Term Sheet No. 2592B
To underlying supplement
No. 1 dated August 17, 2015,
product supplement B
dated July 31, 2015,
prospectus supplement
dated July 31, 2015 and
prospectus dated July
31, 2015
|
Registration Statement No. 333-206013
Dated November 23, 2015; Rule
433
|
Deutsche Bank AG
$ Capped Buffered Underlying Securities
(BUyS) Linked to the S&P 500® Index due November 24, 2017
General
| • | The
Capped Buffered Underlying Securities (BUyS) Linked to the S&P 500®
Index due November 24, 2017 are designed for investors who seek a return at maturity
of 150.00% of any increase in the level of the S&P 500® Index (the
“Underlying”), up to the Maximum Return of 20.00%. If the Final Level
is less than the Initial Level by an amount not greater than the Buffer Amount of 20.00%,
investors will receive at maturity the Face Amount per $1,000 Face Amount of BUyS. However,
if the Final Level is less than the Initial Level by an amount greater than the Buffer
Amount of 20.00%, for each $1,000 Face Amount of BUyS, investors will lose 1.25% of the
Face Amount for every 1.00% by which the Final Level is less than the Initial Level by
an amount greater than the Buffer Amount. The BUyS do not pay any coupons or dividends
and investors should be willing to lose some or all of their investment if the Final
Level is less than the Initial Level by an amount greater than the Buffer Amount. Any
payment on the BUyS is subject to the credit of the Issuer. |
| • | Senior
unsecured obligations of Deutsche Bank AG due November 24, 2017 |
| • | Minimum
purchase of $1,000. Minimum denominations of $1,000 (the “Face Amount”)
and integral multiples thereof. |
| • | The
BUyS are expected to price on or about November 23, 2015 (the “Trade Date”)
and are expected to settle on or about November 27, 2015 (the “Settlement Date”). |
Key Terms
Issuer: |
Deutsche Bank AG, London Branch |
Underlying: |
S&P 500® Index (Ticker: SPX) |
Issue Price: |
100% of the Face Amount |
Payment at Maturity: |
· If the Final Level is greater than or equal to the Initial Level, you will receive a cash payment at maturity per $1,000 Face Amount of BUyS, calculated as follows: |
|
$1,000 + [$1,000 x the lesser of (i) the Underlying Return x Upside Leverage Factor and (ii) the Maximum Return] |
|
· If
the Final Level is less than the Initial Level by an amount not greater than the Buffer Amount, you will receive a cash payment
at maturity equal to the Face Amount per $1,000 Face Amount of BUyS. |
|
· If
the Final Level is less than the Initial Level by an amount greater than the Buffer Amount,
you will receive a cash payment at maturity per $1,000 Face Amount of BUyS, calculated as follows:
$1,000 + [$1,000 × (Underlying
Return + Buffer Amount) x Downside Participation Factor] |
|
If the Final Level is less than the Initial Level by an amount greater than the Buffer Amount, for each $1,000 Face Amount of BUyS, you will lose 1.25% of the Face Amount for every 1.00% by which the Final Level is less than the Initial Level by an amount greater than the Buffer Amount. In this circumstance, you will lose some or all of your investment. Any payment at maturity is subject to the credit of the Issuer. |
Underlying Return: |
The Underlying Return, expressed as a percentage,
will equal:
Final Level – Initial Level
Initial Level
The Underlying Return may be positive, zero or
negative.
|
(Key Terms continued on next page)
Investing in the BUyS involves a number
of risks. See “Risk Factors” beginning on page 12 of the accompanying prospectus, PS-5 of the accompanying prospectus
supplement and page 7 of the accompanying product supplement and “Selected Risk Considerations” beginning on page TS-8
of this term sheet.
The Issuer’s estimated value of
the BUyS on the Trade Date is approximately $974.80 to $994.80 per $1,000 Face Amount of BUyS, which is less than the Issue Price. Please
see “Issuer’s Estimated Value of the BUyS” on page TS-3 of this term sheet for additional information.
By acquiring the BUyS, you will be bound
by, and deemed to consent to, the imposition of any Resolution Measure (as defined below) by our competent resolution authority,
which may include the write down of all, or a portion, of any payment on the BUyS. If any Resolution Measure becomes applicable
to us, you may lose some or all of your investment in the BUyS. Please see “Resolution Measures” on page TS-4 of this
term sheet for more information.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the BUyS or passed upon the accuracy or the adequacy of this
term sheet or the accompanying underlying supplement, product supplement, prospectus supplement or prospectus. Any representation
to the contrary is a criminal offense.
|
Price to
Public
|
Discounts and
Commissions(1) |
Proceeds
to Us |
Per Security |
$1,000.00 |
$0.00 |
$1,000.00 |
Total |
$ |
$ |
$ |
| (1) | For more detailed information about discounts and commissions, please see “Supplemental Plan
of Distribution (Conflicts of Interest)” in this term sheet. Deutsche Bank Securities Inc. (“DBSI”), acting
as agent for Deutsche Bank AG, will not receive a selling concession in connection with the sale of the BUyS. Investors that purchase
and hold the BUyS in fee-based advisory accounts may be charged fees based on the amount of assets held in those accounts, including
the BUyS. |
The agent for this offering is our affiliate.
