ISSUER FREE WRITING PROSPECTUS NO. 2094BK
Filed Pursuant to Rule 433
Registration Statement No. 333-184193
Dated July 8, 2014
Deutsche Bank AG Trigger Phoenix Autocallable Optimization Securities
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Investment Description
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Features
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Key Dates1
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q Contingent Coupon — If the Closing Price of the Underlying on the applicable quarterly Observation Date is greater than or equal to the Coupon Barrier, Deutsche Bank AG will pay you a quarterly Contingent Coupon. Otherwise, no coupon will be payable with respect to that Observation Date.
q Automatically Callable — If the Closing Price of the Underlying on any Observation Date (including the Final Valuation Date) is greater than or equal to the Initial Price, we will automatically call the Securities and pay you your initial investment plus the applicable Contingent Coupon for that Observation Date and no further amounts will be owed to you. If the Securities are not called, investors may have downside market exposure to the Underlying at maturity, subject to any contingent repayment of your initial investment.
q Downside Exposure with Contingent Repayment of Your Initial Investment at Maturity — If you hold the Securities to maturity and the Final Price is not less than the Trigger Price (or Coupon Barrier), we will pay you your initial investment at maturity, plus the applicable Contingent Coupon for the final quarter. If the Final Price is less than the Trigger Price, however, Deutsche Bank AG will repay less than your initial investment, resulting in a loss of 1.00% of the Face Amount of Securities for every 1.00% decline in the Final Price as compared to the Initial Price. Under these circumstances, you will lose a significant portion, and could lose all, of your initial investment. The contingent repayment of your initial investment applies only if you hold the Securities to maturity. Any payment on the Securities, including any payment of Contingent Coupon, any payment upon an automatic call and any payment of your initial investment at maturity, is subject to the creditworthiness of the Issuer. If the Issuer were to default on its payment obligations, you might not receive any amounts owed to you under the terms of the Securities and you could lose your entire investment.
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Trade Date
Settlement Date
Observation Dates2
Final Valuation Date2
Maturity Date2
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July 11, 2014
July 16, 2014
Quarterly
January 11, 2016
January 15, 2016
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1 Expected.
2 See page 4 for additional details.
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Security Offering
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Underlying
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Contingent Coupon Rate
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Initial Price
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Trigger Price
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Coupon Barrier
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CUSIP/ ISIN
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Common stock of Delta Air Lines, Inc. (Ticker: DAL)
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9.00% - 12.00% per annum
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$
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70.00% of the Initial Price
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70.00% of the Initial Price
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25155V549 / US25155V5497
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Common stock of Dick’s Sporting Goods, Inc. (Ticker: DKS)
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7.30% - 9.30% per annum
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$
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80.00% of the Initial Price
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80.00% of the Initial Price
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25155V531 / US25155V5315
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Common stock of Wynn Resorts, Limited (Ticker: WYNN)
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9.00% - 11.00% per annum
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$
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75.00% of the Initial Price
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75.00% of the Initial Price
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25155V523 / US25155V5232
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Price to Public
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Discounts and Commissions(1)
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Proceeds to Us
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Offering of Securities
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Total
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Per Security
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Total
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Per Security
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Total
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Per Security
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Securities linked to the common stock of Delta Air Lines, Inc.
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$
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$10.00
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$
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$0.15
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$
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$9.85
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Securities linked to the common stock of Dick’s Sporting Goods, Inc.
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$
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$10.00
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$
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$0.15
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$
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$9.85
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Securities linked to the common stock of Wynn Resorts, Limited
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$
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$10.00
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$
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$0.15
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$
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$9.85
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(1)
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For more detailed information about discounts and commissions, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this free writing prospectus.
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UBS Financial Services Inc. | Deutsche Bank Securities |
Issuer’s Estimated Value of the Securities
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Additional Terms Specific to the Securities
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¨
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Product supplement BK dated October 5, 2012:
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¨
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Prospectus supplement dated September 28, 2012:
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¨
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Prospectus dated September 28, 2012:
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Investor Suitability
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The Securities may be suitable for you if, among other considerations: | The Securities may not be suitable for you if, among other considerations: | |
¨ You fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You can tolerate the loss of a substantial portion or all of your investment and are willing to make an investment in which you could have the same downside market risk as an investment in the Underlying.
¨ You believe the Closing Price of the Underlying will be greater than or equal to the Coupon Barrier on the applicable Observation Dates, including the Final Valuation Date.
¨ You are willing to make an investment whose return is limited to the applicable Contingent Coupons, regardless of any potential appreciation of the Underlying, which could be significant.
¨ You can tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside price fluctuations of the Underlying.
¨ You would be willing to invest in the Securities if the applicable Contingent Coupon Rate were set equal to the bottom of the applicable range specified on the cover of this free writing prospectus.
¨ You do not seek guaranteed current income from this investment and are willing to forgo any dividends or any other distributions paid on the Underlying.
