Free Writing Prospectus
Filed pursuant to Rule 433 Registration Statement No. 333-184193 Dated:
February 3, 2014


ProVol([])

A Tactical Strategy for Implied Volatility December 31, 2014


 

 
 




Context

-- Systematic volatility strategies can underperform or carry significant risk

-- Long volatility positions can be expensive over the long term -- carry costs
may offset gains (see performance of SandP Short-Term   VIX Futures Index(1)
below)

-- Short volatility positions can suffer sharp drawdowns, potentially
eliminating accumulated gains (see performance of DB ImpAct (2) below)

-- Entry and exit points are key, but getting those correct is very difficult



(1) The SandP Short-Term VIX Futures Index (the underlying index for VXX) aims to
maintain a constant 1-month maturity exposure to VIX futures by rolling equal
fractional amounts from the front month VIX future to the next month VIX future
daily (2) DB ImpAct is a systematic short-volatility strategy that sells
rolling one-month notional variance swaps on the monthly option expiry dates

Source: Deutsche Bank, Bloomberg Finance, L.P., 2014

Page 2

 

 
 




Volatility Allocation: Challenges

-- Volatility allocation involves considerable challenges

-- Which indicators of future volatility are meaningful?

-- Implied volatility, realized volatility, term structure, skew?

-- Many indicators are themselves highly volatile

-- For instance, the annualized daily volatility of the VIX Index (1-month
implied volatility) is frequently over 100

-- Trading volatility products is costly

-- Not all markets are liquid, particularly at longer maturities

-- Bid-offer  spreads can be large

-- Carry costs are frequently high

Source: Deutsche Bank, Bloomberg Finance, L.P., 2014
Page 3

 

 
 




Volatility Allocation: Solutions

-- Deutsche Bank has done substantial work examining a variety of volatility
indicators, products and allocation methods

-- Implied versus realized vol

-- Shorter versus longer dated vol

-- Variance versus VIX-based  products

-- Daily, weekly or monthly allocation

-- Deutsche Bank's ProVol ([]) integrates solutions to these challenges

-- Meaningful indicators are combined to offset or reinforce each other

-- Allocation to volatility is calculated daily, but is recursive (the starting
point is the prior day's allocation), managing trading cost

-- Weak signals result in no allocation, reducing cost and risk

Page 4

 

 
 




Building ProVol([])

-- ProVol goes long or short implied volatility based on a signal

 -- Underlying investment is the Deutsche Bank Short-Term VIX Futures Index,
which aims to hold a 1-month constant maturity position in VIX futures through
a weighted position in first and second month futures

-- The ProVol Signal is built upon three fundamental volatility indicators

 -- Volatility "Regime"

  -- Deutsche Bank's Volatility Regime Model, which aims to capture momentum in
realized volatility, is the principal indicator adopted

 -- Level of Volatility

  -- The level of implied volatility complements the Regime indicator by aiming
to identify suitable entry and exit points

 -- Volatility Term Structure

  -- Volatility term structure steepness, a measure of the cost of carry,
isolates the potential cost or benefit of holding a long or short volatility
position


Page 5

 

 
 




Volatility Regimes: What Are They?

-- The SandP 500 has exhibited periods of realized volatility that occur, and
tend to remain, within a certain range or "regime"


-- Intuitively, we know them when we've seen them[]

 -- 2004-2007 was a "low-vol" regime

 -- 1998-2002 was a "higher-vol" regime

 -- 2008 was an "extreme-vol" regime

-- []but seeing them coming is not so easy


SandP 500 3-month Realized Volatility


-- Deutsche Bank's Volatility Regime Model analyzes SandP 500 realized volatility
to estimate daily probabilities for being in each of three defined volatility
regimes: Low, Medium and High


(See Appendix I for a complete discussion of the Volatility Regime Model)

Source: Deutsche Bank, Bloomberg Finance, L.P., 2014
Page 6

 

 
 




Volatility Regimes: What Can They Tell Us?

-- Our work with the Volatility Regime Model brought to light a couple counter-
intuitive points -- You don't necessarily need to capture the first spike in
volatility -- Periods of high volatility generally do not occur overnight --
Increases in realized vol have frequently been a leading indicator for implied
vol -- Buying vol "cheap" isn't cheap -- Periods of low volatility have been
persistent -- The cost of holding a long volatility position, particularly when
vol is low and term structure is generally steep, can be very expensive -- This
knowledge can help us in building a signal that aims to capture returns from
both high and low volatility markets -- We aim to avoid unnecessary long
positions, and the cost associated with them, by waiting for volatility to
start picking up before going long -- We aim to capture returns from being
short volatility in low volatility periods

Page 7

 

 
 




Level of Implied Volatility

-- Level of Implied Volatility

 -- The Regime Model has historically shown that buying vol at low levels is
not generally a good idea and you can wait for vol to start rising before going
long

 -- However, it doesn't mean you should be long vol at any level even during a
high volatility regime

 -- Extreme levels of vol have historically not persisted for long

 -- At very high levels there is likely to be more downside than upside and the
risk may outweigh the potential benefit

-- Why 3-month Implied Vol?

 -- VIX is a measure of 1-month volatility; the 1-month constant maturity
holding of VIX futures, therefore, is a measure of 1-month forward 1-month
volatility

 -- This falls between VIX (1-month) and VXV (3-month)

 -- 1-month implied vol is very noisy and may not be a good indicator of the
market's view of volatility direction or true level

 -- 3-month vol incorporates the market's view of 1-month and 2-month vol


Page 8

 

 
 




Implied Volatility Term Structure

-- Implied Volatility Term Structure

-- The implied volatility term structure is generally upward sloping (longer
dated vols higher than shorter dated vols)[] 3-month  vol  (VXV) has been
higher than 1 month vol (VIX) 80% of the time since 2002

-- Though this is often interpreted as an expectation of higher future
volatility, this is not always the case, nor the only reason for it to be
upward sloping

-- Volatility can only go down to zero, but can go infinitely high

 -- Volatility sellers' risk is to the upside, so they charge a premium, even
to expectations

-- In this scenario, if you hold a long volatility position for a month and the
absolute level of volatility does not change, your position

 will lose value

 -- You would need volatility to increase, sometimes substantially, simply to
break even



-- Being short vol, if you think the probability of vol increasing is low,
would be a better investment


Source: Deutsche Bank, Bloomberg Finance, L.P., 2014
Page 9

 

 
 




Strategy Construction: The Signal and Allocation

-- The ProVol Signal is calculated based on the daily levels of the three
indicators

-- High Vol Regime Probability

 -- The Volatility Regime Model probability of being in a high-volatility
regime

 -- Higher probabilities increase the Signal (i.e., move it in a "long"
direction)

-- Volatility Level

 -- Level of 3-month implied volatility (VXV Index)

 -- Higher levels decrease the Signal (i.e., move it in a "short" direction)

-- Volatility Term Structure

 -- Ratio between 3-month and 1-month implied volatilities (VXV Index / VIX
Index)

 -- Higher ratios decrease the Signal (i.e., move it in a "short" direction)


Page 10

 

