanced monthly

--  Exposure to short-term contract (front month), medium-term and long-term
    contracts (pre- defined schedule based on liquidity)

--  For livestock, exposure is to three-month forward contracts

[] Transparency: Rule-based index with the closing level published daily on
BloombeHrg (DBRCOSUE)


                                                                              47


 
 
 
 

 
 
 


Index replicates the S&P GSCI Light Energy by using OY Enhanced indices thereby
providing similar commodity exposure while seeking to manage roll returns more
effectively

DB Commodity Booster OYE Benchmark Light Energy

Index Construction


Agriculture & Industrial Metal Precious Metal Energy
Livestock
14.73% 1 5.96% 1 39.09% 1
40.25% 1

S&P GSCI Light Energy

Apply Optimum Yield Enhanced Technology

Optimize roll returns by providing exposure to 3 different contracts on each
commodity's curve, with a view to maximizing volatility adjusted implied
roll yield

                                                                              48


 
 
 
 

 
 
 

DB Commodity Booster OYE Benchmark Light Energy


Notes:

Index Sector Exposure (1)
------------------------- --------------------------
Sector                    Rebalance Weight (%)
Energy                                        39.09
Precious Metal                                  5.96
Industrial Metal                              14.73
Agriculture & Livestock                       40.25
------------------------- --------------------------


Performance Analysis 1
                         DB Commodity         S&P-GSCI Light
Jan 2004 - May 2014     Booster OYE    DJUBS
                        Energy
                        Benchmark LE
Annualized Returns      7.4%            -0.1%   0.2%
Volatility              16.9%          18.3%   19.1%

Sharpe Ratio2            0.44           -0.01   0.01
Maximum Drawdown        -55.3%         -57.1%  -60.9%
Start Date                Jul-08        Jul-08  Jul-08

End Date                  Mar-09        Mar-09  Feb-09

Max Monthly
Consecutive Loss         -52.3%        -54.5%  -58.0%
Start Date              Jul-08          Jul-08  Jul-08
End Date                 Feb-09         Feb-09  Feb-09

Max/Min Returns
Rolling 12 Months       56.7% / -48.7%  39.9% / -52.7%  48.2% / -55.8%
Rolling 3 Months        24.5% / -41.1%  24.7% / -39.7%  26.1% / -44.6%

Average Monthly Returns 0.7%            0.1%    0.2%

% Months with Gains     58.4%          57.6%   55.2%
Correlation
DJUBS                   0.94           1.00    0.97

S&P-GSCI Light Energy   0.98           0.97    1.00


Year on Year Performance Comparison 1


                           Annual Returns for Excess Return Indices
                  ---------------------------------------------------
                  DB Commodity Booster OYE            S&P-GSCI Light
Calendar Year        Benchmark Light Energy   DJUBS           Energy
2004                                   24.74%  7.64%            7.31%
2005                                   34.84% 17.54%           15.51%
2006                                   12.68%  -2.71%          -3.77%
2007                                   20.90% 11.08%           17.16%
2008                                  -29.98% -36.61%         -40.40%
2009                                   17.27% 18.72%           15.17%
2010                                   17.10% 16.67%           16.94%
2011                                   -1.82% -13.37%          -7.27%
2012                                    1.65%  -1.14%           1.59%
2013                                   -8.99%  -9.58%          -8.16%
2014 YTD                                4.96%  6.43%            4.93%
Annualized Return                       7.38%  -0.10%           0.18%
----------------- --------------------------- ------- ---------------

1   Source: Bloomberg. DB Commodity Booster OYE Benchmark Light Energy has been
    retrospectively calculated and did not exist prior to 30 November 2011 (the
    "Live Date"). The index has very limited performance history and no actual
    investment which allowed tracking of the performance of the Index was
    possible before its Live Date. Accordingly, the results shown before the
    Live Date are hypothetical and 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 Booster OYE Benchmark Light Energy Index would have been lower
    than the Index as a result of fees and / or costs. Data from 31 Dec 2003
    till 30 May 2014. See Risk Considerations for more information.

2   Statistics shown are for excess return indices.

                                                                              49

 
 
 
 

 
 
 

DB Commodity Curve Alpha ERAC

Index Summary

[]  Composition: DB Commodity Curve Alpha ERAC Index (the "Index") has the same
    base weights as the S&P GSCI Light Energy Index. Weights are rebalanced
    annually

[]  Market Neutral Strategy: For each constituent commodity, the Index provides
    long exposure to the single commodity OY Enhanced Index and volatility
    adjusted short exposure to the corresponding S&P GSCI Index. The Index seeks
    to provide market-neutral exposure, and to generate returns from carry using
    DB's Optimum Yield Enhanced methodology

[]  Volatility Weighting: Every month, the long leg exposure for each
    constituent commodity is reset to 100%. Exposure to the short leg is set to
    (--100%) * 3-month realized volatility of the single commodity OY Enhanced
    Index / 3-month realized volatility of the single commodity GSCI index

[]  Embedded Cost: 0.75% per annum

[]  Transparency: Rule-based index with the closing level published daily on
    Bloomberg (DBRCOAEC)


                                                                              50


 
 
 
 

 
 
 

DB Commodity Curve Alpha ERAC

Strategy aims to generate alpha from roll returns by going long the single
commodity OY Enhanced index and short volatility weighted exposure to the single
commodity Benchmark Light Energy index

Index Construction

Constituent commodities


Apply Optimum Yield Enhanced Technology

[] Optimize roll returns by providing exposure to 3 different contracts on each
commodity's curve, with a view to maximizing volatility adjusted implied roll
yield