¨ You are willing and able to hold Securities that will be called on any Observation Date on which the Closing Price of the Underlying is greater than or equal to the Initial Price, and you are otherwise willing and able to hold the Securities to the Maturity Date, as set forth on the cover of this free writing prospectus, and are not seeking an investment for which there will be an active secondary market.
¨ You are willing to assume the credit risk associated with Deutsche Bank AG, as Issuer of the Securities, and understand that if Deutsche Bank AG defaults on its obligations you might not receive any amounts due to you, including any payment of Contingent Coupon, any payment of your initial investment at maturity or any payment upon an earlier automatic call.
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¨ You do not fully understand the risks inherent in an investment in the Securities, including the risk of loss of your entire initial investment.
¨ You cannot tolerate the loss of a substantial portion or all of your investment or you are not willing to make an investment in which you could have the same downside market risk as an investment in the Underlying.
¨ You require an investment designed to provide a full return of your initial investment at maturity.
¨ You believe the Securities will not be called and the Closing Price of the Underlying will be less than the Coupon Barrier on the specified Observation Dates and less than the Trigger Price on the Final Valuation Date.
¨ You seek an investment that participates in the full appreciation in the price of the Underlying or that has unlimited return potential.
¨ You cannot tolerate fluctuations in the price of the Securities prior to maturity that may be similar to or exceed the downside price fluctuations of the Underlying.
¨ You would be unwilling to invest in the Securities if the applicable Contingent Coupon Rate were set equal to the bottom of the applicable range specified on the cover of this free writing prospectus.
¨ You prefer the lower risk, and therefore accept the potentially lower returns, of fixed income investments with comparable maturities and credit ratings.
¨ You seek guaranteed current income from this investment or you prefer to receive any dividends or any other distributions paid on the Underlying.
¨ You are unwilling or unable to hold Securities that will be called on any Observation Date on which the Closing Price of the Underlying is greater than or equal to the Initial Price, or you are otherwise unable or unwilling to hold the Securities to the Maturity Date, as set forth on the cover of this free writing prospectus, and seek an investment for which there will be an active secondary market.
¨ You are unwilling or unable to assume the credit risk associated with Deutsche Bank AG, as Issuer of the Securities for all payments on the Securities, including any payment of Contingent Coupon, any payment of your initial investment at maturity or any payment upon an earlier automatic call.
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Indicative Terms
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Issuer
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Deutsche Bank AG, London Branch
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Issue Price
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100% of the Face Amount per Security (subject to a minimum purchase of 100 Securities, or $1,000)
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Face Amount
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$10.00 per Security
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Term
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Approximately eighteen months, subject to an earlier automatic call
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Trade Date1
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July 11, 2014
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Settlement Date1
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July 16, 2014
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Final Valuation Date1, 2
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January 11, 2016
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Maturity Date1, 2, 3
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January 15, 2016
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Underlyings
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Common stock of Delta Air Lines, Inc. (Ticker: DAL)
Common stock of Dick’s Sporting Goods, Inc. (Ticker: DKS)
Common stock of Wynn Resorts, Limited (Ticker: WYNN)
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Call Feature
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The Securities will be automatically called if the Closing Price of the relevant Underlying on any Observation Date is greater than or equal to the Initial Price. If the Securities are called, Deutsche Bank AG will pay you on the applicable Call Settlement Date a cash payment equal to $10.00 per $10.00 Face Amount of Securities plus the applicable Contingent Coupon otherwise due on such day pursuant to the contingent coupon feature. No further amounts will be owed to you under the Securities.
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Observation Dates1, 2
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Quarterly, on the dates set forth in the table below.
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Call Settlement Dates3
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Two business days following the relevant Observation Date, except that the Call Settlement Date for the final Observation Date will be the Maturity Date.
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Contingent Coupon
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If the Closing Price of the relevant Underlying on any Observation Date is greater than or equal to the Coupon Barrier, Deutsche Bank AG will pay you the relevant Contingent Coupon per $10.00 Face Amount of Securities applicable to such Observation Date on the related Coupon Payment Date.
If the Closing Price of the relevant Underlying on any Observation Date is less than the Coupon Barrier, the relevant Contingent Coupon applicable to such Observation Date will not be accrued or payable and Deutsche Bank AG will not make any payment to you on the related Coupon Payment Date.
The Contingent Coupon for each Underlying will be a fixed amount based upon equal quarterly installments at the applicable Contingent Coupon Rate. The table below sets forth each Observation Date and the relevant Contingent Coupon for each Security that would be payable for each Observation Date on which the Closing Price of the Underlying is greater than or equal to the applicable Coupon Barrier. The table below reflects the Contingent Coupon Rate of between (i) 9.00% and 12.00% per annum for the Securities linked to the common stock of Delta Air Lines, Inc.,(ii) 7.30% and 9.30% per annum for the Securities linked to the common stock of Dick’s Sporting Goods, Inc. and (iii) 9.00% and 11.00% per annum for the Securities linked to the common stock of Wynn Resorts, Limited.
The actual Contingent Coupon Rate for each Security will be determined on the Trade Date.
