EFTA01457135.pdf

db Index Development 24 March 2014 OHIO Index Guide DB Commodity WTI Short Volatility II Index Summary The DB Commodity WTI Short Volatility index is based on a systematic short volatility strategy. The Index comprises of 3 equally weighted sub-indices reweighted on an annual basis. Each sub-index replicates a strategy to sell straddles on 3 month futures on WTI. The delta of the straddles in each sub-index is calculated on a daily basis and hedged at the market close. The straddle position is held to option expiry and then rolled for further 3 months. The index return is based on the return from straddle position and the delta hedged position. Index Suite The index is calculated and published to Bloomberg in the following versions; DB Commodity WTI Short Volatility II Index :din win!: ER USD ium DBCMWSV2 DB Commodity WTI Short Volatility II Sub index I ER USD DBCMWS12 DB Commodity WTI Short Volatility II Sub index II ER USD DBCMWS22 DB Commodity WTI Short Volatility II Sub index Ill ER USD DBCMWS32 Index Development Contacts: London Hong Kong New York A Passion to Perform. Deutsche Bank CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0116545 CONFIDENTIAL SDNY_GM_00262729 EFTA01457135