For more information see “Supplemental Plan of Distribution (Conflicts of Interest)” in this term sheet.
The BUyS are not bank deposits or savings
accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other U.S. or foreign governmental
agency or instrumentality.
November 23, 2015
Initial Level: |
2,089.17, equal to the closing level of the Underlying on November 20, 2015. The Initial Level is not the closing level of the Underlying on the Trade Date. |
Final Level: |
The closing level of the Underlying on the Final Valuation Date |
Buffer Amount: |
20.00% |
Upside Leverage Factor: |
150.00% |
Downside Participation Factor: |
125.00% |
Maximum Return: |
20.00% |
Trade Date2: |
November 23, 2015 |
Settlement Date2: |
November 27, 2015 |
Final Valuation Date1, 2: |
November 20, 2017 |
Maturity Date1, 2: |
November 24, 2017 |
Listing: |
The BUyS will not be listed on any securities exchange. |
CUSIP: |
25152RU50 |
ISIN: |
US25152RU507 |
1 Subject to adjustment as described
under “Description of Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying product
supplement.
2 In the event that we make any
change to the expected Trade Date or Settlement Date, the Final Valuation Date and Maturity Date may be changed so that the stated
term of the BUyS remains the same.
Issuer’s Estimated Value of the BUyS
The Issuer’s estimated value
of the BUyS is equal to the sum of our valuations of the following two components of the BUyS: (i) a bond and (ii) an embedded
derivative(s). The value of the bond component of the BUyS is calculated based on the present value of the stream of cash payments
associated with a conventional bond with a principal amount equal to the Face Amount of BUyS, discounted at an internal funding
rate, which is determined primarily based on our market-based yield curve, adjusted to account for our funding needs and objectives
for the period matching the term of the BUyS. 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 agent’s commissions, if
any, and the estimated cost of hedging our obligations under the BUyS, reduces the economic terms of the BUyS to you and is expected
to adversely affect the price at which you may be able to sell the BUyS in any secondary market. The value of the embedded derivative(s)
is calculated based on our internal pricing models using relevant parameter inputs such as expected interest and dividend rates
and mid-market levels of price and volatility of the assets underlying the BUyS or any futures, options or swaps related to such
underlying assets. Our internal pricing models are proprietary and rely in part on certain assumptions about future events, which
may prove to be incorrect.
The Issuer’s estimated value
of the BUyS on the Trade Date (as disclosed on the cover of this term sheet) is less than the Issue Price of the BUyS. The difference
between the Issue Price and the Issuer’s estimated value of the BUyS on the Trade Date is due to the inclusion in the Issue
Price of the agent’s commissions, if any, and the cost of hedging our obligations under the BUyS through one or more of our
affiliates. Such hedging cost includes our or our affiliates’ expected cost of providing such hedge, as well as the profit
we or our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.
The Issuer’s estimated value
of the BUyS on the Trade Date does not represent the price at which we or any of our affiliates would be willing to purchase your
BUyS 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 or our affiliates would be willing to purchase the BUyS from you in secondary market transactions,
if at all, would generally be lower than both the Issue Price and the Issuer’s estimated value of the BUyS on the Trade Date.
Our purchase price, if any, in secondary market transactions will be based on the estimated value of the BUyS determined by reference
to (i) the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and
(ii) our pricing models at that time, less a bid spread determined after taking into account the size of the repurchase, the nature
of the assets underlying the BUyS and then-prevailing market conditions. The price we report to financial reporting services and
to distributors of our BUyS for use on customer account statements would generally be determined on the same basis. However, during
the period of approximately three months beginning from the Trade Date, we or our affiliates may, in our sole discretion, increase
the purchase price determined as described above by an amount equal to the declining differential between the Issue Price and the
Issuer’s estimated value of the BUyS on the Trade Date, prorated over such period on a straight-line basis, for transactions
that are individually and in the aggregate of the expected size for ordinary secondary market repurchases.
Resolution Measures
On
May 15, 2014, the European Parliament and the Council of the European Union published a directive for establishing a framework
for the recovery and resolution of credit institutions and investment firms (commonly referred to as the “Bank Recovery
and Resolution Directive”). The Bank Recovery and Resolution Directive requires each member state of the European Union
to adopt and publish by December 31, 2014 the laws, regulations and administrative provisions necessary to comply with the Bank
Recovery and Resolution Directive. Germany has adopted the Recovery and Resolution Act (Sanierungs- und Abwicklungsgesetz,
or “Resolution Act”), which became effective on January 1, 2015. The Resolution Act may result in the BUyS being
subject to any Resolution Measure by our competent resolution authority 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. By acquiring the BUyS, you will be bound by and deemed
to consent to the provisions set forth in the accompanying prospectus, which we have summarized below.
By
acquiring the BUyS, you will be bound by and will be deemed to consent to the imposition of any Resolution Measure by our competent
resolution authority. Under the relevant resolution laws and regulations as applicable to us from time to time, the BUyS may be
subject to the powers exercised by our competent resolution authority to: (i) write down, including to zero, any payment (or delivery
obligations) on the BUyS; (ii) convert the BUyS into ordinary shares or other instruments qualifying as core equity tier 1 capital;
and/or (iii) apply any other resolution measure, including (but not limited to) a transfer of the BUyS to another entity, an amendment
of the terms and conditions of the BUyS or the cancellation of the BUyS. We refer to each of these measures as a “Resolution
Measure.”
