Free Writing Prospectus
Filed pursuant to Rule 433
Registration Statement No. 333-184193
Dated: September 26, 2014
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STOXX Europe Low Beta High Div 50 Price EUR Index (Bloomberg: SDB50EP Index) Monthly Performance Report - 29 August 2014 The STOXX Europe Low Beta High Div 50 Index (the "Index") aims to select 50 companies from the STOXX Europe 600 Index, which have 12-month net dividend yields higher than the EURO STOXX 50 Index and the lowest 12-month betas to the same index. Currently, the Index has a balanced exposure to Euro and non-Euro country stocks, with non-Euro countries currently representing 58% of the total allocation. In addition, the Index is currently comprised predominantly of mid cap stocks. The current Index constituents have a weighted average market capitalization of 19 billion Euro compared to 60 billion for the EURO STOXX 50 Index. In 2014, 47% of the Index is comprised of stocks of companies based in Britain, Switzerland and Norway, with another 10% in Italy and only 8% in France and Germany combined. When broken down by sector, 59% of the Index in 2014 is concentrated in Utilities, Financials and Telecommunication Services. The only stock in common with the EURO STOXX 50 Index is Unilever NV. Since going live five months ago on March 15, 2014, the Index has outperformed the EURO STOXX 50 Index by more than 2% with a lower realized volatility. Furthermore, in the last 3 months, the Index has outpaced the EURO STOXX 50 Index by an average of 0.74% per month. However, because the Index did not go live until March 13, 2014, the Index has a very limited performance history and such short historical performance of the Index is no indication of future performance. Performance Summary Stat SDB50EP Index SX5E Index -------------------------------- ------------- ---------- 5Y (Growth) 39.93% 13.16% -------------------------------- ------------- ---------- 5Y (CAGR) 6.95% 2.50% -------------------------------- ------------- ---------- 1M Return 0.08% -0.56% -------------------------------- ------------- ---------- 3M Return 0.02% -2.22% -------------------------------- ------------- ---------- 6M Return 4.42% 0.74% -------------------------------- ------------- ---------- 1Y Return 20.83% 15.02% -------------------------------- ------------- ---------- YTD 8.38% 2.05% -------------------------------- ------------- ---------- Annualised daily Volatility (5Y) 12.38% 21.65% -------------------------------- ------------- ---------- Sharpe Ratio (5Y) 0.56 0.12 -------------------------------- ------------- ---------- Worst Drawdown(5Y) -19.25% -34.97% -------------------------------- ------------- ---------- Best / Worst Performers in August 2014 SDB50EP Index Weight 1M Return SX5E Index Weight 1M Return =========================== ======================================== ================ Belgacom Sa 1.40% 10.06% Asml Holding Nv 1.20% 17.06% =========================== ===== ======= ========================== ===== ========== Direct Line Insurance Group 1.68% 8.26% Essilor International 0.80% 9.41% =========================== ===== ======= ========================== ===== ========== Baloise Holding Ag - Reg 1.01% 7.45% Sanofi 4.65% 8.70% =========================== ===== ======= ========================== ===== ========== Ziggo Nv 1.52% 6.47% Airbus Group Nv 1.27% 7.14% =========================== ===== ======= ========================== ===== ========== Yara International Asa 2.40% 6.18% Axa Sa 1.84% 6.29% =========================== ===== ======= ========================== ===== ========== Tdc A/S 0.94% -12.06% Deutsche Telekom Ag-Reg 1.88% -7.74% =========================== ===== ======= ========================== ===== ========== Lagardere Sca 0.85% -9.19% Muenchener Rueckver Ag-Reg 1.26% -7.09% =========================== ===== ======= ========================== ===== ========== Bolsas Y Mercados Espanoles 0.75% -9.11% Enel Spa 1.38% -6.59% =========================== ===== ======= ========================== ===== ========== Suedzucker Ag 1.51% -5.42% Vinci Sa 1.41% -6.36% =========================== ===== ======= ========================== ===== ========== Fugro Nv-Cva 1.11% -5.17% E.On Se 1.48% -5.98% --------------------------- ----- ------- -------------------------- ----- ---------- Sector Allocation / Performance Source: Deutsche Bank, Bloomberg Finance, L.P. Performance as of 29th August 2014. The Index did not exist prior to March 13, 2014 (the "Live Date"). The Index has very limited performance history and no actual investment which allowed tracking of the performance of the Index 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 an indicator of future results. The performance of any investment product based on the Index would have been lower than the Index as a result of fees and/or costs. See "Key Risk Factors" below for more information. Key Risk Factors Before investing in any financial product linked to the Index, prospective investors should carefully consider the following key risk factors as well as the matters set forth in the relevant disclosure documents, including the risk disclosure for such investment. -- The Index aims to select 50 companies from the STOXX Europe 600 Index, which have 12-month net dividend yields higher than the EURO STOXX 50 Index and the lowest 12-month betas to the same index. If the Index strategy is not successful, the return on your investment may be adversely affected. -- There is no assurance that the Index will outperform the EURO STOXX 50 Index. Even if the Index does outperform the EURO STOXX 50 Index, the level of the Index may decline, in which case, you may lose some or all of your investment. -- Calculation of the Index began on March 13, 2014. Therefore, the Index has a very limited performance history and no actual investment which allowed tracking of the performance of the Index was possible before March 13, 2014. -- The Index methodology was designed, constructed and tested using historic market data and based on knowledge of factors that may have affected its performance. The returns prior to March 13, 2014 were achieved by means of a retroactive application of the back-tested Index methodology designed with the benefit of hindsight. -- STOXX, the sponsor of the Index, carries out the calculations necessary to promulgate the Index and the maintains some discretion as to how such calculations are made. STOXX also conducts general methodology reviews in a periodic and ad-hoc basis to reflect economic and political changes and developments in the investment industry. STOXX may introduce changes to the methodology of the Index as result of these activities. Any of these actions could adversely affect the value of securities linked to the Index. -- Because the Index may consist of stocks denominated in non-Euro currencies that are converted into Euro for purposes of calculating the level of the Index, the Index is subject to |
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Country Allocation / Performance
Constituent Performance in August 2014
SDB50EP Index SX5E Index
Name Sector Weight 1M Return Name Sector
Weight 1M Return
---------------------------- --------------------------------- ---------------- ----------------------------
AXEL SPRINGER SE Consumer Discretionary 0.61% 2.93% LVMH MOET HENNESSY LOUIS VUI Consumer Discretionary
1.77% 0.27%
---------------------------- --------------------------------- ------ --------- ----------------------------
SES Consumer Discretionary 1.42% 1.90% INDITEX Consumer Discretionary
1.19% -1.05%
---------------------------- --------------------------------- ------ --------- ----------------------------
EUTELSAT COMMUNICATIONS Consumer Discretionary 0.79% -1.38% DAIMLER AG-REGISTERED SHARES Consumer Discretionary
3.15% -2.58%
---------------------------- --------------------------------- ------ --------- ----------------------------
BRITISH SKY BROADCASTING GRO Consumer Discretionary 2.69% -1.85% BAYERISCHE MOTOREN WERKE AG Consumer Discretionary
1.48% -3.20%
---------------------------- --------------------------------- ------ --------- ----------------------------
LAGARDERE SCA Consumer Discretionary 0.85% -9.19% VOLKSWAGEN AG-PREF Consumer Discretionary
1.28% -3.56%
---------------------------- --------------------------------- ------ --------- ----------------------------
WM MORRISON SUPERMARKETS Consumer Staples 2.48% 1.72% ANHEUSER-BUSCH INBEV NV Consumer Staples
3.15% 3.06%
---------------------------- --------------------------------- ------ --------- ----------------------------
UNILEVER NV-CVA Consumer Staples 4.97% -0.08% UNILEVER NV-CVA Consumer Staples
2.52% -0.08%
