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Deutsche Bank

Deutsche Bank does and seeks to do business with companies covered in its research reports. Thus, investors should be aware that the firm may have aconflict of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investmentdecision. DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MICA(P) 072/04/2012

Quantitative Investment Solutions

Risk Premia in AssetAllocation

Spyros MesomerisCFA UK Annual Conference, 20 June 2013+44 (0) 20 7547 1684

Spyros MesomerisaiCIO Summit, New York, 11 April 2013

Deutsche Bank

A Challenging Environment For Investors

1. Low Prospective Real Returns on various Asset Classes

• Absolute Return / CPI + x% benchmarks harder to reach

2. Institutional Portfolios Dominated by Directional (Asset Class) Risk

• First Generation (60/40) and Second Generation (Endowment) models have heightenedequity market exposure (eg. UK, US, Australian Pension Funds)

• Insurance Company Portfolios (eg. German, French Insurers) are overly exposed to bondprice risk

3. Diversification by Asset Class Silos alone has proven inefficient

• May mask the underlying risk concentrations

4. Developments unfolding in the global economy call for a more dynamic approach toAsset Allocation

1


Deutsche Bank

Low Expected Real Asset Class Returns

— Ex-ante Real Returns low versus historical averages for both stocks and bonds

• Around 4% for US Equities

• US Real Treasury Bond Yields in negative territory

• The Equity Risk Premium is above historical averages

2

Expected Real Returns on US Equities and Bonds1947 - 2013

Current Ex-ante Real Returns of US Equity/Bond MixPortfolios

Source: Deutsche Bank AG, Bloomberg Finance LP, Robert Shiller’s website

Real 10Y Trsy Bond

US Equity Impl.

Real ERP

-0.8% 4.2%

Equity Allocation Bond AllocationProspective

Returns

100% 0% 4.2%

80% 20% 3.2%

60% 40% 2.2%

40% 60% 1.2%

20% 80% 0.2%

0% 100% -0.8%


Deutsche Bank

Portfolios Dominated by Directional Risk (1)

—The First Generation Asset AllocationPortfolio: The 60/40 Paradigm

—A “balanced” 60/40 portfolio invested in theS&P500 and the US 10-Year GovernmentBond is highly concentrated in risk allocationterms

—The 60/40 relies on the notion that thecorrelation between stocks and bonds is lowand stable

— Only true when perceived sovereign andinflation risks are well anchored, andinnovations in growth expectations are thedominant driver of stock and bond returns

3

Risk Contribution to 60/40 Portfolio by Asset Class

S&P 50079%

US 10-Y Tsy Bill21%

Time-Varying Correlations Between Equities and Gov.Bonds and Realized Returns to a 60/40 Portfolio

Source: Deutsche Bank AG, Bloomberg Finance LP, S&P

-12%

-7%

-2%

3%

8%

13%

-0.6

-0.4

-0.2

0

0.2

0.4

0.6

0.8

190

1

190

5

190

9

191

3

191

7

192

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199

3

199

7

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1

200

5

200

9

3-year Rolling Correlation Between Equities and Govt Bonds

10-year Rolling Return of 60/40 Portfolio


Deutsche Bank

Portfolios Dominated by Directional Risk (2)

—The Second Generation Asset Allocation Portfolio: The “Endowment” Model

• Strategic allocations to include (leverage-sensitive and mostly illiquid) alternative asset classes.Makes Sense?

“Liability-matching” through rent-producing assets like real estate

Harvesting the Illiquidity Premium

But..structurally dependent on equity market returns and interest rates and ill-equipped todeal with systemic liquidity events: high “stress” betas

4

3-year Rolling Correlations of Alternative Asset Classes (and Gov. Bonds)with Equities

-0.6

-0.4

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1

Jan-

93

Nov

-93

Sep-

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Jul-9

5

May

-96

Mar

-97

Jan-

98

Nov

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Sep-

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Jul-0

0

May

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Mar

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Nov

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May

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Mar

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Jan-

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Nov

-08

Sep-

09

Jul-1

0

May

-11

Mar

-12

Bonds Commodities Hedge Funds

REITs Private EquitySource: Deutsche Bank AG, Bloomberg Finance LP, Factset, HFR, FTSE EPRA/NAREIT, GS Commodity Index, Red Rocks


Deutsche Bank

Asset Class Diversification Ineffective

— During Liquidity shocks and Volatilityspikes, asset classes become morecorrelated with each other.