 
 




Strategy Construction: The Signal and Allocation (con't)

-- The contribution of each of the three indicators to the Signal is based on a
fixed weight (Factor Coefficient)

-- The prior day's Allocation is added to stabilize the Signal, make changes
more gradual and reduce trading costs

-- Those four variables (plus a constant) are combined to create the Signal

-- A "step-wise" function converts the signal into a daily Allocation

 -- Weak Signals (less than = +/- 0.1) result in zero Allocation

 -- If not a Weak Signal, amount in excess of +/- 0.1 is multiplied by 1.5

 -- The Allocation is capped/floored at +/- 0.3

-- See charts on next two pages for a graphical representation and example of
the Signal and Allocation process


Page 11

 

 
 




Strategy Construction: The Signal and Allocation


Page 12

 

 
 




Strategy Construction: An Example


                   *The Prior Day's Allocation is multiplied by the recursion
factor of 0.81 **The Volatility Level is normalized by (divided by) 20 Page 13

 

 
 




Strategy Construction: The Indices

-- The ProVol Allocation is used to create three separate indices

 -- The Deutsche Bank ProVol Balanced Index

  -- Uses a balanced 1.5 x long or short Allocation weighting to create a
strategy that aims to balance capturing returns from term-structure carry and
volatility spikes

 -- The Deutsche Bank ProVol Carry Index

  -- Uses a 2 x short Allocation, 1 x long Allocation weighting to create a
strategy that aims to capture enhanced returns from term-structure carry versus
volatility spikes

 -- The Deutsche Bank ProVol Hedge Index

  -- Uses a 1 x short Allocation, 2 x long Allocation weighting to create a
strategy that aims to capture enhanced returns from volatility spikes versus
term-structure carry

-- Each index uses the same daily factors, Signal and resulting Allocation

-- Each index takes a long or short position in the Deutsche Bank Short-Term
VIX Futures Index


Page 14

 

 
 




ProVol Retrospective Historical Allocations


Note: The ProVol indices did not exist prior to September 24, 2012 (the "Live
Date"). The ProVol Indices have very limited performance history and no actual
investment which allowed tracking of the performance of the ProVol Indices was
possible before the Live Date. All results prior to the Live Date were
retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on a ProVol Index would
have been lower than the ProVol Index as a result of fees and/or costs. See
Risk Factors for more information. Source: Deutsche Bank, Bloomberg Finance
L.P., 2014
Page 15

 

 
 




ProVol([]) Balanced Retrospective Performance

BBG: DBVEPVB

Index Performance (from December 2005)

Annual Returns




Performance Analysis
---------------------------- -----------------
                             Dec '05 - Sep '14
---------------------------- -----------------
Annualized Returns                 32.6%
---------------------------- -----------------
Volatility                         17.4%
---------------------------- -----------------
Sharpe Ratio                         1.9
---------------------------- -----------------
Max. Drawdown                      -19.1%
---------------------------- -----------------
    Start Date                 May 21, 2010
---------------------------- -----------------
    End Date                   Sep 13, 2010
---------------------------- -----------------
Monthly Returns
---------------------------- -----------------
    % Positive                      44%
---------------------------- -----------------
    % Negative                      12%
    Average                         2.6%
---------------------------- -----------------
    Median                          0.0%
---------------------------- -----------------
    Rolling 3 Month Max/Min   80.5% / -9.8%
---------------------------- -----------------
    Rolling 12 Month Max/Min  102.9% / -2.5%
---------------------------- -----------------



Monthly Returns Analysis
-------------------------- ----- ----- ----- ----- ---- ----
          2006  2007  2008  2009  2010  2011  2012 2013 2014
--------- ---- ----- ----- ----- ----- ----- ----- ---- ----
     Jan  0.0% 0.0%  -4.0% 2.1%   1.5% 7.2% 12.8%  0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----------- ---- ----
     Feb  0.0% -2.5% -2.1% 0.6%   7.9% 0.9%  2.0%  0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ----- ---- ----
     Mar  0.0% 3.8%  -0.4% 2.1%   9.3% 6.7% 16.6%  0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----------- ---- ----
     Apr  0.0% 0.0%  -1.4% -7.5%  4.5% 9.5%  -0.9% 0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ----- ---- ----
     May  0.0% 0.0%   0.0% -1.4%  0.3% -0.2% -1.3% 0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ----- ---- ----
     Jun  0.0% 0.0%  -0.4% 6.0% -14.0% 0.0% 13.0%  0.0% 0.0%
--------- ---- ----- ----- ----------- ----------- ---- ----
      Jul 0.0% 0.0%   1.6% 3.5%  14.8% 0.0%  4.0%  0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ----- ---- ----
     Aug  0.0% 0.7%   2.4% 1.4%   0.4% 14.4% 6.8%  0.0% 0.0%
--------- ---- ----- ----- ----- ----------- ----- ---- ----
     Sep  0.0% 9.2%   9.4% 7.1%   9.6% 4.0%  0.0%  0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ----- ---- ----
     Oct  0.0% 0.1%  45.0% 0.2%  12.4% -2.2% 0.0%  0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ----- ---- ----
     Nov  0.0% 3.5%  13.8% 7.1%   1.0% 8.1%  0.0%  0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ----- ---- ----
     Dec  0.0% 2.5%   2.3% 7.5%  12.1% 3.3%  0.0%  0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ----- ---- ----
   Annual 0.0% 18.3% 76.1% 31.4% 73.6% 63.8% 64.4% 0.0% 0.0%
--------- ---------- ----------- ----------------- ---- ----


Note: The ProVol indices did not exist prior to September 24, 2012 (the "Live
Date"). The ProVol Indices have very limited performance history and no actual
investment which allowed tracking of the performance of the ProVol Indices was
possible before the Live Date. All results prior to the Live Date were
retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on a ProVol Index would
have been lower than the ProVol Index as a result of fees and/or costs. See
Risk Factors for more information. Source: Deutsche Bank, Bloomberg Finance
L.P., 2014

Page 16

 

 
 




ProVol([]) Carry Retrospective Performance

BBG: DBVEPVC

Index Performance (from December 2005)

Annual Returns




Performance Analysis
---------------------------- -----------------
                             Dec '05 - Sep '14
---------------------------- -----------------
Annualized Returns                  38%
---------------------------- -----------------
Volatility                         18.7%
---------------------------- -----------------
Sharpe Ratio                         2.0
---------------------------- -----------------
Max. Drawdown                      -18.1%
---------------------------- -----------------
    Start Date                 May 21, 2010
---------------------------- -----------------
    End Date                    Aug 2, 2010
---------------------------- -----------------
Monthly Returns
---------------------------- -----------------
    % Positive                      44%
---------------------------- -----------------
    % Negative                      12%
    Average                         2.9%
---------------------------- -----------------
    Median                          0.0%
---------------------------- -----------------
    Rolling 3 Month Max/Min   48.9% / -10.1%
---------------------------- -----------------
    Rolling 12 Month Max/Min  154.7% / -1.6%
---------------------------- -----------------



