Term
Sheet No. 730BC
To
prospectus dated October 10, 2006,
prospectus
supplement dated November 13, 2006,
product
supplement BC dated September 14, 2009 and
underlying
supplement no. 17 dated August 11, 2008
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Registration
Statement No. 333-137902
Dated
September 14, 2009; Rule 433
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Deutsche
Bank AG, London Branch
$
Equity
Basket Notes Linked to Seven Basket Funds due September 28*,
2012
General
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The Equity
Basket Notes Linked to Seven Basket Funds due September 28*, 2012 (the
“notes”) are
designed for investors who seek principal protection at maturity and
potential annual Coupon Payments up to a maximum of 5.25-6.25% per annum
(to be determined on the Trade Date), subject to the credit of the
Issuer.
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Annual
coupons will vary based on the performance of a basket of seven exchange
traded funds and could be zero.
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Senior
unsecured obligations of Deutsche Bank AG, London Branch maturing
September 28*, 2012.
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Minimum
denominations of $1,000 and integral multiples of $1,000 in excess
thereof.
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•
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The notes are
expected to price on or about September 25*, 2009 (the “Trade Date”) and are
expected to settle three business days later on or about
September 30*, 2009 (the “Settlement
Date”).
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Key
Terms
Issuer:
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Deutsche Bank
AG, London Branch
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Basket
Funds:
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There are
seven exchange traded funds that collectively constitute the “Basket Funds.” The
Basket Funds and the Bloomberg ticker symbol of each Basket Fund are set
forth under “The Basket Funds” on page TS-2 of this term
sheet.
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Payment at Maturity:
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$1,000 per
$1,000 note Principal Amount, plus any coupon due on
the Maturity Date.
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Variable
Coupon Payment Dates:
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October 6*,
2010; September 29*, 2011 and September 28*, 2012, subject to postponement
in the event of a Market Disruption Event and as described under
“Description of Notes—Adjustments to Valuation Dates and Payment Dates” in
the accompanying product supplement.
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Variable
Coupon Observation Dates:
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October 1*,
2010; September 26*, 2011 and September 25*, 2012, subject to postponement
in the event of a Market Disruption Event and as described under
“Description of Notes—Adjustments to Valuation Dates and Payment Dates” in
the accompanying product supplement.
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Maximum
Annual Contribution:
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The Maximum
Annual Contribution of each Basket Fund will be between 5.25% and 6.25%
(to be determined on the Trade Date).
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Minimum
Annual Contribution:
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Unlimited
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Basket Fund
Return:
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With respect
to each Basket Fund, on each Variable Coupon Observation
Date:
Final Annual Share
Price – Initial Share Price
Initial Share
Price
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Annual
Contribution:
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With respect
to each Basket Fund on each Variable Coupon Observation Date, the lesser
of i) the Maximum Annual Contribution; and ii) the Basket Fund Return for
such Basket Fund.
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Contribution
Average:
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With respect
to each Variable Coupon Observation Date, the average of the Annual
Contributions of all Basket Funds, calculated as the sum of the Annual
Contribution of each Basket Fund multiplied by
1/7.
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Variable
Coupon Payment Percentage:
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On each
Variable Coupon Payment Date the greater of i) zero; and ii) the
Contribution Average on the corresponding Variable Coupon Observation
Date.
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Initial Share
Price:
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With respect
to each Basket Fund, the Closing Price of one share of such Basket Fund on
the Trade Date. See “The Basket Funds” on page TS-2 of this term
sheet.
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Final Annual
Share Price:
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With respect
to each Basket Fund, the Closing Price of one share of such Basket Fund on
the corresponding Variable Coupon Observation Date times the Fund
Adjustment Factor for such Basket Fund on such day.
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Fund
Adjustment Factor:
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For each
Basket Fund, initially 1.0 on the Trade Date and subject to adjustment
under certain circumstances. See “Description of Notes—Anti-dilution
Adjustments” in the accompanying product supplement for further
information.
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Trade
Date:
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September
25*, 2009
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Maturity
Date:
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September
28*, 2012, subject to postponement in the event of a Market Disruption
Event and as described under “Description of Notes—Adjustments to
Valuation Dates and Payment Dates” in the accompanying product
supplement.
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Listing:
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The notes
will not be listed on any securities exchange.
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CUSIP /
ISIN:
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2515A0 R6 2 /
US2515A0R627
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*
Expected. In the event that we make any change to the expected Trade Date and
Settlement Date, the Variable Coupon Observation Dates, Variable Coupon Payment
Dates and Maturity Date will be changed so that the stated term of the notes
remains the same.
Investing
in the notes involves a number of risks. See “Risk Factors” beginning on page 8
of the accompanying product supplement BC and “Selected Risk Considerations”
beginning on page TS-7 of this term sheet.
Neither the
Securities and Exchange Commission nor any state securities commission has
approved or disapproved of the notes or passed upon the accuracy or the adequacy
of this term sheet or the accompanying product supplement, underlying
supplement, prospectus supplement and prospectus. Any representation to the
contrary is a criminal offense.
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Price to
Public
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Max. Total Discounts,
Commissions and Fees(1)
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Min.
Proceeds
to
Us
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Per
note
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$1,000.00
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$10.00
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$990.00
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Total
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$
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$
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$
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(1)
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For
more detailed information about discounts and commissions, please see
“Supplemental Underwriting Information (Conflicts of Interest)” on the
last page of this term sheet.