OY Enhanced single commodity indices

Long Exposure = 100%

S&P GSCI single commodity indices

S&P GSCI rolls each commodity to its nearest available futures contract

Short exposure = 3-month realized volatility of single commodity OY Enhanced /

3-month realized volatility of single commodity GSCI Index

Carry Strategy

[]  Market neutral equally weighted Long and Short positions to generate Alpha.
    Exposure to long Single commodity long-short basket and short legs
    rebalanced monthly to maintain market neutrality Provide same exposure to
    the single commodity long-short basket as in the S&P GSCI Light Energy
    Index. Weights are rebalanced annually

DB Commodity Curve Alpha

Subtract 0.75% fees per annum

DB Commodity Curve Alpha ERAC

                                                                              51


 
 
 
 

 
 
 




DB Commodity Curve Alpha ERAC
Performance Analysis
Index Returns (1) Index Sector Exposure (1)
400 Sector
Live Date: 30 Nov 2011 Rebalance Weight (%)

0

Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14

----------

DB Commodity Booster OYE Benchmark Light Energy

S&P-GSCI Light Energy

DB Commodity Curve Alpha ERAC

    Performance Analysis (1)

                               DB Commodity    DB Commodity
 Return Indices

                                                              S&P-GSCI Light
                                                                Energy
    Jan 2004 -- May 2014       Curve Alpha     Booster OYE
                               ERAC            Benchmark LE
    Annualized Returns         6.1%            7.4%           0.2%
    Volatility                 2.5%            16.9%          19.1%
    Sharpe Ratio(2)            2.45            0.44           0.01

    Maximum Drawdown           -5.5%           -55.3%         -60.9%
       Start Date              Jun-11          Jul-08         Jul-08
       End Date                Jan-14          Mar-09         Feb-09


    Max Monthly Consecutive Loss -2.4%         -52.3%         -58.0%

      Start Date               Feb-12          Jul-08         Jul-08
      End Date                 Jul-12          Feb-09         Feb-09
    Max/Min Returns

      Rolling 12 Months        19.4% / -4.1%   56.7% / -48.7% 48.2% / -55.8%
      Rolling 3 Months         6.7% / -2.4%    24.5% / -41.1% 26.1% / -44.6%
    Average Monthly Returns    0.5%            0.7%           0.2%


    % Months with Gains        66.4%           58.4%          55.2%

    Correlation
      DB Commodity Booster OYE

    Benchmark Light Energy     0.17            1.00           0.98
      S&P-GSCI Light Energy    0.03            0.98           1.00

    Year on Year Performance Comparison (1)

                           Annual Returns for Excess

                                     DB Commodity  Booster

                     DB Commodity     OYE Benchmark   Light    S&P-GSCI Light
Calendar Year     Curve Alpha ERAC    Energy          Energy
2003                         16.21%    24.74%            7.31%


2004                         17.04%     34.84%           15.51%
2005                         10.63%    12.68%           -3.77%


2006                          5.83%    20.90%           17.16%


2007                         11.82%    -29.98%         -40.40%
2008                          2.31%    17.27%           15.17%


2009                          0.57%    17.10%           16.94%
2010                          3.98%    -1.82%          -7.27%


2011                          -1.17%    1.65%            1.59%


2012                          -2.21%   -8.99%          -8.16%


2013 YTD                      0.53%     4.96%            4.93%
Annualized Return             6.09%     7.38%            0.18%

Notes:

1   Source: Bloomberg. DB Commodity Curve Alpha ERAC has been retrospectively
    calculated and did not exist prior to 30 November 2011 (the "Live Date").
    The index has very limited performance history and no actual investment
    which allowed tracking of the performance of the Index was possible before
    its Live Date. Accordingly, the results shown before the Live Date are
    hypothetical and 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 Curve Alpha
    ERAC Index would have been lower than the Index as a result of fees and / or
    costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations for
    more information.

2   ERAC = Excess Return After Cost. Statistics shown are either for excess
    return indices or ERAC indices.

                                                                              52

 
 
 
 

 
 
 

DB Commodity Curve Alpha ERAC 10

Index Summary

[]  Composition: DB Commodity Curve Alpha ERAC Index (the "Index") has the same
    base weights as the S&P GSCI Light Energy Index. Weights are rebalanced
    annually

[]  Market Neutral Strategy: For each constituent commodity, the Index provides
    short exposure to the corresponding single commodity S&P GSCI Index and
    volatility adjusted long exposure to the OY Enhanced Index. The Index seeks
    to provide market-neutral exposure, and to generate returns from carry using
    DB's Optimum Yield Enhanced methodology

[]  Volatility Weighting: Every month, the long leg exposure for each
    constituent commodity is reset to 100%. Exposure to the short leg is set to
    (--100%) * 3-month realized volatility of the single commodity OY Enhanced
    Index / 3-month realized volatility of the single commodity GSCI index

[]  Target Volatility: DB Commodity Curve Alpha ERAC 10 Index varies exposure to
    the DB Commodity Curve Alpha ERAC Index with a view to target a volatility
    of 10%. Exposure is capped at 600%.

[]  Transparency: Rule-based index with the closing level published daily on
    Bloomberg (DBRCOCUE)


                                                                              53


 
 
 
 

 
 
 

DB Commodity Curve Alpha ERAC 10

     Strategy  aims to generate alpha from roll returns by going long the single
commodity OY Enhanced index and short volatility weighted exposure to the single
commodity Benchmark Light Energy index

Index Construction

Constituent commodities


Apply Optimum Yield Enhanced Technology

[] Optimize roll returns by providing exposure to 3 different contracts on each
commodity's curve, with a view to maximizing volatility adjusted implied roll
yield

OY Enhanced single commodity indices

Long Exposure = 100%

S&P GSCI single commodity indices


S&P GSCI rolls each
commodity to its nearest
available futures contract

Short  exposure  = 3-month realized volatility of single commodity OY Enhanced /
3-month realized volatility of single commodity GSCI Index