Monthly Returns Analysis
-------------------------- ----- ----- ----- ------ ---- ----
          2006  2007  2008  2009  2010  2011  2012  2013 2014
--------- ---- ----- ----- ----- ----- ----- ------ ---- ----
     Jan  0.0% 0.0%  -5.4% 2.3%   1.9% 9.6% 17.3%   0.0% 0.0%
--------- ---- ----- ----- ----- ----- ------------ ---- ----
     Feb  0.0% -1.6% -2.9% 0.4%  10.6% 1.3%  2.4%   0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ------ ---- ----
     Mar  0.0% 2.5%  -0.5% 1.5%  12.5% 9.0% 22.3%   0.0% 0.0%
--------- ---- ----- ----- ----- ----- ------------ ---- ----
     Apr  0.0% 0.0%  -0.5% -5.0%  6.0% 12.8% -1.2%  0.0% 0.0%
--------- ---- ----- ----- ----- ----------- ------ ---- ----
     May  0.0% 0.0%   0.0% 0.2%  -0.6% -0.2% -1.9%  0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ------ ---- ----
     Jun  0.0% 0.0%  -0.6% 6.9% -14.7% 0.0% 17.2%   0.0% 0.0%
--------- ---- ----- ----- ----------- ------------ ---- ----
      Jul 0.0% 0.0%   2.0% 4.6%  20.1% 0.0%  5.1%   0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ------ ---- ----
     Aug  0.0% 0.9%   3.2% 1.8%   0.5% 9.7%  9.1%   0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ------ ---- ----
     Sep  0.0% 12.4%  6.2% 9.5%  13.0% 0.9%  0.0%   0.0% 0.0%
--------- ---------- ----- ----- ----- ----- ------ ---- ----
     Oct  0.0% 0.2%  28.4% 0.1%  16.7% -1.3% 0.0%   0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ------ ---- ----
     Nov  0.0% 4.7%   9.2% 9.4%   1.2% 6.3%  0.0%   0.0% 0.0%
--------- ---- ----- ----- ----- ----- ----- ------ ---- ----
     Dec  0.0% 3.3%   3.4% 10.1% 16.3% 4.8%  0.0%   0.0% 0.0%
--------- ---- ----- ----------- ----- ----- ------ ---- ----
   Annual 0.0% 23.9% 46.4% 49.2% 113.2% 65.6% 91.5% 0.0% 0.0%
--------- ---------- ------------------------------ ---- ----


Note: The ProVol indices did not exist prior to September 24, 2012 (the "Live
Date"). The ProVol Indices have very limited performance history and no actual
investment which allowed tracking of the performance of the ProVol Indices was
possible before the Live Date. All results prior to the Live Date were
retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on a ProVol Index would
have been lower than the ProVol Index as a result of fees and/or costs. See
Risk Factors for more information. Source: Deutsche Bank, Bloomberg Finance
L.P., 2014

Page 17

 

 
 




ProVol([]) Hedge Retrospective Performance

BBG: DBVEPVH

Index Performance (from December 2005)

Annual Returns




Performance Analysis
---------------------------- -----------------
                             Dec '05 - Sep '14
---------------------------- -----------------
Annualized Returns                 27.0%
---------------------------- -----------------
Volatility                         17.9%
---------------------------- -----------------
Sharpe Ratio                         1.5
---------------------------- -----------------
Max. Drawdown                      -20.2%
---------------------------- -----------------
    Start Date                 May 21, 2010
---------------------------- -----------------
    End Date                   Oct 21, 2010
---------------------------- -----------------
Monthly Returns
---------------------------- -----------------
    % Positive                      44%
---------------------------- -----------------
    % Negative                      12%
    Average                         2.2%
---------------------------- -----------------
    Median                          0.0%
---------------------------- -----------------
    Rolling 3 Month Max/Min  117.8% / -10.3%
---------------------------- -----------------
    Rolling 12 Month Max/Min  131.6% / -3.3%
---------------------------- -----------------



Monthly Returns Analysis
-------------------------- ------ ----- ----- ----- ---- ----
          2006  2007  2008  2009   2010  2011  2012 2013 2014
--------- ---- ----- ----- ------ ----- ----- ----- ---- ----
     Jan  0.0% 0.0%  -2.6% 1.9%    1.1% 4.8%  8.4%  0.0% 0.0%
--------- ---- ----- ----- ------ ----- ----- ----- ---- ----
     Feb  0.0% -3.3% -1.4% 0.7%    5.3% 0.6%  1.4%  0.0% 0.0%
--------- ---- ----- ----- ------ ----- ----- ----- ---- ----
     Mar  0.0% 5.1%  -0.4% 2.6%    6.1% 4.4% 10.9%  0.0% 0.0%
--------- ---- ----- ----- ------ ----- ----------- ---- ----
     Apr  0.0% 0.0%  -2.4% -9.9%   3.0% 6.2%  -0.6% 0.0% 0.0%
--------- ---- ----- ----- ------ ----- ----- ----- ---- ----
     May  0.0% 0.0%   0.0% -3.0%   1.2% -0.1% -0.8% 0.0% 0.0%
--------- ---- ----- ----- ------ ----- ----- ----- ---- ----
     Jun  0.0% 0.0%  -0.3% 4.9% -13.4%  0.0%  8.7%  0.0% 0.0%
--------- ---- ----- ----- ------------ ----- ----- ---- ----
      Jul 0.0% 0.0%   1.1% 2.3%    9.7% 0.0%  2.7%  0.0% 0.0%
--------- ---- ----- ----- ------ ----- ----- ----- ---- ----
     Aug  0.0% 0.5%   1.6% 0.9%    0.3% 18.9% 4.5%  0.0% 0.0%
--------- ---- ----- ----- ------ ----------- ----- ---- ----
     Sep  0.0% 6.1%  12.5% 4.7%    6.4% 7.0%  0.0%  0.0% 0.0%
--------- ---- ----- ----- ------ ----- ----- ----- ---- ----
     Oct  0.0% 0.1%  63.3% 0.2%    8.1% -3.3% 0.0%  0.0% 0.0%
--------- ---- ----- ----- ------ ----- ----- ----- ---- ----
     Nov  0.0% 2.4%  18.5% 4.7%    0.8% 9.7%  0.0%  0.0% 0.0%
--------- ---- ----- ----- ------ ----- ----- ----- ---- ----
     Dec  0.0% 1.7%   1.1% 5.0%    8.0% 1.8%  0.0%  0.0% 0.0%
--------- ---- ----- ----- ------ ----- ----- ----- ---- ----
   Annual 0.0% 12.8% 110.6% 15.0% 40.4% 60.7% 40.3% 0.0% 0.0%
--------- ----------------------- ----------------- ---- ----


Note: The ProVol indices did not exist prior to September 24, 2012 (the "Live
Date"). The ProVol Indices have very limited performance history and no actual
investment which allowed tracking of the performance of the ProVol Indices was
possible before the Live Date. All results prior to the Live Date were
retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on a ProVol Index would
have been lower than the ProVol Index as a result of fees and/or costs. See
Risk Factors for more information. Source: Deutsche Bank, Bloomberg Finance
L.P., 2014