Furthermore,
by acquiring the BUyS, you:
| • | are deemed irrevocably to have agreed, and you will agree:
(i) to be bound by any Resolution Measure; (ii) that you will have no claim or other right against us arising out of any Resolution
Measure; and (iii) that the imposition of any Resolution Measure will not constitute a default or an event of default under the
BUyS, under the senior indenture dated November 22, 2006 among us, Law Debenture Trust Company of New York, as trustee, and Deutsche
Bank Trust Company Americas, as issuing agent, paying agent, authenticating agent and registrar, as amended and supplemented from
time to time (the “Indenture”), or for the purpose of the Trust Indenture Act of 1939, as amended (the “Trust
Indenture Act”); |
| • | waive, to the fullest extent permitted by the Trust Indenture
Act and applicable law, any and all claims against the trustee and the paying agent for, agree not to initiate a suit against the
trustee and the paying agent in respect of, and agree that neither the trustee nor the paying agent will be liable for, any action
that the trustee or the paying agent takes, or abstains from taking, in either case in accordance with the imposition of a Resolution
Measure by our competent resolution authority with respect to the BUyS; and |
| • | will be deemed irrevocably to have (i) consented to the imposition
of any Resolution Measure as it may be imposed without any prior notice by the competent resolution authority of its decision to
exercise such power with respect to the BUyS and (ii) authorized, directed and requested The Depository Trust Company (“DTC”)
and any participant in DTC or other intermediary through which you hold such BUyS to take any and all necessary action, if required,
to implement the imposition of any Resolution Measure with respect to the BUyS as it may be imposed, without any further action
or direction on your part or on the part of the trustee, paying agent, issuing agent, authenticating agent, registrar or calculation
agent. |
This
is only a summary, for more information please see the accompanying prospectus dated July 31, 2015, including the risk factor “The
securities may become subordinated to the claims of other creditors, be written down, be converted or become subject to other resolution
measures. You may lose part or all of your investment if any such measure becomes applicable to us.”
Additional Terms Specific
to the BUyS
You
should read this term sheet together with underlying supplement No. 1 dated August 17, 2015, product supplement B dated July 31,
2015, the prospectus supplement dated July 31, 2015 relating to our Series A global notes of which these BUyS are a part and the
prospectus dated July 31, 2015. You may access these documents on the website of the Securities and Exchange Commission (the “SEC”)
at.www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant
date on the SEC website):
| • | Underlying supplement No. 1 dated August 17, 2015: |
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006546/crt_dp58829-424b2.pdf
| • | Product supplement B dated July 31, 2015: |
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
| • | Prospectus supplement dated July 31, 2015: |
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
| • | Prospectus dated July 31, 2015: |
http://www.sec.gov/Archives/edgar/data/1159508/000119312515273165/d40464d424b2.htm
Our
Central Index Key, or CIK, on the SEC website is 0001159508. As used in this term sheet, “we,” “us”
or “our” refers to Deutsche Bank AG, including, as the context requires, acting through one of its branches.
This
term sheet, together with the documents listed above, contains the terms of the BUyS and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in this term sheet and in “Risk Factors” in the accompanying product
supplement, prospectus supplement and prospectus, as the BUyS involve risks not associated with conventional debt securities. We
urge you to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the BUyS.
Deutsche
Bank AG has filed a registration statement (including a prospectus) with the Securities and Exchange Commission for the offering
to which this term sheet relates. Before you invest, you should read the prospectus in that registration statement and the other
documents relating to this offering that Deutsche Bank AG has filed with the SEC for more complete information about Deutsche Bank
AG and this offering. You may obtain these documents without cost by visiting EDGAR on the SEC website at.www.sec.gov.
Alternatively, Deutsche Bank AG, any agent or any dealer participating in this offering will arrange to send you the prospectus,
prospectus supplement, product supplement, underlying supplement and this term sheet if you so request by calling toll-free 1-800-311-4409.
You
may revoke your offer to purchase the BUyS at any time prior to the time at which we accept such offer by notifying the applicable
agent. We reserve the right to change the terms of, or reject any offer to purchase, the BUyS prior to their issuance. We will
notify you in the event of any changes to the terms of the BUyS and you will be asked to accept such changes in connection with
your purchase of any BUyS. You may also choose to reject such changes, in which case we may reject your offer to purchase the BUyS.
What Is the Payment at Maturity on the
BUyS, Assuming a Range of Hypothetical Performances for the Underlying?
The table below illustrates
the Payment at Maturity per $1,000 Face Amount of BUyS for a hypothetical range of performances for the Underlying from -100.00%
to +100.00%. The table below reflects the Upside Leverage Factor of 150.00%, the Buffer Amount of 20.00%, the Maximum Return of
20.00% and the Downside Participation Factor of 125.00%. The actual Initial Level is set forth on the cover of this term sheet.
The following results are based solely on the hypothetical examples cited. You should consider carefully whether the BUyS are suitable
to your investment goals. The numbers appearing in the table and examples below may have been rounded for ease of analysis.