DB Commodity Curve Alpha ERAC 10

                                                                              54


 
 
 
 

 
 
 

DB Commodity Curve Alpha ERAC 10

Performance Analysis

Index Returns 1

Index Sector Exposure 1

Live Date: 30 Nov 2011





Sector                  Rebalance Weight (%)
Energy                                      39.09
Precious Metal                                5.96
Industrial Metal                            14.73
Agriculture & Livestock                     40.25
----------------------- --------------------------

DB Commodity Curve Alpha ERAC

S&P-GSCI Light Energy

DB Commodity Curve Alpha ERAC 10

Performance Analysis (1)

                             DB Commodity
 Return Indices

                                             DB Commodity       S&P-GSCI Light
Jan 2004 -- May 2014         Curve Alpha
 Commodity    S&P-GSCI Light
                                             Curve Alpha ERAC   Energy
                             ERAC 10
Annualized Returns           26.6%           6.1%               0.2%
Volatility                   10.1%           2.5%               19.1%
Sharpe Ratio(2)              2.63            2.45               0.01
Maximum Drawdown             -29.1%          -5.5%              -60.9%
  Start Date                 Aug-11          Jun-11             Jul-08
  End Date                   Jan-14          Jan-14             Feb-09
Max Monthly Consecutive Loss -13.1%          -2.4%              -58.0%
  Start Date                 Feb-12          Feb-12             Jul-08
  End Date                   Jul-12          Jul-12             Feb-09
Max/Min Returns
  Rolling 12 Months          129.6% / -20.7% 19.4% / -4.1%      48.2% / -55.8%
  Rolling 3 Months           37.2% / -12.4%  6.7% / -2.4%       26.1% / -44.6%
Average Monthly Returns      2.1%            0.5%               0.2%
% Months with Gains          66.4%           66.4%              55.2%
Correlation
  DB Commodity Curve Alpha
ERAC                         0.96            1.00               0.03
  S&P-GSCI Light Energy      0.04            0.03               1.00

 Year on Year Performance Comparison (1)

                            Annual Returns for Excess
                         DB Commodity       DB

 Calendar Year     Curve Alpha ERAC 10Curve Alpha  ERAC  Energy
 2003               93.81%       16.21%            7.31%
 2004               97.40%       17.04%           15.51%
 2005               56.71%      10.63%           -3.77%
 2006               28.09%       5.83%           17.16%
 2007               50.11%       11.82%          -40.40%
 2008                4.87%       2.31%           15.17%
 2009                4.96%       0.57%           16.94%
 2010               11.37%       3.98%           -7.27%
 2011                -8.25%     -1.17%           1.59%
 2012              -12.80%      -2.21%          -8.16%
 2013 YTD            2.99%      0.53%            4.93%
 Annualized Return  26.57%      6.09%            0.18%

Notes:

1   Source: Bloomberg. DB Commodity Curve Alpha ERAC 10 has been retrospectively
    calculated and did not exist prior to 30 November 2011 (the "Live Date").
    The index has very limited performance history and no actual investment
    which allowed tracking of the performance of the Index was possible before
    its Live Date. Accordingly, the results shown before the Live Date are
    hypothetical and 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 Curve Alpha
    ERAC 10 Index would have been lower than the Index as a result of fees and /
    or costs. Data from 31 Dec 2003 till 30 May 2014. See Risk Considerations
    for more information.

2   ERAC = Excess Return After Cost. Statistics shown are either for excess
    return indices or ERAC indices.

                                                                              55

 
 
 
 

 
 
 

Appendix

Appendix 1

                                                                              56

 
 
 
 

 
 
 

Types of Returns in a Commodity Index

Total Return vs. Excess Return

Stock and Bond returns come from two sources:

[]  Underlying price movement

[]  Dividends (Stocks) or Coupons (Bonds)

Commodity returns come from three sources:

[]  Collateral Yield

[]  Interest earned on capital held as collateral

[]  Spot Return

[]  Change in front month futures contract

[]  Roll Return

[]  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
excess return version indices to create the DB Commodity total return version

                                                                              57


 
 
 
 

 
 
 

Mean Reversion

[]  As illustrated below, the mean reversion methodology overweights "cheap"
    commodities and underweights "expensive" commodities based on their
    respective 5y moving average price vs. 1y moving average price

Historical Commodity Allocation of the DBLCI -MR from 2006 to 2011
100%
100%
90%
80% 80%
70%
60% 60%
50%
40%
40%
20% 30%
20%

BLCI-MR 0% 10%

Outperformance (Jan-01) Jan-03 Jan-05 Jan-07 Jan-09 Jan-11
0%

to DBLCI Energy Industrial Metals Precious Metals Agriculture
Dec-05Jun-06Dec-06Jun-07Dec-07Jun-08Dec-08Jun-09Dec-09Jun-10Dec-10Jun-11
Outperformance

Year (%) Crude Oil
Heating Oil Gold Aluminum Wheat Corn
2006 36.15

2007 7.82

2008 4.17
2009 12.12
2010 1.30
2011 -1.34
2012 2.54
2013 0.53
2014 YTD -0.22

[]  Heavy investment in Corn and Wheat as agricultural commodities are the most
    historically undervalued. Captures the 2006 Ags rally. Underweighting in
    Energy also contributed to good performance as energy prices declined
    significantly in 2006

[]  In 2008 the index increased its weight to Aluminum and reduced its weight to
    Energy, which was then at historical highs. In retrospect, while the
    under-weighting in Energy was a good decision, the overweight in Aluminum
    was not, as Aluminum prices declined significantly