— During significant equity market downturns,alternative assets tend to “track” equities

5

3-year Rolling Correlations of Alternative AssetClasses (and Gov. Bonds) with Equities

-0.1

6E-16

0.1

0.2

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Dec

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average pairwise correlation

3-year Rolling Correlation of Alternative AssetClasses (and Gov. Bonds) with Equities

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

Bond Commodities Hedge Fund REIT Private Equity

when equities fall more than 1 standard deviation othersSource: Deutsche Bank AG, Bloomberg Finance LP , Factset, HFR, FTSEEPRA/NAREIT, GS Commodity Index, Red Rocks


Deutsche Bank

Risk Factors to the Rescue?

- Third Generation Asset Allocation: Risk Premium Investing

• The so-called failure of Diversification is the natural outcome of “user-error”

• Asset classes can be viewed as bundles of risk factors, which together are the maindrivers of asset returns

• On average, correlations across risk factors are lower than correlations across asset

classes, and tend to be more robust to regime shifts

6

Average Pair-wise Correlation between Asset Classes and RiskPremia During Normal and Turbulent Periods

19.8%

1.9%

32.1%

4.0%

24.0%

3.0%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

30.0%

35.0%

Average Pairwise Asset Classes (Beta)Correlation

Avarage Pairwise Risk Premia (incl. Beta)Correlation

Normal Turbolent Overall

Source: Deutsche Bank AG, Bloomberg Finance LP, MSCI, Factset


Deutsche Bank

Deciphering the Sources of Portfolio Returns

— The realization that “active” investment performance can be explained to a significant extentby common investment styles and systematic strategies, justifies viewing the opportunity setas risk factors and systematic return sources

7

Deciphering the Different Sources of Portfolio Returns

Examples

Merger

Arbitrage

Portfolio

Returns=

Factor

Indices

Asset Class Beta Asset Class BetaAsset Class Beta

Systematic Beta

Manager Alpha

World Index

Manager Alpha

Manager Alpha

Systematic Strategy Beta

Systematic Style Beta

Source: Deutsche Bank AG, ”Harvest ingPremia With Strategy Indices: From Today’s Alpha to Tomorrow’s Beta”, William Mok, May 2012, MSCI Research


Deutsche Bank

What is meant by Risk Factors?

— Persistent source of return that can be accessed systematically as compensation for takinga certain type of risk, also referred to as a risk premium or alternative beta

— Systematic risk premia exist in all asset classes and across a number of investment styles

Equity and Credit Risk Premia

Style Factor Premia such as Value, Size, and Momentum typically harvested through

Convertible arbitrage and merger arbitrage strategies dynamic long-short strategies

Implied/realised volatility strategies to avoid correlation with the

FX carry and Rates term structure carry asset class

— Sources of Risk Premia can be categorized into Economic (Rational), Behavioral, andInstitutional / Market Structure

8

Deutsche Bank Spyros MesomerisaiCIO Summit, New York, 11 April 2013

— When identifying risk factors for investment, it is important that they meet severalcriteria:

Explainable - Strong theoretical basis for existence and intuitive

Established - Respectable academic history and conventional implementation

Persistent - Economic justification for the persistence of the risk factor in the future

Attractive risk/return – Positive expected return in the medium- to long-term

Unique – Harvesting a specific source of risk or a behavioural/structural anomaly

Accessible – Low cost, Efficient & Transparent implementation via liquid instruments

9

Characteristics of Risk Premia Strategies

Deutsche Bank Spyros MesomerisaiCIO Summit, New York, 11 April 2013 10

Cross-Asset Risk Premia Universe

cash/physical derivativeNo Curve/Termstructure

as such

Long cheap stocks,

short expensive

Long winners,

short losers

Implied vs

Realised vol

Merger

arbritage

Quality (long high

quality, short low)

Implied vs Realised

dividends

Low Risk (long low beta,

short high beta)

Size (long small cap,

short large cap)

Forward Rate Bias

(short forward rate)

Fundamental: Long-

short based on

Economic metrics

Long-short

based on Trend

Implied vs

realised vol

Convertible

arbitrage

Liquidity (long off-the-

run bonds, short on-the-

run bonds)

Duration

Municipality US: Long US

muni curve short Libor

curve

Eonia/Euribor

Credit Long HY short IGLong/short

Itraxx Xover

Implied vs

realised vol

FXLong-short based on

Yield (DM/EM)

Long/short based

on PPP

Long-short

based on Trend

CommoditiesCurve (long optimised

roll yield index Vs short

standard index)

BackwardationLong-short

based on Trend

Liquidity (Long index

with non-standard roll

short standard index)

DB has products/platform

DB working on products/platform

DB does not have products/platform

Relative: Enhanced

beta (long only)

based on asset

swap spread

Value Momentum Volatility

Implied vs. Realised

dividend futures?