Page 18

 

 
 




ProVol([]) Comparative Retrospective Performance

Index Performance (from Dec. 2005; JPM from Sep. 2006)(1)
1400

Annual Returns




Performance Analysis
---------------------------- --------------- --------------- -----------------
                                          Dec '05 - Dec '14  Sep '06 - Dec '14
                             ------------------------------- -----------------
                             ProVol Balanced   SandP Dyn VIX      JPM Str Vol
---------------------------- --------------- --------------- -----------------
Annualized Returns                 32.6%            8.1%            8.9%
---------------------------- --------------- --------------- -----------------
Volatility                         17.7%           23.1%           30.2%
---------------------------- --------------- --------------- -----------------
Sharpe Ratio                         1.8             0.4             0.3
---------------------------- --------------- --------------- -----------------
Max. Drawdown                      -19.1%         -55.1%           -65.8%
---------------------------- --------------- --------------- -----------------
    Start Date                May 21, 2010      Oct 4, 2011     Oct 4, 2011
---------------------------- --------------- --------------- -----------------
    End Date                   Sep 13, 2010    Dec 31, 2014    Dec 31, 2014
---------------------------- --------------- --------------- -----------------
Monthly Returns
---------------------------- --------------- --------------- -----------------
    % Positive                      45%             44%             51%
---------------------------- --------------- --------------- -----------------
    % Negative                      12%             51%             44%
    Average                         2.6%            1.1%            1.7%
---------------------------- --------------- --------------- -----------------
    Median                          0.0%           -0.3%            0.5%
---------------------------- --------------- --------------- -----------------
    Rolling 3 Month Max/Min   80.5% / -9.8%  129.3% / -15.3% 119.2% / -31.5%
---------------------------- --------------- --------------- -----------------
    Rolling 12 Month Max/Min 102.9% / -2.5%  145.8% / -30.2% 188.4% / -36.8%
---------------------------- --------------- --------------- -----------------


"SandP Dyn VIX" is the SandP Dynamic VIX Futures ER Index (BBG: SPDVIXP), which is
excess return version of the underlying index for Barclay's XVZ iPath ETN

"JPM Str Vol" is the JP Morgan Strategic Volatility Index (BBG: JPUSSTVL)

(1)The JPM Str Vol index level has been rebased to the ProVol Balanced index
level as of September 19, 2006, the first date on which data is available for
JPM Str Vol Index.
Note: The ProVol indices did not exist prior to September 24, 2012 (the "Live
Date"). The ProVol Indices have very limited performance history and no actual
investment which allowed tracking of the performance of the ProVol Indices was
possible before the Live Date. All results prior to the Live Date were
retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on a ProVol Index would
have been lower than the ProVol Index as a result of fees and/or costs. See
Risk Factors for more information. Source: Deutsche Bank, Bloomberg Finance
L.P., 2014

Page 19

 

 
 




ProVol([]) as an Overlay to an SandP 500 Portfolio

Index Performance (from December 2005)

Annual Returns




Performance Analysis
---------------------------- --------------- ----------------- --------------
                                             Dec '05 - Dec '14
                             --------------- ----------------- --------------
                             ProVol Balanced    SandP 500 TR     SandP + ProVol
---------------------------- --------------- ----------------- --------------
Annualized Returns                 32.7%             8.0%           17.8%
---------------------------- --------------- ----------------- --------------
Volatility                         17.7%            21.3%           19.7%
---------------------------- --------------- ----------------- --------------
Sharpe Ratio                         1.8              0.4             0.9
---------------------------- --------------- ----------------- --------------
Max. Drawdown                      -19.1%          -55.3%           -39.9%
---------------------------- --------------- ----------------- --------------
    Start Date                May 21, 2010      Oct 10, 2007    Oct 10, 2007
---------------------------- --------------- ----------------- --------------
    End Date                   Sep 13, 2010     Apr 2, 2012     Oct 14, 2009
---------------------------- --------------- ----------------- --------------
Monthly Returns
---------------------------- --------------- ----------------- --------------
    % Positive                      45%              64%             66%
---------------------------- --------------- ----------------- --------------
    % Negative                      12%              32%             30%
    Average                         2.6%             0.7%            1.4%
---------------------------- --------------- ----------------- --------------
    Median                          0.0%             1.3%            1.6%
---------------------------- --------------- ----------------- --------------
    Rolling 3 Month Max/Min   80.5% / -9.8%   25.8% / -29.6%   23.3% / -16.0%
---------------------------- --------------- ----------------- --------------
    Rolling 12 Month Max/Min 102.9% / -2.5%   53.6% / -43.3%   65.2% / -24.5%
---------------------------- --------------- ----------------- --------------


"SandP + ProVol" represents a $100 levered investment with a 100% weight in SandP
500 TR and a 25% weight in ProVol Balanced, starting on December 30, 2005 and
rebalanced annually to a 100% weight in SandP 500 TR and a 25% weight in ProVol
Balanced.

Note: The ProVol indices did not exist prior to September 24, 2012 (the "Live
Date"). The ProVol Indices have very limited performance history and no actual
investment which allowed tracking of the performance of the ProVol Indices was
possible before the Live Date. All results prior to the Live Date were
retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on a ProVol Index would
have been lower than the ProVol Index as a result of fees and/or costs. See
Risk Factors for more information. Source: Deutsche Bank, Bloomberg Finance
L.P., 2014

Page 20

 

 
 




ProVol([]) as an Overlay to an MSCI World Portfolio

Index Performance (from December 2005)
350

Annual Returns




Performance Analysis
---------------------------- --------------- ----------------- --------------
                                             Dec '05 - Dec '14
                             --------------- ----------------- --------------
                             ProVol Balanced    MSCI World     MSCI + ProVol
---------------------------- --------------- ----------------- --------------
Annualized Returns                 32.7%             3.5%           13.4%
---------------------------- --------------- ----------------- --------------
Volatility                         17.7%            18.4%           17.2%
---------------------------- --------------- ----------------- --------------
Sharpe Ratio                         1.8              0.2             0.8
---------------------------- --------------- ----------------- --------------
Max. Drawdown                      -19.1%          -59.1%           -44.1%
---------------------------- --------------- ----------------- --------------
    Start Date                May 21, 2010      Nov 1, 2007      Nov 1, 2007
---------------------------- --------------- ----------------- --------------
    End Date                   Sep 13, 2010     Mar 6, 2014     Dec 28, 2009
---------------------------- --------------- ----------------- --------------
Monthly Returns
---------------------------- --------------- ----------------- --------------
    % Positive                      45%              53%             59%
---------------------------- --------------- ----------------- --------------
    % Negative                      12%              43%             37%
    Average                         2.6%             0.4%            1.2%
---------------------------- --------------- ----------------- --------------
    Median                          0.0%             1.0%            1.1%
---------------------------- --------------- ----------------- --------------
    Rolling 3 Month Max/Min   80.5% / -9.8%   29.2% / -33.6%   26.6% / -15.4%
---------------------------- --------------- ----------------- --------------
    Rolling 12 Month Max/Min 102.9% / -2.5%   50.9% / -48.4%   63.3% / -30.1%
---------------------------- --------------- ----------------- --------------


"MSCI World" is the MSCI World Index (BBG ticker: MXWO)

"MSCI + ProVol" represents a $100 levered investment with a 100% weight in MSCI
World and a 25% weight in ProVol Balanced, starting on December 30, 2005 and
rebalanced annually to a 100% weight in MSCI World and a 25% weight in ProVol
Balanced.