Underlying
Return (%) |
Payment at Maturity ($) |
Return on BUyS (%) |
100.00% |
$1,200.00 |
20.00% |
75.00% |
$1,200.00 |
20.00% |
50.00% |
$1,200.00 |
20.00% |
40.00% |
$1,200.00 |
20.00% |
30.00% |
$1,200.00 |
20.00% |
20.00% |
$1,200.00 |
20.00% |
13.33% |
$1,200.00 |
20.00% |
10.00% |
$1,150.00 |
15.00% |
5.00% |
$1,075.00 |
7.50% |
0.00% |
$1,000.00 |
0.00% |
-5.00% |
$1,000.00 |
0.00% |
-10.00% |
$1,000.00 |
0.00% |
-20.00% |
$1,000.00 |
0.00% |
-30.00% |
$875.00 |
-12.50% |
-40.00% |
$750.00 |
-25.00% |
-50.00% |
$625.00 |
-37.50% |
-75.00% |
$312.50 |
-68.75% |
-100.00% |
$0.00 |
-100.00% |
Hypothetical Examples of Amounts Payable at Maturity
The following hypothetical examples illustrate
how the Payments at Maturity set forth in the table above are calculated.
Example 1: The Final Level is greater
than the Initial Level, resulting in an Underlying Return of 30.00%. Because the Final Level is greater than the Initial Level
and the Underlying Return of 30.00% multiplied by the Upside Leverage Factor exceeds the Maximum Return, the investor receives
a Payment at Maturity of $1,200.00 per $1,000 Face Amount of BUyS, the maximum payment on the BUyS, calculated as follows:
$1,000 + ($1,000 x the lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)
$1,000 + ($1,000 x 20.00%) = $1,200.00
Example 2: The Final Level is greater
than the Initial Level, resulting in an Underlying Return of 5.00%. Because the Final Level is greater than the Initial Level
and the Underlying Return of 5.00% multiplied by the Upside Leverage Factor is less than the Maximum Return, the investor receives
a Payment at Maturity of $1,075.00 per $1,000 Face Amount of BUyS, calculated as follows:
$1,000 + ($1,000 x the lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)
$1,000 + ($1,000 x 5.00%
x 150.00%) = $1,075.00
Example 3: The Final Level is less than
the Initial Level by an amount not greater than the Buffer Amount, resulting in an Underlying Return of -5.00%. Because the
Final Level is less than the Initial Level by an amount not greater than the Buffer Amount, the investor receives a Payment at
Maturity of $1,000.00 per $1,000 Face Amount of BUyS.
Example 4: The Final Level is less than
the Initial Level by an amount greater than the Buffer Amount, resulting in an Underlying Return of -50.00%. Because the Final
Level is less than the Initial Level by an amount greater than the Buffer Amount, the investor receives a Payment at Maturity of
$625.00 per $1,000 Face Amount of BUyS, calculated as follows:
$1,000 + [$1,000 × (Underlying
Return + Buffer Amount) x Downside Participation Factor]
$1,000 + [$1,000 x (-50.00% + 20.00%)
x 125.00%] = $625.00
Selected Purchase Considerations
| • | CAPPED APPRECIATION POTENTIAL — The BUyS provide upside leveraged exposure to any
increase in the level of the Underlying up to the Maximum Return of 20.00%. Consequently, the maximum Payment at Maturity will
be $1,200.00 for each $1,000 Face Amount of BUyS you hold. Any payment on the BUyS is subject to our ability to satisfy our obligations
as they become due. |
| • | LIMITED PROTECTION AGAINST LOSS — Payment at maturity of the Face Amount per $1,000
Face Amount of BUyS is protected against a percentage decline in the Final Level, as compared to the Initial Level, of up to the
Buffer Amount. If such percentage decline is greater than the Buffer Amount of 20.00%, for each $1,000 Face Amount of BUyS, you
will lose 1.25% of the Face Amount for every 1.00% by which the Final Level is less than the Initial Level by an amount greater
than the Buffer Amount. In this circumstance, you will lose some or all of your investment in the BUyS. |
| • | RETURN LINKED TO THE PERFORMANCE OF THE S&P 500® INDEX — The
return on the BUyS, which may be positive, zero or negative, is linked to the performance of the S&P 500® Index
as described herein. The S&P 500® Index is intended to provide a performance benchmark for the U.S. equity markets.
The calculation of the level of the S&P 500® Index is based on the relative value of the aggregate market value
of the shares of 500 companies as of a particular time as compared to the aggregate average market value of the shares of 500 similar
companies during the base period of the years 1941 through 1943. This is only a summary of the S&P 500® Index.
For more information on the S&P 500® Index, including information concerning its composition, calculation methodology
and adjustment policy, please see the section entitled “The S&P Dow Jones Indices – The S&P 500®
Index” in the accompanying underlying supplement No. 1 dated August 17, 2015. |
| • | 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 BUyS 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 maturity or other taxable disposition of your BUyS and (ii) the gain or loss
on your BUyS should be capital gain or loss and should be long-term capital gain or loss if you have held the BUyS 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 BUyS 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 BUyS, possibly with retroactive effect.
Non-U.S. holders should note
that, notwithstanding anything to the contrary in the section of the accompanying product supplement entitled “U.S. Federal
Income Tax Consequences,” recently promulgated Treasury regulations imposing a withholding tax on certain “dividend
equivalents” under certain “equity linked instruments” will not apply to the BUyS.
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 BUyS.
Under current law, the United
Kingdom will not impose withholding tax on payments made with respect to the BUyS.