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Observation Dates
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Expected Coupon Payment Dates
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DAL
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DKS
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WYNN
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October 14, 2014
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October 16, 2014
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$0.2250 - $0.3000
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$0.1825 - $0.2325
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$0.2250 - $0.2750
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January 14, 2015
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January 16, 2015
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$0.2250 - $0.3000
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$0.1825 - $0.2325
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$0.2250 - $0.2750
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April 14, 2015
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April 16, 2015
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$0.2250 - $0.3000
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$0.1825 - $0.2325
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$0.2250 - $0.2750
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July 14, 2015
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July 16, 2015
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$0.2250 - $0.3000
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$0.1825 - $0.2325
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$0.2250 - $0.2750
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October 14, 2015
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October 16, 2015
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$0.2250 - $0.3000
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$0.1825 - $0.2325
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$0.2250 - $0.2750
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January 11, 2016 (Final Valuation Date)
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January 15, 2016 (Maturity Date)
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$0.2250 - $0.3000
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$0.1825 - $0.2325
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$0.2250 - $0.2750
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Contingent Coupon payments on the Securities are not guaranteed. Deutsche Bank AG will not pay you the Contingent Coupon for any Observation Date on which the Closing Price of the Underlying is less than the Coupon Barrier.
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Contingent Coupon Rate
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For the Securities linked to the common stock of Delta Air Lines, Inc., 9.00% - 12.00% per annum.
For the Securities linked to the common stock of Dick’s Sporting Goods, Inc., 7.30% - 9.30% per annum.
For the Securities linked to the common stock of Wynn Resorts, Limited, 9.00% - 11.00% per annum.
The actual Contingent Coupon Rate for each Security will be determined on the Trade Date.
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Coupon Payment Dates3
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Two business days following the relevant Observation Date, except that the Coupon Payment Date for the final Observation Date will be the Maturity Date.
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Payment at Maturity (per $10.00 Face Amount of Securities)
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If the Securities are not automatically called and the Final Price is greater than or equal to the Trigger Price and Coupon Barrier, Deutsche Bank AG will pay you a cash payment at maturity equal to $10.00 per $10.00 Face Amount of Securities plus the Contingent Coupon otherwise due on the Maturity Date.
If the Securities are not automatically called and the Final Price is less than the Trigger Price, Deutsche Bank AG will pay you a cash payment at maturity less than $10.00 per $10.00 Face Amount of Securities equal to:
$10.00 + ($10.00 x Underlying Return)
Under these circumstances, you will lose a significant portion, and could lose all, of your initial investment in an amount proportionate to the negative Underlying Return.
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Underlying Return
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For each Security:
Final Price – Initial Price
Initial Price
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Trigger Price
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For the Securities linked to the common stock of Delta Air Lines, Inc., 70.00% of the Initial Price.
For the Securities linked to the common stock of Dick’s Sporting Goods, Inc., 80.00% of the Initial Price.
For the Securities linked to the common stock of Wynn Resorts, Limited, 75.00% of the Initial Price.
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Coupon Barrier
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For the Securities linked to the common stock of Delta Air Lines, Inc., 70.00% of the Initial Price.
For the Securities linked to the common stock of Dick’s Sporting Goods, Inc., 80.00% of the Initial Price.
For the Securities linked to the common stock of Wynn Resorts, Limited, 75.00% of the Initial Price.
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Closing Price
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On any trading day, the last reported sale price of one share of the relevant Underlying on the relevant exchange multiplied by the then-current relevant Stock Adjustment Factor, as determined by the calculation agent.
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Initial Price
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The Closing Price of the relevant Underlying on the Trade Date.
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Final Price
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The Closing Price of the relevant Underlying on the Final Valuation Date.
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Stock Adjustment Factor
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Initially 1.0 for each Underlying, subject to adjustment for certain actions affecting each Underlying. See “Description of Securities — Anti-Dilution Adjustments for Reference Stock” in the accompanying product supplement.
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Investment Timeline
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Trade Date:
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The Closing Price of the Underlying (Initial Price) is observed, the Trigger Price and Coupon Barrier are determined and the Contingent Coupon Rate is set.
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Quarterly:
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If the Closing Price of the relevant Underlying on any Observation Date is greater than or equal to the Coupon Barrier, Deutsche Bank AG will pay you the relevant Contingent Coupon per $10.00 Face Amount of Securities applicable to such Observation Date on the related Coupon Payment Date.
The Securities will be automatically called if the Closing Price of the relevant Underlying on any Observation Date is greater than or equal to the Initial Price. If the Securities are called, Deutsche Bank AG will pay you on the applicable Call Settlement Date a cash payment equal to $10.00 per $10.00 Face Amount of Securities plus the applicable Contingent Coupon otherwise due on such day pursuant to the contingent coupon feature.
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Maturity Date:
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The Final Price and Underlying Return will be determined on the Final Valuation Date.
If the Securities are not automatically called and the Final Price is greater than or equal to the Trigger Price and Coupon Barrier, Deutsche Bank AG will pay you a cash payment at maturity equal to $10.00 per $10.00 Face Amount of Securities plus the Contingent Coupon otherwise due on the Maturity Date.
