| |
Subject to Completion
Preliminary Term Sheet dated
August 26, 2015 |
Filed Pursuant to Rule 433
Registration Statement No. 333-206013
(To Prospectus dated July 31, 2015,
Prospectus Supplement dated July 31, 2015 and
Product Supplement EQUITY INDICES STR-1
dated August 4, 2015) |
Units
$10 principal amount per unit
Term Sheet No. STR-84
|
Pricing Date*
Settlement Date*
Maturity Date* |
August , 2015
September , 2015
August , 2021 |
CUSIP
No.
|
*Subject to change based on the actual date the notes are priced for initial sale to the public (the “pricing date”) |
| |
|
|
Strategic Accelerated Redemption Securities®
Linked to the Russell 2000® Index
§
Automatically callable if the Observation Level of the Index on any annual Observation Date
is at or above the Starting Value
§
In the event of an automatic call, the amount payable per unit will be:
§
[$10.90 - $11.00] if called on the first Observation Date
§
[$11.80 - $12.00] if called on the second Observation Date
§
[$12.70 - $13.00] if called on the third Observation Date
§
[$13.60 - $14.00] if called on the fourth Observation Date
§
[$14.50 - $15.00] If called on the fifth Observation Date
§
[$15.40 - $16.00] if called on the final Observation Date
§
If not called prior to the final Observation Date, a maturity of approximately six years
§
If not called, 1-to-1 downside exposure to decreases in the Index, with up to 100% of your
principal at risk
§
All payments are subject to the credit risk of Deutsche Bank AG
§
No periodic interest payments
§
Limited secondary market liquidity, with no exchange listing
|
| |
The notes are being issued by Deutsche Bank AG (“Deutsche
Bank”) through its London Branch. There are important differences between the notes and a conventional debt security, including
different investment risks and certain additional costs. See “Risk Factors” beginning on page TS-7 of this term sheet
and beginning on page PS-7 of product supplement EQUITY INDICES STR-1, page PS-5 of the prospectus supplement and page 12 of the
prospectus.
The initial estimated value of the notes as of the pricing
date is expected to be between $9.22 and $9.42 per unit, which is less than the public offering
price listed below. See “Summary” on the following page, “Risk Factors” beginning on page TS-7
of this term sheet and “Structuring the Notes” on page TS-12 of this term sheet for additional information. The actual
value of your notes at any time will reflect many factors and cannot be predicted with accuracy.
By acquiring the notes, you will be deemed to agree to be bound
by any Resolution Measure imposed by our competent resolution authority. See “Consent to Potential Imposition of Resolution
Measures” on page TS-3 of this term sheet.
_________________________
None of the Securities and Exchange Commission (the “SEC”),
any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined if
this Note Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.
_________________________
| | |
| Per Unit | | |
| Total | |
| Public offering price(1)(2) | |
$ | 10.00 | | |
| $ | |
| Underwriting discount(1)(2) | |
$ | 0.20 | | |
| $ | |
| Proceeds, before expenses, to Deutsche Bank | |
$ | 9.80 | | |
| $ | |
| (1) | For any purchase of 500,000 units or more in a single transaction
by an individual investor, the public offering price and the underwriting discount will be $9.95 per unit and $0.15 per unit, respectively. |
| (2) | For any purchase by certain fee-based trusts and discretionary
accounts managed by U.S. Trust operating through Bank of America, N.A., the public offering price and underwriting discount will
be $9.80 per unit and $0.00 per unit, respectively. |
The notes:
| Are Not FDIC Insured |
Are Not Bank Guaranteed |
May Lose Value |
Merrill Lynch & Co.
August , 2015
|
Strategic Accelerated Redemption Securities®
Linked to the Russell 2000® Index,
due August , 2021
|
|
Summary
The Strategic Accelerated Redemption Securities® Linked
to the Russell 2000® Index, due August , 2021 (the “notes”) are our senior unsecured obligations. The
notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or secured by collateral. The notes will rank
equally with all of our other unsecured and unsubordinated debts except for debts required to be preferred by law. Any payments
due on the notes, including any repayment of principal, will be subject to the credit risk of Deutsche Bank and to any Resolution
Measure (as described herein) imposed by our competent resolution authority. The notes will be automatically called at the
applicable Call Amount if the Observation Level of the Market Measure, which is the Russell 2000® Index (the “Index”),
is equal to or greater than the Call Level on the relevant Observation Date. If your notes are not automatically called, at maturity,
you will lose all or a portion of the principal amount of your notes. Payments on the notes, including the amount you receive at
maturity or upon an automatic call, will be calculated based on the $10 principal amount per unit and will depend on the performance
of the Index, subject to our credit risk. See “Terms of the Notes” below.
On the cover page of this term sheet, we have provided the initial
estimated value range for the notes. Our initial estimated value of the notes was determined based on our valuation of two theoretical
components of the notes: (i) a theoretical bond component and (ii) a theoretical derivative component. The value of the bond component
of the notes is calculated based on an internal funding rate, which is determined primarily based on the rates at which our conventional
debt securities of comparable maturity may trade, adjusted to account for our funding needs and objectives for the period matching
the term of the notes. The value of the derivative component is calculated based on our internal pricing models using relevant
parameter inputs.
