Deutsche Bank
S and P Plus Tracker Notes Linked to the S and P 500([R]) Total Return Index and the
Deutsche Bank Equity Mean Reversion Alpha Index (EMERALD)
Alternative Investment
Indicative Terms as of November 19, 2010
CUSIP: 2515A1 BX 8
Issuer: Deutsche Bank AG, London Branch
Maturity / Tenor: 13 months
Basket: The Securities are linked to the performance of the S and P 500([R])
Total Return Index ("S and P 500 Total Return Index,"
Bloomberg: SPTR) and the Deutsche Bank Equity Mean
Reversion Alpha Index ("EMERALD," Bloomberg: DBVEMR),
which provides investors with long exposure to daily volatility
and short exposure to weekly volatility, in each case, of the
S and P 500([R]) Index in order to capture the potential negative
serial correlation between daily volatility and weekly volatility,
each a "Basket Index" and collectively, the "Basket Indices."
Redemption You will receive a cash payment on the Maturity Date or
Amount: Redemption Trigger Payment Date, as applicable, per $1,000
face amount, calculated as follows:
Final Basket Level
$1,000 x -------------------
Initial Basket Level
Your investment will be fully exposed to any depreciation in the
S and P 500 Total Return Index and three times any depreciation
in EMERALD.
Initial Basket Level: 100
Final Basket Level: The Basket Level as determined by the Calculation Agent on
the Final Valuation Date or the Redemption Trigger Valuation
Date, as the case may be.
Basket Level: On any trading day:
100 x [(1 + S and P 500 Total Return Index Performance + (3x
EMERALD Performance))]
S and P 500 Total Final Reference Level S and P 500 Total Return
Return Index ( Initial Reference Level ) x Adjustment Factor -- 1
Performance:
EMERALD ( Final Reference Level ) x EMERALD (Adjustment) -- 1
Performance: Initial Reference Level Factor
Initial Reference The closing level for the respective Basket Index on the Trade
Level: Date.
Final Reference The closing level for the respective Basket Index on the Final
Level: Valuation Date, Redemption Trigger Valuation Date or the
applicable trading day, as the case may be.
S and P 500 Total
Return Adjustment 0.9940
Factor:
EMERALD 1 -- (0.01 x Days / 365), where "Days" equals the number of
Adjustment Factor: calendar days from, and including, the Trade Date to, but
excluding, the Final Valuation Date or the Redemption Trigger
Valuation Date, as applicable.
Redemption
Trigger Level: 40
Redemption A Redemption Trigger Event occurs if the Basket Level on any
Trigger Event: trading day is less than the Redemption Trigger Level (such
trading day, the "Redemption Trigger Valuation Date"). The
securities will be redeemed by the Issuer for the Redemption
Amount calculated as of the Redemption Trigger Valuation
Date, with payment made on the date that is five business
days after the Redemption Trigger Valuation Date (the
"Redemption Trigger Payment Date").
Discounts and The Agent will not receive a commission in connection with the
Commissions: sale of the securities. The Agent may pay referral fees to other
broker-dealers of up to 0.25% or $2.50 per $1,000 face
amount. The Agent may pay custodial fees to other broker-
dealers of up to 0.25% or $2.50 per $1,000 face amount.
DBSI, the agent for this offering, is our affiliate. For more
information see "Underwriting (Conflicts of Interest)" in term
sheet No. 1023.
Agent: Deutsche Bank Securities Inc.
Best Case Scenario at Maturity
If the Final Basket Level is greater than the Initial Basket Level, investors
will receive 100% of the appreciation of the Basket Level, which will include
the Adjustment Factors relating to each Basket Index.
Worst Case Scenario
If a Redemption Trigger Event occurs at any time, the securities will be
redeemed by the Issuer, and you will lose a significant portion, and may lose
all, of your investment in the securities.
Benefits
[] Participation in the performance of the Basket Indices with uncapped upside
potential, reduced by the Adjustment Factors.
Risks
[] Exposed to one times the performance of the S and P 500 Total Return Index
and three times the performance of EMERALD
[] If a Redemption Trigger Event occurs at any time, the securities will be
redeemed by the Issuer, and you will lose a significant portion, and may
lose all, of your investment in the securities.