For a discussion of certain German
tax considerations relating to the BUyS, you should refer to the section in the accompanying prospectus supplement entitled “Taxation
by Germany of Non-Resident Holders.”
You should consult your tax
adviser regarding the U.S. federal tax consequences of an investment in the BUyS (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.
Selected
Risk Considerations
An investment in the
BUyS involves significant risks. Investing in the BUyS is not equivalent to investing directly in the stocks composing the Underlying.
In addition to these selected risk considerations, you should review the “Risk Factors” sections of the accompanying
product supplement, prospectus supplement and prospectus.
| • | YOUR INVESTMENT IN THE BUYS MAY RESULT IN A LOSS — The BUyS do not pay any coupons
or dividends and do not guarantee any return of your investment. The return on the BUyS at maturity is linked to the performance
of the Underlying and will depend on whether, and the extent to which, the Underlying Return is positive, zero or negative. If
the Final Level is less than the Initial Level by an amount greater than the Buffer Amount, for each $1,000 Face Amount of BUyS,
you will lose 1.25% of the Face Amount for every 1.00% by which the Final Level is less than the Initial Level by an amount greater
than the Buffer Amount. In this circumstance, you will lose some or all of your investment in the BUyS. Any payment on the BUyS
is subject to our ability to satisfy our obligations as they become due. |
| • | THE RETURN ON YOUR BUYS IS LIMITED BY THE MAXIMUM RETURN — If the Final Level is greater
than or equal to the Initial Level, for each $1,000 Face Amount of BUyS, you will receive at maturity $1,000 plus an amount equal
to $1,000 multiplied by the lesser of (i) the Underlying Return times the Upside Leverage Factor and (ii) the Maximum Return
of 20.00%. Consequently, the maximum Payment at Maturity will be $1,200.00 for each $1,000 Face Amount of BUyS you hold, regardless
of any further increase in the level of the Underlying, which may be significant. |
| • | THE BUYS DO NOT PAY ANY COUPONS — Unlike ordinary debt securities, the BUyS do not
pay any coupons and do not guarantee any return of your investment at maturity. |
| • | THE BUYS ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK AG
— The BUyS are senior unsecured obligations of Deutsche Bank AG and are not, either directly or indirectly, an obligation
of any third party. Any payment(s) to be made on the BUyS depends on the ability of Deutsche Bank AG to satisfy its obligations
as they become due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating or increase in the credit spreads
charged by the market for taking Deutsche Bank AG’s credit risk will likely have an adverse effect on the value of the BUyS.
As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the value of the BUyS and in the event Deutsche
Bank AG were to default on its obligations or become subject to a Resolution Measure, you might not receive any amount(s) owed
to you under the terms of the BUyS and you could lose your entire investment. |
| • | THE BUYS MAY BECOME SUBORDINATED TO THE CLAIMS OF OTHER
CREDITORS, BE WRITTEN DOWN, BE CONVERTED OR BECOME SUBJECT TO OTHER RESOLUTION MEASURES. YOU MAY LOSE SOME OR ALL OF YOUR INVESTMENT
IF ANY SUCH MEASURE BECOMES APPLICABLE TO US — On May 15, 2014, the European Parliament and the Council of the European
Union published the Bank Recovery and Resolution Directive for establishing a framework for the recovery and resolution of credit
institutions and investment firms. The Bank Recovery and Resolution Directive required each member state of the European Union
to adopt and publish by December 31, 2014 the laws, regulations and administrative provisions necessary to comply with the Bank
Recovery and Resolution Directive. To implement the Bank Recovery and Resolution Directive, Germany has adopted the Resolution
Act, which became effective on January 1, 2015. The Resolution Act may result in the BUyS being subject to the powers exercised
by our competent resolution authority to impose a Resolution Measure on us, which may include: writing down, including to zero,
any payment on the BUyS; converting the BUyS into ordinary shares or other instruments qualifying as core equity tier 1 capital;
or applying any other resolution measure, including (but not limited to) transferring the BUyS to another entity, amending the
terms and conditions of the BUyS or cancelling of the BUyS. We expect additional Resolution Measures to become applicable to us
when the European regulation of July 15, 2014 relating to the resolution of credit institutions and certain investment firms in
the framework of a Single Resolution Mechanism and a Single Resolution Fund (commonly referred to as the “SRM Regulation”)
becomes effective on January 1, 2016. On May 26, 2015, the German Federal Government |
published
a draft bill of a Resolution Mechanism Act. One of this law’s primary purposes would be to conform German law to the SRM
Regulation. In addition, the draft bill proposes that in the event of an insolvency proceeding, senior unsecured debt instruments
would by operation of law rank junior to all other outstanding unsecured unsubordinated obligations, but in priority to all contractually
subordinated instruments. The proposed subordination would not apply if the terms of the senior unsecured debt instruments provide
that (i) the repayment amount depends on the occurrence or non-occurrence of a future event, or will be settled in kind, or (ii)
the interest amount depends on the occurrence or non-occurrence of a future event, unless it depends solely on a fixed or variable
reference interest rate and will be settled in cash. Instruments that are typically traded on money markets would not be subject
to the proposed subordination. The proposed order of priorities would apply to insolvency proceedings commenced on or after January
1, 2016. If enacted, the proposed subordination of senior unsecured debt instruments could apply to the BUyS, which would most
likely result in a larger share of loss being allocated to the BUyS in the event of an insolvency proceeding or the imposition
of any Resolution Measures by the competent resolution authority. The final version of the Resolution Mechanism Act may provide
for additional Resolution Measures that may become applicable to us. Imposition of a Resolution Measure would likely occur 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. You may lose some or all of your investment in the BUyS if a Resolution
Measure becomes applicable to us.
