DESCRIPTION OF THE DEUTSCHE BANK CURRENCY RETURNS + (DBCR+) (USD) INDEX THE DEUTSCHE BANK CURRENCY RETURNS + (DBCR+) (USD-FUNDED) INDEX CONTENTS

Transcription

1 CONTENTS DESCRIPTION OF THE DEUTSCHE BANK CURRENCY RETURNS + (DBCR+) (USD) INDEX THE DEUTSCHE BANK CURRENCY RETURNS + (DBCR+) (USD-FUNDED) INDEX This document is referred to as the Description and consists of the following sections: Section Page 1. Overview Investment Considerations Definitions Calculation of each Index Index Closing Levels Change in the Methodology of an Index Index Sponsor Availability of Index Closing Levels, Adjustments and other Index Information Historical Index Closing Levels Index Adjustments and Cancellations Underlying Index Adjustments Schedule Description of the Deutsche Bank Balanced Currency Harvest (USD) Index Schedule Description of the Deutsche Bank Momentum (USD) Index Schedule Description of the Deutsche Bank Valuation (USD) Index Schedule 1. Description of the Deutsche Bank Balanced Currency Harvest (USD) Index Description of the Deutsche Bank Momentum (USD) Index Description of the Deutsche Bank Valuation (USD) Index ALTHOUGH THE INDEX SPONSOR WILL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF EACH INDEX FROM EACH RELEVANT SOURCE AS DESCRIBED IN THIS DESCRIPTION, THE INDEX SPONSOR WILL NOT INDEPENDENTLY VERIFY SUCH INFORMATION AND DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF ANY INDEX OR UNDERLYING INDEX OR ANY DATA INCLUDED IN ANY SOURCE. THE INDEX SPONSOR SHALL NOT BE LIABLE (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY ERROR IN ANY INDEX OR UNDERLYING INDEX AND THE INDEX SPONSOR IS UNDER NO OBLIGATION TO ADVISE ANY PERSON OF ANY ERROR THEREIN. NO FINANCIAL PRODUCT RELATING TO ANY INDEX IS SPONSORED, ENDORSED, SOLD OR PROMOTED BY THE INDEX SPONSOR AND THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES AS TO (A) THE ADVISABILITY OF

2 PURCHASING OR ASSUMING ANY RISK IN CONNECTION WITH ANY SUCH FINANCIAL PRODUCT (B) THE LEVELS AT WHICH AN INDEX STANDS AT ANY PARTICULAR TIME ON ANY PARTICULAR DATE (C) THE RESULTS TO BE OBTAINED BY THE ISSUER OR OBLIGOR OF ANY FINANCIAL PRODUCT OR ANY FINANCIAL PRODUCT INVESTOR OR ANY OTHER PERSON OR ENTITY FROM THE USE OF AN INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH ANY LICENSED RIGHTS OR FOR ANY OTHER USE OR (D) ANY OTHER MATTER. THE INDEX SPONSOR MAKES NO EXPRESS OR IMPLIED REPRESENTATIONS OR WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO ANY INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT PREJUDICE TO ANY OBLIGATION OF THE INDEX SPONSOR UINDER THE REGULATORY SYSTEM AND WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE INDEX SPONSOR HAVE ANY LIABILITY (WHETHER IN NEGLIGENCE OR OTHERWISE) TO ANY PERSON FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES. The "Deutsche Bank Currency Returns + (USD) Index" and "Deutsche Bank Currency Returns + (USD- FUNDED) Index" (each such Index an Index) are each Deutsche Bank AG, London Branch proprietary indices. Any use of these indices or their name must be with the consent of Deutsche Bank AG, London Branch. 1. OVERVIEW This paragraph refers to a number of features of each Index. There are aspects of each Index to which this paragraph does not refer. This paragraph should therefore be read as an introduction to the Description but is no substitute for reviewing the Description and the Underlying Index Descriptions appended hereto in full. Capitalised terms not otherwise defined shall have the meanings given in section 3 (Definitions) below. Formatted: Outline numbered + Level: 1 + Numbering Style: 1, 2, 3, + Start at: 1 + Alignment: Left + Aligned at: 0 cm + Tab after: 1.27 cm + Indent at: 1.27 cm Each Index to which this Description relates is created by Deutsche Bank AG, London Branch, which acts as the Index Sponsor. Certain key features of each Index are as follows: Each Index is intended to reflect the performance of a different set of Underlying Indices as described in section 4 (Calculation of each Index) below. The Deutsche Bank Currency Returns + (USD) Index is intended to reflect the performance of the Deutsche Bank Balanced Currency Harvest (USD) Index, the Deutsche Bank Momentum (USD) Index and the Deutsche Bank Valuation (USD) Index. Each Underlying Index in turn reflects the performance of a different set of G10 Currencies which are selected on the basis of the selection rules applicable to the relevant Underlying Index more fully described in the applicable Underlying Index Description set out in the relevant schedule to this Description as the same may be amended in accordance with its terms from time to time. Subject to adjustments as provided in this Description, an Index Closing Level is calculated in relation to each Index on each Index Business Day by the Index Sponsor and this may be used in connection with one or more financial products (each a Financial Product) relating to such Index. The Financial Products may be issued or entered into by Deutsche Bank AG, London Branch or other financial product providers. Each investor in relation to Financial Products is referred to as a Financial Product Investor. 2