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The
agents for this offering are affiliates of ours. For more information see
“Supplemental Underwriting Information (Conflicts of Interest)” on the last page
of this term sheet.
The
notes are not bank deposits and are not insured by the Federal Deposit Insurance
Corporation or any other governmental agency. In addition, the notes are not guaranteed under the
Federal Deposit Insurance Corporation’s Temporary Liquidity Guarantee
Program.
Deutsche Bank Securities
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Deutsche Bank Trust Company Americas
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ADDITIONAL
TERMS SPECIFIC TO THE NOTES
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You should read this term sheet
together with the prospectus dated October 10, 2006, as supplemented
by the prospectus supplement dated November 13, 2006 relating to our
Series A global notes of which these notes are a part, and the more
detailed information contained in product supplement BC dated
September 14, 2009 and underlying supplement no. 17 dated August 11,
2008. You may access these documents on the SEC website at www.sec.gov as follows (or if such address
has changed, by reviewing our filings for the relevant date on the SEC
website):
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Underlying
supplement no. 17 dated August 11,
2008:
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Product
supplement BC dated September 14,
2009:
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Prospectus
supplement dated November 13,
2006:
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Prospectus
dated October 10, 2006:
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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.
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This term
sheet, together with the documents listed above, contains the terms of the
notes 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
“Risk Factors” in the accompanying product supplement, as the notes
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
notes.
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•
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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
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 and this term sheet if you so request by
calling toll-free
1-800-311-4409.
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You may revoke your offer to
purchase the notes 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 notes prior to their
issuance. We will notify you in the event of any changes to the terms of
the notes, and you will be asked to accept such changes in connection with
your purchase of any notes. You may also choose to reject such changes, in
which case we may reject your offer to purchase the
notes.
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THE
BASKET FUNDS
The Basket Funds
and the Bloomberg ticker symbol of each Basket Fund, along with other pertinent
information about the Basket Funds, are set forth below:
Ticker
Symbol
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Basket
Fund
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Relevant
Exchange
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Fund
Weighting
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Initial
Share
Price*
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OIH
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Oil Services
HOLDRSSM
Trust (Depositary Receipts)
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NYSE
Arca
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1/7
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$
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GDX
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Market
Vectors Gold Miners ETF
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NYSE
Arca
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1/7
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$
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XME
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SPDR®
S&P®
Metals & Mining ETF
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NYSE
Arca
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1/7
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$
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IYR.P
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iShares®
Dow Jones U.S. Real Estate Index Fund
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NYSE
Arca
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1/7
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$
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EFA.P
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iShares®
MSCI EAFE®
Index Fund
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NYSE
Arca
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1/7
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$
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QQQQ
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PowerShares
QQQ TrustSM,
Series 1
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NASDAQ
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1/7
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$
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SHY.P
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iShares®
Barclays 1-3 Year Treasury Bond Fund
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NYSE
Arca
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1/7
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$
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*
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The Initial
Share Price for each Basket Fund will be determined on the Trade
Date.
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HYPOTHETICAL
SCENARIOS OF VARIABLE COUPON PAYMENT PERCENTAGES
On each Variable
Coupon Payment Date, you may be entitled to receive a coupon depending on
the performance of the Basket Funds since the Trade Date. The coupon rate
payable per note on each Variable Coupon Payment Date will be determined on the
corresponding Variable Coupon Observation Date and may be zero. The Payment at
Maturity due on the note will be $1,000 per $1,000 note Principal Amount plus any coupon due on the
Maturity Date. The following examples illustrate how one Coupon Payment is
calculated on a Variable Coupon Observation Date, assuming a Maximum Annual
Contribution of 5.75%. The actual Maximum Annual Contribution will be determined
on the Trade Date. The following results are based solely on the hypothetical
examples cited. You should consider carefully whether the notes are suitable to
your investment goals. The numbers appearing in the tables below have been
rounded for ease of analysis.
Scenario
1: The Basket Fund performance results in a coupon equal to the Maximum Annual
Contribution on the applicable Variable Coupon Payment Date.
Basket
Fund
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Initial
Share Price
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Final
Annual Share Price
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Basket
Fund Return
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Annual
Contribution
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Annual
Contribution x 1/7
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OIH
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$110.00
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$121.00
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10.00%
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5.75%
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0.821%
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GDX
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$45.00
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$49.50
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10.00%
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5.75%
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0.821%
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XME
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$45.00
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$49.50
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10.00%
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5.75%
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0.821%
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IYR.P
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$40.00
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$44.00
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10.00%
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5.75%
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0.821%
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EFA.P
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$55.00
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$60.50
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10.00%
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5.75%
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0.821%
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QQQQ
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$40.00
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$44.00
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10.00%
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5.75%
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0.821%
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SHY.P
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$85.00
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$93.50
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10.00%
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5.75%
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0.821%
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Contribution
Average=
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5.75%
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Variable
Coupon Payment Percentage=
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5.75%
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In
this scenario, even though all seven Basket Funds have significant positive
Basket Fund Returns, because the Annual Contribution for each individual Basket
Fund may not be more than the Maximum Annual Contribution of 5.75%, the Variable
Coupon Payment Percentage is equal to the Maximum Annual Contribution of 5.75%.