The economic terms of the notes (including the Call Premiums
and Call Amounts) are based on the internal funding rate and the economic terms of certain related hedging arrangements. The internal
funding rate is typically lower than the rate we would pay when we issue conventional debt securities on equivalent terms. This
difference in funding rate, as well as the underwriting discount and the estimated cost of hedging our obligations under the notes
(which includes the hedging related charge described below) will reduce the economic terms of the notes to you and the initial
estimated value of the notes on the pricing date. Due to these factors, the public offering price you pay to purchase the notes
will be greater than the initial estimated value of the notes. The initial estimated value of the notes calculated on the pricing
date will be set forth in the final term sheet made available to investors in the notes. For more information about the initial
estimated value and the structuring of the notes, see “Structuring the Notes” on page TS-12.
| Terms of the Notes |
Payment Determination |
| |
|
| Issuer: |
Deutsche Bank AG, London Branch |
Automatic Call Provision:
Redemption Amount Determination:
If the notes are not called, you will receive the Redemption
Amount per unit on the maturity date, determined as follows:
Because the Threshold Value for the notes is equal to the
Starting Value, you will lose all or a portion of your investment if the Ending Value is less than the Starting Value.
|
| Principal Amount: |
$10.00 per unit |
| Term: |
Approximately six years, if not called prior to the final Observation Date |
| Market Measure: |
Russell 2000® Index (Bloomberg symbol: “RTY”), a price return index. |
| Starting Value: |
The closing level of the Market Measure on the pricing date. |
| Ending Value: |
The Observation Level of the Market Measure on the final Observation Date. |
| Observation Level: |
The closing level of the Market Measure on the applicable Observation Date. |
| Observation Dates: |
September , 2016, August
, 2017, August , 2018, August , 2019, August , 2020 and August , 2021 (the final Observation Date), approximately one,
two, three, four, five and six years after the pricing date, respectively.
The Observation Dates are
subject to postponement if a Market Disruption Event occurs, as described beginning on page PS-20 of product supplement
EQUITY INDICES STR-1.
|
| Call Level: |
100% of the Starting Value |
| Call Amounts and Call Premiums (per Unit): |
[$10.90
- $11.00], representing a Call Premium of [$0.90 to $1.00] and a return of [9.00% to 10.00%] of the principal amount,
if called on the first Observation Date;
[$11.80
- $12.00], representing a Call Premium of [$1.80 to $2.00] and a return of [18.00% to 20.00%] of the principal amount,
if called on the second Observation Date;
[$12.70
- $13.00], representing a Call Premium of [$2.70 to $3.00] and a return of [27.00% to 30.00%] of the principal amount,
if called on the third Observation Date;
[$13.60
- $14.00], representing a Call Premium of [$3.60 to $4.00] and a return of [36.00% to 40.00%] of the principal amount,
if called on the fourth Observation Date;
[$14.50
- $15.00], representing a Call Premium of [$4.50 to $5.00] and a return of [45.00% to 50.00%] of the principal amount,
if called on the fifth Observation Date; and
[$15.40
– $16.00], representing a Call Premium of [$5.40 to $6.00] and a return of [54.00% to 60.00%] of the principal amount,
if called on the final Observation Date.
The
actual Call Amounts and Call Premiums will be determined on the pricing date.
|
| Call Settlement Dates: |
Approximately the fifth business day following the applicable Observation Date, subject to postponement as described beginning on page PS-20 of product supplement EQUITY INDICES STR-1; provided however, that the Call Settlement Date related to the final Observation Date will be the maturity date. |
| Threshold Value: |
100% of the Starting Value |
| Fees and Charges: |
The underwriting discount of $0.200 per unit listed on the cover page and the hedging related charge of $0.075 per unit described in “Structuring the Notes” on page TS-12. |
| Calculation Agent: |
Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) and Deutsche Bank, acting jointly. |
| Strategic Accelerated Redemption Securities® |
TS-2 |
|
Strategic Accelerated Redemption Securities®
Linked to the Russell 2000® Index,
due August , 2021
|
|
The terms and risks of the notes are contained in this term sheet
and in the following:
These documents (together, the “Note Prospectus”)
have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated
above or obtained from MLPF&S by calling 1-800-294-1322.
Before you invest, you should read the Note Prospectus, including
this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written
materials you may have received are superseded by the Note Prospectus. Capitalized terms used but not defined in this term sheet
have the meanings set forth in product supplement EQUITY INDICES STR-1. Unless otherwise indicated or unless the context requires
otherwise, all references in this document to “we,” “us,” “our,” or similar references are
to Deutsche Bank.