3 The Index Closing Level for the Deutsche Bank Currency Returns + (USD-Funded) Index is also affected by changes in the overnight USD Federal Funds Effective money market rate calculated by the US Federal Reserve System as set out in section 5.1 (Calculation of Index Closing Levels) and the definitions of Fed Effective Fix and Fed Effective Fix Rate in section 3 (Definitions) below. Each Index Closing Level is affected by the closing levels of the relevant Underlying Indices which are in turn affected by changes in the currency exchange rates in respect of the relevant currencies to which the Underlying Indices relate. Each Index Closing Level is equally affected by the closing levels each of the three relevant Underlying Indices as each relevant Underlying Index is assigned an equal weighting in the calculation of the Index Closing Level. See section 5.1 (Calculation of Index Closing Levels). Each Index is "notional" in nature. This means that the Index Sponsor is not obliged to enter into currency forward contracts in respect of the relevant currencies within each Underlying Index in order to calculate each Index. Deutsche Bank AG, London Branch may enter into currency forward contracts in order to hedge its obligations under Financial Products linked to an Index, but it is not obliged to do so. Each Index contains Force Majeure Event provisions which apply when certain events beyond the control of the Index Sponsor prevent the Index Sponsor from carrying out procedures in relation to such Index as described in section 10 (Index Adjustments and Cancellations) below. Each Index also contains certain Hedging Disruption Event provisions as described in section 10 (Index Adjustments and Cancellations) below. The Force Majeure Event and Hedging Disruption Event provisions, together with certain other modification provisions, allow the Index Sponsor to delay the calculation of the Index Closing Level for the relevant Index and to adjust such Index or, in some cases, cancel such Index where certain of these events occur. Each Index is also subject to the Underlying Index Adjustment Event provisions which would in certain situations (such as a material change in the formula for or the method of calculating the Underlying Index or the cancellation of an Underlying Index) allow the Index Sponsor to adjust, cancel or defer calculating the relevant Index, or determine the closing level of the affected Underlying Index or replace the affected Underlying Index or its sponsor with a successor Underlying Index or sponsor. See section 11 (Underlying Index Adjustments) below. Force Majeure Events, Hedging Disruption Events or Underlying Index Adjustment Events may therefore have an adverse effect on Financial Product Investors. Index values which are calculated following any such delay may give different economic results in relation to the Financial Products than the Index values which would have prevailed but for such delay. If the relevant Index is cancelled or adjusted this may lead to the calculation agent for a Financial Product taking action under provisions of the Financial Product which may have an adverse effect on Financial Product Investors INVESTMENT CONSIDERATIONS Foreign Currency Markets The Index offers exposure to Underlying Indices which relate to notional currency forward rates. The value of any Financial Product will be affected by movements in the relevant currency forward rates and decreases in the levels of the relevant currency forward rates will have an adverse effect on the level of the relevant Underlying Index which will in turn adversely affect the relevant Index. 3