[] EMERALD has limited performance history.
[] An investment in the securities is subject to the credit of the Issuer.
Important Dates
Offering Period: November 19, 2010 -- January 14, 2011
Trade Date: January 14, 2011
Settlement Date: January 20, 2011
Final Valuation Date: February 15, 2012
Maturity Date: February 21, 2012 (13 months)
ISSUER FREE WRITING PROSPECTUS
Filed Pursuant to Rule 433
Registration Statement No. 333-162195
Dated November 19, 2010
NOT FDIC / NCUA INSURED OR GUARANTEED MAY LOSE VALUE * NO BANK GUAR ANTEE
NOT A DEPOSIT
NOT INSURED OR GUARANTEED BY ANY
FEDERAL GOVERNMENTAL AGENCY
Deutsche Bank Structured Equity Sales +1 212 250-9905
|  |
| Return Scenarios at Maturity |
| Final Basket Level | Percentage Change in Basket Level | Payment at Maturity (per $1,000 invested) | Return on Securities (%) |
| 160.00 | 60.00% | $ 1,600.00 | 60.00% |
| 140.00 | 40.00% | $ 1,400.00 | 40.00% |
| 120.00 | 20.00% | $ 1,200.00 | 20.00% |
| 110.00 | 10.00% | $ 1,100.00 | 10.00% |
| 105.00 | 5.00% | $ 1,050.00 | 5.00% |
| 100.00 | 0.00% | $ 1,000.00 | 0.00% |
| 95.00 | -5.00% | $ 950.00 | -5.00% |
| 90.00 | -10.00% | $ 900.00 | -10.00% |
| 80.00 | -20.00% | $ 800.00 | -20.00% |
| 60.00 | -40.00% | $ 600.00 | -40.00% |
| 40.00 | -60.00% | $ 400.00 | -60.00% |
| This hypothetical scenario analysis table illustrates the Redemption Amounts payable on the Maturity Date per $1,000 face amount for hypothetical performances of the Basket. Hypothetical results are neither an indicator nor a guarantee of future returns. Actual results may vary, perhaps materially, from this analysis. The numbers appearing have been rounded for ease of analysis. For purposes of this table and these examples, it is assumed that a Redemption Trigger Event does not occur. If a Redemption Trigger Event occurs, you will lose a significant portion, and may lose all, of your investment in the securities. The calculation of the Basket Level includes Adjustment Factor components. As a result, the performance of the Basket Indices will need to more than offset the Adjustment Factors for the return on the securities t o be positive. | |||
Selected Risk Factors An investment in the securities involves significant risks. You should read “Risk Factors” in term sheet No. 1023 for detailed information about the risks listed below. | |||
ACCELERATED LOSS AND NO PROTECTION AGAINST LOSS — The securities offer 100% participation in the appreciation or depreciation of the S&P 500 Total Return Index and 300% in the appreciation or depreciation of EMERALD, each reduced by the respective adjustment factors. In the case of EMERALD, the investor is exposed to three times any appreciation or depreciation of such index. Any negative S&P 500 Total Return Index Performance when combined with three times any negative EMERALD Performance in calculating the Redemption Amount will result in an accelerated loss on your investment. Your payment at maturity or upon a Redemption Trigger Event will be further reduced by the S&P 500 Total Return Adjustment Factor and the EMERALD Adjustment Factor. YOUR SECURITIES ARE EXPOSED TO ONE TIMES THE PERFORMANCE OF THE S&P 500 TOTAL RETURN INDEX AND THREE TIMES THE PERFORMANCE OF EMERALD — Because the securities are linked to EMERALD on a three-times leveraged basis, any negative performance of EMERALD will have a substantial effect on your return even though the performance of the Basket is based on the appreciation or depreciation of the Basket as a whole. EARLY REDEMPTION UPON A REDEMPTION TRIGGER EVENT — If the Basket Level is less than the Redemption Trigger Level at the close of any trading day during the term of the securites, we will redeem the securities early. The Redemption Amount will be calculated using the Final Basket Level on the Redemption Trigger Valuation Date, and you will lose a significant portion, and may lose all, of your initial investment. Once a Redemption Trigger Event occurs, early redemption by us will be automatic. In addition, you will not benefit from any increase in the Basket Level that may occur after the Redemption Trigger Valuation Date, and you may not be able to reinvest your money in a comparable investment. CREDIT RISK — The payment of amounts owed to you under the securities is subject to the Issuer’s ability to pay. Consequently, you are subject to risks relating to the creditworthiness of Deutsche Bank AG. EMERALD STRATEGY RISK — EMERALD reflects a strategy that aims to monetize any negative serial correlation exhibited by the S&P 500 Index by periodically buying daily volatility and selling