Collateral Securities Selection Criteria in respect of db x-trackers ETFs adopting investment policy (ii) (a) as of 31 October 2017 Deutsche Bank AG in its capacity as swap counterparty, has an account (the Pooled Account ) in its name with State Street Bank Luxembourg S.A. (the Custodian ) in which cash and securities (together the Collateral Securities ) are pledged in favour of db x-trackers (the Company ) acting on behalf of each sub-fund pursuant to a pledge agreement. The portfolio of Collateral Securities held in the Pooled Account, and hence the portfolio of Collateral Securities pledged in favour of the sub-funds will consist of Eligible Collateral. Eligible Collateral The following is a summary of the types of assets (with their respective margins and concentration limits set out below) which may qualify as Eligible Collateral. EQUITY The value of any SSBL Collateral Securities comprising common stock or preference shares, identified with a single security identifier, may not be larger than 5 times the 90 day average daily trading volume of the security with such security identifier. The equity-related SSBL Eligible Collateral can comprise constituents of indices from the countries listed below and with the related indices being set out alongside each such country. Country Australia Austria Belgium Canada Czech Republic Denmark European Others Index Australian All Ordinaries Index, ASX20, ASX200 Austrian Traded ATX index, ATX Prime BEL20 Index S&P Toronto Stock Exchange Composite Index, S&P TSX60 Index Prague Stock Exchange Index KFMX Index, Copenhagen Mid Cap Index EuroStoxx50, FTSE Europe Top 300 Index Finland HEX General Index, OMXH 25 France Germany Hungary Ireland Italy Japan Luxembourg Netherlands New Zealand Norway Poland Portugal Sweden Switzerland UK USA CAC40 Index, SBF 80, SBF 120, SBF 250, CAC all share - PAX DAX30 Index, HDAX, CDAX Performance Budapest Stock Exchange Index Irish Overall Index FTSE MIB, FTSE Italia ALL Share NIKKEI 225, Nikkei 300, TOPIX LuxX Index Amsterdam Exchanges Index, Amsterdam Midcap Index NZX 50 Index OBX Stock Index, OSE All Share Index WSE WIG Index PSI GLOBAL OMXS30 Index, Stockholmsborsen Stock Index Swiss Market Index FTSE100, FTSE 250 Index, FTSE 350 Index, FTSE ALL SHARE S&P 100, 500, Russell 1000, Russell 2000 Index, DJIA, NASDAQ 100, Russell 3000, NASDAQ COMP, S&P ADR The aggregate value of any Collateral Securities comprising Common Stock, Global Depository Receipts ( GDRs ), American Depository Receipts ( ADRs ) and Preference Shares of a single entity, shall not exceed 4% of the The value of any Collateral Securities comprising Common Stock, ADRs/GDRs or Preference Shares, identified with a single security identifier, may not be larger than 5 times the 90 day average trading volume of the security with such security identifier.
Type of assets Margin Concentration Limits Common Stock 120% The value of any Collateral Securities comprising the common stock of a single entity, when aggregated with the value of any Collateral Securities comprising ADRs/GDRs and preference shares of that entity, shall not exceed 3% of the market capitalisation of that entity. GDRs/ADRs 120% The value of any Collateral Securities comprising GDRs/ADRs of an entity, when aggregated with the value of any Collateral Securities comprising common stock and preference shares of that entity, shall not exceed 3% of the market capitalisation of that entity. Preference Shares 120% The value of any Collateral Securities comprising preference shares of an entity, when aggregated with the value of any Collateral Securities comprising ADRs/GDRs and common stock of that entity, shall not exceed 3% of the market capitalisation of that entity. Exchange Traded Funds (ETFs) (i) that are compliant with the amended UCITS Directive 85/611; (ii) that invest mainly in, or are tracking an index the underlying of which is mainly composed of assets determined as eligible pursuant to the pledge agreement; and (iii) that are not ETFs that only use financial derivative instruments such as swaps or participatory notes to track the performance of an index). 120% The value of any Collateral Securities comprising interests in an ETF shall not exceed 3% of the market capitalisation of that ETF. FIXED INCOME BONDS Government Bonds issued by or Corporate Bonds issued by corporates domiciled in the following countries will be eligible: Austria, Australia, Belgium, Canada, Denmark, Finland, France, Germany, Hungary, Ireland, Italy, Japan, Luxembourg, Netherlands, New Zealand, Norway, Portugal, Spain, Sweden, Switzerland, UK, and United States of America. Government Bonds or Corporate Bonds shall have a credit rating of BBB+/Baa1 or above by Moody s and S&P. Where the respective ratings of Moody s & S&P are not equivalent to each other, reference will be made to the higher of the two. Accruals to any government bonds or corporate bonds will not be included in the value of the securities when calculating the value of the relevant Type of assets Margin Concentration Limits Government Bonds (Bonds issued by governments, sovereigns, supranationals or government agencies, in each case, stripped or unstripped) 100% No single issuer may exceed 30% of the value of the No single security may exceed 4% of the value of the Corporate Bonds 110% No single issuer may exceed 10% of the value of the No single security may exceed 4% of the value of the CASH Cash in any eligible currency (Euro and any currency in which Eligible Collateral (other than cash) is denominated) shall comprise Eligible Collateral, with a margin percentage of 100 per cent.