By
acquiring the BUyS, you would have no claim or other right against us arising out of any subordination or Resolution Measure, and
we would have no obligation to make payments under the BUyS following the imposition of a Resolution Measure. In particular, the
imposition of any Resolution Measure will not constitute a default or an event of default under the BUyS, under the Indenture or
for the purpose of the Trust Indenture Act. Furthermore, because the BUyS are subject to any Resolution Measure, secondary market
trading in the BUyS may not follow the trading behavior associated with similar types of securities issued by other financial institutions
which may be or have been subject to a Resolution Measure.
In
addition, by your acquisition of the BUyS, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable
law, any and all claims against the trustee and the paying agent for, agree not to initiate a suit against the trustee and the
paying agent in respect of, and agree that neither the trustee nor the paying agent will be liable for, any action that the trustee
or the paying agent takes, or abstains from taking, in either case in accordance with the imposition of a Resolution Measure by
our competent resolution authority with respect to the BUyS. Accordingly, you may have limited or circumscribed rights to challenge
any decision of our competent resolution authority to impose any Resolution Measure.
| • | THE ISSUER’S ESTIMATED VALUE OF THE BUYS ON THE TRADE DATE WILL BE LESS THAN THE ISSUE
PRICE OF THE BUYS — The Issuer’s estimated value of the BUyS on the Trade Date (as disclosed on the cover
of this term sheet) is less than the Issue Price of the BUyS. The difference between the Issue Price and the Issuer’s estimated
value of the BUyS on the Trade Date is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the
cost of hedging our obligations under the BUyS through one or more of our affiliates. Such hedging cost includes our or our affiliates’
expected cost of providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming
the risks inherent in providing such hedge. The Issuer’s estimated value of the BUyS is determined 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 on equivalent terms. This difference in funding rate, as well as the agent’s commissions, if any, and the
estimated cost of hedging our obligations under the BUyS, reduces the economic terms of the BUyS to you and is expected to adversely
affect the price at which you may be able to sell the BUyS in any secondary market. In addition, our internal pricing models are
proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. If at any time a
third party dealer were to quote a price to purchase your BUyS or otherwise value your BUyS, that price or value may differ materially
from the estimated value of the BUyS determined by reference to our internal funding rate and pricing models. This difference
is due to, among other things, any difference in funding rates, pricing models or assumptions used by any dealer who may purchase
the BUyS in the secondary market. |
| • | INVESTING IN THE BUYS IS NOT THE SAME AS INVESTING IN THE STOCKS COMPOSING THE UNDERLYING
— The return on your BUyS may not reflect the return you would have realized if you had directly invested in the stocks composing
the Underlying. |
| • | IF THE LEVEL OF THE UNDERLYING CHANGES, THE VALUE OF YOUR BUYS MAY NOT CHANGE IN THE SAME MANNER
— Your BUyS may trade quite differently from the level of the Underlying. Changes in the level of the Underlying may not
result in comparable changes in the value of your BUyS. |
| • | NO DIVIDEND PAYMENTS OR VOTING RIGHTS — As a holder of the BUyS, you will not have
any voting rights or rights to receive cash dividends or other distributions or other rights that holders of the stocks composing
the Underlying would have. |
| • | THE UNDERLYING REFLECTS THE PRICE RETURN OF THE STOCKS COMPOSING THE UNDERLYING, NOT THEIR TOTAL
RETURN INCLUDING ALL DIVIDENDS AND OTHER DISTRIBUTIONS — The Underlying reflects the changes in the market prices
of the stocks composing the Underlying. The Underlying is not, however, a “total return” index, which, in addition
to reflecting those price returns, would also reflect the reinvestment of all dividends and other distributions paid on the stocks
composing the Underlying. |
| • | THE SPONSOR OF THE UNDERLYING MAY ADJUST THE UNDERLYING IN WAYS THAT AFFECT THE LEVEL OF THE
UNDERLYING AND HAS NO OBLIGATION TO CONSIDER YOUR INTERESTS — The sponsor of the Underlying (the “Index
Sponsor”) is responsible for calculating and maintaining the Underlying. The Index Sponsor can add, delete or substitute
the Underlying components or make other methodological changes that could change the level of the Underlying. You should realize
that the changing of Underlying components may affect the Underlying, as a newly added component may perform significantly better
or worse than the component it replaces. Additionally, the Index Sponsor may alter, discontinue or suspend calculation or dissemination
of the Underlying. Any of these actions could adversely affect the value of, and your return on, the BUyS. The Index Sponsor has
no obligation to consider your interests in calculating or revising the Underlying. |
| • | PAST PERFORMANCE OF THE UNDERLYING IS NO GUIDE TO FUTURE PERFORMANCE — The
actual performance of the Underlying over the term of the BUyS may bear little relation to the historical closing levels of the
Underlying and/or the hypothetical return examples set forth elsewhere in this term sheet. We cannot predict the future performance
of the Underlying or whether the performance of the Underlying will result in the return of any of your investment. |
| • | ASSUMING NO CHANGES IN MARKET CONDITIONS AND OTHER RELEVANT FACTORS, THE PRICE YOU MAY RECEIVE
FOR YOUR BUYS IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER’S ESTIMATED
VALUE OF THE BUYS ON THE TRADE DATE — While the payment(s) on the BUyS described in this term sheet is based on
the full Face Amount of BUyS, the Issuer’s estimated value of the BUyS on the Trade Date (as disclosed on the cover of this
term sheet) is less than the Issue Price of the BUyS. The Issuer’s estimated value of the BUyS on the Trade Date does not
represent the price at which we or any of our affiliates would be willing to purchase your BUyS 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 or our affiliates would be willing to purchase the BUyS from you in secondary market transactions, if at all, would generally
be lower than both the Issue Price and the Issuer’s estimated value of the BUyS on the Trade Date. Our purchase price, if
any, in secondary market transactions would be based on the estimated value of the BUyS determined by reference to (i) the then-prevailing
internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our pricing models at
that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the assets underlying