4 Foreign currency markets may be highly volatile. Significant changes, including changes in liquidity and prices, can occur in such markets within very short periods of time. Foreign currency rate risks include, but are not limited to, convertibility risk and market volatility and potential interference by foreign governments through regulation of local markets, foreign investment or particular transactions in foreign currency Exposure to each Underlying Index As each Index comprises various Underlying Indices, Financial Products Investors are exposed to the risk of each such Underlying Index in equal proportions. Even if one Underlying Index performs positively, the effect of this may be less than the effect of another Underlying Index performing negatively and the Index Closing Level and thus the return on the Financial Products may be adversely affected Removal or Replacement of an Underlying Index If an Underlying Index is removed or replaced following an Underlying Index Adjustment Event, such Index will not benefit from any future performance of the relevant removed Underlying Index and any replacement Underlying Index may perform negatively Index Sponsor's Powers The Index Sponsor has a number of discretions in relation to each Index and the exercise of these discretions may have a significant effect on Financial Products. In particular: If a Force Majeure Event occurs in relation to an Index, the Index Sponsor may adjust the calculation of such Index or postpone or cancel and permanently cease to calculate such Index. A Force Majeure Event may occur where events beyond the control of the Index Sponsor, such as natural or man-made disaster or acts of terrorism or systems failure, prevent the Index Sponsor from carrying out procedures in relation to such Index. If a Hedging Disruption Event occurs in relation to an Index, the Index Sponsor may adjust the calculation of such Index or postpone or cancel and permanently cease to calculate such Index. A Hedging Disruption Event may occur as a result of Deutsche Bank AG and/or any of its Affiliate's inability to hedge exposure in respect of any Financial Products. If an Underlying Index Adjustment Event occurs, the Index Sponsor may at its sole discretion adjust the calculation of the affected Index or postpone or cancel and permanently cease to calculate such Index. The Index Sponsor may also determine the level for the affected Underlying Index using the formula for and method of calculating that Underlying Index last in effect prior to the Underlying Index Adjustment Event, or replace that Underlying Index with a successor Underlying Index. If an Underlying Index is calculated and made available by a successor index sponsor or replaced by a successor index, the Index Sponsor may determine to accept the successor index sponsor or such successor index. If a correction is made to the closing level of an Underlying Index within two Index Business Days, the Index Sponsor may at its discretion adjust the Index Closing Level to reflect such correction. If fiscal, market, regulatory, juridical, financial circumstances or any other circumstances arise that would necessitate or make desirable a modification or change to an Index methodology, the Index 4