GENERAL PRINCIPLES The Collateral Securities must also satisfy the following General Principles. If there is any conflict between the following General Principles and any other provisions, the General Principles shall apply. Concentration limits 1. The Collateral Securities will comprise a minimum of 30 collateral securities. 2. No individual security comprising the Collateral Securities will have a value of more than 4% of the value of the 3. The Company (but not, for the avoidance of doubt, State Street Global Advisors Limited), in its sole and absolute discretion, may for and on behalf of the Company, instruct by notice to the Swap Counterparty, the exclusion of any securities as Eligible Collateral or Collateral Securities (as the case may be), or a reduction in the amount of any such securities that comprise Collateral Securities or that would otherwise be Eligible Collateral. 4. The value of any Collateral Securities comprising securities issued by issuers in any one country at any time shall not exceed the following percentage of the total value of the Collateral Securities at that time: United States of America: 45% Switzerland: 35% Germany: 45% France: 35% United Kingdom: 35% Australia: 35% Japan: 35% All other countries: 25% Canada: 35% 5. Subject to General Principle 6, the value of any Collateral Securities (excluding Government Bonds) comprising securities in respect of a single sector at any time shall not exceed 25% of the total value of Collateral Securities at that time. 6. The value of the Collateral Securities (excluding Government Bonds) comprising securities in the banking, insurance and financial sectors taken in aggregate at any time shall not exceed 15% of the total value of the Collateral Securities at that time. 7. Any determination or calculation in respect of diversification requirements (including compliance with concentration limits) will be performed (where necessary) based on the market value of Eligible Collateral before taking into account any Margin applicable to such Eligible Collateral. Pricing 8. Securities will only be accepted as Eligible Collateral if there are at least two independent daily pricing sources for such securities with such daily pricing sources being valid only as long as they consist of live daily quotes which are publicly available on Bloomberg, Reuters or any other data source and may be updated on an intraday basis in accordance with the actual trading levels of the securities of reference. General exclusion principles 9. The Collateral Securities will satisfy the requirements applicable to collateral pursuant to (i) Part I of the Luxembourg law of 17 December 2010 relating to undertakings for collective investment, as may be amended; (ii) the UCITS Directive, (iii) any amendment or replacement legislation thereto for the time being in force; (iv) any regulation of any type in pursuant of (i), (ii) or (iii), as well as (v) any rule, guideline and general or specific position from time to time adopted by the CSSF pursuant thereto. 10. Deutsche Bank AG in its capacity as swap counterparty may instruct the exclusion of any securities as Eligible Collateral or Collateral Securities, as the case may be, in its sole and absolute discretion. 11. Eligible Collateral may not consist of securities issued by Deutsche Bank AG, any affiliate or subsidiary of Deutsche Bank AG (together with Deutsche Bank AG, the DB Group ) or any entity promoted or sponsored by any member of the DB Group. 12. Eligible Collateral may not consist of convertible bonds or convertible preferred stocks. 13. Structured securities in respect of which the principal and interest payments are contingent on the performance or payment flows of one or more specified entities or assets shall not be Eligible Collateral. Structured securities shall include (but not be limited to) credit linked instruments, credit linked notes, collateralised bond obligations, collateralised debt obligations (CDOs), collateralised loan obligations (CLOs), collateralised mortgage obligations (CMOs), asset-backed securities (ABS) and mortgage backed securities (MBS).