Note: The ProVol indices did not exist prior to September 24, 2012 (the "Live
Date"). The ProVol Indices have very limited performance history and no actual
investment which allowed tracking of the performance of the ProVol Indices was
possible before the Live Date. All results prior to the Live Date were
retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on a ProVol Index would
have been lower than the ProVol Index as a result of fees and/or costs. See
Risk Factors for more information. Source: Deutsche Bank, Bloomberg Finance
L.P., 2014

Page 21

 

 
 




Alternative Products Comparison: Monthly Returns


                  ProVol Balanced Index
------ ---- ----- ------------------------- ----- ---- ----
       2006  2007    2008  2009 2010   2011  2012 2013 2014
------ ---- ----- ------- ----- ----- ----- ----- ---- ----
  Jan  0.0% 0.0%    -4.0% 2.1%  1.5%  7.2% 12.8%  0.0% 0.0%
  Feb  0.0% -2.5%   -2.1% 0.6%  7.9%  0.9%  2.0%  0.0% 0.0%
  Mar  0.0% 3.8%    -0.4% 2.1%  9.3%  6.7% 16.6%  0.0% 0.0%
  Apr  0.0% 0.0%    -1.4% -7.5% 4.5%  9.5%  -0.9% 0.0% 0.0%
  May  0.0% 0.0%     0.0% -1.4% 0.3%  -0.2% -1.3% 0.0% 0.0%
  Jun  0.0% 0.0%    -0.4% 6.0% -14.0% 0.0% 13.0%  0.0% 0.0%
   Jul 0.0% 0.0%     1.6% 3.5% 14.8%  0.0%  4.0%  0.0% 0.0%
  Aug  0.0% 0.7%     2.4% 1.4%  0.4% 14.4%  6.8%  0.0% 0.0%
  Sep  0.0% 9.2%     9.4% 7.1%  9.6%  4.0%  0.0%  0.0% 0.0%
  Oct  0.0% 0.1%    45.0% 0.2% 12.4%  -2.2% 0.0%  0.0% 0.0%
  Nov  0.0% 3.5%    13.8% 7.1%  1.0%  8.1%  0.0%  0.0% 0.0%
  Dec  0.0% 2.5%     2.3% 7.5% 12.1%  3.3%  0.0%  0.0% 0.0%
------ ---- ----- ------- ----------- ----- ----- ---- ----
Annual 0.0% 18.3%   76.1% 31.4% 73.6% 63.8% 64.4% 0.0% 0.0%
------ ---------- ------------------------------- ---- ----



           SandP Short-Term VIX Futures Index (VXX)
------ ------------------------------------------------------ -----
         2006  2007    2008  2009   2010  2011    2012  2013   2014
------ ------ ------ ------ ------ ----- ------- ----- ------ -----
  Jan  -11.3% -14.0%   7.2% 6.6%   -5.7% -14.3% -24.8% -22.9% 17.3%
  Feb   -8.1%  5.4%    3.3% 5.4% -18.1%  -6.3%   -7.9%  0.7% -13.1%
  Mar   -6.1%  6.9%    0.5% 4.3% -19.1%  -1.9% -32.6% -17.2%  -2.4%
  Apr   -3.9% -10.2% -20.3% -17.5%  0.3% -21.5%  -1.1% -6.0%  -4.8%
  May  27.8%  -2.4%  -14.3% -18.3% 38.0% -8.3%   28.7%  2.6% -16.4%
  Jun   -8.9% 14.0%  14.3% -10.8%   7.9% -0.9% -29.1%   7.3% -15.0%
   Jul   1.3% 24.8%   -3.1% -9.0% -28.2% 11.6%   -9.2% -27.8% 12.7%
  Aug  -14.6% 19.5%   -7.1% -4.5%  -3.4% 66.2% -15.5%  13.3% -11.8%
  Sep   -8.5% -15.7% 36.4% -15.9% -20.2% 38.8% -22.7% -13.0%  10.6%
  Oct  -23.4% -2.2% 117.1%  -3.1% -24.4% -24.2%   5.5% -12.7% -2.4%
  Nov   -6.3% 23.6%  16.7% -16.0%  -5.6%  2.0% -21.9% -11.6%  -9.5%
  Dec   -3.7% -7.1%  -17.6% -16.3% -24.1% -13.9%  7.0% -6.0%  14.2%
------ ------ ------ --------------------------- ----- ------ -----
Annual -53.2% 36.6% 123.1% -65.0% -72.0% -3.8% -77.9% -65.7% -25.5%
------------- -------------------------- --------------------------



            SandP Dynamic VIX Futures Index (XVZ)
------ ------------------------------------------- ----- ------
        2006  2007  2008   2009  2010  2011   2012  2013  2014
------ ----- ----- ------ ----- ----- ------ ----- ----- ------
  Jan  -1.1% -2.9% -0.4%  0.1%  -1.7% -5.8%  1.3%  -9.4% -0.1%
  Feb  -2.0% -5.5%  1.9%  3.2%  -1.5% -3.9%  3.0%  -3.4% -5.4%
  Mar  -5.4% -4.0% -1.7%  1.2%  3.0%  -4.9%  -2.1% 1.5%  -2.3%
  Apr   0.0% 0.6%  -4.9%  -2.6% 4.4%  2.2%   -2.2% -5.2% -2.1%
  May  11.4% 3.0%   4.1%  -8.2% 10.8% -2.3%  2.3%  3.5%  1.2%
  Jun  -3.1% 3.8%  -0.6%  -0.3% 2.7%  -1.2%  -0.6% 6.2%  -3.3%
   Jul -2.8% 18.7% -5.1%  3.8%  -3.0% -6.0%  -2.9% -6.0% 0.0%
  Aug   3.2% 6.0%   2.4%  2.6%  7.4% 38.8%   1.5%  0.4%  0.6%
  Sep   3.3% -7.5% 14.3%  -0.4% 1.6%  9.6%   -6.0% -3.9% 2.9%
  Oct  -3.0% 5.5%  77.5%  0.9%  -2.2% -12.0% -5.4% -6.9% -5.6%
  Nov  -2.7% 11.3% 13.0%  2.7%  0.0%  3.6%   -3.9% -0.6% 1.1%
  Dec   2.0% 1.3%   4.6%  -1.9% -1.8% -1.8%  -2.8% -5.6% -3.0%
------ ----- ----- ------ ----- ----- ------ ----- ----- ------
Annual -1.2% 31.1% 128.8% 0.6% 20.5%  8.8% -16.7% -16.0% -15.1%
------ ------------------ ----------- -------------------------