the BUyS and then-prevailing market conditions. The price we report to financial reporting services and to distributors of our
BUyS for use on customer account statements would generally be determined on the same basis. However, during the period of approximately
three months beginning from the Trade Date, we or our affiliates may, in our sole discretion, increase the purchase price determined
as described above by an amount equal to the declining differential between the Issue Price and the Issuer’s estimated value
of the BUyS on the Trade Date, prorated over such period on a straight-line basis, for transactions that are individually and in
the aggregate of the expected size for ordinary secondary market repurchases. |
| | In addition to the factors discussed above, the value of the BUyS and our purchase price in secondary
market transactions after the Trade Date, if any, will vary based on many economic and market factors, including our creditworthiness,
and cannot be predicted with accuracy. These changes may adversely affect the value of your BUyS, including the price you may receive
in any secondary market transactions. Any sale prior to the Maturity Date could result in a substantial loss to you. The BUyS are
not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your BUyS to maturity. |
| • | THE BUYS WILL NOT BE LISTED AND THERE WILL LIKELY BE LIMITED LIQUIDITY — The BUyS
will not be listed on any securities exchange. There may be little or no secondary market for the BUyS. We or our affiliates
intend to act as market makers for the BUyS but are not required to do so and may cease such market making activities at any time. Even
if there is a secondary market, it may not provide enough liquidity to allow you to sell the BUyS when you wish to do so or at
a price advantageous to you. Because we do not |
expect other dealers to make
a secondary market for the BUyS, the price at which you may be able to sell your BUyS is likely to depend on the price, if any,
at which we or our affiliates are willing to buy the BUyS. If, at any time, we or our affiliates do not act as market makers,
it is likely that there would be little or no secondary market in the BUyS. If you have to sell your BUyS prior to maturity,
you may not be able to do so or you may have to sell them at a substantial loss, even in cases where the level of the Underlying
has increased since the Trade Date.
| • | MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE BUYS — While we expect
that, generally, the level of the Underlying will affect the value of the BUyS more than any other single factor, the value of
the BUyS prior to maturity will also be affected by a number of other factors that may either offset or magnify each other, including: |
| • | the expected volatility of the Underlying; |
| • | the time remaining to the maturity of the BUyS; |
| • | the market prices and dividend rates of the stocks composing the Underlying; |
| • | the composition of the Underlying; |
| • | interest rates and yields in the market generally; |
| • | geopolitical conditions and economic, financial, political, regulatory or judicial events that
affect the Underlying or the markets generally; |
| • | supply and demand for the BUyS; and |
| • | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
| • | TRADING AND OTHER TRANSACTIONS BY US OR OUR AFFILIATES
IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE BUYS — We or our affiliates expect to hedge our
exposure from the BUyS by entering into equity and equity derivative transactions, such as over-the-counter options, futures or
exchange-traded instruments. We or our affiliates may also engage in trading in instruments linked or related to the Underlying
on a regular basis as part of our or their general broker-dealer and other businesses, for proprietary accounts, for other accounts
under management or to facilitate transactions for customers, including block transactions. Such trading and hedging activities
may adversely affect the level of the Underlying, and therefore make it less likely that you will receive a positive return on
your investment in the BUyS. It is possible that we or our affiliates could receive substantial returns from these hedging and
trading activities while the value of the BUyS declines. We or our affiliates may also issue or underwrite other securities or
financial or derivative instruments with returns linked or related to the Underlying. To the extent we or our affiliates serve
as issuer, agent or underwriter for such securities or financial or derivative instruments, our or our affiliates’ interests
with respect to such products may be adverse to those of the holders of the BuyS. Introducing competing products into the marketplace
in this manner could adversely affect the level of the Underlying and the value of the BUyS. Any of the foregoing activities
described in this paragraph may reflect trading strategies that differ from, or are in direct opposition to, investors’ trading
and investment strategies related to the BUyS. Furthermore, because DBSI or one of its affiliates is expected to conduct trading
and hedging activities for us in connection with the BUyS, DBSI or such affiliate may profit in connection with such trading and
hedging activities and such profit, if any, will be in addition to any compensation that DBSI receives for the sale of the BUyS
to you. You should be aware that the potential to earn a profit in connection with hedging activities may create an incentive for
DBSI to sell the BUyS to you in addition to any compensation they would receive for the sale of the BUyS. |
| • | WE OR OUR AFFILIATES MAY PUBLISH RESEARCH, EXPRESS OPINIONS
OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE BUYS. ANY SUCH RESEARCH, OPINIONS OR RECOMMENDATIONS
COULD ADVERSELY AFFECT THE LEVEL OF THE UNDERLYING AND THE VALUE OF THE BUYS — We or our affiliates may publish research
from time to time on financial markets and other matters that could adversely affect the level of the Underlying and the value
of the BUyS or express opinions or provide recommendations that are inconsistent with purchasing or holding the BUyS. Any research,
opinions or recommendations expressed by us or our affiliates may not be consistent with each other and may be modified from time
to time without notice. You should make your own independent investigation of the merits of investing in the BUyS and the Underlying. |
| • | POTENTIAL CONFLICTS OF INTEREST — We and our
affiliates play a variety of roles in connection with the issuance of the BUyS, including acting as calculation agent, hedging
our obligations under the BUyS and determining the Issuer’s estimated value of the BUyS on the Trade Date and the price,
if any, at which we or our affiliates would be willing to purchase the BUyS from you in secondary market transactions. In performing
|
these
roles, our economic interests and those of our affiliates are potentially adverse to your interests as an investor in the BUyS.