[]  In 2009 the index was overweight in agricultural commodities are the most
    Aluminum and reduced its weight to historically undervalued. Captures the
    Energy, which was then at historical highs. Aluminum and Oil and gained from
    rallies in 2006 Ags rally. Underweighting in In retrospect, while the
    under-weighting in both. However, it was underweight in Gold Energy also
    contributed to good Energy was a good decision, the and missed out on the
    Gold rally performance as energy prices declined overweight in Aluminum was
    not, as significantly in 2006 Aluminum prices declined significantly

Source: Bloomberg

Notes:

1   Past performance is not a guarantee of future results

2   The Mean Reversion strategy may not always result in outperformance to
    benchmark commodity indices. As a long-only commodity index, if all
    underlying commodity prices fall, the DBLCI -- Mean Reversion will also
    likely result in a negative performance

3   Data is as of 30 May, 2014. DBLCI and DBLCI-MR are calculated
    retrospectively prior to their Index Live Dates

                                                                              58

 
 
 
 

 
 
 

MR+

Retrospective lookback over 12 periods MR+ Retrospective lookback over 12
periods

DBLCI-MR PlusTM Excess Return is a dynamic allocation strategy based on the
performance of the DBLCI-MRTM Excess Return Index

Mandatory rebalancing takes place on a monthly basis

At each monthly rebalancing, the allocation in the DBLCI-MRTM Excess Return
strategy is determined based on the performance of the DBLCI-MRTM Excess Return
over the previous 12 months

Twelve performance indicators are built, reflecting the performance of
DBLCI-MRTM Excess Return over previous 12-months, 11-months, 10-months

3-months, 2-months, 1-month

The allocation or component weight to commodities is proportional to the number
of times TM


R e b a la n c e D a te

R e b a la n c e D a te m i n u s 1 m

R e b a la n c e D a te m in u s 1 2 m o n th s

R e b a l a n c e D a te

M 1 2 , C 1 2

M 1 , C 1

the DBCLI-MR Excess Return performance is greater than zero. The current
allocation is 50.0% (see table) Rules based momentum strategy with no human
intervention, only execution The allocation can be as low as 0% and as high as
100%


DBLCI-MR (Lookback Returns as of 8th May 2014)

1 Month -0.6%
2 Month 2.0%
3 Month 5.8%
4 Month 8.8%
5 Month 3.9%
6 Month 4.0%
7 Month -1.6%
8 Month -1.9%
9 Month -0.7%
10 Month  -0.9%
11 Month  0.1%
12 Month  -0.6%


Notes: Returns are calculated as of 6(th) business day of each month, from May
2013 to May 2014.

                                                                              59


 
 
 
 

 
 
 

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

[]  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

Contract Expiry Date

[]  Longer dated contracts typically have less negative carry when the curve
    slopes upward (contango)

Greater Roll Yield

Futures Price

Less Roll Yield

Contract Expiry Date

[]  Shorter dated contracts typically offer greater positive carry when the
    curve slopes downward (backwardation)


                                                                              60


 
 
 
 

 
 
 

Optimized Yield Index

Contract Selection

[]  When: The OY index rolls out of a currently held contract one month prior to
    delivery month of the contract

[]  New Contract Selection:

--  the new contract is selected on the first business day of the month from the
    list of eligible contracts -- eligible contracts for selection are contracts
    with delivery months 2 months after current month to 13 months after current
    month -- the eligible contract with the highest annualized implied roll
    yield is selected. If two or more contracts are tied for the maximum roll
    yield, the contract with the shorter tenor is selected


                                                                              61


 
 
 
 

 
 
 

Optimized Yield Index

Contract Selection (Cont'd)

[]  Implied Roll Yield measurement:

--  implied roll yield for each eligible contract is measured as:




[] 1 []
---
[]
[] PC (t, b )[][] F (t ,i ,b ) [] []
------------------------------------
Y (t, i) = [] ( ) [] [] [] 1
[] PC t, i


--  Y(t,i): on any day t, the implied roll yield for entering into the commodity
    futures contract with exchange expiration month i

--  PC(t,b): Closing price of the base commodity future b

--  PC(t,i): Closing price of any eligible futures contract i

--  F(t,i,b): Fraction of year between expiry dates of the base futures contract
    b and the futures contract with exchange expiration month i. Calculated as
    number of calendar days between dates divided by 365 -- b: Base commodity
    future is the commodity future currently in the index

[]  Roll Period is 2nd to 5th business days of the month

[]  OY index rolls a specified number of units of the commodity every day during
    the roll period


                                                                              62


 
 
 
 

 
 
 

Optimum Yield

Annualized Excess
returns from Jan
2004 to May 2014.
Most Optimum Yield
indices have
outperformed
corresponding
front-month
rolling indices

Energy Sector

Base Metals Sector

Agriculture Sector

Precious Metals Sector

Gold Silver
DB OY Indices S&P GSCI Indices DB OY Indices S&P GSCI Indices


Notes:

1   All indices have been retrospectively calculated and did not exist prior to
    31 May 2006 (the "Live Date"). Indices have very limited performance history
    and no actual investment which allowed tracking of the performance of these
    Indices was possible before their Live Date. Accordingly, the results shown
    before the Live Date are hypothetical and do not reflect actual returns.
    Past performance is not necessarily indicative of how the Indices will
    perform in the future. See Risk Considerations for more information.