This scenario results in a Coupon Payment of $57.50 per $1,000 note Principal
Amount. Even when all of the Basket Funds have significant positive Basket Fund
Returns, the Coupon Payment on the applicable Variable Coupon Payment Date is
limited by the Maximum Annual Contribution.
Scenario
2: The Basket Fund performance results in no Coupon Payment on the applicable
Variable Coupon Payment Date.
Basket
Fund
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Initial
Share Price
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Final
Annual Share Price
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Basket
Fund Return
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Annual
Contribution
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Basket
Fund Contribution average
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OIH
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$110.00
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$121.00
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10.00%
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5.75%
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0.821%
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GDX
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$45.00
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$49.50
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10.00%
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5.75%
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0.821%
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XME
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$45.00
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$49.50
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10.00%
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5.75%
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0.821%
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IYR.P
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$40.00
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$44.00
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10.00%
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5.75%
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0.821%
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EFA.P
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$55.00
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$60.50
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10.00%
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5.75%
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0.821%
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QQQQ
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$40.00
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$44.00
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10.00%
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5.75%
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0.821%
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SHY.P
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$85.00
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$42.50
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-50.00%
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-50.00%
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-7.14%
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Contribution
Average=
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-2.21%
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Variable
Coupon Payment Percentage=
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0.00%
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In
this scenario, even though six of the seven Basket Funds have positive Basket
Fund Returns, because one Basket Fund has a significant negative Basket Return
of -50.00%, the Contribution Average is -2.21%. Therefore, the Variable Coupon
Payment Percentage is 0.00% and the investor will receive no
Coupon Payment on the applicable Variable Coupon Payment Date. Even when most of
the Basket Funds have positive Basket Returns, because of the Maximum Annual
Contribution, if the negative Basket Return of one or more of the other Basket
Funds is sufficiently large, the investor may receive no
Coupon Payment on the applicable Variable Coupon Payment Date.
Scenario
3: The Basket Fund performance results in a coupon less than the Maximum Annual
Contribution on the applicable Variable Coupon Payment Date.
Basket
Fund
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Initial
Share Price
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Final
Annual Share Price
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Basket
Fund Return
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Annual
Contribution
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Basket
Fund Contribution average
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OIH
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$110.00
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$121.00
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10.00%
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5.75%
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0.821%
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GDX
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$45.00
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$47.25
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5.00%
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5.00%
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0.714%
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XME
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$45.00
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$40.50
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-10.00%
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-10.00%
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-1.429%
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IYR.P
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$40.00
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$44.00
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10.00%
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5.75%
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0.821%
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EFA.P
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$55.00
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$57.75
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5.00%
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5.00%
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0.714%
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QQQQ
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$40.00
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$38.00
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-5.00%
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-5.00%
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-0.714%
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SHY.P
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$85.00
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$93.50
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10.00%
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5.75%
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0.821%
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Contribution
Average=
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1.75%
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Variable
Coupon Payment Percentage=
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1.75%
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In
this scenario, because five of the seven Basket Funds have positive Basket
Returns, ranging from 5.00% to 10.00%, and even though the other two Basket
Funds have negative Basket Fund Returns of -10.00% and -5.00%, the Contribution
Average is 1.75%, and the investor receives a Coupon Payment of $17.50 per
$1,000 note Principal Amount. Even if some of the Basket Funds have negative
Basket Returns, if the negative Basket Fund Returns are sufficiently small and
are offset by the greater positive Basket Fund Returns of the other Basket
Funds, the investor will receive a Coupon Payment on the applicable Variable
Coupon Payment Date, subject to the credit of the Issuer.
SELECTED
PURCHASE CONSIDERATIONS
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PRESERVATION OF CAPITAL AT
MATURITY — You will receive at least 100% of the Principal Amount
of your notes provided that you hold the notes to maturity, regardless of
the performance of the Basket Funds. Because the notes are our senior
unsecured obligations, payment of any amount at maturity remains subject
to our ability to pay our obligations as they become
due.
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RETURN LINKED TO AN EQUALLY
WEIGHTED BASKET OF SEVEN BASKET FUNDS — The return on the notes is
linked to the performance of an equally weighted basket of seven Basket
Funds. The Basket Funds are the following exchange traded funds: Oil
Services HOLDRSSM
Trust, Market Vectors Gold Miners ETF, SPDR Metals & Mining ETF,
iShares®
Dow Jones U.S. Real Estate Index Fund, iShares®
MSCI EAFE®
Index Fund, PowerShares QQQ TrustSM
Trust, Series 1 and iShares®
Barclays 1-3 Year Treasury Bond Fund. A brief description of each Basket
Fund is set forth below.
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Oil
Services HOLDRSSM
Trust
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The Oil
Services HOLDRSSM
Trust (“OIH”) was
formed pursuant to a depositary trust agreement, dated as of February 6,
2001, among The Bank of New York, as trustee, Merrill Lynch, Pierce,
Fenner & Smith Incorporated, as the initial depositor, other
depositors and the owners of the Oil Service HOLDRS. OIH is not a
registered investment company under the Investment Company Act of 1940.
The trust holds shares of common stock issued by a group of companies that
provide drilling, well-site management and related products and services
to the oil service industry. This section is just a summary
of the Oil Services HOLDRSSM Trust. For more information
on the Oil Services HOLDRSSM Trust, see the information
set forth under “Oil Services HOLDRSSM Trust” in this term
sheet.
