db Index Development 24 March 2014 DBIQ Index Guide DB Commodity WTI Short Volatility II Index Summary The OB Commodity WTI Short Volatility index is based on a systematic short volatility strategy. The Index comprises of 3 equally weighted sub-indices reweighted on an annual basis. Each sub-index replicates a strategy to sell straddles on 3 month futures on WTI. The delta of the straddles in each sub-index is calculated on a daily basis and hedged at the market close. The straddle position is held to option expiry and then rolled for further 3 months. The index return is based on the return from straddle position and the delta hedged position. Index Suite The index is calculated and published to Bloomberg in the following versions; Index Name Return Type y Currenc Bloomberg Ticker OB Commodity WTI Short Volatility II Index ER USD DBCMWSV2 OB Commodity WTI Short Volatility II Sub index I ER USD DBCMWS12 OB Commodity WTI Short Volatility II Sub index II ER USD DBCMWS22 OB Commodity WTI Short Volatility II Sub index III ER USD DBCMWS32 Index Development Contacts: London: +44 (0)207 545 0505 Hong Kong: +852 2203 6786 New York: +1 212 250 8998 A Passion to Perform. Deutsche Bank EFTA01121231