Consent to Potential Imposition of Resolution
Measures
Under
the German Recovery and Resolution Act, which became effective on January 1, 2015, the notes may be subject to any Resolution
Measure by our competent resolution authority under relevant German and/or European law if we become, or are deemed by our competent
supervisory authority to have become, “non-viable” (as defined under the then applicable law) and are unable to continue
our regulated banking activities without a Resolution Measure becoming applicable to us. A “Resolution Measure” may
include: (i) a write down, including to zero, of any payment (or delivery obligations) on the notes; (ii) a conversion of the
notes into ordinary shares or other instruments qualifying as core equity tier 1 capital; and/or (iii) any other resolution measure,
including (but not limited to) a transfer of the notes to another entity, an amendment of the terms and conditions of the notes
or the cancellation of the notes. By acquiring the notes, you will be deemed to agree:
| · | to
be bound by any Resolution Measure, |
| · | that
you would have no claim or other right against us, the trustee and the paying agent arising
out of any Resolution Measure, and |
| · | that
the imposition of any Resolution Measure will not constitute a default or an event of
default under the notes, under the senior indenture or for the purpose of the Trust Indenture
Act of 1939, as set forth in the accompanying prospectus dated July 31, 2015. |
Please
read “Risk Factors” in this term sheet and see the accompanying prospectus for further information.
| Strategic Accelerated Redemption Securities® |
TS-3 |
|
Strategic Accelerated Redemption Securities®
Linked to the Russell 2000® Index,
due August , 2021
|
|
Investor Considerations
| You may wish to consider an investment in the notes if: |
|
The notes may not be an appropriate investment for you if: |
| |
|
|
|
§ You
anticipate that the Observation Level of the Index on an Observation Date will be equal to or greater than the Call Level and,
in that case, you accept an early exit from your investment.
§
You accept that the return on the notes will be limited to the return represented by the applicable Call Premium even if the
percentage change in the level of the Index is significantly greater than the return represented by the applicable Call
Premium.
§ If
the notes are not called, you accept that your investment will result in a loss, which could be significant.
§ You
are willing to forgo the interest payments that are paid on conventional interest bearing debt securities.
§ You
are willing to forgo dividends or other benefits of owning the stocks included in the Index.
§ You
are willing to accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes,
if any, will be affected by various factors, including our actual and perceived creditworthiness, the internal funding rate and
fees and charges on the notes.
§ You
are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Call Amount or the
Redemption Amount, as applicable.
§ You
are willing to consent to be bound by any Resolution Measure imposed by our competent resolution authority.
|
|
§ You
wish to make an investment that cannot be automatically called prior to maturity.
§ You
anticipate that the Observation Level of the Index will be less than the Call Level on each Observation Date, including the final
Observation Date.
§ You
seek an uncapped return on your investment.
§ You
seek principal repayment or preservation of capital.
§ You
seek interest payments or other current income on your investment.
§ You
want to receive dividends or other distributions paid on the stocks included in the Index.
§ You
seek an investment for which there will be a liquid secondary market.
§ You
are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
§ You
are unwilling to consent to be bound by any Resolution Measure imposed by our competent resolution authority.
|
We urge you to consult your investment, legal, tax, accounting,
and other advisors before you invest in the notes.
| Strategic Accelerated Redemption Securities® |
TS-4 |
|
Strategic Accelerated Redemption Securities®
Linked to the Russell 2000® Index,
due August , 2021
|
|
Examples of Hypothetical Payments
The following examples are for purposes of illustration only.
They are based on hypothetical values and show hypothetical returns on the notes. They illustrate the calculation
of the Call Amount you will receive on the applicable Call Settlement Date or, if not called, the calculation of the Redemption
Amount, based on the hypothetical terms set forth below. The actual amount you receive and the resulting total rate of return
will depend on the actual Starting Value, Threshold Value, Call Level, Observation Levels, Call Amounts, Call Premiums, Ending
Value, whether the notes are called on an Observation Date and whether you hold the notes to maturity. The following examples
do not take into account any tax consequences from investing in the notes. These examples are based on:
| 1) | a Starting Value of 100.00; |
| 2) | a Threshold Value of 100.00; |
| 3) | a Call Level of 100.00; |
| 4) | an expected term of the notes of approximately six years if the notes are not called prior to the final Observation Date; |
| 5) | a Call Premium of $0.95 if the notes are called on the first Observation Date, $1.90 if called on the second Observation Date,
$2.85 if called on the third Observation Date, $3.80 if called on the fourth Observation Date, $4.75 if called on the fifth Observation
Date and $5.70 if called on the final Observation Date (the midpoint of the applicable Call Premium ranges); and |
| 6) | Observation Dates occurring approximately one, two, three, four, five and six years after the pricing date. |
For recent actual levels of the Market Measure,
see “The Index” section below. The Index is a price return index and as such the Ending Value will not include any
income generated by dividends paid on the stocks included in the Index, which you would otherwise be entitled to receive if you
invested in those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.
Notes Are Called on an Observation Date
The notes will be called at $10.00 plus the applicable Call Premium
if the Observation Level on one of the Observation Dates is equal to or greater than the Call Level.
Example 1 – The Observation Level on the
first Observation Date is 110.00. Therefore, the notes will be called at $10.00 plus the Call Premium of $0.95 = $10.95 per unit.