If the Securities are not automatically called and the Final Price is less than the Trigger Price, Deutsche Bank AG will pay you a cash payment at maturity less than $10.00 per $10.00 Face Amount of Securities equal to:
$10.00 + ($10.00 x Underlying Return)
Under these circumstances, you will lose a significant portion, and could lose all, of your initial investment in an amount proportionate to the negative Underlying Return.
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1
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In the event that we make any change to the expected Trade Date and Settlement Date, the Final Valuation Date, Maturity Date and Observation Dates may be changed so that the stated term of the Securities remains the same.
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2
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Subject to postponement as described under “Description of Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement.
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3
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Notwithstanding the provisions under “Description of Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement, in the event the Final Valuation Date is postponed, the Maturity Date will be the fourth business day after the Final Valuation Date as postponed and in the event that an Observation Date other than the Final Valuation Date is postponed, the relevant Call Settlement Date and Coupon Payment Date (other than the Maturity Date) will be the second business day after the Observation Date as postponed.
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Key Risks
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¨
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Your Investment in the Securities May Result in a Loss of Your Initial Investment — The Securities differ from ordinary debt securities in that Deutsche Bank AG will not necessarily pay you your initial investment in the Securities at maturity. If the Securities are not automatically called, the return on the Securities at maturity will depend on whether the Final Price is greater than or equal to the Trigger Price. If the Securities are not automatically called and the Final Price is greater than or equal to the Trigger Price, Deutsche Bank AG will pay you your initial investment plus the applicable Contingent Coupon otherwise due on the Maturity Date. However, if the Securities are not automatically called on any Observation Date and the Final Price is less than the Trigger Price, you will be fully exposed to any negative Underlying Return, resulting in a loss of 1.00% of the Face Amount of Securities for every 1.00% decline in the Final Price as compared to the Initial Price. Under these circumstances, you will lose a significant portion, and could lose all, of your initial investment.
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¨
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Your Potential Return on the Securities Is Limited to the Face Amount Plus Any Contingent Coupons and You Will Not Participate in Any Appreciation in the Price of the Underlying — The Securities will not pay more than the Face Amount plus any Contingent Coupons payable over the term of the Securities. Therefore, your potential return on the Securities will be limited to the Contingent Coupon Rate, but the total return will vary based on the number of Observation Dates on which the requirement for a Contingent Coupon has been met prior to maturity or an automatic call. If the Securities are automatically called, you will not participate in any appreciation in the price of the Underlying and you will not receive any Contingent Coupons in respect of any Observation Date after the applicable Call Settlement Date. If the Securities are automatically called on the first Observation Date, the total return on the Securities will be minimal. If the Securities are not automatically called, you may be subject to the full downside performance of the Underlying even though you were not able to participate in any of the Underlying’s potential appreciation.
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¨
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You May Not Receive Any Contingent Coupons — Deutsche Bank AG will not necessarily make periodic coupon payments on the Securities. If the Closing Price of the Underlying on any Observation Date is less than the Coupon Barrier, Deutsche Bank AG will not pay you the Contingent Coupon applicable to such Observation Date. If the Closing Price of the Underlying is less than the Coupon Barrier on each of the Observation Dates, Deutsche Bank AG will not pay you any Contingent Coupons during the term of, and you will not receive a positive return on, your Securities.
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¨
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Contingent Repayment of Your Initial Investment Applies Only if You Hold the Securities to Maturity — If your Securities are not automatically called, you should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, you may have to sell them at a loss relative to your initial investment even if the Closing Price of the Underlying is above the Trigger Price.
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¨
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Higher Contingent Coupon Rates Are Generally Associated with a Greater Risk of Loss — Greater expected volatility with respect to the Underlying reflects a higher expectation as of the Trade Date that the Closing Price of the Underlying could close below the Trigger Price on the Final Valuation Date of the Securities. This greater expected risk will generally be reflected in a higher Contingent Coupon Rate for the Securities. However, while the Contingent Coupon Rate is set on the Trade Date, the Underlying’s volatility can change significantly over the term of the Securities. The price of the Underlying could fall sharply, which could result in a significant loss of your initial investment.
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¨
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Reinvestment Risk — If your Securities are called early, the holding period over which you would receive any applicable Contingent Coupon, which is based on the relevant Contingent Coupon Rate as specified on the cover hereof, could be as little as three months. There is no guarantee that you would be able to reinvest the proceeds from an investment in the Securities at a comparable return for a similar level of risk in the event the Securities are automatically called prior to the Maturity Date.
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¨
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Risks Relating to the Credit of the Issuer — The Securities are unsubordinated and unsecured obligations of the Issuer, Deutsche Bank AG, and are not, either directly or indirectly, an obligation of any third party. Any payment(s) to be made on the Securities, including any payment of Contingent Coupon, any payment upon an automatic call or any repayment of your initial investment provided at maturity, depends on the ability of Deutsche Bank AG to satisfy its obligations as they come 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 our credit risk will likely have an adverse effect on the value of the Securities. As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the value of the Securities, and in the event Deutsche Bank AG were to default on its obligations, you might not receive any amount(s) owed to you under the terms of the Securities and you could lose your entire investment.