2   Data from 31 Dec 2003 till 30 May 2014. Source: Bloomberg

                                                                              63

 
 
 
 

 
 
 

Target Volatility

Applying Volatility Targeting to Potentially Control Risk




                                Step I
     Rebalancing             Realized Volatility Monitoring
    Once a Month            Based on Last 90 Days Returns
                                                 3 Month
                                      Realized Volatility
                        Month            (Annualized %)
                        12                          10.00
                        13                          12.50
                        14                            5.00
Numerical Example:
Volatility Target = 15%
                        15                            7.50
                        16                          15.00
                        17                          20.00
                        18                          30.00
                            ---


                    Step II Volatility Based Participation: Participation =
Target Volatility / Realized Volatility, subject to certain maximum and
minimum

Vol Target Allocation
(%)

150.00

120.00

300.00

200.00

100.00

75.00

50.00

Step III
     Vol Target Index Return = Participation x Underlying Index Return




  Underlying          Volatility
Index Return    Target Return
            (%)              (%)
        +5.00            +7.50
        --1.00           --1.20
        +3.00            +9.00
        --2.00           --4.00
        --5.00           --5.00
        +1.00            +0.75
      --10.00            --5.00

                                                                              64


 
 
 
 

 
 
 

Risk-Parity Technology


[]  On each rebalance date we calculate the total index risk, Rp , on that date
    according to the formula

4 4
RP = [][]Wi Wj [] i [] j []ij
i=1 j=1


[]  Where the volatility and dollar-weighting of the i(t)(h) sector index is
    given by i i, respectively, and the correlation ([]) (and W) between the
    indices is given by ([])ij. To calculate ([])i and ([])ij we have used
    90-day historical levels based on log returns


[]  The amount of risk contributed, RCi , to the portfolio by the i(th) sector
    index is then calculated according to

4
Wi [] i[]Wj [] j []ij
RCi = j=1
RP


[]  We then solve the above set of non linear equations for each (W)i with the
    following constraints

1)  (W)i [] 0 for each i

2)  (RC)1 (= RC)2 (= RC)3 (= RC)4

3)  (R)P = TV, where TV is some pre-defined target level of portfolio risk

[]  Constraints 1) and 2) above are necessary and sufficient for any risk-parity
    formulation, but using only these two constraints leaves one
    degree-of-freedom open. Constraint 3) above fixes this final
    degree-of-freedom by imposing an overall leverage on the index in an attempt
    to target a constant level of (user-specified) risk within the portfolio of
    sector exposures


                                                                              65


 
 
 
 

 
 
 

Overview of OY Enhanced

[]  For each commodity, exposure is provided to 3 sub-indices :

--  Short-Term Index: invests in the front month contract - the same as GSCI
    contract

--  Medium-Term Index: invests in a long-term liquid contract

--  Long-Term Index: invests in an even longer-term liquid contract

[]  Roll: Each sub-index rolls into its target contract between the 2(nd) and
    6(th) business days of each month

[]  Rebalance: Exposure to each sub-index is computed at the close of the 1st
    business day of each month. Rebalance is implemented at the close of the
    2(nd) business day of the month


                                                                              66


 
 
 
 

 
 
 

Construction of OY Enhanced

[]  The Optimum Yield Enhanced (OYE) indices diversify their exposure over three
    points of the relevant commodity's forward curve , the short term contract,
    the medium term contract and the long term contract

[]  The methodology considers implied roll yields as well as historical
    volatility of curve shape to determine the exposure to be provided to the 3
    different contracts.

[]  Exposure to the three contracts is rebalanced on a monthly basis, thereby
    providing the flexibility to react to any change in curve shape.



                                                                              67


 
 
 
 

 
 
 

OY Enhanced Roll

[]  Choice of contracts for each component index is illustrated with Sugar below

[]  Table above shows the contracts into which each index will roll in the month
    mentioned in the top row[] Short-Term Index:

[]  Rolls into H contract in Jan, K in Feb, etc. In Sep, it rolls into H
    contract of the next year.

[]  This roll schedule matches the S&P GSCI index roll schedule (roll period for
    the 2 indices is different --GSCI rolls between 5(th) and 9th business days
    of the month; OYE rolls between 2nd and 6th business days of the month)

[]  Medium-Term Index:

[] For each commodity, 2 named contracts per year are
    specified as Liquid Contracts. For Sugar, these are H and V.

[]  The Medium-Term contract provides exposure to the first Liquid Contract
    available whose delivery month is after the Short-term Index contract's
    delivery month

[]  Long-Term Index:

[]  Provides exposure to the first Liquid Contract available whose delivery
    month is after the Medium-Term Index's delivery contract

[]  Unnecessary trading is avoided by maintaining continuity in contract
    exposures. E. g. In Jun, the Long- term Index rolls out of H * contract, the
    Medium-Term Index rolls out of V and into H *, and the Short- Term Index
    rolls into V. As a result, exposure is maintained to the H * and V contracts
    (although there might be a change in weights due to a change in Sharpe
    Ratios)

                                                                              68


 
 
 
 

 
 
 


The rebalance calculation is performed at the end of the 1(st) business day of
every month

OY Enhanced Rebalance

[]  For each commodity, exposure across the 3 sub-indices is computed as follows

1.  Compute Implied Roll Return for each sub-index


[]  Price of Spot Contract [] (1/T )

Implied Roll Return = [] [] [] [] []1
[]Price of Target Contract []


[]  Spot Contract: Contract Short-Term Index rolled into in the previous month

[]  Target Contract: Contract Short-Term Index will roll into in the current
    month. If this is the same as Spot Contract, then it is replaced by the next
    available GSCI contract [] T: Days between expiry dates of Target Contract
    and Spot Contract / 365

2.  Compute Volatility for each sub-index

[]  Compute daily returns, r(s), of the Spot Contract for last 61 business days

[]  Compute daily returns, r(t), of the Target Contract for last 61 business
    days

[]  Compute spread returns: r(spread) = r(t) -- r(s)

[]  Compute annualized volatility of spread returns

3.  Compute Sharpe Ratio for each sub-index

Implied Roll Return
Sharpe Ratio =
Volatility

4. Transform Sharpe Ratio of each sub-index to a Probability Measure

[]  Probability Measure = Cumulative probability on a standard normal
    distribution for the computed Sharpe Ratio. The higher the Sharpe Ratio, the
    higher will be the Probability Measure. In this way, a Sharpe Ratio which
    can be negative or positive is transformed to a measure that is always
    positive and lies between 0 and 1.