After the notes are called, they will no longer remain outstanding and there will not be any further payments on the notes.
Example 2 – The Observation Level on the
first Observation Date is below the Call Level, but the Observation Level on the second Observation Date is 105.00. Therefore,
the notes will be called at $10.00 plus the Call Premium of $1.90 = $11.90 per unit. After the notes are called, they will no
longer remain outstanding and there will not be any further payments on the notes.
Example 3 – The Observation Levels on the
first and second Observation Dates are below the Call Level, but the Observation Level on the third Observation Date is 120.00.
Therefore, the notes will be called at $10.00 plus the Call Premium of $2.85 = $12.85 per unit.
Example 4 – The Observation Levels on the first,
second and third Observation Dates are below the Call Level, but the Observation Level on the fourth Observation Date is 110.00.
Therefore, the notes will be called at $10.00 plus the Call Premium of $3.80 = $13.80 per unit.
Example 5 – The Observation Levels on the first,
second, third and fourth Observation Dates are below the Call Level, but the Observation Level on the fifth Observation Date is
100.00. Therefore, the notes will be called at $10.00 plus the Call Premium of $4.75 = $14.75 per unit.
Example 6 – The Observation Levels on the first,
second, third, fourth and fifth Observation Dates are below the Call Level, but the Observation Level on the sixth and final Observation
Date is 110.00. Therefore, the notes will be called at $10.00 plus the Call Premium of $5.70 = $15.70 per unit.
Notes Are Not Called on Any Observation Date
Example 7 – The notes are not called on any Observation
Date and the Ending Value is less than the Starting Value. The Redemption Amount will be less than the principal amount and could
be zero. For example, if the Ending Value is 70.00, the Redemption Amount per unit will be:
| Strategic Accelerated Redemption Securities® |
TS-5 |
|
Strategic Accelerated Redemption Securities®
Linked to the Russell 2000® Index,
due August , 2021
|
|
| |
Summary of the Hypothetical Examples |
| |
Notes Are Called on an Observation Date |
|
Notes Are Not Called on Any
Observation Date |
| |
Example 1 |
Example 2 |
Example 3 |
Example 4 |
Example 5 |
Example 6 |
Example 7 |
| Starting Value |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
| Call Level |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
| Threshold Value |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
100.00 |
| Observation Level on the First Observation Date |
110.00 |
90.00 |
90.00 |
90.00 |
90.00 |
90.00 |
88.00 |
| Observation Level on the Second Observation Date |
N/A |
105.00 |
83.00 |
83.00 |
83.00 |
83.00 |
78.00 |
| Observation Level on the Third Observation Date |
N/A |
N/A |
120.00 |
90.00 |
90.00 |
90.00 |
75.00 |
| Observation Level on the Fourth Observation Date |
N/A |
N/A |
N/A |
110.00 |
95.00 |
95.00 |
80.00 |
| Observation Level on the Fifth Observation Date |
N/A |
N/A |
N/A |
N/A |
100.00 |
70.00 |
90.00 |
| Observation Level on the Sixth Observation Date |
N/A |
N/A |
N/A |
N/A |
N/A |
110.00 |
70.00 |
| Return of the Index |
10.00% |
5.00% |
20.00% |
10.00% |
0.00% |
10.00% |
-30.00% |
| Return of the Notes(1) |
9.50% |
19.00% |
28.50% |
38.00% |
47.50% |
57.00% |
-30.00% |
|
Call Amount /
Redemption Amount per Unit
|
$10.95 |
$11.90 |
$12.85 |
$13.80 |
$14.75 |
$15.70 |
$7.00 |
| |
|
|
|
|
|
|
|
| (1) | Represents the total return over the period during which the notes were outstanding before the Call Settlement Date or the
Maturity Date, as applicable. |
| Strategic Accelerated Redemption Securities® |
TS-6 |
|
Strategic Accelerated Redemption Securities®
Linked to the Russell 2000® Index,
due August , 2021
|
|
Risk Factors
There are important differences between the notes and a conventional
debt security. An investment in the notes involves significant risks, including those listed below. You should carefully review
the more detailed explanation of risks relating to the notes in the “Risk Factors” sections beginning on page PS-7
of product supplement EQUITY INDICES STR-1, page PS-5 of the prospectus supplement and page 12 of the prospectus identified above.