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¨
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The Issuer’s Estimated Value of the Securities on the Trade Date Will Be Less than the Issue Price of the Securities — The Issuer’s estimated value of the Securities on the Trade Date (as disclosed on the cover of this free writing prospectus) is less than the Issue Price of the Securities. The difference between the Issue Price and the Issuer’s estimated value of the Securities 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 Securities 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 Securities 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 Securities, reduces the economic terms of the Securities to you and is expected to adversely affect the price at which you may be able to sell the Securities 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 Securities or otherwise value your Securities, that price or value may differ materially from the estimated value of the Securities determined by
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¨
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No Dividend Payments or Voting Rights — As a holder of the Securities, you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of the Underlying would have.
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¨
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Investing in the Securities Is Not the Same as Investing in the Underlying — The return on your Securities may not reflect the return you would realize if you invested directly in the Underlying. For instance, you will not participate in any potential appreciation of the Underlying, which could be significant.
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¨
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Single Stock Risk — Each Security is linked to the equity securities of a single Underlying. The price of each Underlying can rise or fall sharply due to factors specific to such Underlying and its issuer (the “Underlying Issuer”), such as stock price volatility, earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political conditions. We urge you to review financial and other information filed periodically by the Underlying Issuer with the SEC.
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¨
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If the Price of the Underlying Changes, the Value of Your Securities May Not Change in the Same Manner — Your Securities may trade quite differently from the Underlying. Changes in the market price of the Underlying may not result in a comparable change in the value of your Securities.
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¨
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The Anti-Dilution Protection Is Limited — The calculation agent will make adjustments to the relevant Stock Adjustment Factor, which will initially be set at 1.0, and the Payment at Maturity in the case of certain corporate events affecting the Underlying. The calculation agent is not required, however, to make such adjustments in response to all events that could affect the relevant Underlying. If an event occurs that does not require the calculation agent to make an adjustment, the value of the Securities may be materially and adversely affected. In addition, you should be aware that the calculation agent may, at its sole discretion, make adjustments to the relevant Stock Adjustment Factor or any other terms of the Securities that are in addition to, or that differ from, those described in the accompanying product supplement to reflect changes occurring in relation to the Underlying in circumstances where the calculation agent determines that it is appropriate to reflect those changes to ensure an equitable result. Any alterations to the specified anti-dilution adjustments for the Underlying described in the accompanying product supplement may be materially adverse to investors in the Securities. You should read “Description of Securities — Anti-Dilution Adjustments for Reference Stock” in the accompanying product supplement in order to understand the adjustments that may be made to the Securities.
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¨
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There Is No Affiliation Between the Underlying Issuers and Us, and We Have Not Participated in the Preparation of, or Independently Verified, Any Disclosure by Such Underlying Issuers — We are not affiliated with the Underlying Issuers. However, we and our affiliates may currently or from time to time in the future engage in business with the Underlying Issuers. Nevertheless, neither we nor our affiliates have participated in the preparation of, or independently verified, any information about the Underlyings and the Underlying Issuers. You, as an investor in the Securities, should make your own investigation into the Underlyings and the Underlying Issuers. None of the Underlying Issuers is involved in the Securities offered hereby in any way and none of them has any obligation of any sort with respect to your Securities. None of the Underlying Issuers has any obligation to take your interests into consideration for any reason, including when taking any corporate actions that might affect the value of your Securities.
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¨
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Past Performance of the Underlying Is No Guide to Future Performance — The actual performance of the Underlying may bear little relation to the historical closing prices of the relevant Underlying, and may bear little relation to the hypothetical return examples set forth elsewhere in this free writing prospectus. We cannot predict the future performance of the Underlying.
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¨
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Assuming No Changes in Market Conditions and Other Relevant Factors, the Price You May Receive for Your Securities in Secondary Market Transactions Would Generally Be Lower than Both the Issue Price and the Issuer’s Estimated Value of the Securities on the Trade Date — While the payment(s) on the Securities described in this free writing prospectus is based on the full Face Amount of your Securities, the Issuer’s estimated value of the Securities on the Trade Date (as disclosed on the cover of this free writing prospectus) is less than the Issue Price of the Securities. The Issuer’s estimated value of the Securities on the Trade Date does not represent the price at which we or any of our affiliates would be willing to purchase your Securities 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 Securities 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 Securities on the Trade Date. Our purchase price, if any, in secondary market transactions would be based on the estimated value of the Securities 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 Securities and then-prevailing market conditions. The price we report to financial reporting services and to distributors of our Securities for use on customer account statements would generally be determined on the same basis. However, during the period of approximately five 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 Securities 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.