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Market
Vectors Gold Miners ETF
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The Market
Vectors Gold Miners ETF is an exchange traded fund managed by Market
Vectors ETF Trust, a registered investment company. The Market Vectors ETF
Trust consists of numerous separate investment portfolios, including the
Market Vectors Gold Miners ETF. The Market Vectors Gold Miners ETF seeks
to provide investment results that replicate as closely as possible the
price and yield performance, before fees and expenses, of the NYSE Arca
Gold Miners Index. The NYSE Arca Gold Miners Index is a modified market
capitalization weighted index comprised of publicly traded companies
involved primarily in the mining of gold or silver. It is possible that
this fund may not fully replicate the performance of the NYSE Arca Gold
Miners Index due to the temporary unavailability of certain securities in
the secondary market or due to other extraordinary circumstances. This section is just a summary
of the Market Vectors Gold Miners ETF. For more information on the Market
Vectors Gold Miners ETF, see the information set forth under “Market
Vectors Gold Miners ETF” in this term sheet. For more information on the
NYSE Arca Gold Miners Index, see the information set forth under “NYSE
Arca Gold Miners Index” in this term
sheet.
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SPDR®
S&P®
Metals & Mining ETF
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The SPDR®
S&P®
Metals & Mining ETF is an exchange traded fund managed by SPDR Series
Trust, a registered investment company. The SPDR Series Trust consists of
numerous separate investment portfolios, including the SPDR®
S&P®
Metals & Mining ETF. The SPDR®
S&P®
Metals & Mining ETF seeks to provide investment results that replicate
as closely as possible the total return performance, before fees and
expenses, of an index derived from the oil and gas equipment and services
segment known as the S&P®
Metals and Mining Select Industry Index™.
The S&P®
Metals & Mining Select Industry™ Index is an equal-weighted index that
is designed to measure the performance of the metals and mining
sub-industry portion of the S&P®
Total Market Index, a benchmark that measures the performance of the U.S.
equity market. This
description is a just a summary of the SPDR® S&P® Metals & Mining ETF. For
more information on the SPDR® S&P® Metals & Mining ETF, see
the information set forth under “SPDR® S&P® Metals & Mining ETF” in
this term sheet. For more information on the S&P® Metals & Mining Select
Industry™ Index, please see “S&P® Metals & Mining Select
Industry™ Index” in this term
sheet.
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iShares®
Dow Jones U.S. Real Estate Index
Fund
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The iShares® Dow Jones U.S. Real Estate Index
Fund is an exchange traded fund managed by iShares® Trust, a registered investment
company. The iShares® Trust consists of numerous
separate investment portfolios, including the iShares® Dow Jones U.S. Real Estate Index
Fund. The iShares® Dow Jones U.S. Real Estate Index
Fund seeks to provide investment results that correspond generally to the
price and yield performance, before fees and expenses, of the real estate
sector of the U.S. equity market as measured by the Dow Jones U.S. Real
Estate Index. The Dow Jones U.S. Real Estate Index consists of Real Estate
Investment Trusts (“REITs”) and other companies that
invest directly or indirectly in real estate through development,
management or ownership, including property agencies. The Dow Jones U.S.
Real Estate
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Index is
calculated, published and disseminated daily by Dow Jones &
Company (“Dow
Jones”), and
measures the performance of the real estate industry of the U.S. equity
market, including real estate holding and developing and REITs. The
iShares® Dow Jones U.S. Real Estate Index
Fund trades on the NYSE under the ticker symbol “IYR.” It is possible that
this fund may not fully replicate or may in certain circumstances diverge
significantly from the performance of the Dow Jones U.S. Real Estate Index
due to the temporary unavailability of certain securities in the secondary
markets, the performance of any derivative instruments contained in this
fund, the fees and expenses of the fund or due to other circumstances.
This section
is a summary only of the iShares®
Dow Jones U.S. Real Estate Index Fund. For more information on the
iShares® Dow Jones
U.S. Real Estate Index Fund, including information concerning its
composition, calculation methodology and adjustment policy, please see the
section entitled “The iShares Exchange Traded Funds—iShares® Dow Jones
U.S. Real Estate Index Fund” in the accompanying underlying supplement no.
17 dated August 11, 2008. |
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iShares®
MSCI EAFE®
Index Fund
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The
iShares®
MSCI EAFE®
Index Fund is an exchange traded fund managed by iShares®
Trust, a registered investment company. The iShares®
Trust consists of numerous separate investment portfolios,
including the iShares®
MSCI EAFE®
Index Fund. The iShares®
MSCI EAFE®
Index Fund seeks to provide investment results that correspond generally
to the price and yield performance, before fees and expenses, of publicly
traded securities in the European, Australasian and Far Eastern markets,
as measured by the MSCI EAFE®
Index. The iShares®
MSCI EAFE®
Index Fund trades on the NYSE under the ticker symbol “EFA.” It is
possible that this fund may not fully replicate or may in certain
circumstances diverge significantly from the performance of the MSCI
EAFE®
Index due to the temporary unavailability of certain securities in the
secondary markets, the performance of any derivative instruments contained
in this fund, the fees and expenses of the fund or due to other
circumstances. This
section is a summary only of the iShares®
MSCI
EAFE® Index Fund. For more
information on the iShares Exchange Traded Funds, including information
concerning calculation methodology and adjustment policy, please see the
section entitled “The iShares Exchange Traded Funds—Methodology” in the
accompanying underlying supplement no. 17 dated August 11, 2008. For more
information on the MSCI EAFE® Index, please see the section
entitled “The MSCI Indices—The MSCI EAFE® Index” in the accompanying
underlying supplement no. 17 dated August 11,
2008.