Disclaimer Deutsche Bank 2017. All information as of 31 October 2017. Investments in funds involve numerous risks including, among others, general market risks, credit risks, foreign exchange risks, interest rate risks and liquidity risks. Key risk factors to consider before investing: - The value of an investment in a Deutsche Bank fund may go down as well as up and can result in losses, up and including a total loss of the amount initially invested. - Past performance is not a reliable indicator of future results. - Movements in exchange rates can impact the value of your investment. If the currency of your country of residence is different from the currency in which the underlying investments of the fund are made, the value of your investment may increase or decrease subject to movements in exchange rates. Other important information db x-trackers is registered with the Luxembourg Trade and Companies Register under number B 119 899, with its registered office at 49, avenue J.F.Kennedy, L-1855 Luxembourg, and is registered in Luxembourg as an undertaking for collective investment pursuant to Part I of the law of 17 December 2010 and therefore qualifies as a UCITS under all relevant laws and regulations. Deutsche Asset S.A. acts as the management company. Investors should be aware that DB may from time to time own interests in the Fund which may represent a significant amount or proportion of the overall investor holdings in the Fund. Investors should consider what possible impact such holdings, or any disposal thereof, by DB may have on them. This document does not create any legally binding obligations on the part of Deutsche Bank AG and/or its affiliates. Without limitation, this document does not constitute investment advice and does not constitute an offer or recommendation to enter into any transaction. It is not intended for distribution or use by any person or entity who is a citizen or resident of or located in any jurisdiction where such distribution, publication or use would be prohibited. The information contained in this document is believed to be correct, complete and accurate and every effort has been made to represent accurate information. However, no representation or warranty, expressed or implied, is made as to the accuracy, completeness or correctness of the information contained in this document. Deutsche Bank assumes no responsibility or liability for any errors or omissions with respect to this information. The information contained in this document is provided for information purposes only. In the case of any inconsistency with the relevant prospectus of a product, the latest version of the prospectus shall prevail. Singapore Disclaimer This document is issued in Singapore by Deutsche Bank AG, acting through its Singapore branch. For Singapore regulatory purposes, db x-trackers is the responsible person for db x-trackers ETFs and db x-trackers II is the responsible person for db x-trackers II ETFs. This document does not create any legally binding obligations on the part of Deutsche Bank AG and/or its affiliates. Without limitation, this document does not constitute an offer, or a recommendation to enter into any transaction. You should refer to the latest version of the Singapore prospectus ( Singapore Prospectus ) issued by db x- trackers or db x-trackers II (as the case may be) (the Company ) for details before deciding whether to invest in shares of the relevant ETF. Copies of the Singapore Prospectus are available on the website etf.deutscheam.com and may also be obtained from the Singapore Representative (Deutsche Securities Asia Limited, Singapore Branch). Investment in the ETFs involves risks, including the possible loss of the principal amount invested. The value of the shares and the income from the ETFs may fall as well as rise. An investment in any ETF with a high risk grading as further described in the Singapore Prospectus is only suitable for investors who are able and willing to take such risk. The listing of the shares in any ETF does not guarantee a liquid market for the shares. You may only redeem shares in the relevant ETF with the Company under certain specified conditions as described in the Singapore Prospectus.
The ETFs may enter in over-the-counter derivative transactions such as swap(s) which will expose the relevant ETF to the credit risk of the counterparties to such transactions. The swap(s) may be adjusted to reflect certain transaction costs, which may affect the NAV of an ETF. The NAV of the relevant ETF may have a high volatility due to its investment objectives, policies or portfolio management techniques. Please refer to the Singapore Prospectus for more details. The list of approved Swap Counterparties to each Indirect Replication Fund is available on the website etf.deutscheam.com. Where Deutsche Bank AG is a Swap Counterparty, this may give rise to potential conflicts of interest. The approved Swap Counterparties to each Indirect Replication Fund may vary from time to time. For information on the credit ratings of the approved Swap Counterparties for Indirect Replication Funds, you can contact the Singapore Representative at telephone number +65 6238 8868. Index Disclaimer The index sponsors of the indices referred to herein (including Deutsche Bank AG) make no warranty or representation whatsoever either as to the results obtained from use of the indices and/or the figures at which the said indices stand at any particular day or otherwise. These index sponsors shall not be liable to any person for any error in their indices and shall not be under any obligation to advise any person of any error therein.