Equities

Rates

IdosyncraticArbritage

likeCarry

Correlation (short

index vol, long

single stock vol)


Strong Performance Across Assets

0.0

0.2

0.4

0.6

0.8

1.0

1.2

1.4

1.6

Equities Rates Credit FX Commodities

Carry Value Momentum Implied vs Realized Vol

Simulated Sharpe ratios (net of costs) of Risk PremiumStrategies Across Different Asset Classes*

(*) Source: Deutsche Bank, Simulation periods vary subject to data availability

11


— On its own, a single risk factor is like any other asset

• Provide an attractive investment over the long-term

• Experiences periods of positive, flat and negative returns

• May have similar long-term returns relative to the risk free rate like other assets, such asequities

— An example of the returns of a strategy capturing a single risk factor (equitymomentum) is shown below, for illustration

0

500

1000

1500

2000

2500

96 97 98 99 00 01 02 03 04 05 06 07 08 09 10 11 12

Momentum Risk Factor - USD - ER

MSCI World - USD - PR

Source: Deutsche Bank AG, Bloomberg Finance LP , MSCI

Anatomy of Risk Factors

12


13

— The real value of risk factors, however, comes in their combination at the portfoliolevel

• Many risk factors capture sources of return that bear little relationship to the direction of equitymarkets, even in periods of market stress

• Risk factors therefore form ideal building blocks for diversified investment portfolios

• When uncorrelated risk factors are combined in a portfolio, the “magic” of the approach isrevealed


Risk Factor Approach to Portfolio Construction (1)Increase Likelihood of Positive Returns…

0

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1995

1996

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MSCI World (Excess Return)

Risk Factor Portfolio (Excess Return)

60/40 Portfolio (Excess Return)

Note: Risk Factor Portfolio is built using Risk Parity from Value, Quality, Momentum, Low Beta, Implied Vs RealizedVolatility, and Div Futures Risk Premia Equity Strategies

Simulated Performance of Equity Risk Premium Portfolio


-60%

-50%

-40%

-30%

-20%

-10%

0%

Dec-95 Dec-97 Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09 Dec-11

MSCI World

Risk Factor Portfolio

—This diversification benefit is the driver of major global investors’ interest in riskfactors (led by a number of large pension funds and institutional investors acrossEurope and the US)

—This is the next stage in portfolio evolution

Drawdown of Risk Factor Portfolio compared to MSCI World

Max Drawdown 5.3%

Max Drawdown 55.3%Source: Deutsche Bank AG, Bloomberg Finance LP , MSCI

Risk Factor Approach to Portfolio Construction (2)Whilst Reducing Drawdowns…

14


15

— There is some evidence in the academic literature to suggest that certain risk factorsmay behave differently in dissimilar risk/sentiment/liquidity regimes

—For instance FX Carry is significantly positively correlated with risk appetite

— We construct a Sentiment Index utilizing market data from different asset classes todescribe investor risk appetite and liquidity conditions (TED spread, VIX, asset swapspreads, FX implied volatility skew, etc..), and use it to allocate risk budget to thevarious risk factor strategies depending on the behaviour risk factors have exhibited ineach “Sentiment” regime historically. Helps to reduce drawdown further


A Dynamic Approach Can Add Value…. (1)

-7%

-6%

-5%

-4%

-3%

-2%

-1%

0%

1%

Sep-0

8

Sep-0

8

Sep-0

8

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8

Oct-0

8

No

v-08

No

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De

c-08

De

c-08

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9

Jan-0

9

Feb-0

9

Feb-0

9

Mar-0

9

Mar-0

9

Mar-0

9

Unconditional Portfolio Low Risk Tolerance

Medium Risk Tolerance High Risk Tolerance

Drawdown Curve for Cross-Asset Risk Factor PortfolioCross-Asset Risk Factor Portfolio Performance Since Jan 2008

