Indicative Termsheet 8y DB Note with Annual Coupons

Transcription

1 1 Target Market (TM) Investors who have a diversified investment portfolio and are looking for: - a core, income product - a USD investment and as a Europe based investor, Where the product is denominated in a currency other than the investor s reference currency, changes in rates of exchange may have an adverse effect on the value of the product. The investor bears the currency risk associated with investing in USD denominated product - a fixed rate of return for first 2 years followed by variable rate of return for last 6 years linked to the 5Y USD CMS rate subject to a minimum coupon of [1.00%]p.a. and a maximum coupon of [6.00%] p.a. - a secondary market to provide liquidity where necessary, subject to normal market conditions - An investment subject to Deutsche Bank AG credit risk in order to receive a higher return compared to cash products through exposure to the rates markets. Target Market investors will have a Medium attitude to risk for this product and have at least a Medium level of investment experience. Potential investors should be able to evaluate the rates markets and issuer risk of Deutsche Bank over an 8 year time horizon and are reasonably confident they will not need to access the invested capital for the duration of the notes. Prospective investors understand that unwind costs for longer-dated instruments will be higher than for shorter-dated investments and that a liquid secondary market for the Notes is not guaranteed. Prospective investors also understand that the Coupon Rate is a function of the tenor of the Notes, and that similar Notes with shorter tenors would in most circumstances have less attractive Coupon Rates. Prospective investors should consider the returns over the life of the note, not just during the fixed coupon period The investor is taking the view that the 5Y USD CMS interest rate will rise during the last 6 years of the life of the product (with a Cap at [6.00]%p.a. and a Floor at [1.00]%p.a.). Attitude to risk Low A. Capital preservation with little prospect of capital growth (conservative with minimal fluctuation in value, income only) B. Capital preservation with limited capital growth (low fluctuation in value, limited capital growth) Medium C. Capital preservation with moderate capital growth (balance of appreciation and income through moderate risk appetite) D. Moderate capital growth (more pronounced appetite for risk, maximise overall return with moderate fluctuations in value) E. Medium capital growth (more pronounced appetite for risk, maximise overall return with medium fluctuations in value) Level of understanding / experience of average Target Market investor for Structured Products Low Understands and has relevant experience in vanilla investment products such as cash equities, vanilla sovereign or corporate bonds, with no or little experience in structured products. Medium Understands and has relevant experience in structured products with (i) benchmark indices, cash equities, commodities, FX rates or interest rates as the underlying asset class and/or (ii) lightly structured payout strategies e.g. autocallables.

2 2 High F. Maximise end capital sum, accepting high short term volatility and fluctuations in value (enhanced return through moderate to high risk products) High Understands and has relevant experience in structured products with (i) alternative investments as the underlying asset class including credit, hedge fund, emerging market, asset backed securities, private equity or proprietary indices and/or (ii) a complex structured payout strategies e.g. leveraged and short strategies. Product Description & Rationale Issuer of the Note is Deutsche Bank AG. The Notes have a maturity of 8 years and pay a coupon of [5.00]% p.a. for first 2 years followed by a coupon equal to 0.8 times 5-year USD CMS rate, subject to minimum coupon of [1.00]% p.a. and maximum coupon of [6.00]% p.a.. Indicative Terms and Conditions Issuer Deutsche Bank AG, London Issue Volume [15,000,000] USD (Up to USD 150,000,000) Denomination USD 2,000 Issue Price 100% Commissions paid to the Distributor Up to 3.00%, according to market conditions Subscription Period [ASAP 01 August 2017] Issue Date [04 August 2017] Maturity Date [04 August 2025] Coupon Rate [5.00%] p.a. in respect of each Coupon Accrual Period ending before and including [04 August 2019] (Min ([6.00%], Max([1.00%], (0.8* CMS Rate 5y) in respect of each Coupon Accrual Period commencing after 04 August 2019 and ending on Maturity Date CMS Rate 5y Coupon Accrual Dates Means the 5-year annual swap rate for USD swap transactions which appears on the Reuters Screen ICESWAP1 as on Coupon Determination Date which is two business days prior to the beginning of each Coupon Period 04 August each year, commencing on 04 August 2017 and ending on (and including) the Maturity Date. Coupon Accrual Dates shall not adjust in accordance with the Business Day Convention. Coupon Payment Dates Coupon Period 04 August each year, commencing on 04 August 2018 and ending on (and including) the Maturity Date adjusted according to Business Day Convention The first coupon period starts on the Issue Date (including) and ends on the first Coupon Accrual Date (excluding). The second coupon period starts on the first Coupon Accrual Date (including) and ends on the second Coupon Accrual Date (excluding). Each subsequent coupon period starts on the next following Coupon Accrual Date (including) and ends on the successive Coupon Accrual Date (excluding).