We also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
| § | If the notes are not automatically called, your investment will result in a loss; there is no guaranteed return of principal. |
| § | Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt security
of comparable maturity. |
| § | Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected
to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire investment. |
| § | The notes may become subordinated to the claims of other creditors, be written down to zero, be converted into equity or other
instruments or become subject to other Resolution Measures. You may lose some or all of your investment if any such measure becomes
applicable to us. The imposition of any Resolution Measure does not constitute a default or an event of default under the notes,
the senior indenture or for the purpose of the Trust Indenture Act of 1939 or give you any other right to accelerate or terminate
the notes. You may have limited or circumscribed rights to challenge any decision of our competent resolution authority to impose
any Resolution Measure. Please see “Consent to Potential Imposition of Resolution Measures” in this term sheet and
the risk factors under the heading “Securities May Be Subject to Resolution Measures” on page 12 of the accompanying
prospectus for more information. |
| § | Your investment return is limited to the return represented by the applicable Call Premium and may be less than a comparable
investment directly in the stocks included in the Index. |
| § | The initial estimated value of the notes is an estimate only, determined as of a particular point in time by reference to an
internal funding rate and our pricing models. The internal funding rate is typically lower than the rate we would pay when we issue
conventional debt securities of comparable maturity. As a result of this difference, the initial estimated value of the notes would
likely be lower if it were based on the rate we would pay when we issue conventional debt securities of comparable maturity. This
difference in funding rate, as well as the underwriting discount and the estimated cost of hedging our obligations under the notes
(which includes the hedging related charge described below), reduces the economic terms of the notes to you. |
| § | Our internal pricing models consider relevant parameter inputs such as expected interest and dividend rates and mid-market
levels of price and volatility of the assets underlying the notes or any futures, options or swaps related to such underlying assets.
Our pricing models are proprietary and rely in part on certain forecasts about future events, which may prove to be incorrect.
Because our pricing models may differ from other financial institutions’ valuation models, and because funding rates taken
into account by other financial institutions (including those with similar creditworthiness) may vary materially from the internal
funding rate used by us, our initial estimated value of the notes may not be comparable to the initial estimated values of similar
notes of other financial institutions. |
| § | The public offering price you pay for the notes will exceed the initial estimated value. The difference is due to the inclusion
in the public offering price of the underwriting discount and the estimated cost of hedging our obligations under the notes (which
includes the hedging related charge described below), all as further described in “Structuring the Notes” on page TS-12.
These factors are expected to reduce the price at which you may be able to sell the notes in any secondary market and, together
with various credit, market and economic factors over the term of the notes, including changes in the level of the Index, will
affect the value of the notes in complex and unpredictable ways. |
| § | The initial estimated value of the notes on the pricing date does not represent the price at which we, MLPF&S, or any of
our respective affiliates would be willing to purchase your notes in the secondary market at any time. Assuming no changes in market
conditions or our creditworthiness and other relevant factors, the price, if any, at which we, MLPF&S, or any of our respective
affiliates would be willing to purchase the notes from you in secondary market transactions, if at all, would generally be lower
than both the public offering price and the initial estimated value of the notes on the pricing date. MLPF&S has advised us
that any repurchases by them or their affiliates will be made at prices determined by reference to their pricing models and at
their discretion. These prices will include MLPF&S’s trading commissions and mark-ups and may differ materially from
the initial estimated value of the notes determined by reference to our internal funding rate and pricing models. |
| § | A trading market is not expected to develop for the notes. None of us, MLPF&S, or any of our respective affiliates is obligated
to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes
at any price in any secondary market. |
| § | Our business, hedging and trading activities, and those of MLPF&S and our respective affiliates (including trading in securities
of companies included in the Index), and any hedging and trading activities we, MLPF&S or our respective affiliates engage
in for our clients’ accounts, may affect the market value and return of the notes and may create conflicts of interest with
you. Our economic interests in determining the initial estimated value of the notes on the pricing date and the price, if any,
at which we or our affiliates would be willing to purchase the notes from you in secondary market transactions, are potentially
adverse to your interests as an investor in the notes. |
| Strategic Accelerated Redemption Securities® |
TS-7 |
|
Strategic Accelerated Redemption Securities®
Linked to the Russell 2000® Index,
due August , 2021
|
|
| § | The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests. |
| § | You will have no rights of a holder of the securities included in the Index, and you will not be entitled to receive securities
or dividends or other distributions by the issuers of those securities. |
| § | While we, MLPF&S or our respective affiliates may from time to time own securities of companies included in the Index,
we, MLPF&S and our respective affiliates do not control any company included in the Index, and have not verified any disclosure
made by any company. |
| § | There may be potential conflicts of interest involving the calculation agent. We have the right to appoint and remove the calculation
agent. |
| § | The U.S. federal income tax consequences of an investment in the notes are uncertain, and may be adverse to you. See “Summary
Tax Consequences” below and “U.S. Federal Income Tax Consequences” beginning on page PS-29 of product supplement
EQUITY INDICES STR-1. |
| Strategic Accelerated Redemption Securities® |
TS-8 |
|
Strategic Accelerated Redemption Securities®
Linked to the Russell 2000® Index,
due August , 2021
|
|
The Index
We have derived all information contained in this term sheet
regarding the Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly
available information. We have not participated in the preparation of, or verified, such publicly available information. Such information
reflects the policies of, and is subject to change by, Russell Investments (“Russell,” or the “Index sponsor”).