5 Sponsor may make such modifications or changes Conflicts of Interest for Deutsche Bank Entities Deutsche Bank AG, London Branch acts as Index Sponsor for each of the Indices and Underlying Indices. Conflicts of interest may exist between the Index Sponsor and Deutsche Bank AG, London Branch and its affiliates (each a Deutsche Bank Entity) acting in other capacities. A Deutsche Bank Entity may also act as the issuer of or an obligor under Financial Products and as a dealer, calculation agent or hedge provider in relation to Financial Products. Various conflicts of interest may arise as a result of these different roles as well as from the overall activities of Deutsche Bank Entities. In performing each of the various services in relation to each Index, Deutsche Bank Entities do not act on behalf of, or accept any duty of care or any fiduciary duty to any Financial Product Investors or any other person. Each relevant Deutsche Bank Entity will pursue actions and take steps that it deems necessary or appropriate to protect its interests. Deutsche Bank Entities shall be entitled to receive fees or other payments and exercise all rights, including rights of termination or resignation, which they may have, even though this may have a detrimental effect on an Index and Financial Products Hedging Arrangements Each Index is calculated as a "notional" index. This means that each Index reflects the performance of the relevant Underlying Indices which relate to notional currency forward rates in respect of the relevant currencies for each Underlying Index, but there is no requirement for the Index Sponsor to enter into currency forward rate contracts in relation to such currency forward rates in order to calculate an Underlying Index or the Index. Deutsche Bank Entities may enter into currency forward rate contracts in order to meet obligations in respect of Financial Products or for any other purpose, but Deutsche Bank Entities are not required to do this. If they do, Deutsche Bank Entities will have certain rights pursuant to such contracts and will pursue actions and take steps that they deem appropriate to protect their own interests Political and Economic Factors Foreign currency rates may be influenced by a number of circumstances, including but not limited to political events, general economic conditions, government intervention, changes in balances of payments and trade, domestic and international rates of inflation, international trade restrictions and currency devaluations. Any such circumstance (or a combination of them) may cause unexpected volatility or illiquidity in the foreign currency markets. This may have an adverse effect on Index Closing Levels which may in turn have an adverse effect on the performance of Financial Products Future Regulatory Changes Legal and regulatory changes could adversely affect foreign currency rates. In addition, many governmental agencies and regulatory organisations are authorised to take extraordinary actions in the event of market emergencies. The effect of any future legal or regulatory change on foreign currency rates is not possible to predict, but could be substantial and adverse. 5

6 2.3. DEFINITIONS Affiliate means, in relation to any entity (the First Entity), any entity controlled, directly or indirectly, by the First Entity, any entity that controls, directly or indirectly, the First Entity or any entity directly or indirectly under common control with the First Entity. For these purposes "control" means ownership of a majority of the voting power of an entity. Balanced Currency Harvest (USD) Index means the Deutsche Bank Balanced Currency Harvest (USD) Index as described in the relevant Underlying Index Description and as the same may be amended in accordance with its terms from time to time. Deutsche Bank Currency Returns + (USD) Index is as defined in section 4 (Calculation of each Index) below. Deutsche Bank Currency Returns + (USD-Funded) Index is as defined in section 4 (Calculation of each Index) below. Fed Effective Fix means, in respect of an Index Business Day, the sum of (a) one and (b) the product of (i) the Fed Effective Fix Rate in respect of such Index Business Day minus and (ii) the number of days in the period from (and including) the Index Business Day immediately preceding such Index Business Day to (but excluding) such Index Business Day divided by 365. Fed Effective Fix Rate means, in respect of an Index Business Day, the overnight rate as calculated by the Federal Reserve System of the United States of America and appearing on the Reuters Page USONFFE= (or such other page as may replace that page on that service or such other service as may replace that service for the purposes of displaying such rate) in respect of such Index Business Day. Force Majeure Event is as defined in section 10 (Index Adjustments and Cancellations) below. G10 Currencies has the meaning given in each of the each of relevant Underlying Index Descriptions. Hedging Disruption Event is as defined in section 10 (Index Adjustments and Cancellations) below. Index Base Currency means, USD. Index Base Date means 15 October, Index Business Day means a day (other than a Saturday or Sunday) (a) on which commercial banks and foreign exchange markets settle payments and are open for general business (including dealings in foreign exchange and foreign currency deposits) in London and (b) on which TARGET (the Trans-European Automated Real-time Gross settlement Express Transfer system) (the TARGET System) is open. Index Closing Level in respect of an Index is as defined in section 5 ( Index Closing LevelsIndex Closing Levels) below. Index Sponsor in respect of an Index is as defined in section 7 (Index Sponsor) below. Index Valuation Time means (i) 4.00 p.m. (London time) on each Index Business Day or such time approximate thereto as the Index Sponsor determines or (ii) such other time as the Index Sponsor determines to be the Index Valuation Time for the Index and makes available to any relevant Financial Product Investor on 6