5.  Compute Exposures

[]  Normalize the Probability Measures so they add to 100% [] Exposure to each
    sub-index = the normalized Probability Measure


                                                                              69


 
 
 
 

 
 
 

Liquid Contracts for Optimum Yield Enhanced Indices




Commodity                      Liquid Contracts
           WTI Crude Oil   Jun                  Dec
             Natural Gas   Jan                  Jul
              Heating Oil  Jun                  Dec
          RBOB Gasoline    Jun                  Dec
          Brent Crude Oil  Jun                  Dec
                  Gas Oil  Jun                  Dec
                     Gold  Jun                  Dec
                    Silver Jul                  Dec
               Soybeans    Jul                  Nov
                    Corn   Jul                  Dec
                   Wheat   Jul                  Dec
             Soybean Oil   Jul                  Dec
                   Sugar   Mar                  Oct
                   Coffee  Jul                  Dec
                   Cotton  Jul                  Dec
          Kansas Wheat     Jul                  Dec
                   Cocoa   Mar                  Dec
                  Copper   Jun                  Dec
                Aluminum   Jun                  Dec
                     Zinc  Jun                  Dec
                   Nickel  Jun                  Dec
                    Lead   Jun                  Dec



                                                                              70


 
 
 
 

 
 
 


Comparative Performance Statistics
Annualized Returns for Various Indices
                                      YTD Return [] 1 Year Return 3 Year Return
Beta Allocation Indices
  DBLCI (TM)                                2.82%     -0.99%  -5.22%  1.83%
  S&P GSCI (TM)                             3.50%      7.10%  -1.96%  3.29%
  DJ-UBSCI (SM)                             6.43%      1.92%  -6.78%  1.38%
Optimum Yield Based Indices
  DB Commodity Booster -- DJUBS ERAC        4.37%     -1.24%  -7.18%  1.75%
  DB Commodity Booster DJUBS -- TV14 ERAC   9.14%      1.54%  -8.16%  0.11%
  DB Commodity Booster -- Benchmark         2.85%      5.44%  -2.48%  3.82%
Mean Reversion Based Indices
  DBLCI-MR                                  2.59%     -1.48%  -5.11%  4.75%
  DBLCI -- Mean Reversion Enhanced ex
   NG ERAC                                  6.48%      0.60%  -6.11%  5.83%
  DBLCI MR Enhanced 15                     13.80%      5.29%  -7.43% -0.88%
  DBLCI MR+                               -1.09%     -4.32%  -7.41% -1.00%
Market Neutral Indices
  DB Commodity Harvest ERAC               -1.21%     -2.66%  -1.58% -0.86%
  DB Commodity Harvest -- 10 ERAC         -6.01%    -11.97%  -8.40% -5.00%
DB Commodity Backwardation Alpha 22       -7.89%     -4.30%   2.23%  4.45%
DB Commodity Risk Parity 18               3.58%     -7.29% -12.56%  0.78%
Optimum Yield Enhanced Based Indices
  DB Commodity Booster OYE DJUBS          5.98%      0.78%  -5.70%  3.37%
  DB Commodity Booster OYE Benchmark LE   4.96%      2.22%  -4.20%  3.97%
  DB Commodity Curve Alpha ERAC          0.53%     -0.59%  -1.16%  0.42%
  DB Commodity Curve Alpha ERAC 10       2.99%     -3.88%  -7.58% -0.46%
Other Asset Classes
  Equities (S&P 500)                     4.97%     18.72% 15.49%  18.37%
  Fixed Income (US Govt.
  All Total Return)                      3.66%      3.13%   4.06%  4.09%


5 Year Return 10 Year Return Volatility []    Sharpe Ratio

            1.56%               22.46%           0.07
           -2.16%               24.67%          -0.09
           -1.16%               18.40%          -0.06

            3.59%               17.05%           0.21
            4.57%               14.60%           0.31
            5.03%               22.04%           0.23

            6.14%               21.09%           0.29
            9.31%               20.30%           0.46
            6.01%               15.34%           0.39
            5.12%               14.73%           0.35

            3.61%                 3.09%          1.17
           10.04%               10.63%           0.94
           17.78%               13.90%           1.28
            9.74%               19.38%           0.50

            6.28%               16.14%           0.39
            6.02%               17.09%           0.35
            5.64%                 2.48%          2.28
           24.43%               10.12%           2.41

            7.76%               20.43%           0.38
            4.63%                 2.71%          1.71



Notes: Statistics shown for "Other asset classes" 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 Live Date. Indices have very limited performance
history and no actual investment which allowed tracking of the performance of
these Indices was possible before their Live Date. Accordingly, the results
shown before the Live Date are hypothetical and do not reflect actual returns.
Past performance is not necessarily indicative of how the Indices will perform
in the future. Data till 30 May 2014. See Risk Considerations for more
information.

1 Annualised return based on total return, excess return and ERAC

2 Annualised vol of the daily lognormal returns

                                                                              71

 
 
 
 

 
 
 




Products
                                                                   Structures
                                                                   with Vanilla
DB Commodity Indices                            Delta 1 Structures  Optionality

DB Commodity Booster -- DJUBS ERAC                        []           []
DB Commodity Booster DJUBS -- TV14 ERAC                   []           []
DB Commodity Booster -- Benchmark                         []           []
DBLCI-MR                                                  []
DBLCI-MR+                                                 []
DBLCI -- Mean Reversion Enhanced ex NG ERAC               []           []
DB MR Enhanced 15                                         []           []
DB Commodity Harvest ERAC                                 []           []
DB Commodity Harvest -- 10 ERAC                           []           []
DB Commodity Backwardation Alpha 22 Index                 []
DB Commodity Risk Parity 18 Index                         []
DB Commodity Booster OYE DJUBS                            []
DB Commodity Booster OYE Benchmark Light Energy           []
DB Commodity Curve Alpha ERAC                             []
DB Commodity Curve Alpha ERAC 10                          []