90%

95%

100%

105%

110%

115%

120%

125%

Jan-0

8

Mar-0

8

May-0

8

Jul-0

8

Sep

-08

No

v-08

Jan-0

9

Mar-0

9

May-0

9

Jul-0

9

Sep

-09

No

v-09

Jan-1

0

Mar-1

0

May-1

0

Jul-1

0

Sep

-10

No

v-10

Jan-1

1

Mar-1

1

May-1

1

Jul-1

1

Sep

-11

No

v-11

Jan-1

2

Mar-1

2

Unconditional Portfolio Low Risk Tolerance

Medium Risk Tolerance High Risk Tolerance


Deutsche Bank

A Dynamic Approach Can Add Value…. (2)

2010 DB Blue template

The grid of macro-financialstates:The distinct states we identify byincorporating the LeverageCycle into the phases ofeconomic growth helps usdistinguish the periods that theequity markets are likely to favorspecific factor risk premia

In the column dimension, we distinguish between broad growth conditions

In the second dimension, we try to identify and distinguish between the underlying drivers of the (de-) leveragingtrend in the overall economy. This way, we aim to learn more about the nature of financial risks being accumulatedor unwound.

• Whilst the first dimension helps us determine our proximity to cyclical risks, the second dimension helpsus to decipher the link between business cycle risks and the likely risk pricing behavior of financialmarkets.

A Risk Factor Switchboard based on the macro-financial conditions

•There is also some evidence that Risk Premia vary with the business cycle as a result of changes in risk-pricingbehaviour by rational agents

• We have developed a model that combines the business cycle with the leverage-deleverage cycle to provideinsights towards short- to medium-term risk factor performance/leadership

Broad Cyclical Position >>>

Speed/Phase of Cyclical Position>>>

Driver of Leverage Column1 Column2 Column3 Column4 Column5 Column6

R3C4 R3C5 R3C6

R2C1

R3C1 R3C3

R1C4 R1C5 R1C6

R2C2 R2C3 R2C4 R2C5 R2C6

R1C3

Row 1

Household Credit and Residential

Investment

Row 2

Business Credit and Business Fixed

investment

Row 3

Government Debt and Fiscal Spending

R1C1 R1C2

R3C2

GROWTH VOLATILITY & RECESSION RECOVERY

Strong Deceleration VolatilityMarket Trough

& RecessionFragile/Slow Strong


Deutsche Bank2010 DB Blue template

Dep. Var: Quarterly Return (%)

Sample: Jun-1960-2013-Jan, quarterly Coef. Std.err t-stat P-Value

LGH: Relative Gov. & HouseholdLeverage Build-up (%)

0.32 0.71 0.46 0.65

Real GDP Growth (%) 0.11 0.12 0.95 0.34

Interaction: GDP x LGH 0.45 0.17 2.62 0.01

Constant 0.740 0.56 1.31 0.19

Interaction of household or government driven leverage with growth isa significant driver of value factor performance

Source: DB Quant Strategy

Value style switch based on the grid location: ON, OFF or REVERSE

DriverofAggregateDemand

Growth&Leverage

HouseholdCreditand

ResidentialInvestment 1 -1 0 1 0 1BusinessCreditandBusiness

Fixedinvestment -1 0 1 1 0 -1GovernmentBorrowingand

FiscalSpending 1 -1 0 1 0 1

RECOVERY

TrendAroundor

AbovePotential Deceleration

Fast

Adjustment&Volatility Trough Fragile/Slow Strong

VALUELEVERAGEBUILD-UP&GROWTH LEVERAGEUNWIND&RECESSION

-0 .30

-0 .20

-0 .10

0 .00

0 .10

0 .20

0 .30

0 .40

0 .50

V a lue O N V a lue O FF V a lue R E V ER S E O N w/o S w itc h

M onth ly R et % : m ean/s tdev IC-av g

The switch is able to distinguish the better performing months

A Dynamic Approach Driven by Macro-FinancialConditions; an Example: Value Factor

Back-tested returns, MSCI World Universe, 1994:12-2013:1




Who is Investing? (1)

18

—Institutional Investors holding hedge fund investments

Access to similar risk premia

Low Cost, Transparent, and Liquid

—Investors with Large Risk Concentrations

Portfolios dominated by equity risk

Portfolios dominated by fixed income risk

“Hedge funds have a fee structure appropriate for true

alpha generation while most returns come from

systematic risks. We want to get paid for taking

systematic risk, not pay for it.”