7 request in accordance with section 8 (Availability of Index Closing Levels, Adjustments and other Index Information) below. Momentum (USD) Index means the Deutsche Bank Momentum (USD) Index as described in the relevant Underlying Index Description and as the same may be amended in accordance with its terms from time to time. Underlying Index means each of the Balanced Currency Harvest (USD) Index, Momentum (USD) Index, and Valuation (USD) Index. Underlying Index Adjustment Event has the meaning given in section 11(Underlying Index Adjustments) below. Underlying Index Description means, in relation to the Balanced Currency Harvest (USD) Index, the description of such indices set out in Schedule 1 hereto, in relation to the Momentum (USD) Index, the description of such indices set out in Schedule 2 hereto, and in relation to the Valuation (USD) Index, the description of such indices set out in Schedule 3 hereto, in each case as the same may be amended in accordance with its terms from time to time. USD means United States Dollar. USD Average Daily Return or UADR means, in respect of an Index Business Day, the quotient of (a) the sum of (i) the USD Daily Return for the Carry (USD) Index, (ii) the USD Daily Return for the Momentum (USD) Index and (iii) the USD Daily Return for the Valuation (USD) Index (as numerator), and (b) three (as denominator). Expressed as a formula: UDR UADR carry UDR momentum 3 UDR valuation USD Daily Return or UDR means, in respect of an Index Business Day, t, and each of the Carry (USD) Index, Momentum (USD) Index and Valuation (USD) Index, (A) the quotient of (i) the closing level of the relevant Underlying Index on such Index Business Day, t, as made available by the relevant Underlying Index Sponsor on such Index Business Day and (ii) the closing level of the relevant Underlying Index on the immediately preceding Index Business Day as made available by the relevant Underlying Index Sponsor on such Index Business Day minus (B) one. Expressed as a formula: CLt UDRt CL(t 1) 1 where CL means the closing level of the relevant Underlying Index. USD Index means the Deutsche Bank Currency Returns + (USD) Index, as defined in section 4 (Calculation of each Index). USD-Funded Index means the Deutsche Bank Currency Returns + (USD-Funded) Index, as defined in section 4 (Calculation of each Index). Formatted: Indent: Left: 0 cm, Outline numbered + Level: 1 + Aligned at: 1.27 cm + Indent at: 1.27 cm 7

8 USD Index Closing level or UICL means, in respect of an Index Business Day, the Index Closing Level in respect of the USD Index on such day. USD Index Closing level or UICL means, in respect of an Index Business Day, the Index Closing Level in respect of the USD Index on such day. Valuation (USD) Index means the Deutsche Bank Valuation (USD) Index as described in the relevant Underlying Index Description and as the same may be amended in accordance with its terms from time to time CALCULATION OF EACH INDEX Each Index is intended to reflect the performance of a different set of Underlying Indices. Each Underlying Index in turn reflects the performance of certain notional currency forward rates in respect of the relevant G10 Currencies which are selected and recomposed in accordance with the rules in the relevant Underlying Index Description. The Index Closing Level (as defined in section 5 ( Index Closing LevelsIndex Closing Levels) below) for each Index has been or, as the case may be, will be calculated by the Index Sponsor on each Index Business Day following the Index Base Date and made available to any relevant Financial Product Investor on request as soon as reasonably practicable after the Index Valuation Time on each Index Business Day in accordance with section 8 (Availability of Index Closing Levels, Adjustments and other Index Information) below, subject as provided in section 10 (Index Adjustments and Cancellations) and section 11 (Underlying Index Adjustments) below. The Index Closing Level for an Index is quoted in the Index Base Currency for such Index. The Deutsche Bank Currency Returns + (USD) Index The calculation of the Deutsche Bank Currency Returns + (USD) Index (the Deutsche Bank Currency Returns + (USD) Index) is by reference to the closing levels of each of the Balanced Currency Harvest (USD) Index, Momentum (USD) Index and Valuation (USD) Index on each Index Business Day. Each such Underlying Index is assigned an equal weighting in the calculation of the relevant Index Closing Level. The Deutsche Bank Currency Returns + (USD-Funded) Index The calculation of the Deutsche Bank Currency Returns + (USD-Funded) Index (the Deutsche Bank Currency Returns + (USD-Funded) Index) is by reference to the Deutsche Bank Currency Returns + (USD) Index and as adjusted in accordance with changes in the overnight USD Fed Funds Effective rate calculated by the US Federal Reserve System INDEX CLOSING LEVELS Calculation of Index Closing Levels The closing level of an Index (the Index Closing Level in respect of such Index) in respect of any Index Business Day, t, which shall not be less than zero is determined by the Index Sponsor as: (a) in respect of the USD Index, the product of (i) the USD Index Closing Level on the immediately preceding Index Business Day and (ii) the sum of (x) one and (y) the USD Average Daily Return in respect of such Index Business Day. 8