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PowerShares
QQQ TrustSM,
Series 1
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|
The
PowerShares QQQ TrustSM,
Series 1 (“QQQQ”)
is governed by a standard terms and conditions of trust between The Bank
of New York Mellon, as trustee, and Nasdaq Global Funds, the predecessor
sponsor to Invesco PowerShares Capital Management LLC. The sponsor and the
trustee are also parties to a trust indenture and agreement of the trust.
QQQQ is a unit investment trust designed to generally correspond to the
price and yield performance of the Nasdaq-100 Index®.
This section is just a
summary of the PowerShares QQQ TrustSM, Series 1. For more
information on the PowerShares QQQ TrustSM, Series 1, see the
information set forth under “PowerShares QQQ TrustSM, Series 1” in this term
sheet. For more information on the NASDAQ 100® Index, including information
concerning itscomposition, calculation methodology and adjustment policy,
please see the section entitled “The NASDAQ 100® Index” in the accompanying
underlying supplement no. 17 dated August 11,
2008.
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iShares®
Barclays 1-3 Year Treasury Bond
Fund
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The
iShares®
Barclays 1-3 Year Treasury Bond Fund is an exchange traded fund managed by
iShares®
Trust, a registered investment company. The iShares®
Trust consists of numerous separate investment portfolios, including the
iShares®
Barclays 1-3 Year Treasury Bond Fund. The iShares®
Barclays 1-3 Year Treasury Bond Fund seeks to provide investment results
that correspond generally to the price and yield performance, before fees
and expenses, of the short-term sector of the United States Treasury
Market as defined by the Barclays Capital U.S. 1-3 Year Treasury Bond
Index. The Barclays Capital U.S. 1-3 Year Treasury Bond Index is market
capitalization weighted and measures the performance of public obligations
to the U.S. Treasury that have a remaining maturity of greater than or
equal to one year and less than three years. This section is just a summary
of the iShares® Barclays 1-3 Year Treasury
Bond Fund. For more information on the iShares® Barclays 1-3 Year Treasury
Bond Fund, see the information set forth under “iShares® Barclays 1-3 Year Treasury
Bond Fund” in this term sheet. For more information on the Barclays
Capital U.S. 1-3 Year Treasury Bond Index, see the information set forth
under “Barclays Capital U.S. 1-3 Year Treasury Bond Index” in this term
sheet.
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SELECTED
RISK CONSIDERATIONS
An investment in
the notes involves significant risks. Investing in the notes is not equivalent
to investing directly in the Basket Funds. These risks are explained in more
detail in the “Risk Factors” section of the accompanying product supplement BC
dated September 14, 2009.
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YOU MAY NOT RECEIVE ANY COUPON
PAYMENTS — The notes do not guarantee any Coupon Payments. The
coupon paid on a Coupon Payment date, if any, will depend on the
performance of the Basket Funds and is limited to the Maximum Annual
Contribution of between 5.25% and 6.25% (to be determined on the Trade
Date). Coupon payments on the notes may be zero and may be less than you
could have earned on ordinary interest-bearing debt securities with
similar maturities, including other debt securities of ours, because of
the way in which the Variable Coupon Payment Percentages are calculated.
The return on the notes may not be enough to compensate you for any loss
in value due to inflation and other factors relating to the value of money
over time.
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THE CONTRIBUTION OF ANY
PARTICULAR BASKET FUND TO A COUPON IS CAPPED, REGARDLESS OF THE BASKET
FUND’S PERFORMANCE — The individual Annual Contribution of any
Basket Fund is limited to the Maximum Annual Contribution. Therefore, the
contribution of any particular Basket Fund to your coupon is capped,
regardless of any positive Basket Fund performance, which may be
significant. As a result, the return on the notes may be significantly
less than the return you would have received if you had invested directly
in the Basket Funds.
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YOUR COUPON PAYMENTS ARE
LIMITED TO THE MAXIMUM ANNUAL CONTRIBUTION — The individual Annual
Contribution of any Basket Fund is limited to the Maximum Annual
Contribution of between 5.25% and 6.25% (to be determined on the Trade
Date). Therefore, the coupon due on any Variable Coupon Payment Date,
which is determined by taking the average of the Annual Contributions of
all Basket Funds, is limited to between $52.50 and $62.50 (to be
determined on the Trade Date) per $1,000 note Principal
Amount.
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PAYMENTS ON THE NOTES ARE
SUBJECT TO THE ISSUER’S CREDITWORTHINESS — The payment of any
amount due on the notes, including the coupons and repayment of principal
at maturity, is subject to the credit risk of the Issuer. An actual or
anticipated downgrade in the Issuer’s credit rating will likely have an
adverse effect on the market value of the
notes.
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CHANGES IN THE VALUE OF THE
BASKET FUNDS MAY OFFSET EACH OTHER — Coupons due on the Variable
Coupon Payment Dates are linked to a Basket consisting of seven Basket
Funds. Price movements in the Basket Funds may not correlate with each
other. At a time when the prices of some of the Basket Funds increase, the
prices of other Basket Funds may not increase as much or may decline.