                                                                              72


 
 
 
 

 
 
 




Market Data Sources
Bloomberg Tickers and Index Live Dates
                                                Bloomberg
                                                Ticker
S&P GSCI Index                                  SPGCCIP
S&P GSCI Light Energy                           SPGSLEP
DJUBS                                           DJUBS
DBLCI                                           DBLCMACL
DBLCI-MR                                        DBLCMMCL
DBLCI -- Mean Reversion Enhanced ex NG ERAC     DBLCMNGU
DB MR Enhanced 15                               DBLCMTEU
DBLCI-MR+                                       DBLCMPUE
DB Commodity Booster -- Benchmark               DBCMBSEU
DB Commodity Booster -- Benchmark Light Energy  DBCMBLEU
DB Commodity Booster -- DJUBS ERAC              DBCMBDEN
DB Commodity Booster DJUBS -- TV14 ERAC         DBCMBTVN
DB Commodity Harvest ERAC                       DBLCHNUE
DB Commodity Harvest -- 10 ERAC                 DBCMHVEG
DB Commodity Booster OYE DJUBS                  DBCMODUE
DB Commodity Booster OYE Benchmark Light Energy DBRCOSUE
DB Commodity Curve Alpha ERAC                   DBRCOAEC
DB Commodity Curve Alpha ERAC 10                DBRCOCUE
DB Commodity Risk Parity 18 Index               DBCMRPTV
DB Commodity Backwardation Alpha 22 Index       DBRCBWUE
Equities (S&P 500) Total Return                 SPTR
Fixed Income Total Return                       JHDCGBIG


Index Live Date
28 February 03
28 February 03
30 August 2012
28 September 09 20 June 07 15
December 07
15 December 07
12 October 10
12 October 10
14 October 08
14 October 08
31 October 11
30 November 11
30 November 11
30 November 11
12 December 2010
15 October 2012


                                                                              73


 
 
 
 

 
 
 




Optimized Yield
Available Indices
------------------------------------ ---------------- ---------------
Commodity       Contract Expiry Date Bloomberg Ticker Index Live Date
Energy
WTI Crude Oil   19-Dec-14            DBLCOCLE Index   31 May 06
Brent Crude Oil 13-Nov-14            DBLCYECO Index   31 May 06
Heating Oil     29-May-15            DBLCOHOE Index   31 May 06
RBOB Gasoline   28-Nov-14            DBLCYERB Index   31 May 06
Gasoil          10-Jul-15            DBLCYEGO Index   31 May 06
Natural Gas     26-Sep-14            DBLCYENG Index   31 May 06
Base Metals
Aluminum        15-Oct-14            DBLCOALE Index   31 May 06
Copper          20-Aug-14            DBLCYECU Index   31 May 06
Zinc            17-Dec-14            DBLCYEZN Index   31 May 06
Nickel          17-Sep-14            DBLCYENI Index   31 May 06
Lead            18-Feb-15            DBLCYEPB Index   31 May 06
Precious Metals
Gold            27-Aug-14            DBLCOGCE Index   31 May 06
Silver          28-Jan-15            DBLCYESI Index   31 May 06
Agriculture
Wheat           14-Jul-15            DBLCOWTE Index   31 May 06
Kansas Wheat    14-Jul-15            DBLCYEKW Index   31 May 06
Corn            12-Dec-14            DBLCOCNE Index   31 May 06
Soybean         14-Nov-14            DBLCYESS Index   31 May 06
Cotton          08-Dec-14            DBLCYECE Index   31 May 06
Sugar           30-Jun-15            DBLCYESB Index   31 May 06
Coffee          19-Mar-15            DBLCYEKC Index   31 May 06
Cocoa           15-Dec-14            DBLCYECC Index   31 May 06
--------------- -------------------- ---------------- ---------------

Source: DBIQ
Notes:
1  Bloomberg  Tickers  shown  are  for  Excess  Return version of the indices


2 Data as of 30 May 2014

                                                                              74

 
 
 
 

 
 
 

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

[]  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 Optimum Yield and Optimum Yield Enhanced strategies
    described herein aim 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 Optimum Yield and Optimum Yield
    Enhanced strategies 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[] The Mean Reversion strategy
    described herein aims to maximize returns by over-weighting relatively cheap
    commodities and under-weighting relatively expensive commodities. However,
    indices employing the Mean Reversion strategy may not be successful in
    achieving the desired objective[] The Risk Parity strategy described herein
    aims to provide exposure to four commodity sector indices such that risk
    contribution of each to the resulting portfolio, determined based on past
    three months' realized volatilities and correlations, is equal. However,
    indices employing the Risk Parity strategy may not be successful in
    achieving the desired objective [] The DB Commodity Backwardation Alpha 22
    Index adopts a long-short strategy of taking a long position in 11 of the 22
    index commodities with the highest positive roll yields in backwardated
    markets (or the lowest negative roll yields in contango markets), in
    conjunction with the Optimum Yield Enhanced strategy described herein, and
    taking a short position in the remaining 11 index commodities. However, the
    long-short strategy and Optimum Yield Enhanced strategy employed by the DB
    Commodity Backwardation Alpha 22 Index may not be successful, and the index
    may not be able to achieve its desired objective

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Risk Considerations (Cont'd)