9 Expressed as a formula: UICL and t UICL (t 1) x 1 UADR t (b) in respect of the DBCR+ (USD-Funded) Index the product of (a) the quotient of (i) the product of (x) the Index Closing Level in respect of such Index on the Index Business Day immediately preceding such Index Business Day (DBCRPLUF(t-1)) and (y) the Index Closing Level in respect of the DBCR+ (USD) Index on such Index Business Day (DBCRPLU(t)) as numerator and (ii) the Index Closing Level in respect of the DBCRPLU (USD) Index on the Index Business Day immediately preceding such Index Business Day (DBCRPLU(t-1)) as denominator and (b) the Fed Effective Fix in respect of such Index Business day. Expressed as a formula: DBCRPLUF(t-1) DBCRPLU DBCRPLUFt DBCRPLU (t-1) (t) FedEffectiveFix ( t) The Index Closing Level for each Index in respect of the Index Base Date, expressed in the Index Base Currency for such Index, is 100. The procedures in this section 0 are subject to adjustment or delay or cancellation of an Index as set out in section 10 (Index Adjustments and Cancellations) and section 11 (Underlying Index Adjustments) below Availability of Index Closing Levels and Adjustments As described in section 8 (Availability of Index Closing Levels, Adjustments and other Information) below, the Index Sponsor will make available to any relevant Financial Product Investor (a) the Index Closing Level for each Index for each Index Business Day as soon as reasonably practicable after it has been calculated and (b) details of any adjustments made to the relevant Index or Underlying Index as described in section 10 (Index Adjustments and Cancellations) and section 11 (Underlying Index Adjustments) below CHANGE IN THE METHODOLOGY OF AN INDEX The Index Sponsor will, subject as provided below, employ the methodology described set out in this Description to calculate each Index and its application of such methodology shall be conclusive and binding. While the Index Sponsor currently employs the above described methodology to calculate each Index, no assurance can be given that fiscal, market, regulatory, juridical or financial circumstances will not arise that would, in the view of the Index Sponsor, necessitate or make desirable a modification of or change to such methodology in respect of an Index and the Index Sponsor shall be entitled to make any such modification or change. The Index Sponsor may also make modifications to the terms of any Index in any manner that it may deem necessary or desirable, including (without limitation) to correct any manifest or proven error or to cure, correct or supplement any defective provision contained in this Description. The Index Sponsor will make available to any relevant Financial Product Investor on request any such modification or change in respect of an Index and the effective date thereof in accordance with section 8 (Availability of Index Closing Levels, Adjustments and other Index Information) below. 9