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¨
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There May Be Little or No Secondary Market for the Securities — The Securities will not be listed on any securities exchange. We or our affiliates intend to offer to purchase the Securities in the secondary market 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 trade or sell
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¨
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Many Economic and Market Factors Will Affect the Value of the Securities — While we expect that, generally, the price of the Underlying will affect the value of the Securities more than any other single factor, the value of the Securities prior to maturity will also be affected by a number of other factors that may either offset or magnify each other, including:
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¨
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the expected volatility of the Underlying;
|
¨
|
the time remaining to maturity of the Securities;
|
¨
|
the market price and dividend rates of the Underlying and the stock market generally;
|
¨
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the real and anticipated results of operations of the Underlying Issuer;
|
¨
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actual or anticipated corporate reorganization events, such as mergers or takeovers, which may affect the Underlying Issuer;
|
¨
|
interest rates and yields in the market generally and in the markets of the Underlying;
|
¨
|
geopolitical conditions and a variety of economic, financial, political, regulatory or judicial events that affect the Underlying or markets generally;
|
¨
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supply and demand for the Securities; and
|
¨
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
¨
|
Trading and Other Transactions by Us or Our Affiliates, or UBS AG or its Affiliates, in the Equity and Equity Derivative Markets May Affect the Value of the Securities — We or one or more of our affiliates expect to hedge our exposure from the Securities by entering into equity and equity derivative transactions, such as over-the-counter options or exchange-traded instruments. Such trading and hedging activities may affect the Underlying and make it less likely that you will receive a positive return on your investment in the Securities. 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, or UBS AG or its affiliates, may also engage in trading in instruments linked to the Underlying on a regular basis as part of our general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for customers, including block transactions. We or our affiliates, or UBS AG or its affiliates, may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to the Underlying. By introducing competing products into the marketplace in this manner, we or our affiliates, or UBS AG or its affiliates, could adversely affect the value of the Securities. 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 Securities.
|
¨
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We, Our Affiliates or Our Agents, or UBS AG or its Affiliates, May Publish Research, Express Opinions or Provide Recommendations that Are Inconsistent With Investing in or Holding the Securities. Any Such Research, Opinions or Recommendations Could Adversely Affect the Stock Price of the Underlying and the Value of the Securities — We, our affiliates or our agents, or UBS AG or its affiliates, may publish research from time to time on financial markets and other matters that could adversely affect the value of the Securities, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Securities. Any research, opinions or recommendations expressed by us, our affiliates or our agents, or UBS AG or its 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 Securities and the Underlying to which the Securities are linked.
|
¨
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Potential Deutsche Bank AG Impact on Price — Trading or transactions by Deutsche Bank AG or its affiliates in the Underlying and/or over-the-counter options, futures or other instruments with returns linked to the performance of the Underlying, may adversely affect the market price of the Underlying and therefore, the value of the Securities.
|
¨
|
Potential Conflict of Interest — Deutsche Bank AG and its affiliates may engage in business with the Underlying Issuer, which may present a conflict between the obligations of Deutsche Bank AG and you, as a holder of the Securities. Deutsche Bank AG, as the calculation agent, will determine the Final Price of the Underlying and payment at maturity or upon an automatic call based on the Closing Price of the Underlying in the market. The calculation agent can postpone the determination of the Closing Price of the Underlying if a market disruption event occurs on any of the Observation Dates. Deutsche Bank AG will also determine the Issuer’s estimated value of the Securities on the Trade Date and the price, if any, at which Deutsche Bank AG or our affiliates would be willing to purchase the Securities 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 Securities.
|
¨
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There Is Substantial Uncertainty Regarding the U.S. Federal Income Tax Consequences of an Investment in the Securities — There is no direct legal authority regarding the proper U.S. federal income tax treatment of the Securities, and we do not plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the Securities are uncertain, and the IRS or a court might not agree with the treatment of the Securities as prepaid financial contracts that are not debt, with associated contingent coupons, as described below under “What Are the Tax Consequences of an Investment in the Securities?” If the IRS were successful in asserting an alternative treatment for the Securities, the tax consequences of ownership and disposition of the Securities could be materially affected. In addition, as described below under “What Are the Tax Consequences of an Investment in the Securities?”, 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 affect the tax consequences of an investment in the Securities, 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 Securities (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.
|
Scenario Analysis and Hypothetical Examples of Payment upon an Automatic Call or at Maturity
|
Term:
|
Approximately eighteen months, subject to an automatic call
|
Hypothetical Initial Price*:
|
$50.00
|
Hypothetical Trigger Price*:
|
$37.50 (75.00% of the Hypothetical Initial Price)
|
Hypothetical Coupon Barrier*:
|
$37.50 (75.00% of the Hypothetical Initial Price)
|
Hypothetical Contingent Coupon Rate*:
|
8.00% per annum (or 2.00% per quarter)
|
Hypothetical Contingent Coupon*:
|
$0.20 per quarter
|
Observation Dates:
|
Quarterly
|
*
|
Based on a hypothetical Contingent Coupon Rate of 8.00% per annum. The actual Contingent Coupon Rate, Initial Price, Coupon Barrier and Trigger Price for each Security will be set on the Trade Date. If the actual Contingent Coupon Rate determined on the Trade Date is less than the hypothetical Contingent Coupon Rate, the actual Contingent Coupon payments and return on your Securities at maturity will be less than the amounts shown in the examples below.