Tomas Franzén, Chief Investment Strategist at AP2

Financial Times, 22 April 2012


Swedish state pension fund

Identified systematic risk premiaas underlying the returns ofmany hedge funds – managerswere generating alternativebeta, rather than true alpha

Implementing risk factorinvestments as a transparent,liquid, low-cost alternative tohedge funds and a diversifier toequities

Danish occupational pensionfund manager

Implementing an overhaul of itsentire equity strategy

Unwinding all traditionalexternal equity mandates, infavour of a highly diversifiedportfolio of risk factorinvestments

Manager of the Norwegian stateoil fund

Began a study of portfolioreturns in 2008 – identifiedsystematic risk premia as ameaningful diversifier to its largeequity beta portfolio

Implementing risk factorapproach across multiple factors

Equity BetaEnhancement

Equity BetaEnhancement

Absolute ReturnEnhancement / Hedge

Fund Replacement

Absolute ReturnEnhancement / Hedge

Fund Replacement

Equity BetaReplacement

Equity BetaReplacement

19

Who is Investing? (2)First Movers

— Several large European and US institutions have launched high profile initiatives tore-shape their portfolio allocations to benefit from risk premia


— Determine the End Goal

Drawdown reduction, change in risk contribution, cost reduction, etc

— Pre-project Risk Attribution Analysis

Returns and Holdings-Based Analysis to Determine Risk Premia (Factor) Exposures

— Scope of Project

HF Replacement, Equity Portfolio Overhaul, Addition to Multi-Asset Toolbox

—Project Partner (s)

20

Case Study: Adding Risk Factors to a Portfolio (1)Project Outline

FinalRisk Factor

portfolioimplementation

Portfolioconstruction

Portfolioconstruction

Selection ofRisk Factors

Selection ofRisk Factors

Survey ofpotential Risk

Factors

Survey ofpotential Risk

Factors

Projectdefinition and

choice ofpartners

Projectdefinition and

choice ofpartners


— End Goal

Improve risk-adjusted Returns

— Pre-project Risk Attribution Analysis

Revealed 79% of Risk Contribution from equity market beta

— Scope of Project

Replace a portion of the equity exposure with a diversified portfolio of equity risk factors, whilemaintaining the same overall level of portfolio risk

— Project Partner

Single Project Partner

— Risk factors chosen included Value, Momentum, Implied Vs Realized Volatility, LowBeta, Quality, and Dividends

21

Case Study: Adding Risk Factors to a Portfolio (2)Key Decisions


— The first step was to scale the risk factor portfolio exposure to a volatility levelcomparable to that of an equity investment (16%), constructed to be a total returninvestment

— We then replaced USD 100MM of equity exposure (representing 0.3% of the totalportfolio) with an allocation to the risk factor portfolio

— In order to account for the diversification benefit that the risk factor portfolio provides –we calculated the risk factor notional required to maintain the same level of volatility inthe reallocated portfolio over the time period

— As a result of the low correlation between the existing portfolio and the risk factorportfolio (16.1%), it is possible to replace USD 100MM of equity exposure with USD600MM of risk factor exposure while historically maintaining the same portfolio volatilityand materially improving the risk-return profile

22

Case Study: Adding Risk Factors to a Portfolio (3)Replacing 100mm Equity with Risk Factor Exposure

Deutsche Bank Spyros MesomerisaiCIO Summit, New York, 11 April 2013 23

Case Study: Adding Risk Factors to a Portfolio (4)Replacing 100mm Equity with Risk Factor Exposure

0

50

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200

250

300

350

Dec-95 Dec-97 Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09

Ind

ex

Le

vel

Existing Portfolio

Reallocated Portfolio

Impact of reallocating 100MM from equity into a 600MM risk factor portfolio

Statistics Client Proxy Portfolio Reallocated Portfolio

IRR 7.3% 7.9%

Volatility 9.1% 9.1%

Max Drawdown 32.2% 32.0%

IRR/Volatility 0.81 0.87

IRR/Max Drawdown 0.23 0.25

Risk Factor Portfolio is monthly rebalanced. Factors are weighted proportional to inverse of realised volatilities on each rebalancing date. Volatility is calculated with 1 yearrolling window with monthly log return data. Risk Factor Portfolio contains Low Risk, CROCI Market Neutral, Quality/Profitability, Momentum, Volatility and Dividends.