The calculation agent will determine, among other things, all values, prices and levels required to be determined for the purposes
of the BUyS on any relevant date or time. The calculation agent will also be responsible for determining whether a market disruption
event has occurred. Any determination by the calculation agent could adversely affect the return on the BUyS.
| • | THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE BUYS ARE UNCERTAIN —
There is no direct legal authority regarding the proper U.S. federal income tax treatment of the BUyS, and we do not plan to request
a ruling from the IRS. Consequently, significant aspects of the tax treatment of the BUyS are uncertain, and the IRS or a court
might not agree with the treatment of the BUyS as prepaid financial contracts that are
not debt. If the IRS were successful in asserting an alternative treatment for the BUyS, the tax consequences of ownership and
disposition of the BUyS could be materially and adversely affected. In addition, as described above under “Tax Consequences,”
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. 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 BUyS, possibly with retroactive effect. You should review carefully the section of the accompanying product supplement entitled
“U.S. Federal Income Tax Consequences,” and consult your tax adviser regarding the U.S. federal tax consequences of
an investment in the BUyS (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. |
The BUyS may be suitable for you if:
| • | You seek an investment with a return linked to the performance of the Underlying as described herein; |
| • | You are willing to invest in the BUyS based on the Upside Leverage Factor, the Downside Participation
Factor, the Maximum Return and the Buffer Amount; |
| • | You are willing to lose up to 100% of your initial investment; |
| • | You are willing and able to hold the BUyS to maturity; |
| • | You are willing to accept our credit risk; |
| • | You do not seek current income from this investment; and |
| • | You do not seek an investment for which there will be an active secondary market. |
The BUyS may not be suitable for
you if:
| • | You do not seek an investment with a return linked to the performance of the Underlying as described
herein; |
| • | You are unwilling to invest in the BUyS based on the Upside Leverage Factor, the Downside Participation
Factor, the Maximum Return and the Buffer Amount; |
| • | You seek an investment that is protected against the loss of your initial investment; |
| • | You seek an investment with uncapped upside returns; |
| • | You are unwilling or unable to hold the BUyS to maturity; |
| • | You are unwilling to be exposed to our credit risk; |
| • | You seek current income from your investments; or |
| • | You seek an investment for which there will be an active secondary market. |
Historical Information
The following graph sets forth the historical
performance of the Underlying based on its daily closing levels from November 20, 2010 through November 20, 2015. The Initial Level
is 2,089.17, equal to the closing level of the S&P 500® Index on November 20, 2015. The graph below shows a
closing level that would result in a percentage decline from the Initial Level that is equal to the Buffer Amount of 20.00%. We
obtained the historical closing levels of the Underlying below from Bloomberg L.P. and we have not participated in the preparation
of, or verified, such information. The historical closing levels of the Underlying should not be taken as an indication
of future performance and no assurance can be given as to the closing level of the Underlying on the Final Valuation Date. We cannot
give you assurance that the performance of the Underlying will result in the return of any of your initial investment.
Supplemental Plan of Distribution (Conflicts of Interest)
DBSI, acting as agent for Deutsche Bank
AG, will not receive a selling concession in connection with the sale of the BUyS.
DBSI, the agent for this offering, is our
affiliate. Because DBSI is both our affiliate and a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”),
the underwriting arrangement for this offering must comply with the requirements of FINRA Rule 5121 regarding a FINRA member firm’s
distribution of the securities of an affiliate and related conflicts of interest. In accordance with FINRA Rule 5121, DBSI may
not make sales in offerings of the BUyS to any of its discretionary accounts without the prior written approval of the customer.
See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
Settlement
We expect to deliver the BUyS against payment
for the BUyS on the Settlement Date indicated above, which may be a date that is greater than three business days following the
Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are
required to settle in three business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement
Date is more than three business days after the Trade Date, purchasers who wish to transact in the BUyS more than three business
days prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
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