Therefore, in calculating the Contribution Average, increases in the price
of some of the Basket Funds may be moderated, or more than offset, by
lesser increases or declines in the price of the other Basket Funds,
particularly because there is a Maximum Annual Contribution for each
Basket Fund but no corresponding Minimum Annual
Contribution.
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YOU MAY NOT RECEIVE ANY COUPON
PAYMENTS EVEN WHEN THE BASKET AS A WHOLE HAS APPRECIATED BECAUSE THERE IS
A MAXIMUM ANNUAL CONTRIBUTION BUT NO CORRESPONDING MINIMUM ANNUAL
CONTRIBUTION — The Maximum Annual Contribution is 5.25% to 6.25%
(to be determined on the Trade Date), but there is no Minimum Annual
Contribution. Therefore, a large positive Basket Fund Return by one Basket
Fund may contribute less to the Contribution Average than a smaller (in
absolute value) negative Basket Fund Return by another Basket Fund deducts
from the Contribution Average. For example, if one Basket Fund has a
Basket Fund Return of 100%, a second Basket Fund has a Basket Fund Return
of -25%, and the rest of the Basket Funds have Basket Fund Returns of 0%,
the positively performing Basket Fund will have an Annual Contribution of
5.25 to 6.25%, the negatively performing Basket Fund will have an Annual
Contribution of -25%, and the remainder of the Basket Funds will have
Annual Contributions of 0%, resulting in a negative Contribution Average.
This would result in no coupon, even if the overall Basket Fund
performance is positive.
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DECREASES IN THE PRICE OF THE
BASKET FUNDS OVER THE TERM OF THE NOTE WILL LIMIT ANY COUPON PAYABLE ON
THE NOTES —
The Basket
Fund Return is calculated using the Initial Share Price of each Basket
Fund, which is determined on the Trade Date. As a result, decreases in the
price of a Basket Fund in any period may limit the Annual Contribution in
subsequent periods.
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NO OWNERSHIP RIGHTS IN THE
BASKET FUNDS — As a holder of the notes, you will not have any
ownership interest or rights in any of the Basket Funds, such as voting
rights or dividend payments. In addition, the issuers of the Basket Funds
will not have any obligation to consider your interests as a holder
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of
the notes in taking any corporate action that might affect the value of
the relevant Basket Funds and, consequently, the value of the
notes. |
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NO AFFILIATION WITH THE BASKET
STOCK ISSUERS — We are not affiliated with the issuers of the
Basket Funds. We assume no responsibility for the adequacy of the
information about the Basket Funds and their issuers contained in this
term sheet. You should make your own investigation into the Basket Funds
and their issuers. We are not responsible for the Basket Fund issuers’
public disclosure of information, whether contained in SEC filings or
otherwise.
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CERTAIN BUILT-IN COSTS ARE
LIKELY TO ADVERSELY AFFECT THE VALUE OF THE NOTES PRIOR TO MATURITY
— While the Payment at Maturity, if any, described in this term sheet is
based on the full Principal Amount of your notes, the original Issue Price
of the notes includes the agent’s commission and the estimated cost of
hedging our obligations under the notes through one or more of our
affiliates. As a result, the price, if any, at which Deutsche Bank, will
be willing to purchase notes from you in secondary market transactions, if
at all, will likely be lower than the original Issue Price, and any sale
prior to the Maturity Date could result in a substantial loss to you. The
notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to
maturity.
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LACK OF LIQUIDITY — The
notes will not be listed on any securities exchange. Deutsche Bank
Securities Inc. may offer to purchase the notes in the secondary market
but is not required to do so. Even if there is a secondary market, it may
not provide enough liquidity to allow you to trade or sell the notes
easily. Because other dealers are not likely to make a secondary market
for the notes, the price at which you may be able to trade your notes is
likely to depend on the price, if any, at which Deutsche Bank Securities
Inc. may be willing to buy the
notes.
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POTENTIAL CONFLICTS — We
and our affiliates play a variety of roles in connection with the issuance
of the notes, including acting as Calculation Agent. In performing these
duties, the economic interests of the Calculation Agent and other
affiliates of ours are potentially adverse to your interests as an
investor in the notes. We and/or our affiliates may also currently or from
time to time engage in business with the Basket Fund issuers, including
extending loans to, or making equity investments in, such Basket Fund
issuer(s) or providing advisory services to such Basket Fund issuer(s). In
addition, one or more of our affiliates may publish research reports or
otherwise express opinions with respect to the Basket Funds and these
reports may or may not recommend that investors buy or hold the Basket
Funds. As a prospective purchaser of the notes, you should undertake an
independent investigation of the Basket Funds and their issuers that in
your judgment is appropriate to make an informed decision with respect to
an investment in the notes.
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HEDGING AND TRADING IN THE
BASKET FUNDS — While the notes are outstanding, we or any of our
affiliates may carry out hedging activities related to the notes,
including in the Basket Funds or instruments related to one or more of the
Basket Funds. We or our affiliates may also trade in the Basket Funds or
instruments related to either or both of the Basket Funds from time to
time. Any of these hedging or trading activities as of the Trade Date and
during the term of the notes could adversely affect our payment to you at
maturity.
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ANTI-DILUTION PROTECTION IS
LIMITED — The Calculation Agent will make adjustments to the Fund
Adjustment Factor for each Basket Fund to reflect certain events affecting
such Basket Fund. However, the Calculation Agent will not make an
adjustment in response to all events that could affect the Basket Funds.