0

100

200

300

400

500

600

700

800

Dec-95 Dec-97 Dec-99 Dec-01 Dec-03 Dec-05 Dec-07 Dec-09

Inde

xL

eve

l

Existing Portfolio

Reallocated Portfolio

— To look at the impact of a more significant portfolio reallocation, we show what happenswhen the existing equity exposure is reduced by 10%, replacing it with an investment in thediversified risk factor portfolio

— In this situation, replacing 10% of the portfolio with 23% of portfolio notional in the risk factorportfolio results in the same volatility. Overall, portfolio performance is significantly improved

Statistics Client Portfolio Reallocated portfolio

CAGR 7.3% 13.7%

Volatility 9.1% 9.1%

Max Drawdown 32.2% 26.8%

Sharpe Ratio 0.81 1.51

CAGR/Max Drawdown 0.23 0.51

Impact of reallocating 10% of existing portfolio intoa risk factor portfolio

End Goal Metric


24

Case Study: Adding Risk Factors to a Portfolio (5)Replacing 10% of the Equity Beta with Risk Factor Exposure


— Empirical results of factor-based asset allocation appear compelling: Why isn’t everyonerushing to do this then?

Allocation to Risk Premia an active decision relative to broad-based cap-weighted bmarks

Unconventionality of Approach

Skepticism about persistence of risk premia in the future

Aversion or Inability to use Shorting, Leverage, or Derivatives

Capacity Concerns for Long-Short Factor Implementations especially for “Big Players”

— That’s why risk premia are still on the table and are likely to persist!

Conventionality, High Capacity, etc. lead investors to over-rely on asset class premia (in particularthe ERP) and accept the implied risk concentration

— Investor education is already leading to increased (globalized) interest across theinvestor spectrum

Expect increasing price competition and investor friendliness, popularization/crowding ofstandardized factors?

25

What’s Next? Challenges and Final Remarks


Deutsche Bank

21/06/2013 12:34:14 2010 DB Blue template

Appendix 1

For disclosures pertaining to recommendations or estimates made on securities other than the primarysubject of this research, please see the most recently published company report or visit our globaldisclosure look-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr.

Important DisclosuresAdditional Information Available upon Request

Analyst CertificationThe views expressed in this presentation accurately reflect the personal views of the undersigned lead analyst(s). Inaddition, the undersigned analyst has not and will not receive any compensation for providing a specific recommendationor view in this report. Spyros Mesomeris

Hypothetical DisclaimerBacktested, hypothetical or simulated performance results discussed on page 10 herein and after have inherentlimitations. Unlike an actual performance record based on trading actual client portfolios, simulated results are achievedby means of the retroactive application of a backtested model itself designed with the benefit of hindsight. Taking intoaccount historical events the backtesting of performance also differs from actual account performance because an actualinvestment strategy may be adjusted any time, for any reason, including a response to material, economic or marketfactors. The backtested performance includes hypothetical results that do not reflect the reinvestment of dividends andother earnings or the deduction of advisory fees, brokerage or other commissions, and any other expenses that a clientwould have paid or actually paid. No representation is made that any trading strategy or account will or is likely to achieveprofits or losses similar to those shown. Alternative modeling techniques or assumptions might produce significantlydifferent results and prove to be more appropriate. Past hypothetical backtest results are neither an indicator norguarantee of future returns. Actual results will vary, perhaps materially, from the analysis.

26


Deutsche Bank

21/06/2013 12:34:14

Buy: Based on a current 12- month view of total share-holder return(TSR = percentage change in share price from current price toprojected target price plus pro-jected dividend yield ) , we recommendthat investors buy the stock.Sell: Based on a current 12-month view of total share-holder return, werecommend that investors sell the stockHold: We take a neutral view on the stock 12-months out and, based onthis time horizon, do not recommend either a Buy or Sell.Notes:1. Newly issued research recommendations and target prices alwayssupersede previously published research.2. Ratings definitions prior to 27 January, 2007 were:Buy: Expected total return (including dividends) of 10% or more over a12-month periodHold: Expected total return (including dividends) between -10% and10% over a 12-month periodSell: Expected total return (including dividends) of -10% or worse over a12-month period

Equity Rating Key Equity Rating Dispersion and BankingRelationships

45 %51 %

4 %

36 % 31 %

37 %0

50

100

150

200

250

300

350

400

Buy Hold Sell

European Universe

Companies Covered Cos. w / Banking Relationship

27


Deutsche Bank

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3. Country-Specific Disclosures

Australia and New Zealand: This research, and any access to it, is intended only for "wholesale clients" within the meaning of the Australian Corporations Actand New Zealand Financial Advisors Act respectively.