              JP Morgan Strategic Volatility Index
------ ------------------------------------------- ----- ------
        2006  2007  2008  2009  2010   2011  2012   2013  2014
------ ----- ----- ----- ----- ------ ----- ------ ----- ------
  Jan         2.5% -5.4% -3.5% -0.2%  -1.7% 5.4%   0.0%  -6.3%
  Feb        -7.5%  1.4% 10.2%  4.4%  -0.5% 6.3%   -4.1% -16.9%
  Mar        -8.5% -3.5%  4.3%  6.1%  -6.1% 5.5%   7.0%  -2.1%
  Apr         3.3%  3.7% -1.0% -0.5%   6.3% -1.2%  -4.7% 0.2%
  May         2.7% 10.4%  3.1%  1.0%   1.1% -5.9%  1.3%  8.2%
  Jun        -4.1% -8.2%  4.6% -11.5% -4.1% 7.3%   -3.3% -1.4%
   Jul        3.8% -9.7%  7.7% 10.2% -10.2% -2.4%  5.4%  -5.6%
  Aug        11.9%  5.4%  4.1%  8.0%  34.0% 5.7%   -4.4% 0.2%
  Sep        -8.0%  4.3%  7.1%  7.5%  23.4% -0.9%  0.7%  -2.5%
  Oct  -1.2%  5.2% 75.8% -1.5%  6.0% -20.1% -5.6%  0.3% -22.5%
  Nov  0.9%  -6.2% 19.6%  9.0% -2.2%   2.7% 3.1%   -0.9% 3.9%
  Dec  2.5%   5.1% -3.6%  6.2%  1.6%  -2.8% -7.8% -12.0% -17.8%
------ ----- ----- ----- ----- ------ ----- -------------------
Annual N/A   -2.3% 95.5% 62.4% 32.5%  11.9% 8.3% -15.0% -50.3%
------ ----- ----- ----- ----- ------ ----- -------------------


Note: The ProVol indices did not exist prior to September 24, 2012 (the "Live
Date"). The ProVol Indices have very limited performance history and no actual
investment which allowed tracking of the performance of the ProVol Indices was
possible before the Live Date. All results prior to the Live Date were
retrospectively calculated. Accordingly, the results shown during the
retrospective period are hypothetical and do not reflect actual returns. Past
performance is not necessarily indicative of how an index will perform in the
future. The performance of any investment product based on a ProVol Index would
have been lower than the ProVol Index as a result of fees and/or costs. See
Risk Factors for more information. Source: Deutsche Bank, Bloomberg Finance
L.P., 2014

Page 22

 

 
 




Index Costs

The calculation of the ProVol indices incorporates a daily deduction of costs
meant to approximate the transaction costs associated with trading, or hedging,
the indices' notional position in first and second month VIX futures.

The cost calculation takes into account changes in the notional VIX futures
position associated with both the daily roll from the first month to the second
month VIX future as well as any changes in position in relation to the
Allocation. Each portion of the cost is calculated as both a fixed amount of
the number of contracts notionally traded by the index as well as a percentage
amount of the dollar value of the contracts notionally traded by the index. The
greater of the two in each case is taken as the cost, with the fixed amount
acting as a minimum.

The daily roll portion of the cost is calculated in two ways: 1) 0.1 times the
total number of contracts bought and sold in conjunction with rolling from the
first month VIX future to the second month VIX future, irrespective of any
changes to the Allocation, divided by two; or 2) 0.35% times the total dollar
value of the contracts bought and sold in conjunction with rolling from the
first month VIX future to the second month VIX future, irrespective of any
changes to the Allocation. The greater of the two is taken as the daily roll
cost.

The allocation portion of the cost is calculated in two ways: 1) 0.1 times the
total number of contracts bought and sold in conjunction with increasing or
decreasing the index's holding of VIX futures in relation to the Allocation,
irrespective of any changes due to the daily roll; or 2) 0.35% times the total
dollar value of the contracts bought and sold in conjunction with increasing or
decreasing the index's holding of VIX futures in relation to the Allocation,
irrespective of any changes due to the daily roll. The greater of the two is
taken as the allocation cost.

The daily roll cost and the allocation cost are added together to determine the
daily total trading cost.

Page 23

 

 
 




Risk Factors

THE PROVOL INDICES ARE SUBJECT TO STRATEGY RISK -- The strategy of the ProVol
Indices is to generate returns from the expected volatility of the SandP 500
Index by dynamically adjusting a long or short position in the VIX Futures
Index based on the size and direction of the Signal and the resulting
Allocation based on that Signal. The Signal aims to determine the likely
short-term direction of implied volatility and the level of carrying costs.

However, the Signal may not be predictive of the short-term direction of
implied volatility and/or the level of carrying costs. The methodology for
determining the Signal is based on limited past data and that may not be
predictive of future implied volatility. If the Signal is not successful in
determining the likely short-term direction of implied volatility and/or the
level of carrying costs, then the resulting Allocation based on that Signal may
result in a notional long or short position in the VIX Futures Index that
declines in value and causes the levels of the ProVol Indices to decrease.

THE PROVOL INDICES CONTAIN EMBEDDED COSTS -- In calculating the level of the
ProVol Indices, the Index Sponsor will deduct the Index Fee. The Index Fee
takes into account changes in the notional VIX futures contracts position
measured by each ProVol Index associated both with the daily rolling from the
first month to the second month VIX futures contracts underlying the VIX
Futures Index as well as with any changes in the size of the notional position
in the VIX Futures Index. Thus, large or more frequent shifts in the Signal or
greater or more frequent changes in VIX futures contracts prices will require
greater reallocation and will result in higher costs. Additionally, lower VIX
futures contracts prices, which require a greater number of contracts to be
notionally traded in order to achieve the same value, will also result in
higher costs. We expect the Index Fee to average between 1.5bps and 2bps
(0.015% and 0.02%) per trading day. However, the actual Index Fee may be
substantially higher on days when there is a substantial change in the
Allocation or prices of the VIX futures contracts, resulting in a substantial
number or value of VIX futures contracts notionally traded. As of December 31,
2013, the annual Index Fees for the ProVol Indices, including retroactively
calculated Index Fees from and including 2006 to and including September 24,
2012, have ranged from 0.00% to 7.12% .

THE PROVOL INDICES HAVE VERY LIMITED PERFORMANCE HISTORY -- Calculation of the
ProVol Indices began on September 24, 2012. Therefore, the ProVol Indices have
very limited performance history and no actual investment which allowed
tracking of the performance of the ProVol Indices was possible before that
date. The index performance data prior to this date shown in this presentation
have been retrospectively calculated using historical data and the same
methodology as described above since December 20, 2005. Although the Index
Sponsor believes that these retrospective calculations represent accurately and
fairly how the Index would have performed before September 24, 2012, the ProVol
Indices did not, in fact, exist before September 24, 2012. Furthermore, the
index methodologies of the ProVol Indices were designed, constructed and tested
using historical market data and based on knowledge of factors that may have
possibly affected their performance. The returns prior to September 24, 2012
were achieved by means of a retroactive application of such back-tested index
methodologies designed with the benefit of hindsight. All prospective investors
should be aware that no actual investment that allowed a tracking of the
performance of the ProVol Indices was possible at any time prior to September
24, 2012. Furthermore, it is impossible to predict whether the ProVol Indices
will rise or fall. The actual performance of the ProVol Indices may bear little
relation to the retrospectively calculated performance of the ProVol Indices.