The Index was developed by the Index sponsor and is calculated, maintained and published by the Index sponsor. The Index sponsor
has no obligation to continue to publish, and may discontinue publication of, the Index. The consequences of the Index sponsor
discontinuing publication of the Index are discussed in the section entitled “Description of the Notes—Discontinuance
of an Index” beginning on page PS-23 of product supplement EQUITY INDICES STR-1. None of us, the calculation agent, or MLPF&S
accepts any responsibility for the calculation, maintenance, or publication of the Index or any successor index.
The Index is designed to track the performance of the small capitalization
segment of the U.S. equity market. As a subset of the Russell 3000® Index, the Index consists of the smallest 2,000
companies included in the Russell 3000® Index. The Russell 3000® Index measures the performance of
the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market. The Index is determined,
comprised, and calculated by Russell without regard to the notes. Russell began dissemination of the Index (Bloomberg L.P. index
symbol “RTY”) on January 1, 1984 and calculates and publishes the Index. The Index was set to 135 as of the close of
business on December 31, 1986.
“Russell 2000®” and “Russell
3000®” are trademarks of Russell and have been licensed for use by us. The notes are not sponsored, endorsed,
sold, or promoted by Russell, and Russell makes no representation regarding the advisability of investing in the notes.
Selection of Stocks Composing the Index
All companies eligible for inclusion in the Index must be classified
as a U.S. company under Russell’s country-assignment methodology. If a company is incorporated, has a stated headquarters
location, and trades in the same country (American Depositary Receipts and American Depositary Shares are not eligible), then the
company is assigned to its country of incorporation. If any of the three factors are not the same, Russell defines three Home Country
Indicators (“HCIs”): country of incorporation, country of headquarters, and country of the most liquid exchange (as
defined by a two-year average daily dollar trading volume from all exchanges within a country) (“ADDTV”). Using the
HCIs, Russell compares the primary location of the company’s assets with the three HCIs. If the primary location of its assets
matches any of the HCIs, then the company is assigned to the primary location of its assets. If there is insufficient information
to determine the country in which the company’s assets are primarily located, Russell will use the primary country from which
the company’s revenues are primarily derived for the comparison with the three HCIs in a similar manner. Russell uses the
average of two years of assets or revenues data to reduce potential turnover. If conclusive country details cannot be derived from
assets or revenues data, Russell will assign the company to the country of its headquarters, which is defined as the address of
the company’s principal executive offices, unless that country is a Benefit Driven Incorporation “BDI” country,
in which case the company will be assigned to the country of its most liquid stock exchange. BDI countries include: Anguilla, Antigua
and Barbuda, Aruba, Bahamas, Barbados, Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel Islands, Cook
Islands, Curacao, Faroe Islands, Gibraltar, Isle of Man, Liberia, Marshall Islands, Panama, Saba, Sint Eustatius, Sint Maarten,
and Turks and Caicos Islands. For any companies incorporated or headquartered in a U.S. territory, including countries such as
Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned.
All securities eligible for inclusion in the Index must trade
on a major U.S. exchange. Bulletin board, pink-sheets, and over-the-counter (“OTC”) traded securities are not eligible
for inclusion. Stocks must trade at or above $1.00 on their primary exchange on the last trading day in May to be eligible for
inclusion during annual reconstitution. However, in order to reduce unnecessary turnover, if an existing member’s closing
price is less than $1.00 on the last day of May, it will be considered eligible if the average of the daily closing prices (from
its primary exchange) during the month of May is equal to or greater than $1.00. Initial public offerings are added each quarter
and must have a closing price at or above $1.00 on the last day of their eligibility period in order to qualify for index inclusion.
If a stock, new or existing, does not have a closing price at or above $1.00 (on its primary exchange) on the last trading day
in May, but does have a closing price at or above $1.00 on another major U.S. exchange, that stock will be eligible for inclusion.
An important criteria used to determine the list of securities
eligible for the Index is total market capitalization, which is defined as the market price as of the last trading day in May for
those securities being considered at annual reconstitution times the total number of shares outstanding. Where applicable, common
stock, non-restricted exchangeable shares and partnership units/membership interests are used to determine market capitalization.
Any other form of shares such as preferred stock, convertible preferred stock, redeemable shares, participating preferred stock,
warrants and rights, or trust receipts, are excluded from the calculation. If multiple share classes of common stock exist, they
are combined. In cases where the common stock share classes act independently of each other (e.g., tracking stocks), each class
is considered for inclusion separately. If multiple share classes exist, Russell will determine a primary trading vehicle, and
the price of that primary trading vehicle (usually the most liquid) is used to calculate market capitalization.
Companies with a total market capitalization of less than $30
million are not eligible for the Index. Similarly, companies with only 5% or less of their shares available in the marketplace
are not eligible for the Index. Royalty trusts, limited liability companies, closed-end investment companies, blank check companies,
special purpose acquisition companies, and limited partnerships are also ineligible for inclusion. Business development companies,
exchange traded funds and mutual funds are also excluded. In addition, preferred and convertible preferred stock, redeemable shares,
participating preferred stock, warrants, rights, and trust receipts are not eligible for inclusion.
| Strategic Accelerated Redemption Securities® |
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due August , 2021
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Annual reconstitution is a process by which the Index is completely
rebuilt. Based on closing levels of the company’s common stock on its primary exchange on the last trading day of May of
each year, Russell reconstitutes the composition of the Index using the then existing market capitalizations of eligible companies.