|
Date
|
Closing Price
|
Payment (per Security)
|
First Observation Date
|
$60.00 (greater than Initial Price)
|
$10.20 (Face Amount plus Contingent Coupon)
|
Total Payment:
|
$10.20 (2.00% return)
|
Date
|
Closing Price
|
Payment (per Security)
|
First Observation Date
|
$42.00 (greater than Coupon Barrier; less than Initial Price)
|
$0.20 (Contingent Coupon)
|
Second Observation Date
|
$45.00 (greater than Coupon Barrier; less than Initial Price)
|
$0.20 (Contingent Coupon)
|
Third Observation Date
|
$62.00 (greater than Initial Price)
|
$10.20 (Face Amount plus Contingent Coupon)
|
Total Payment:
|
$10.60 (6.00% return)
|
Date
|
Closing Price
|
Payment (per Security)
|
First Observation Date
|
$48.00 (greater than Coupon Barrier; less than Initial Price)
|
$0.20 (Contingent Coupon)
|
Second Observation Date
|
$23.00 (less than Coupon Barrier)
|
$0.00
|
Third Observation Date
|
$32.00 (less than Coupon Barrier)
|
$0.00
|
Fourth Observation Date
|
$31.00 (less than Coupon Barrier)
|
$0.00
|
Fifth Observation Date
|
$28.00 (less than Coupon Barrier)
|
$0.00
|
Final Observation Date
|
$49.00 (greater than both Trigger Price and Coupon Barrier; less than Initial Price)
|
$10.20 (Payment at Maturity)
|
Total Payment:
|
$10.40 (4.00% return)
|
Date
|
Closing Price
|
Payment (per Security)
|
First Observation Date
|
$48.00 (greater than Coupon Barrier; less than Initial Price)
|
$0.20 (Contingent Coupon)
|
Second Observation Date
|
$45.00 (greater than Coupon Barrier; less than Initial Price)
|
$0.20 (Contingent Coupon)
|
Third Observation Date
|
$46.00 (greater than Coupon Barrier; less than Initial Price)
|
$0.20 (Contingent Coupon)
|
Fourth Observation Date
|
$47.00 (greater than Coupon Barrier; less than Initial Price)
|
$0.20 (Contingent Coupon)
|
Fifth Observation Date
|
$44.00 (greater than Coupon Barrier; less than Initial Price)
|
$0.20 (Contingent Coupon)
|
Final Observation Date
|
$15.00 (less than both Trigger Price and Coupon Barrier)
|
$10.00 + [$10.00 × Underlying Return] = $10.00 + [$10.00 × -70%] =
$10.00 - $7.00 =
$3.00 (Payment at Maturity)
|
Total Payment:
|
$4.00 (-60.00% return)
|
Information about the Underlyings
|
Delta Air Lines, Inc.
|
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Quarterly Close
|
7/1/2009
|
9/30/2009
|
$9.65
|
$5.68
|
$8.96
|
10/1/2009
|
12/31/2009
|
$11.81
|
$6.95
|
$11.38
|
1/1/2010
|
3/31/2010
|
$14.65
|
$11.22
|
$14.59
|
4/1/2010
|
6/30/2010
|
$14.93
|
$11.31
|
$11.75
|
7/1/2010
|
9/30/2010
|
$12.61
|
$9.97
|
$11.64
|
10/1/2010
|
12/31/2010
|
$14.33
|
$11.24
|
$12.60
|
1/1/2011
|
3/31/2011
|
$13.00
|
$9.79
|
$9.80
|
4/1/2011
|
6/30/2011
|
$11.51
|
$9.00
|
$9.17
|
7/1/2011
|
9/30/2011
|
$9.41
|
$6.62
|
$7.50
|
10/1/2011
|
12/31/2011
|
$9.02
|
$6.65
|
$8.09
|
1/1/2012
|
3/31/2012
|
$11.30
|
$8.01
|
$9.91
|
4/1/2012
|
6/30/2012
|
$12.10
|
$9.81
|
$10.95
|
7/1/2012
|
9/30/2012
|
$11.12
|
$8.55
|
$9.16
|
10/1/2012
|
12/31/2012
|
$11.94
|
$9.33
|
$11.87
|
1/1/2013
|
3/31/2013
|
$17.07
|
$12.23
|
$16.51
|
4/1/2013
|
6/30/2013
|
$18.97
|
$14.39
|
$18.71
|
7/1/2013
|
9/30/2013
|
$24.01
|
$18.41
|
$23.59
|
10/1/2013
|
12/31/2013
|
$29.34
|
$24.02
|
$27.47
|
1/1/2014
|
3/31/2014
|
$35.37
|
$27.70
|
$34.65
|
4/1/2014
|
6/30/2014
|
$42.23
|
$31.73
|
$38.72
|
7/1/2014
|
7/7/2014*
|
$40.31
|
$36.90
|
$36.90
|
*
|
As of the date of this free writing prospectus, available information for the third calendar quarter of 2014 includes data for the period through July 7, 2014. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Quarterly Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2014.