Page 24

 

 
 




Risk Factors

DEUTSCHE BANK AG, LONDON BRANCH, AS THE SPONSOR OF THE PROVOL INDICES, MAY
ADJUST EACH INDEX IN A WAY THAT AFFECTS ITS LEVEL AND MAY HAVE CONFLICTS OF
INTEREST -- Deutsche Bank AG, London Branch is the sponsor of the Provol
Indices (the "Index Sponsor") and will determine whether there has been a
market disruption event with respect to the ProVol Indices. In the event of any
such market disruption event, the Index Sponsor may use an alternate method to
calculate the closing level of the ProVol Indices. The Index Sponsor carries
out calculations necessary to promulgate the ProVol Indices and maintains some
discretion as to how such calculations are made. In particular, the Index
Sponsor has discretion in selecting among methods of how to calculate the
ProVol Indices in the event the regular means of determining the ProVol Indices
are unavailable at the time a determination is scheduled to take place. There
can be no assurance that any determinations made by the Index Sponsor in these
various capacities will not affect the value of the levels of the ProVol
Indices. Any of these actions could adversely affect the value of securities or
options linked to the ProVol Indices. The Index Sponsor has no obligation to
consider the interests of holders of securities linked to the ProVol Indices in
calculating or revising the ProVol Indices.

Furthermore, Deutsche Bank AG, London Branch or one or more of its affiliates
may have published, and may in the future publish, research reports on the
ProVol Indices or investment strategies reflected by the ProVol Indices (or any
transaction, product or security related to the ProVol Indices or any
components thereof) . This research is modified from time to time without
notice and may express opinions or provide recommendations that are
inconsistent with purchasing or holding of transactions, products or securities
related to the ProVol Indices. Any of these activities may affect the ProVol
Indices or transactions, products or securities related to the ProVol Indices.
Investor should make their own independent investigation of the merits of
investing in contracts or products related to the ProVol Indices.

Page 25

 

 
 




Important Notes

The distribution of this document and the availability of some of the products
and services referred to herein may be restricted by law in certain
jurisdictions. Some products and services referred to herein are not eligible
for sale in all countries and in any event may only be sold to qualified
investors. Deutsche Bank will not offer or sell any products or services to any
persons prohibited by the law in their country of origin or in any other
relevant country from engaging in any such transactions.

Prospective investors should understand and discuss with their professional
tax, legal, accounting and other advisors the effect of entering into or
purchasing any transaction, product or security related to the ProVol indices
(each, a "Structured Product") . Before entering into any Structured Product
you should take steps to ensure that you understand and have assessed with your
financial advisor, or made an independent assessment of, the appropriateness of
the transaction in the light of your own objectives and circumstances,
including the possible risks and benefits of entering into such Structured
Product.

Structured Products are not suitable for all investors due to illiquidity,
optionality, time to redemption, and payoff nature of the strategy.

Deutsche Bank or persons associated with Deutsche Bank and their affiliates
may: maintain a long or short position in securities referenced herein or in
related futures or options; purchase, sell or maintain inventory; engage in any
other transaction involving such securities; and earn brokerage or other
compensation.

Any payout information, scenario analysis, and hypothetical calculations should
in no case be construed as an indication of expected payout on an actual
investment and/or expected behavior of an actual Structured Product.

Calculations of returns on Structured Products may be linked to a referenced
index or interest rate. As such, the Structured Products may not be suitable
for persons unfamiliar with such index or interest rate, or unwilling or unable
to bear the risks associated with the transaction. Structured Product
denominated in a currency, other than the investor's home currency, will be
subject to changes in exchange rates, which may have an adverse effect on the
value, price or income return of the products. These Structured Product may not
be readily realizable investments and are not traded on any regulated market.
Structured Products involve risk, which may include interest rate, index,
currency, credit, political, liquidity, time value, commodity and market risk
and are not suitable for all investors.

The past performance of an index, securities or other instruments does not
guarantee or predict future performance. The distribution of this document and
availability of these products and services in certain jurisdictions may be
restricted by law.

In this document, various performance -related statistics, such as index return
and volatility, among others, of the ProVol indices are compared with those of
the SandP Dynamic VIX Index, the SandP Short-Term VIX Futures Index, the JP Morgan
Strategic Volatility Index, the SandP 500([R]) Index and the MSCI World Index.
Such comparisons are for information purposes only. No assurance can be given
that any ProVol index will outperform the SandP Dynamic VIX Index, the SandP
Short-Term VIX Futures Index, the JP Morgan Strategic Volatility Index, the SandP
500([R]) Index and the MSCI World Index in the future; nor can assurance be
given that ProVol will not significantly underperform the SandP Dynamic VIX
Index, the SandP Short-Term VIX Futures Index, the JP Morgan Strategic Volatility
Index, the SandP 500([R]) Index and the MSCI World Index in the future.
Similarly, no assurance can be given that the relative volatility levels of
ProVol and the SandP Dynamic VIX Index, the SandP Short-Term VIX Futures Index, the
JP Morgan Strategic Volatility Index, the SandP 500([R]) Index and the MSCI World
Index will remain the same in the future.

Deutsche Bank does not provide accounting, tax or legal advice.

BEFORE ENTERING INTO ANY TRANSACTION YOU SHOULD TAKE STEPS TO ENSURE THAT YOU
UNDERSTAND AND HAVE MADE AN INDEPENDENT ASSESSMENT OF THE APPROPRIATENESS OF
THE STRUCTURED PRODUCT IN LIGHT OF YOUR OWN OBJECTIVES AND CIRCUMSTANCES,
INCLUDING THE POSSIBLE RISKS AND BENEFITS OF ENTERING INTO SUCH STRUCTURED
PRODUCT. YOU SHOULD ALSO CONSIDER MAKING SUCH INDEPENDENT INVESTIGATIONS AS YOU
CONSIDER NECESSARY OR APPROPRIATE FOR SUCH PURPOSE.

"Deutsche Bank" means Deutsche Bank AG and its affiliated companies, as the
context requires. Deutsche Bank Private Wealth Management refers to Deutsche
Bank's wealth management activities for high-net-worth clients around the
world. Deutsche Bank Alex Brown is a division of Deutsche Bank Securities Inc.


Deutsche Bank AG has filed a registration statement (including a prospectus)
with the SEC for the offerings to which this communication relates. Before you
invest, you should read the prospectus in that registration statement and other
documents the issuer has filed with the SEC for more complete information about
the issuer and this offering. You may get these documents for free by visiting
EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any
underwriter or any dealer participating in the offering will arrange to send
you the prospectus if you request it by calling toll-free 1-800-311-4409.