Reconstitution of the Index occurs on the last Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution
occurs on the prior Friday. In addition, Russell adds initial public offerings to the Index on a quarterly basis based on market
capitalization guidelines established during the most recent reconstitution. After membership is determined, a security’s
shares are adjusted to include only those shares available to the public. This is often referred to as “free float.”
The purpose of the adjustment is to exclude from market calculations the capitalization that is not available for purchase and
is not part of the investable opportunity set.
The following graph shows the daily historical performance
of the Index in the period from January 2008 through July 2015. We obtained this historical data from Bloomberg L.P. We have not
independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On August 25, 2015, the closing
level of the Index was 1,104.097.
Historical Performance of the Index
This historical data on the Index is not necessarily indicative
of the future performance of the Index or what the value of the notes may be. Any historical upward or downward trend in the level
of the Index during any period set forth above is not an indication that the level of the Index is more or less likely to increase
or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available
sources for the levels of the Index.
| Strategic Accelerated Redemption Securities® |
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due August , 2021
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License Agreement
“Russell 2000®” and “Russell
3000®” are trademarks of Russell and have been licensed for use by us. The notes are not sponsored, endorsed,
sold, or promoted by Russell, and Russell makes no representation regarding the advisability of investing in the notes.
We have entered into a non-exclusive license agreement with Russell
providing for the license to us, in exchange for a fee, of the right to use indices owned and published by Russell in connection
with some securities, including the notes. The license agreement provides that the following language must be stated in this term
sheet:
The notes are not sponsored, endorsed, sold, or promoted by Russell.
Russell makes no representation or warranty, express or implied, to the holders of the notes or any member of the public regarding
the advisability of investing in securities generally or in the notes particularly or the ability of the Index to track general
stock market performance or a segment of the same. Russell’s publication of the Index in no way suggests or implies an opinion
by Russell as to the advisability of investment in any or all of the securities upon which the Index is based. Russell’s
only relationship to us is the licensing of certain trademarks and trade names of Russell and of the Index, which is determined,
composed, and calculated by Russell without regard to us or the notes. Russell is not responsible for and has not reviewed the
notes nor any associated literature or publications and Russell makes no representation or warranty express or implied as to their
accuracy or completeness, or otherwise. Russell reserves the right, at any time and without notice, to alter, amend, terminate,
or in any way change the Index. Russell has no obligation or liability in connection with the administration, marketing, or trading
of the notes.
RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS
OF THE INDEX OR ANY DATA INCLUDED THEREIN AND RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY US, HOLDERS OF THE NOTES, OR ANY OTHER PERSON OR
ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN. RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS
ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN.
WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL
DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
| Strategic Accelerated Redemption Securities® |
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due August , 2021
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Supplement to the Plan of Distribution
Under our distribution agreement with MLPF&S, MLPF&S
will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated
underwriting discount.
We may deliver the notes against payment therefor in New York,
New York on a date that is greater than three business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange
Act of 1934, trades in the secondary market generally are required to settle in three business days, unless the parties to any
such trade expressly agree otherwise. Accordingly, if the initial settlement of the notes occurs more than three business days
from the pricing date, purchasers who wish to trade the notes more than three business days prior to the original issue date will
be required to specify alternative settlement arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the
original offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase
the notes, you are consenting to MLPF&S acting as a principal in effecting the transaction for your account.
MLPF&S will not receive an underwriting discount for notes
sold to certain fee-based trusts and fee-based discretionary accounts managed by U.S. Trust operating through Bank of America,
N.A.
MLPF&S has advised us that they or their affiliates may repurchase
and resell the notes, with repurchases and resales being made at prices related to then-prevailing market prices or at negotiated
prices, and these prices will include MLPF&S’s trading commissions and mark-ups. MLPF&S may act as principal or agent
in these market-making transactions; however, it is not obligated to engage in any such transactions. At MLPF&S’s discretion,
for a short, undetermined initial period after the issuance of the notes, MLPF&S may offer to buy the notes in the secondary
market at a price that may exceed the estimated value of the notes at the time of repurchase. Any price offered by MLPF&S for
the notes will be based on then-prevailing market conditions and other considerations, including the performance of the Index,
the remaining term of the notes, and our creditworthiness. However, none of us, MLPF&S, or any of our respective affiliates
is obligated to purchase your notes at any price or at any time, and we cannot assure you that we, MLPF&S, or any of our respective
affiliates will purchase your notes at a price that equals or exceeds the estimated value of the notes at the time of repurchase.
MLPF&S has also advised us that, if you hold your notes in
a MLPF&S account, the value of the notes shown on your account statement will be based on MLPF&S’s estimate of the
value of the notes if MLPF&S or another of its affiliates were to make a market in the notes, which it is not obligated to
do. That estimate will be based upon the price that MLPF&S may pay for the notes in light of then-prevailing market conditions
and other considerations, as mentioned above, and will include transaction costs. This price may be higher than or lower than the
initial estimated value of the notes.
