DB Breakeven Inflation Swap Guide v1.20101207

db Index Development
21 November 2008
DBIQ Index Guide
DB Breakeven Inflation Swap Indices

Summary
The DB Breakeven Inflation Swap family of indices allow investors to track the performance of an inflation swap for a specific maturity across the US, European or UK inflation markets. These measure the performance of holding an inflation receiver, breakeven payer swap. The swaps are rolled on a monthly basis on the last business day of each month. The DB Breakeven Inflation Swap US CPI indices are based on the Consumer Price Index for All Urban Consumers (CPI-U) published by the Bureau of Labor Statistics of the U.S. Department of Labor. DB Breakeven Inflation Swap US CPI indices are available for 5, 10, 15, 20, 25 and 30 year tenors. Historical levels are available from January 2004. The DB Breakeven Inflation Swap Euro indices are based on the Eurostat Eurozone HICP All items Ex Tobacco index. DB Breakeven Inflation Swap Euro indices are available for 5, 10, 15, 20, 25, 30, 40 and 50 year tenors. Historical levels are available from February 2003. The DB Breakeven Inflation Swap UK RPI indices are based on the UK Retail Price index. DB Breakeven Inflation Swap UK RPI indices are available for 5, 10, 15, 20, 25, 30, 40 and 50 year tenors. Historical levels are available from February 2003. These indices complement the existing range of DB Duration Bias indices that measure the performance of nominal swaps. Figure 1. Historic DB Breakeven Inflation Swap 10yr Levels
115.00
110.00
105.00
100.00
95.00
90.00 Dec-03
Dec-04
Dec-05
Dec-06
Dec-07
DB BE Inf lation Sw ap USCPI 10 yr DB BE Inf lation Sw ap Euro 10yr DB BE Inf lation Sw ap UKRPI 10yr
Index Development Contacts: Dubai: +97 143 611 786 London: +44 (0)207 545 0505 New York: +1 212 250 8998
Source : DBIQ
db Index Development
21 November 2008
Bloomberg Tickers
The DB Breakeven Inflation Swap family of indices are available via the DBIQ website (http://index.db.com) and via the following Bloomberg tickers. Figure 2. Bloomberg Tickers
Index Bloomberg Ticker
DB Breakeven Inflation Swap USCPI 5 yr DB Breakeven Inflation Swap USCPI 10 yr DB Breakeven Inflation Swap USCPI 15 yr DB Breakeven Inflation Swap USCPI 20 yr DB Breakeven Inflation Swap USCPI 25 yr DB Breakeven Inflation Swap USCPI 30 yr DB Breakeven Inflation Swap Euro 5y DB Breakeven Inflation Swap Euro 10yr DB Breakeven Inflation Swap Euro 15yr DB Breakeven Inflation Swap Euro 20yr DB Breakeven Inflation Swap Euro 25yr DB Breakeven Inflation Swap Euro 30yr DB Breakeven Inflation Swap Euro 40yr DB Breakeven Inflation Swap Euro 50yr DB Breakeven Inflation Swap UKRPI 5yr DB Breakeven Inflation Swap UKRPI 10yr DB Breakeven Inflation Swap UKRPI 15yr DB Breakeven Inflation Swap UKRPI 20yr DB Breakeven Inflation Swap UKRPI 25yr DB Breakeven Inflation Swap UKRPI 30yr DB Breakeven Inflation Swap UKRPI 40yr DB Breakeven Inflation Swap UKRPI 50yr
Source : DBIQ
DBDSAI05 DBDSAI10 DBDSAI15 DBDSAI20 DBDSAI25 DBDSAI30 DBDSEI05 DBDSEI10 DBDSEI15 DBDSEI20 DBDSEI25 DBDSEI30 DBDSEI40 DBDSEI50 DBDSUI05 DBDSUI10 DBDSUI15 DBDSUI20 DBDSUI25 DBDSUI30 DBDSUI40 DBDSUI50
Index Calculation
DB Breakeven Inflation Swap indices are calculated on a daily basis using market close data. Indices are rebalanced on the last business day of each month. The return for a given index is based on the change in net present value of the underlying inflation swap. The inflation swap is assumed to have a notional value of 100. The return expressed as;
R (t ) =
NPV (t ) NPV (r ) 100
The index level is expressed as;
IL(t ) = IL(r ) * (1 + R(t ) )

where
IL(t )
NPV (t )
= Index level on day t = Net Present Value of Inflation swap on day t = Last business day of previous month = Month to date return of inflation swap on day t = Calculation date
r
R(t )
t
Index Guide Disclaimers

This document is intended for information only and does not create any legally binding obligations on the part of Deutsche Bank AG and/or its affiliates (DB). This document is intended to provide a summary of the index it purports to describe. No warranty or representation is made as to the correctness, completeness and accuracy of the information. Without limitation, this document does not constitute an offer, an invitation to offer or a recommendation to enter into any transaction. When making an investment decision, you should rely solely on the final documentation relating to the transaction. Products based on the index or indices described in this document may not be appropriate for all investors and before entering into any transaction you should take steps to ensure that you fully understand the transaction and have 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 transaction. Refer to your DB Sales person for product related information. For general information regarding the nature and risks of the proposed transaction and types of financial instruments please go to www.globalmarkets.db.com/riskdisclosures. You should also consider seeking advice from your own advisers in making this assessment. If you decide to enter into a transaction with DB, you do so in reliance on your own judgment. Past performance is no indication of future results. This material was prepared by DBIQ. It is not investment research, and has not been prepared in accordance with legal requirements designed to promote the independence of such. Any opinions expressed herein may differ from the opinions expressed by other DB departments including the Research Department. DB may engage in transactions in a manner inconsistent with any views discussed herein. DB trades or may trade as principal in instruments (or related derivatives) linked to the index or indices described in this document, and may have proprietary positions in the instruments (or related derivatives). DB may make a market in such instruments (or related derivatives), which may in extreme circumstances affect the levels of the index or indices described. In no event shall DB have any liability (whether in negligence or otherwise) to any person in connection with such person's use of the Index, unless such use is pursuant to a transaction between that party and DB relating to the Index and such liability results from wilful default and/or gross negligence on the part of DB. The distribution of this document and availability of related products and services in certain jurisdictions may be restricted by law. You may not distribute this document, in whole or in part, without our express written permission. DB specifically disclaims all liability for any direct, indirect, consequential or other losses or damages including loss of profits incurred by you or any third party that may arise from any reliance on this document or for the reliability, accuracy, completeness or timeliness thereof. DB is authorized by Bundesanstalt fr Finanzdienstleistungsaufsicht under German Banking Law (competent authority: BaFin Federal Financial Supervising Authority) and regulated in the UK by the Financial Services Authority for the conduct of UK business.

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db Index Development

DBIQ Index Guide

DB Breakeven Inflation Swap Indices

NPV (t ) NPV (r ) 100

The index level is expressed as;

IL(t ) = IL(r ) * (1 + R(t ) )

Index Guide Disclaimers

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