weekly volatility on the S&P 500 Index. EMERALD will appreciate if daily realized volatility exceeds weekly realized volatility over a given week, and decline if daily realized volatility is less than weekly realized volatility over a given week. There is no assurance that any negative correlation between the daily volatility and weekly volatility on the S&P 500 Index will exist at any time during the term of the securities and the strategy of buying daily volatility and selling weekly volatility may not be successful. EMERALD HAS VERY LIMITED PERFORMANCE HISTORY — Calculation of EMERALD began on October 12, 2009. Therefore, EMERALD has very limited performance history and no actual investment which allowed tracking of the performance of EMERALD was possible before that date. OUR RESEARCH OPINIONS COULD AFFECT THE LEVEL OF THE BASKET INDICES AND THE VALUE OF THE SECURITIES — We and our affiliates and agents may publish research, express opinions or provide recommendations that are inconsistent with investing in or holding the securities, which could affect the Basket Level or the value of the securities. LACK OF LIQUIDITY — There may be little or no secondary market for the securities. The securities will not be listed on any securities exchange. | TRADING AND OTHER TRANSACTIONS BY US OR OUR AFFILIATES MAY IMPAIR THE VALUE OF THE SECURITIES — We or our affiliates may hedge our exposure from the securities by entering into equity and equity derivative transactions. Such trading and hedging activities may affect the Basket Indices and make it less likely that you will receive a return on your investment. It is possible that we or our affiliates could receive substantial returns from these hedging activities while the value of the securities declines. We or our affiliates may engage in trading in instruments linked to the Basket Indices on a regular basis. We or our affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to the Basket Indices. By intr oducing competing products into the marketplace, we or our affiliates could adversely affect the value of the securities. Any of the foregoing activities may reflect trading strategies that differ from, or are in direct opposition to, the trading strategy of investors in the securities. POTENTIAL CONFLICTS — Because we and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent, hedging our obligations under the securities, and being the index sponsor of the Basket Indices, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities. CERTAIN BUILT-IN COSTS ARE LIKELY TO ADVERSELY AFFECT THE VALUE OF THE SECURITIES PRIOR TO MATURITY — Certain built-in costs, such as our estimated cost of hedging, are likely to adversely affect the value of the securities prior to maturity, and may adversely affect the price, if any, at which the Issuer or its affiliates may be willing to purchase the securities from you in the secondary market. You should be willing and able to hold your securities to maturity. MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES — In addition to the levels of the Basket Indices on any day, the value of the securities will be affected by a number of complex and interrelated economic and market factors that may either offset or magnify each other. THE U.S. TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES ARE UNCLEAR — Significant aspects of the U.S. federal income tax treatment of the securities are uncertain, and the Internal Revenue Service or a court might not agree with the tax consequences described in the accompanying term sheet. See “Risk Factors” in the accompanying term sheet for more information. Deutsche Bank AG has filed a registration statement (including a prospectus) with the Securities and Exchange Commission, or SEC, for the offering to which this fact sheet relates. Before you invest, you should read the prospectus in that registration statement and the other documents including term sheet No. 1023 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, term sheet No. 1023 and this fact sheet if you so request by calling toll-free 1-800-311-4409. You may revoke your offer to purchase the securities 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 securities prior to their issuance. We will notify you in the event of any changes to the terms of the securities, and you will be asked to accept such changes in connection with your purchase of any securities. You may also choose to reject such changes, in which case we may reject your offer to purchase the securities. |
Deutsche Bank Structured Equity Sales +1 212 250-9905