If an event occurs that does not require the Calculation Agent to make an
adjustment, the value of the notes may be materially and adversely
affected. See “Description of Notes—Anti-Dilution Adjustments” in the
accompanying product supplement for further
information.
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COMMODITY PRICES ARE
CHARACTERIZED BY HIGH AND UNPREDICTABLE VOLATILITY, WHICH COULD LEAD TO A
HIGH AND UNPREDICTABLE VOLATILITY IN CERTAIN BASKET FUNDS — The Oil
Service HOLDRSSM
Trust, Market Vectors Gold Miners ETF and SPDR®
S&P®
Metals & Mining ETF invest in companies involved in the production of
commodities. Market prices of certain commodities tend to be highly
volatile. Commodity market prices are not related to the value of a future
income or earnings stream, as tends to be the case with fixed-income and
equity investments, but are subject to rapid fluctuations based on
numerous factors, including changes in supply and demand relationships,
governmental programs and policies, national and international monetary,
trade, political and economic events, changes in interest and exchange
rates, speculation and trading activities in commodities and related
contracts, weather, and agricultural, trade, fiscal and exchange control
policies. Many commodities are also highly cyclical. These factors may
have a larger impact on commodity prices than on traditional fixed-income
and equity securities. These variables may create additional investment
risks that cause the prices of the Basket Funds investing in
commodity-producing companies to be more volatile than the prices of a
more broadly diversified Basket Fund. These and other factors may affect
the prices of the Oil Service
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HOLDRSSM
Trust, the Market Vectors Gold Miners ETF and the SPDR®
S&P®
Metals & Mining ETF, and thus the Coupon Payments on your notes and
the value of your notes. |
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RISKS ASSOCIATED WITH REAL
ESTATE INVESTMENT TRUSTS WILL AFFECT THE VALUE OF THE NOTES – The
iShares®
Dow Jones U.S. Real Estate Index Fund is composed of a variety of real
estate related securities including REITs. REITs invest primarily in
income producing real estate or real estate related loans or interests.
Investments in REITs, though not direct investments in real estate, are
still subject to the risks associated with investing in real estate. The
following are some of the conditions that might impact the structure of
and cash flow generated by REITs and, consequently, the value of REITs
and, in turn, the iShares®
Dow Jones U.S. Real Estate Index Fund, the Coupon Payments on your notes
and the value of your notes:
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a decline in
the value of real estate
properties;
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extended
vacancies of properties;
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increases in
property and operating taxes;
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increased
competition or overbuilding;
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a lack of
available mortgage funds or other limits on accessing
capital;
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tenant
bankruptcies and other credit
problems;
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limitation on
rents, including decreases in market rates for
rents;
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changes in
zoning laws and governmental
regulations;
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costs
resulting from the clean-up of, and legal liability to third parties for
damages resulting from environmental
problems;
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investments
in developments that are not completed or that are subject to delays in
completion;
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risks
associated with borrowing;
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changes in
interest rates;
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casualty and
condemnation losses; and
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uninsured
damages from floods, earthquakes or other natural
disasters.
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NON-U.S. SECURITIES MARKETS
RISKS – The stocks included in the iShares®
MSCI EAFE®
Index Fund are issued by foreign companies in foreign securities markets.
These stocks may be more volatile and may be subject to different
political, market, economic, exchange rate, regulatory and other risks
which may have a negative impact on the performance of the
notes.
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MANY ECONOMIC AND MARKET
FACTORS WILL INFLUENCE THE VALUE OF THE NOTES — In addition to the
Closing Price of the Basket Fund on any day, the value of the notes will
be affected by a number of economic and market factors that may either
offset or magnify each other,
including:
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whether the
Annual Contribution of any Basket Fund has met or exceeded the Maximum
Annual Contribution on any Variable Coupon Observation
Date;
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the expected
volatility in the Basket Funds;
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the time to
maturity of the notes;
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the dividend
rates paid on the stocks underlying the Basket
Funds;
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interest and
yield rates in the market
generally;
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a variety of
economic, financial, political, regulatory or judicial events;
and
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our
creditworthiness, including actual or anticipated downgrades in our credit
ratings.
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TAXED AS CONTINGENT PAYMENT
DEBT INSTRUMENTS — You should review carefully the section in the
accompanying product supplement entitled “Certain U.S. Federal Income Tax
Consequences.” The notes will be treated for U.S. federal income tax
purposes as “contingent payment debt instruments.” Under this treatment,
regardless of your method of accounting, you generally will be required to
accrue interest in each year on a constant yield to maturity basis at the
“comparable yield,” as determined by us, with certain adjustments to
reflect the difference, if any, between the actual and projected amount of
the contingent payments on the notes. Any income recognized upon a sale,
exchange or retirement of the notes will be treated as interest income for
U.S. federal income tax
purposes.
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You may obtain the
comparable yield and the projected payment schedule by submitting a written
request to Deutsche Bank Securities Inc., 60 Wall Street, 4th Floor, New York,
New York 10005, Attention: Daniel Millwood, 212-250-8281. Neither the comparable yield nor the
projected payment schedule constitutes a representation by us
regarding the actual amount in excess of your principal, if any, that we will
pay on the notes.
Under current law,
the United Kingdom will not impose withholding tax on payments made with respect
to the notes.
For a discussion of
certain German tax considerations relating to the notes, you should refer to the
section in the accompanying prospectus supplement entitled “Taxation by Germany
of Non-Resident Holders.”