10 6.7. INDEX SPONSOR The sponsor of each Index is Deutsche Bank AG, London Branch (the Index Sponsor, which expression shall include any successor in such capacity). The Index Sponsor will determine each Index on each Index Business Day as described in this Description, subject to adjustment as described in section 10 (Index Adjustments and Cancellations) and section 11 (Underlying Index Adjustments) below. All determinations made by the Index Sponsor will be made by it in good faith and in a commercially reasonable manner. In making any determinations the Index Sponsor may refer to such factor(s) as it deems appropriate and, without limitation, these may include any hedging arrangements of any issuer or obligor in relation to any Financial Product relating to an Index. Any determination of the Index Sponsor will be final, conclusive and binding on all parties unless there is a manifest error. These parties include, without limitation, the issuer or obligor in respect of any Financial Product and any Financial Product Investors AVAILABILITY OF INDEX CLOSING LEVELS, ADJUSTMENTS AND OTHER INDEX INFORMATION Subject as provided in section 10 (Index Adjustments and Cancellations) and section 11 (Underlying Index Adjustments) below, the Index Sponsor will make available (a) the Index Closing Level for each Index for each Index Business Day as soon as reasonably practicable after the relevant Index Valuation Time, and (b) details of any adjustments made to any Index, in each case on application by any relevant Financial Product Investor to Global Markets Client Valuation Group (telephone number ) at the Index Sponsor's principal office in London for the time being at Winchester House, 1 Great Winchester Street, London EC2N 2DB HISTORICAL INDEX CLOSING LEVELS Set out below are certain Index Closing Levels in respect of each Index and Underlying Index, back-calculated to the Index Base Date on a hypothetical basis. All calculations are based on information obtained from various publicly available source(s). The Index Sponsor has not independently verified the information extracted from these source(s). Date Deutsche Bank Valuation (USD) Index Deutsche Bank Momentum (USD) Index Deutsche Bank Balanced Currency Harvest (USD) Index DBCR+ (USD) Index DBCR+ (USD-FUNDED) Index 31-Oct Nov Dec Jan Feb Mar Apr May

11 30-Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr

12 31-May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar

13 30-Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb

14 30-Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May INDEX ADJUSTMENTS AND CANCELLATIONS As set out in this section 10, if a Force Majeure Event or a Hedging Disruption Event occurs in respect of an Index, the Index Sponsor may adjust such Index, amend the methodology of such Index, delay the calculation of the Index Closing Level for such Index, or cancel and permanently cease to calculate such Index. These provisions are included to deal with situations in which it would become difficult or impossible for the Index Sponsor to calculate the Index or for any issuer or obligor in relation to a Financial Product to carry out hedging arrangements in relation to the Financial Products. Financial Product Investors should review these provisions carefully as they may have an adverse effect on Financial Products. 14

15 Force Majeure Event and Hedging Disruption Event If a Force Majeure Event or a Hedging Disruption Event occurs or subsists on any Index Business Day that in the determination of the Index Sponsor prevents or otherwise affects its determinations in respect of an Index on such Index Business Day, the Index Sponsor may in its discretion: (i) (ii) (iii) make such determinations and/or adjustments to the terms of this Description in relation to such Index as it considers appropriate to determine such Index or calculate the Index Closing Level for such Index on such Index Business Day acting in good faith and in a commercially reasonable manner; and/or defer making available the Index Closing Level for such Index, as described in section 4 (Calculation of each Index) above, until the next Index Business Day on which it determines that no Force Majeure Event or Hedging Disruption Event exists in respect of such Index; and/or permanently cease to calculate and make available the Index Closing Level for such Index as described in section 4 (Calculation of each Index) above. As used herein, Force Majeure Event means an event or circumstance other than a Hedging Disruption Event or an Underlying Index Adjustment Event (including, without limitation, a systems failure, fire, building evacuation, natural or man-made disaster, act of God, act of state, armed conflict, act of terrorism, riot or labour disruption or any similar intervening circumstance) that is beyond the reasonable control of the Index Sponsor. Hedging Disruption Event means the Index Sponsor determines that Deutsche Bank AG and/or any of its Affiliates would be unable, after using commercially reasonable efforts, to (A) (B) acquire, establish, re-establish, substitute, maintain, unwind or dispose of any transaction(s) or asset(s) it deems necessary to hedge its position in relation to any securities issue or other relevant transactions relating to or calculated by reference to such Index; or realise, recover or remit the proceeds of any such transaction(s) or asset(s) UNDERLYING INDEX ADJUSTMENTS If an Underlying Index Adjustment Event occurs in respect of an Underlying Index, the Index Sponsor may adjust the Affected Index (as defined below), and the methodology of the Affected Index, delay the calculation of the Index Closing Level for the Affected Index, cancel and permanently cease to calculate the Affected Index, determine the closing level of the relevant Underlying Index or replace that Underlying Index with a successor Underlying Index. In addition, if an Underlying Index is calculated and made available by a successor index sponsor or replaced by a successor index, the index sponsor may determine to accept such successor index sponsor or such successor underlying index. The Index Sponsor may also at its discretion adjust the Index Closing Level to reflect a correction made to the closing level of an Underlying Index. These provisions are included to deal with situations in respect of an Underlying Index in which it would become difficult or impossible for the Index Sponsor to calculate the Index. Financial Product Investors should review these provisions carefully as they may have an adverse effect on Financial Products Successor Index Sponsor Calculates and Reports Underlying Index If a relevant Underlying Index is (i) not calculated and made available by the relevant Underlying Index Sponsor 15