The distribution of the Note Prospectus in connection with these
offers or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made
available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized
to, rely on the Note Prospectus for information regarding Deutsche Bank or for any purpose other than that described in the immediately
preceding sentence.
Structuring the Notes
The notes are our debt securities, the return on which is linked
to the performance of the Index. As is the case for all of our debt securities, including our market-linked notes, the economic
terms of the notes reflect our actual or perceived creditworthiness at the time of pricing. The internal funding rate we use in
pricing the market-linked note is typically lower than the rate we would pay when we issue conventional debt securities of comparable
maturity. This generally relatively lower internal funding rate, which is reflected in the economic terms of the notes, along with
the fees and charges associated with market-linked notes, typically results in the initial estimated value of the notes on the
pricing date being less than their public offering price.
Payments on the notes, including the amount you receive at maturity
or upon an automatic call, will be calculated based on the $10 principal amount per unit and will depend on the performance of
the Index. In order to meet these payment obligations, at the time we issue the notes, we expect to enter into certain hedging
arrangements (which may include call options, put options or other derivatives) with MLPF&S or one of its affiliates. The terms
of these hedging arrangements are determined by seeking bids from market participants, which may include us, MLPF&S and one
of our respective affiliates, and take into account a number of factors, including our creditworthiness, interest rate movements,
the volatility of the Index, the tenor of the notes and the tenor of the hedging arrangements. The economic terms of the notes
and their initial estimated value depend in part on the terms of these hedging arrangements.
MLPF&S has advised us that the hedging arrangements will
include a hedging related charge of approximately $0.075 per unit, reflecting an estimated profit to be credited to MLPF&S
from these transactions. Since hedging entails risk and may be influenced by unpredictable market forces, additional profits and
losses from these hedging arrangements may be realized by us, MLPF&S or any other hedge providers.
For further information, see “Risk Factors—General
Risks Relating to the Notes” beginning on page PS-7 and “Use of Proceeds and Hedging” on page PS-18 of product
supplement EQUITY INDICES STR-1.
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Strategic Accelerated Redemption Securities®
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due August , 2021
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Summary Tax Consequences
In the opinion of our special tax counsel, Davis Polk & Wardwell
LLP, which is based on prevailing market conditions, it is more likely than not that the notes will be treated for U.S. federal
income tax purposes as prepaid financial contracts that are not debt. Generally, if this treatment is respected, (i) you should
not recognize taxable income or loss prior to the taxable disposition of your notes (including at maturity or pursuant to a call)
and (ii) the gain or loss on your notes should be capital gain or loss and should be long-term capital gain or loss if you have
held the notes for more than one year. The Internal Revenue Service (the “IRS”) or a court might not agree with this
treatment, however, in which case the timing and character of income or loss on your notes could be materially and adversely affected.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether beneficial owners of these instruments should be required
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to
which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. persons
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional
interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of
an investment in the notes, possibly with retroactive effect.
You should review carefully the section of the accompanying product
supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion, when read in combination with
that section, constitutes the full opinion of our special tax counsel regarding the material U.S. federal income tax consequences
of owning and disposing of the notes.
Under current law, the United Kingdom will not impose withholding
tax on payments made with respect to the notes.
For a discussion of certain German tax considerations relating
to the notes, you should refer to the section in the accompanying prospectus supplement entitled “Taxation by Germany of
Non-Resident Holders.”
You should consult your tax advisor regarding the U.S. federal
tax consequences of an investment in the notes (including possible alternative treatments and the issues presented by the 2007
notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Where You Can Find More Information
We have filed a registration statement (including a product supplement,
a prospectus supplement and a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you
should read the Note Prospectus, including this term sheet, and the other documents that we have filed with the SEC, for more complete
information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC website at www.sec.gov.
Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you these documents if you so request
by calling MLPF&S toll-free at 1-800-294-1322.
Market-Linked Investments Classification
MLPF&S has advised us that it classifies certain market-linked
investments (the “Market-Linked Investments”) into categories, each with different investment characteristics. The
following description is meant solely for informational purposes and is not intended to represent any particular Enhanced Return
Market-Linked Investment or guarantee any performance.
Enhanced Return Market-Linked Investments are short- to medium-term
investments that offer you a way to enhance exposure to a particular market view without taking on a similarly enhanced level of
market downside risk. They can be especially effective in a flat to moderately positive market (or, in the case of bearish investments,
a flat to moderately negative market). In exchange for the potential to receive better-than market returns on the linked asset,
you must generally accept market downside risk and capped upside potential. As these investments are not market downside protected,
and do not assure full repayment of principal at maturity, you need to be prepared for the possibility that you may lose all or
part of your investment.
“Strategic Accelerated Redemption Securities®”
is a registered service mark of Bank of America Corporation, the parent company of MLPF&S.
| Strategic Accelerated Redemption Securities® |
TS-13 |
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