[]  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

Index Comparison

[]  In this document, various performance-related statistics, such as index
    return and volatility, among others, of each Deutsche Bank proprietary index
    included herein are compared with those of their related Deutsche Bank
    and/or non- Deutsche Bank indices. Such comparisons are for information
    purposes only. No assurance can be given that such Deutsche Bank proprietary
    indices included herein will outperform their related Deutsche Bank and/or
    non-Deutsche Bank indices in the future; nor can assurance be given that
    such Deutsche Bank proprietary indices will not significantly underperform
    their related Deutsche Bank and/or non-Deutsche Bank indices in the future.
    Similarly, no assurance can be given that the relative volatility levels of
    such Deutsche Bank proprietary indices and their related Deutsche Bank
    and/or non-Deutsche Bank indices will remain the same in the future

Backtesting

[]  Backtested, hypothetical or simulated performance results discussed herein
    have inherent limitations. The index methodology of each index was designed,
    constructed and tested using historical market data and based on knowledge
    of factors that may have possibly affected its performance. The returns of
    an index prior to such index's Live Date were achieved by means of a
    retroactive application of such backtested index methodology 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 and do not account
    for all financial risk that may affect the actual performance of an
    investment. Past hypothetical backtested results are neither an indicator
    nor guarantee of future returns. Actual results will vary, perhaps
    materially, from the analysis contained herein


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Important Notes

Additional  Information  (including  index  methodology  and  rules)  about  the
Deutsche  Bank  proprietary  indices discussed in this presentation is available
upon request by calling (212) 250-0703

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

S&P GSCI SM Disclaimer

Any  securities  Deutsche  Bank  AG  may  issue  from  time  to  time  and  this
presentation are not sponsored, endorsed, sold or promoted by Standard & Poor's,
a  division of The McGraw -Hill Companies, Inc. ("S&P") . Standard & Poor's does
not  make  any  representation or warranty, express or implied, to the owners of
any  securities  or  any  member  of  the  public  regarding the advisability of
investing  in  any  securities or the ability of S&P GSCI Index to track general
commodity market performance. S&P's only relationship to Deutsche Bank AG is the
licensing  of  certain  trademarks and trade names of S&P and of S&P GSCI Index,
which  indices  are determined, composed and calculated by S&P without regard to
Deutsche  Bank  AG or any securities. S&P has no obligation to take the needs of
Deutsche  Bank  AG  or  the  owners  of  any  securities  into  consideration in
determining, composing or calculating S&P GSCI Index. S&P is not responsible for
and  have  not participated in the determination of the timing of, prices at, or
quantities of any securities to be issued or in the determination or calculation
of  the  equation  by which the S&P GSCI Index is to be converted into cash. S&P
has  no obligation or liability in connection with the administration, marketing
or trading of any securities.

S&P  DOES NOT GUARANTEE THE ACCURACY AND / OR THE COMPLETENESS OF S&P GSCI INDEX
OR  ANY  DATA  INCLUDED  THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS,
OMISSIONS,  OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED,
AS  TO  RESULTS  TO BE OBTAINED BY DEUTSCHE BANK AG, OWNERS OF SECURITIES OR ANY
OTHER  PERSON  OR  ENTITY  FROM  THE  USE OF S&P GSCI INDEX OR ANY DATA INCLUDED
THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL
WARRANTIES  OF  MERCHANTABILITY  OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH
RESPECT  TO  THE S&P INDICES OR DEUTSCHE BANK'S VARIATIONS OF S&P INDICES OR ANY
DATA  INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL
S&P  HAVE  ANY  LIABILITY  FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL
DAMAGES  (INCLUDING  LOST  PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH
DAMAGES.

S&P  GSCI  Index is a trademark of The McGraw -Hill Companies, Inc. and has been
licensed for use by Deutsche Bank AG.

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Important Notes

DJ-UBSCISM Disclaimer

"Dow Jones([R])", "DJ", "UBS," "DJ-UBSCI(SM)" are service marks of Dow Jones &
Company,  Inc. ("Dow Jones") and UBS AG ("UBS AG"), as the case may be, and have
been licensed for use for certain purposes by Deutsche Bank AG

Any  securities  which  Deutsche  Bank  AG  may  offer from time to time are not
sponsored, endorsed, sold or promoted by Dow Jones, UBS AG, UBS Securities LLC

("UBS Securities") or any of their subsidiaries or affiliates. None of Dow
Jones,  UBS  AG, UBS Securities or any of their subsidiaries or affiliates makes
any  representation  or  warranty,  express  or  implied,  to  the  owners of or
counterparts  to  any  securities  or  any  member  of  the public regarding the
advisability   of   investing   in  any  securities  or  commodities.  The  only
relationship  of  Dow Jones, UBS AG, UBS Securities or any of their subsidiaries
or  affiliates  to  the  Licensee  is the licensing of certain trademarks, trade
names  and  service marks and of the DJ-UBSCI(SM), which is determined, composed
and calculated by Dow Jones in conjunction with UBS Securities without regard to
Deutsche  Bank  AG  or  any  securities.  Dow  Jones  and UBS Securities have no
obligation to take the needs of Deutsche Bank AG or the owners of any securities
into  consideration  in determining, composing or calculating DJ-UBSCI(SM). None
of  Dow Jones, UBS AG, UBS Securities or any of their respective subsidiaries or
affiliates  is  responsible  for or has participated in the determination of the
timing  of,  prices  at,  or quantities of any securities to be issued or in the
determination  or  calculation of the equation by which any securities are to be
converted  into  cash. None of Dow Jones, UBS AG, UBS Securities or any of their
subsidiaries  or  affiliates  shall have any obligation or liability, including,
without   limitation,   to   securities'   customers,  in  connection  with  the
administration,  marketing  or  trading  of  any securities. 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
Index(SM) and Dow Jones-UBS Commodity Index Total Return(SM)), 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 Index(SM) 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  INDEX(SM) 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 INDEX(SM) 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 INDEX(SM) 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  Booster  OYE  DJUBS  and DB Commodity Booster -- DJUBS ERAC, 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.

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