16 but is calculated and made available by a successor index sponsor acceptable to the Index Sponsor or (ii) replaced by a successor index using, in the commercially reasonable and good faith determination of the Index Sponsor the same or a substantially similar formula for and method of calculation as used in the calculation of that Underlying Index, then that Underlying Index will be deemed to be the index (the "Successor Underlying Index") so calculated and made available by such successor or that successor index, as the case may be Underlying Index Adjustment Events If an Underlying Index Adjustment Event occurs or subsists in relation to any Underlying Index on any Index Business Day that in the determination of the Index Sponsor prevents or otherwise affects its determinations in respect of an Index on such Index Business Day the Index Sponsor may in its discretion: (i) make such determinations and/or adjustments to the terms of this Description in relation to such Index (the "Affected Index") as it considers appropriate to determine the Affected Index or calculate the Index Closing Level for the Affected Index on such Index Business Day acting in good faith and in a commercially reasonable manner; and/or (ii) defer making available the Index Closing Level for the Affected Index, as described in section 4 (Calculation of each Index) above, until the next Index Business Day on which it determines that no Underlying Index Disruption Event exists in respect of the Affected Index; and/or (iii) (iv) (v) permanently cease to calculate and make available the Index Closing Level for the Affected Index as described in section 4 (Calculation of each Index) above; and/or determine the closing level of that Underlying Index on that Index Business Day using, in lieu of the closing level made available by the relevant Underlying Index Sponsor, the level for that Underlying Index as at that Index Business Day determined by the Index Sponsor in accordance with the formula for and method of calculating that Underlying Index last in effect prior to the Underlying Index Adjustment Event acting in good faith and in a commercially reasonable manner; and/or replace that Underlying Index with a Successor Underlying Index. The Index Sponsor will make available to any relevant Financial Product Investor on request details of any such adjustments, determination and replacement in accordance with section 8 (Availability of Index Closing Levels, Adjustments and other Index Information) above. As used herein, Underlying Index Adjustment Event means any of the following events which occurs or subsists on any Index Business Day: (A) (B) (C) Underlying Index Modification: the Underlying Index Sponsor makes or announces it will make a material change in the formula for or the method of calculating an Underlying Index or in any other way materially modifies that Underlying Index; Underlying Index Cancellation: the Underlying Index Sponsor permanently cancels an Underlying Index; or Underlying Index Disruption: the Underlying Index Sponsor fails to calculate and make available the closing level of an Underlying Index. 16

17 Correction If the level of any Underlying Index made available on an Index Business Day is subsequently corrected by the relevant Underlying Index Sponsor no later than two Index Business Days after the Index Business Day on which the original closing level was made available, the Index Sponsor may at its discretion make such adjustments to the Index Closing Level affected by such correction, acting in good faith and in a commercially reasonable manner. 17

18 SCHEDULE 1 DESCRIPTION OF THE DEUTSCHE BANK BALANCED CURRENCY HARVEST (USD) INDEX 18

19 SCHEDULE 2 DESCRIPTION OF THE DEUTSCHE BANK MOMENTUM (USD) INDEX 19

20 SCHEDULE 3 DESCRIPTION OF THE DEUTSCHE BANK VALUATION (USD) INDEX 20