|
Dick’s Sporting Goods, Inc.
|
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Quarterly Close
|
7/1/2009
|
9/30/2009
|
$23.15
|
$16.63
|
$22.40
|
10/1/2009
|
12/31/2009
|
$25.74
|
$20.76
|
$24.87
|
1/1/2010
|
3/31/2010
|
$26.99
|
$22.37
|
$26.11
|
4/1/2010
|
6/30/2010
|
$30.78
|
$24.89
|
$24.89
|
7/1/2010
|
9/30/2010
|
$28.35
|
$24.39
|
$28.04
|
10/1/2010
|
12/31/2010
|
$37.81
|
$27.85
|
$37.50
|
1/1/2011
|
3/31/2011
|
$41.18
|
$34.78
|
$39.98
|
4/1/2011
|
6/30/2011
|
$42.58
|
$35.67
|
$38.45
|
7/1/2011
|
9/30/2011
|
$40.61
|
$29.86
|
$33.46
|
10/1/2011
|
12/31/2011
|
$41.41
|
$31.50
|
$36.88
|
1/1/2012
|
3/31/2012
|
$49.67
|
$34.64
|
$48.08
|
4/1/2012
|
6/30/2012
|
$51.22
|
$44.58
|
$48.00
|
7/1/2012
|
9/30/2012
|
$53.93
|
$46.34
|
$51.85
|
10/1/2012
|
12/31/2012
|
$53.01
|
$44.83
|
$45.49
|
1/1/2013
|
3/31/2013
|
$50.98
|
$45.11
|
$47.30
|
4/1/2013
|
6/30/2013
|
$52.98
|
$46.29
|
$50.06
|
7/1/2013
|
9/30/2013
|
$53.50
|
$46.24
|
$53.38
|
10/1/2013
|
12/31/2013
|
$58.10
|
$51.42
|
$58.10
|
1/1/2014
|
3/31/2014
|
$58.58
|
$50.17
|
$54.61
|
4/1/2014
|
6/30/2014
|
$55.29
|
$42.70
|
$46.56
|
7/1/2014
|
7/7/2014*
|
$47.24
|
$46.57
|
$46.92
|
*
|
As of the date of this free writing prospectus, available information for the third calendar quarter of 2014 includes data for the period through July 7, 2014. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Quarterly Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2014.
|
Wynn Resorts, Limited
|
Quarter Begin
|
Quarter End
|
Quarterly Closing High
|
Quarterly Closing Low
|
Quarterly Close
|
7/1/2009
|
9/30/2009
|
$73.25
|
$29.91
|
$70.89
|
10/1/2009
|
12/31/2009
|
$69.91
|
$53.73
|
$58.23
|
1/1/2010
|
3/31/2010
|
$77.26
|
$60.76
|
$75.83
|
4/1/2010
|
6/30/2010
|
$93.15
|
$74.64
|
$76.27
|
7/1/2010
|
9/30/2010
|
$94.93
|
$74.79
|
$86.77
|
10/1/2010
|
12/31/2010
|
$116.55
|
$87.09
|
$103.84
|
1/1/2011
|
3/31/2011
|
$130.81
|
$108.99
|
$127.25
|
4/1/2011
|
6/30/2011
|
$149.74
|
$129.42
|
$143.54
|
7/1/2011
|
9/30/2011
|
$165.25
|
$115.08
|
$115.08
|
10/1/2011
|
12/31/2011
|
$139.73
|
$102.20
|
$110.49
|
1/1/2012
|
3/31/2012
|
$130.00
|
$106.64
|
$124.88
|
4/1/2012
|
6/30/2012
|
$135.04
|
$97.38
|
$103.72
|
7/1/2012
|
9/30/2012
|
$115.69
|
$92.79
|
$115.44
|
10/1/2012
|
12/31/2012
|
$122.90
|
$104.33
|
$112.49
|
1/1/2013
|
3/31/2013
|
$126.52
|
$115.50
|
$125.16
|
4/1/2013
|
6/30/2013
|
$143.11
|
$118.04
|
$128.00
|
7/1/2013
|
9/30/2013
|
$159.74
|
$126.14
|
$158.01
|
10/1/2013
|
12/31/2013
|
$194.21
|
$157.21
|
$194.21
|
1/1/2014
|
3/31/2014
|
$247.95
|
$191.83
|
$222.15
|
4/1/2014
|
6/30/2014
|
$227.46
|
$193.64
|
$207.56
|
7/1/2014
|
7/7/2014*
|
$211.91
|
$208.58
|
$208.58
|
*
|
As of the date of this free writing prospectus, available information for the third calendar quarter of 2014 includes data for the period through July 7, 2014. Accordingly, the “Quarterly Closing High,” “Quarterly Closing Low” and “Quarterly Close” data indicated are for this shortened period only and do not reflect complete data for the third calendar quarter of 2014.
|
What Are the Tax Consequences of an Investment in the Securities?
|
Supplemental Plan of Distribution (Conflicts of Interest)
|