---------------------------- --------------------------------- ------ --------- ----------------------------
IMPERIAL TOBACCO GROUP PLC Consumer Staples 4.73% -0.15% L'OREAL Consumer Staples
1.54% -1.75%
---------------------------- --------------------------------- ------ --------- ----------------------------
ORKLA ASA Consumer Staples 0.60% -2.69% CARREFOUR SA Consumer Staples
0.85% -2.69%
---------------------------- --------------------------------- ------ --------- ----------------------------
SUEDZUCKER AG Consumer Staples 1.51% -5.42% DANONE Consumer Staples
1.64% -4.65%
---------------------------- --------------------------------- ------ --------- ----------------------------
SAIPEM SPA Energy 3.77% 0.89% REPSOL SA Energy
0.91% -0.11%
---------------------------- --------------------------------- ------ --------- ----------------------------
AKER SOLUTIONS ASA Energy 0.47% 0.81% TOTAL SA Energy
6.23% -3.89%
---------------------------- --------------------------------- ------ --------- ----------------------------
SEADRILL LTD Energy 1.94% -1.04% ENI SPA Energy
2.66% -4.14%
---------------------------- --------------------------------- ------ --------- ----------------------------
TGS NOPEC GEOPHYSICAL CO ASA Energy 0.83% -1.92% AXA SA Financials
1.84% 6.29%
---------------------------- --------------------------------- ------ --------- ----------------------------
STATOIL ASA Energy 4.70% -3.72% BNP PARIBAS Financials
2.83% 2.68%
---------------------------- --------------------------------- ------ --------- ----------------------------
FUGRO NV-CVA Energy 1.11% -5.17% ING GROEP NV-CVA Financials
1.98% 2.50%
---------------------------- --------------------------------- ------ --------- ----------------------------
DIRECT LINE INSURANCE GROUP Financials 1.68% 8.26% ALLIANZ SE-REG Financials
2.93% 0.70%
---------------------------- --------------------------------- ------ --------- ----------------------------
BALOISE HOLDING AG - REG Financials 1.01% 7.45% ASSICURAZIONI GENERALI Financials
1.04% 0.52%
---------------------------- --------------------------------- ------ --------- ----------------------------
KOMERCNI BANKA AS Financials 0.43% 5.69% UNIBAIL-RODAMCO SE Financials
1.00% -0.51%
---------------------------- --------------------------------- ------ --------- ----------------------------
GJENSIDIGE FORSIKRING ASA Financials 0.58% 5.22% BANCO SANTANDER SA Financials
4.51% -0.52%
---------------------------- --------------------------------- ------ --------- ----------------------------
CORIO NV Financials 1.09% 3.45% SOCIETE GENERALE SA Financials
1.57% -1.29%
---------------------------- --------------------------------- ------ --------- ----------------------------
ZURICH INSURANCE GROUP AG Financials 5.33% 2.40% INTESA SANPAOLO Financials
1.61% -1.57%
---------------------------- --------------------------------- ------ --------- ----------------------------
SWISS PRIME SITE-REG Financials 0.60% 0.00% BANCO BILBAO VIZCAYA ARGENTA Financials
2.78% -2.16%
---------------------------- --------------------------------- ------ --------- ----------------------------
IMMOFINANZ AG Financials 0.43% -3.17% DEUTSCHE BANK AG-REGISTERED Financials
1.75% -2.53%
---------------------------- --------------------------------- ------ --------- ----------------------------
SWISS RE AG Financials 4.84% -4.87% UNICREDIT SPA Financials
1.67% -2.89%
---------------------------- --------------------------------- ------ --------- ----------------------------
BOLSAS Y MERCADOS ESPANOLES Financials 0.75% -9.11% MUENCHENER RUECKVER AG-REG Financials
1.26% -7.09%
============================ ================================= ====== ========= ============================
RYANAIR HOLDINGS PLC Industrials 1.32% 3.35% ESSILOR INTERNATIONAL Health Care
0.80% 9.41%
============================ ================================= ====== ========= ============================
ASM INTERNATIONAL NV Information Technology 0.48% 3.81% SANOFI Health Care
4.65% 8.70%
============================ ================================= ====== ========= ============================
YARA INTERNATIONAL ASA Materials 2.40% 6.18% BAYER AG-REG Health Care
4.13% 2.58%
============================ ================================= ====== ========= ============================
K+S AG-REG Materials 3.44% -1.66% AIRBUS GROUP NV Industrials