3 3 Coupon Amount The coupon amount will be in USD paid and will be calculated per Note in the coupon payment period as the following: Coupon Amount = Coupon Rate x Denomination (30/360, following, unadjusted) Business Days Target2, London, New York Redemption at Maturity 100% Calculation/Paying Agent Expected Listing Market Making Clearing Agent Settlement Currency ISIN WKN Status Deutsche Bank AG, London Application will be made to list the Notes on Euro TLX. There can be no assurance that such listed will be granted. Subject to normal market conditions, Deutsche Bank AG is expected to continuously quote on bid/offer prices for this Note without being legally obliged to do so. Euroclear & Clearstream, Luxembourg USD XS DB1Y4J Deutsche Bank AG believes that the Securities fall within the scope of Sec 46f (7) of the German Banking Act (Kreditwesengesetz, "KWG") and constitute Preferred Senior Obligations as described under Ranking at the end of this document. The Securities themselves are not rated, however at the time of production (or revision) of this document [please check DB homepage to update paragraph on ratings], Deutsche Bank AG has been assigned the following ratings for Preferred Senior Obligations (up-to-date ratings are available under Moody s A3 Fitch A (emr) S&P A- Risk Factors Credit Risk Liquidity Risk Currency Risk The investor bears the credit risk of Deutsche Bank AG as Issuer of the Product. The Product constitutes unsubordinated, unsecured contractual obligations of the Issuer and ranks pari passu in all respect with all other unsubordinated, unsecured contractual obligations of the Issuer. The insolvency of the Issuer may lead to a partly or total loss of the invested capital. A liquid secondary market for the Notes is not guaranteed. The Notes may trade significantly below their issue price and the bid/offer spread may be significant Whenever the currency in which the product is denominated is different from the reference currency of the investor, the investor bears the risk associated

4 4 Product Risk with change in exchange rate between product currency and reference currency. An investment in the Notes involves risks. These risks may include, among others, equity market, bond market, foreign exchange, interest rate, market volatility and economic, political and regulatory risks and any combination of these and other risks. Prospective purchasers should be experienced with respect to transactions in instruments such as the Notes and in the underlying asset or other basis of reference for the Notes (the Underlying ). Prospective purchasers should understand the risks associated with an investment in the Securities and should only reach an investment decision after careful consideration, with their professional independent financial, legal, tax, accounting and other advisers, of (i) the suitability of an investment in the Notes in the light of their own particular financial, tax and other circumstances; (ii) the information set out in this document and (iii) the Underlying. The Notes may decline in value and investors should be prepared to sustain a total loss of their investment in the Notes. An investment in the Notes should only be made after assessing the direction, timing and magnitude of potential future changes in the value of the Basket Constituents, and/or the in the composition or method of calculation of the Basket Constituents, as the return of any such investment will be dependent, inter alia, upon such changes. More than one risk factor may have simultaneous effect with regard to the Notes such that the effect of a particular risk factor may not be predictable. In addition, more than one risk factor may have a compounding effect which may not be predictable. No assurance can be given as to the effect that any combination of risk factors may have on the value of the Notes. Ranking Pursuant to Sec 46f (5) - (7) of the German Banking Act (Kreditwesengesetz, "KWG") certain unsecured and unsubordinated debt instruments of the Issuer (hereinafter referred to as "Non-Preferred Senior Obligations") rank below the Issuer s other senior liabilities (hereinafter referred to as "Preferred Senior Obligations") in insolvency or in the event of the imposition of resolution measures, such as a bail-in, affecting the Issuer. This order of priority would apply in a German insolvency proceeding or in the event of the imposition of resolution measures with respect to the Issuer commenced on or after 1 January 2017, with effect for any senior unsecured debt instruments outstanding at this time. Among the Preferred Senior Obligations are, as defined in Sec 46f (7) KWG, senior unsecured debt instruments whose terms provide that (i) the amount of the repayment depends on the occurrence or non-occurrence of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued, or settlement is effected in a way other than by monetary payment, or (ii) the amount of the interest payments depends on the occurrence or non-occurrence of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the amount of the interest payments solely depends on a fixed or floating reference interest rate, and settlement is effected by monetary payment. Unsecured and unsubordinated Securities issued under this Programme that do not meet the terms described in (i) or (ii) above, including fixed rate Securities and floating rate Securities linked to LIBOR or EURIBOR, are, therefore, expected to constitute Non-Preferred Senior Obligations that would bear losses in a German insolvency proceeding or in the event of the imposition of resolution measures before Preferred Senior Obligations. In a German insolvency proceeding or in the event of the imposition of resolution measures with respect to the Issuer, the competent resolution authority or court would determine whether unsecured and unsubordinated Securities issued under the Programme qualify as Preferred Senior Obligations or as Non-Preferred Senior Obligations. The German Federal Agency for Financial Market Stabilisation (FMSA), the German Federal Financial Supervisory

5 5 Authority (BaFin) and the German central bank (Deutsche Bundesbank) published a joint interpretative guide on the classification of certain liabilities under Sec 46f (5)-(7) KWG (the FMSA Guidance ).

6 6 Important Notice Deutsche Bank AG The document is current as of the initial issue date of the securities (Issue Date). The complete terms and conditions of the Financial Instruments are included in the respective Offering Circular, copies of which are available upon request and free of charge from Deutsche Bank AG, GME, X-markets, Große Gallusstr , Frankfurt, Telephone: 069 / , Telefax: 069 / or could be downloaded under The above information does not constitute the provision of investment advice; its sole purpose is the description of the Financial Instruments or transactions. Any investment decision should be based on the Offering Circular. Any views expressed reflect the current views of Deutsche Bank AG which may change without notice. Although the above information has been taken from sources which are believed to be accurate, no warranty or representation is made as to its correctness, completeness and accuracy. All prices listed are subject to confirmation. They have been listed for information purposes only and do not indicate tradable prices. Past performance is not indicative of future results. As described in the respective Offering Circular, there are restrictions on the distribution of the Financial Instruments in certain jurisdictions. In particular, the Financial Instruments may not be offered or sold in the United States, to U.S. persons or U.S. residents. This document and the information contained therein may only be distributed and published in jurisdictions in which such distribution and publication is permitted. Any direct or indirect distribution of this document into the United States, the United Kingdom, Canada or Japan, or to U.S. persons or U.S. residents, is prohibited.