Page 26

 

 
 




Important Notes

Backtested, hypothetical or simulated performance results presented herein have
inherent limitations. Unlike an actual performance record based on trading
actual client portfolios, simulated results are achieved by means of the
retroactive application of a backtested model itself designed with the benefit
of hindsight and knowledge factors that may have possibly affected its
performance. 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 reinvestment of dividends
and other earnings or 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. No representation is made that any trading
strategy or account will or is likely to achieve profits or losses similar to
those shown. Alternative modeling techniques or assumptions might produce
significantly different results and prove to be more appropriate. Past
hypothetical backtested results are neither an indicator nor guarantee of
future returns. Actual results will vary, perhaps materially, from the
analysis.

Structured Products linked to the ProVol indices discussed herein are not
insured by the Federal Deposit Insurance Corporation (FDIC) or any other US
governmental agency. These Structured Products are not insured by any statutory
scheme or governmental agency of the United Kingdom.

These Structured Products typically involve a high degree of risk, are not
readily transferable and typically will not be listed or traded on any exchange
and are intended for sale only to investors who are capable of understanding
and assuming the risks involved. The market value of any Structured Product may
be affected by changes in economic, financial and political factors (including,
but not limited to, spot and forward interest and exchange rates), time to
maturity, market conditions and volatility and the equity prices and credit
quality of any issuer or reference issuer.

Additional information (including index methodology and rules) about the
Deutsche Bank proprietary indices discussed in this presentation is available
upon request by calling (212) 250-6054.

Additional information may be available upon request. Any results shown do not
reflect the impact of commission and/or fees, unless stated. License Agreement
with SandP

Any Structured Products are not sponsored, endorsed, sold or promoted by
Standard and Poor's, a division of the McGraw -Hill Companies, Inc., which we
refer to as SandP. SandP makes no representation or warranty, express or implied,
to the owners of the Structured Products or any member of the public regarding
the advisability of investing in securities generally or in the Structured
Products particularly, or the ability of the SandP 500 ([R]) to track general
stock market performance. SandP's only relationship to Deutsche Bank AG is the
licensing of certain trademarks and trade names of SandP without regard to
Deutsche Bank AG or the Structured Products. SandP has no obligation to take the
needs of Deutsche Bank AG or the holders of the Structured Products into
consideration in determining, composing or calculating the SandP 500 ([R]). SandP
is not responsible for and has not participated in the determination of the
timing, price or quantity of the Structured Products to be issued or in the
determination or calculation of the amount due at maturity of the Structured
Products. SandP has no obligation or liability in connection with the
administration, marketing or trading of the Structured Products.

SandP DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE SandP 500
([R]) OR ANY DATA INCLUDED THEREIN AND SandP SHALL HAVE NO LIABILITY FOR ANY
ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. SandP MAKES NO WARRANTY, EXPRESS OR
IMPLIED, AS TO RESULTS TO BE OBTAINED BY DEUTSCHE BANK AG, HOLDERS OF THE
STRUCTURED PRODUCTS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE SandP 500
([R]) INDEX OR ANY DATA INCLUDED THEREIN. SandP 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 SandP 500([R]) OR ANY
DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL
SandP HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL
DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH
DAMAGES.

"STANDARD and POOR'S", "SandP", "SandP 500" AND "500" ARE TRADEMARKS OF STANDARD and
POOR'S FINANCIAL SERVICES LLC AND HAVE BEEN LICENSED FOR USE BY DEUTSCHE BANK
AG. STRUCTURED PRODUCTS ARE NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY SandP
AND SandP MAKES NO REPRESENTATION REGARDING THE ADVISABILITY OF PURCHASING ANY OF
THE STRUCTURED PRODUCTS.

Page 27

 

 
 




Appendix I

Volatility Regimes


 

 
 




Volatility Regimes: How Do We Know?

-- Using a single volatility metric would have done a poor job of predicting
regime transitions or differentiating between volatility spikes and regime
changes

 -- Example: recent points in time when SandP 500 3-month realized vol was 13%

  -- May 2005: Have we left the low-vol regime following the GM credit crisis?

  -- July 2007: Have we left the low-vol regime of the mid-2000s?

  -- June 2011: Have we switched back to a low-vol regime following the
financial crisis?

 -- Getting any one of these wrong could have had serious consequences

-- We need a framework which can suggest answers to the following questions:

 -- What is the probability of being in a given regime currently?

 -- What was the probability of being in a given regime at a historical point
leading up to or following an event?

 -- What is the probability that a series of observed returns was produced by a
given regime?


Page 29

 

 
 




Volatility Regime Model: Assumptions

-- Regime Model Assumptions

 -- Three possible equity return distributions

  -- Low, medium and high volatility regimes

 -- We can move from one regime to another with a certain probability

  -- Defined by a transition matrix



-- Each regime's mean daily return and volatility and overall probability of
occurrence, along with the transition matrix, are fixed through time

-- We make no assumptions about what any of the values will be -- we let the
data tell us -- but we may have certain expectations

-- Predominantly low or medium vol with shorter periods of high vol

-- Regimes are "sticky" -- likely to be persistent

Page 30

 

 
 




Volatility Regime Model: Results

-- Calibration produces the model that would have generated the historical
returns with the highest likelihood (a "maximum likelihood estimation")



                            Regime-specific     Long-term Regime
        Regime         Annualized Volatility(1)        Probability(1)
       Low-Volatility:                  9.4%                   47%
Medium-Volatility:                     18.1%                   46%
      High-Volatility:                 44.4%                    7%


-- Though we did not specify anything about them ahead of time, the calibration
has identified regime-specific volatilities and probabilities that make sense
intuitively


(1)These numbers have been rounded for ease of presentation

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Volatility Regime Model: Transition Matrix

-- The model determines that regimes have been sticky: once you are in a
regime, you are much more likely to stay in a regime



 Daily Likelihood of                  TO:
       Transitioning
 Between Regimes(1)   Low-Vol Medium-Vol  High-Vol
             Low-Vol:  98.5%        1.5%    ~0.0%
FROM: Medium-Vol:       1.5%       97.9%     0.6%
            High-Vol:  ~0.0%        3.9%    96.1%


-- Again, though we did not specify anything ahead of time, the transition
matrix makes sense

 -- For instance, the probability of jumping directly from the low-vol regime
to the high- vol regime over night, or vice versa, is near zero


(1)These numbers have been rounded for ease of presentation

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Volatility Regime Model: Test Case Outcomes

-- So would the regime model have helped in our examples?

-- May 31, 2005: the probability that we are still in the low vol regime was
93%

-- Right call given the bull market lasts for 2 more years following the GM
credit crisis

-- July 31, 2007: the probability that we were still in the low-vol  regime was
less than 1%

-- Right call given the impending credit crunch

-- June 30, 2011: the probability that we had moved to the low-vol  regime was
only 7%

-- Right call given what happens in July and August 2011

-- So when might the regime model not be helpful or of informative value?

-- Non-financial   events like 9/11

-- Market events like the "flash crash" of 2010, widely believed to be caused
by computer trading systems, that may not be preceded by an increase in
volatility[] In both cases the regime model showed a high probability of being
in a medium vol regime prior to the event, but a low probability of being in a
high vol regime

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