Brazil: The views expressed above accurately reflect personal views of the authors about the subject company(ies) and its(their) securities, including in relation toDeutsche Bank. The compensation of the equity research analyst(s) is indirectly affected by revenues deriving from the business and financial transactions ofDeutsche Bank. In cases where at least one Brazil based analyst (identified by a phone number starting with +55 country code) has taken part in the preparationof this research report, the Brazil based analyst whose name appears first assumes primary responsibility for its content from a Brazilian regulatory perspectiveand for its compliance with CVM Instruction # 483.

EU countries: Disclosures relating to our obligations under MiFiD can be found at http://globalmarkets.db.com/riskdisclosures.

Japan: Disclosures under the Financial Instruments and Exchange Law: Company name - Deutsche Securities Inc. Registration number - Registered as afinancial instruments dealer by the Head of the Kanto Local Finance Bureau (Kinsho) No. 117. Member of associations: JSDA, Type II Financial Instruments FirmsAssociation, The Financial Futures Association of Japan, Japan Investment Advisers Association. Commissions and risks involved in stock transactions - for stocktransactions, we charge stock commissions and consumption tax by multiplying the transaction amount by the commission rate agreed with each customer. Stocktransactions can lead to losses as a result of share price fluctuations and other factors. Transactions in foreign stocks can lead to additional losses stemming fromforeign exchange fluctuations. "Moody's", "Standard & Poor's", and "Fitch" mentioned in this report are not registered credit rating agencies in Japan unless“Japan” or "Nippon" is specifically designated in the name of the entity.

Russia: This information, interpretation and opinions submitted herein are not in the context of, and do not constitute, any appraisal or evaluation activityrequiring a license in the Russian Federation.

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Deutsche Bank

Global DisclaimerThe information and opinions in this report were prepared by Deutsche Bank AG or one of its affiliates (collectively "Deutsche Bank"). The information herein is believed to be reliable and has been obtained from public sources believed to be reliable. DeutscheBank makes no representation as to the accuracy or completeness of such information.

Deutsche Bank may engage in securities transactions, on a proprietary basis or otherwise, in a manner inconsistent with the view taken in this research report. In addition, others within Deutsche Bank, including strategists and sales staff, may take a view that isinconsistent with that taken in this research report.

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Opinions, estimates and projections in this report constitute the current judgement of the author as of the date of this report. They do not necessarily reflect the opinions of Deutsche Bank and are subject to change without notice. Deutsche Bank has no obligationto update, modify or amend this report or to otherwise notify a recipient thereof in the event that any opinion, forecast or estimate set forth herein, changes or subsequently becomes inaccurate. Prices and availability of financial instruments are subject to changewithout notice. This report is provided for informational purposes only. It is not an offer or a solicitation of an offer to buy or sell any financial instruments or to participate in any particular trading strategy. Target prices are inherently imprecise and a product of theanalyst judgement.

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The financial instruments discussed in this report may not be suitable for all investors and investors must make their own informed investment decisions. Stock transactions can lead to losses as a result of price fluctuations and other factors. If a financialinstrument is denominated in a currency other than an investor's currency, a change in exchange rates may adversely affect the investment.

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Past performance is not necessarily indicative of future results. Deutsche Bank may with respect to securities covered by this report, sell to or buy from customers on a principal basis, and consider this report in deciding to trade on a proprietary basis.

Derivative transactions involve numerous risks including, among others, market, counterparty default and illiquidity risk. The appropriateness or otherwise of these products for use by investors is dependent on the investors' own circumstances including their taxposition, their regulatory environment and the nature of their other assets and liabilities and as such investors should take expert legal and financial advice before entering into any transaction similar to or inspired by the contents of this publication. Trading inoptions involves risk and is not suitable for all investors. Prior to buying or selling an option investors must review the "Characteristics and Risks of Standardized Options," at http://www.theocc.com/components/docs/riskstoc.pdf If you are unable to access thewebsite please contact Deutsche Bank AG at +1 (212) 250-7994, for a copy of this important document.

The risk of loss in futures trading, foreign or domestic, can be substantial. As a result of the high degree of leverage obtainable in futures trading, losses may be incurred that are greater than the amount of funds initially deposited.

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