1.27% 7.14%
---------------------------- --------------------------------- ------ --------- ----------------------------
BELGACOM SA Telecommunication Services 1.40% 10.06% COMPAGNIE DE SAINT-GOBAIN Industrials
0.91% 3.58%
---------------------------- --------------------------------- ------ --------- ----------------------------
ZIGGO NV Telecommunication Services 1.52% 6.47% DEUTSCHE POST AG-REG Industrials
1.16% 2.43%
---------------------------- --------------------------------- ------ --------- ----------------------------
SWISSCOM AG-REG Telecommunication Services 2.68% 4.82% SIEMENS AG-REG Industrials
3.91% 1.91%
---------------------------- --------------------------------- ------ --------- ----------------------------
TELE2 AB-B SHS Telecommunication Services 1.72% 3.57% KONINKLIJKE PHILIPS NV Industrials
1.12% -2.26%
---------------------------- --------------------------------- ------ --------- ----------------------------
TELEFONICA DEUTSCHLAND HOLDI Telecommunication Services 0.48% -2.74% SCHNEIDER ELECTRIC SE Industrials
1.96% -4.57%
---------------------------- --------------------------------- ------ --------- ----------------------------
TELIASONERA AB Telecommunication Services 4.18% -2.86% VINCI SA Industrials
1.41% -6.36%
---------------------------- --------------------------------- ------ --------- ----------------------------
TELENOR ASA Telecommunication Services 2.41% -4.05% ASML HOLDING NV Information Technology
1.20% 17.06%
---------------------------- --------------------------------- ------ --------- ----------------------------
ELISA OYJ Telecommunication Services 0.79% -4.21% SAP SE Information Technology
2.86% -1.35%
============================ ================================= ====== ========= ============================
TDC A/S Telecommunication Services 0.94% -12.06% AIR LIQUIDE SA Materials
1.72% -2.11%
---------------------------- --------------------------------- ------ --------- ----------------------------
SSE PLC Utilities 3.23% 3.05% BASF SE Materials
3.74% -3.42%
---------------------------- --------------------------------- ------ --------- ----------------------------
PENNON GROUP PLC Utilities 0.56% 2.78% CRH PLC Materials
0.69% -3.77%
---------------------------- --------------------------------- ------ --------- ----------------------------
EDP-ENERGIAS DE PORTUGAL SA Utilities 1.82% 2.45% VIVENDI Telecommunication
Services 1.20% 5.18%
---------------------------- --------------------------------- ------ --------- ----------------------------
CEZ AS Utilities 0.83% 2.44% TELEFONICA SA Telecommunication
Services 2.46% -2.03%
---------------------------- --------------------------------- ------ --------- ----------------------------
CENTRICA PLC Utilities 4.22% 1.27% ORANGE Telecommunication
Services 1.17% -4.16%
---------------------------- --------------------------------- ------ --------- ----------------------------
ENAGAS SA Utilities 2.97% 0.63% DEUTSCHE TELEKOM AG-REG Telecommunication
Services 1.88% -7.74%
---------------------------- --------------------------------- ------ --------- ----------------------------
SEVERN TRENT PLC Utilities 1.09% 0.41% IBERDROLA SA Utilities
1.50% -0.80%
---------------------------- --------------------------------- ------ --------- ----------------------------
RED ELECTRICA CORPORACION SA Utilities 2.12% -1.63% RWE AG Utilities
0.76% -5.31%
---------------------------- --------------------------------- ------ --------- ----------------------------
SNAM SPA Utilities 3.74% -1.99% GDF SUEZ Utilities
1.52% -5.59%
---------------------------- --------------------------------- ------ --------- ----------------------------
FORTUM OYJ Utilities 2.86% -2.05% E.ON SE Utilities
1.48% -5.98%
---------------------------- --------------------------------- ------ --------- ----------------------------
TERNA SPA Utilities 2.61% -3.40% ENEL SPA Utilities
1.38% -6.59%
---------------------------- --------------------------------- ------ --------- ----------------------------
Source: Deutsche Bank, Bloomberg Finance, L.P.
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The STOXX Europe Low Beta High Div 50 Index is the intellectual property
(including registered trademarks) of STOXX limited, Zurich, Switzerland, and/or
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