We
do not provide any advice on tax matters. You should consult your tax adviser
regarding all aspects of the U.S. federal tax consequences of investing in the
notes, as well as any tax consequences arising under the laws of any state,
local or non-U.S. taxing jurisdiction.
THE
BASKET FUNDS
Public
Information
All information contained herein on the
Basket Funds and on the Basket Fund issuers is derived from publicly available
sources and is provided for informational purposes only. We have not
participated in the preparation of, or verified, such publically available
documents. Companies with securities registered under the Securities Exchange
Act of 1934, as amended, which we refer to as the Exchange Act, and investment
companies registered under the Investment Company Act of 1940, as amended, are
required to periodically file certain financial and other information specified
by the SEC. Information provided to or filed with the SEC by a Basket Fund
issuer pursuant to the Exchange Act can be located by reference to the SEC file
number provided below and can be accessed through www.sec.gov. See “The Basket Funds” beginning on
page 37of the accompanying product supplement for more
information.
Historical
Information of the Basket Funds and the Basket
The graphs
contained in this term sheet set forth the historical performance of the Basket
Funds based on the daily closing prices (in U.S. dollars) of the Basket Funds
from June 22, 2006 through September 9, 2009. The closing price for each
Basket Fund on September 9, 2009 is set forth in the table below.
Basket
Fund
|
Ticker
|
Basket
Fund Closing Price
|
Oil Services
HOLDRSSM
Trust
|
OIH
|
$108.94
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Market
Vectors Gold Miners ETF
|
GDX
|
$44.12
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SPDR®
S&P®
Metals & Mining ETF
|
XME
|
$44.21
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iShares®
Dow Jones U.S. Real Estate Index Fund
|
IYR.P
|
$40.94
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iShares®
MSCI EAFE®
Index Fund
|
EFA.P
|
$54.20
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PowerShares
QQQ TrustSM,
Series 1
|
QQQQ
|
$41.09
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iShares®
Barclays 1-3 Year Treasury Bond Fund
|
SHY.P
|
$83.87
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The historical levels of each Basket Fund should not be
taken as an indication of future performance, and no assurance can be
given as to the Basket Fund Return on any Variable Coupon Observation Date or
any future closing price of a Basket Fund. We cannot give you assurance that the
performance of the Basket will result in the return of
your initial investment in excess your initial investment.
Oil
Services HOLDRSSM
Trust
We have obtained
all information regarding the Oil Services HOLDRSSM Trust
(the “OIH”) contained in
this term sheet, including, without limitation, its make-up, method of
calculation and changes in its components, from publicly available information,
and we have not participated in the preparation of, or verified, such available
information.
The Oil Services
HOLDRSSM Trust
was formed pursuant to a depositary trust agreement, dated as of February 6,
2001, among The Bank of New York, as trustee, Merrill Lynch, Pierce, Fenner
& Smith Incorporated, as the initial depositor, other depositors and the
owners of the Oil Service HOLDRS. OIH is not a registered investment company
under the Investment Company Act of 1940. Information filed by the OIH with the
SEC pursuant to the Securities Exchange Act of 1934, as amended, can be located
by reference to the SEC file number 001−16311 on the SEC’s website at http://www.sec.gov.
In addition, information about the OIH may be obtained from other sources
including, but not limited to, press releases, newspaper articles and other
publicly disseminated documents and the HOLDRSSM website
at www.holdrs.com.
Information contained in the HOLDRSSM website
is not incorporated by reference in, and should not be considered a part of this
term sheet or any pricing supplement. The depositary receipts are listed on the
NYSE Arca under the trading symbol “OIH”.
The trust holds
shares of common stock issued by a group of companies that provide drilling,
well-site management and related products and services to the oil service
industry. OIH issued depositary receipts under the depositary trust agreement
which represent an undivided beneficial ownership interest in the shares of
securities held by OIH. The depositary receipts are separate from the shares of
common stock that are held by the trust. The issuers of the underlying shares
held by the trust were, at the time of selection, among the largest capitalized,
most liquid companies in the oil service industry as measured by market
capitalization and trading volume.
Holdings
Information
The holding
information for the OIH is updated on a daily basis. As of September 10, 2009
the OIH had a total of 16 total constituents. The following tables summarize the
OIH’s top 10 holdings in individual companies as of such date.
Top
10 Holdings in Individual Companies as of September 10, 2009
Company
|
Percentage
of
Total
Holdings
|
Transocean
Ltd.
|
16.08%
|
Schlumberger
Limited
|
11.90%
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Halliburton
Co.
|
10.18%
|
Diamond
Offshore Drilling Inc.
|
9.16%
|
Noble
Corporation Baar
|
7.19%
|
Weatherford
International Ltd.
|
7.05%
|
Baker Hughes
Inc.
|
6.92%
|
National
Oilwell Varco Inc.
|
6.18%
|
Cameron
International Corp.
|
5.30%
|
BJ Services
Co.
|
4.24%
|
The information
above was compiled from the HOLDRSSM
website. Information contained in the HOLDRSSM website
is not incorporated by reference in, and should not be considered a part of,
this term sheet or any pricing supplement.
Historical
Information About the Oil Services HOLDRSSM
Trust
The following graph
sets forth the historical performance of the Oil Services HOLDRSSM
Trust, based on the daily closing price (in U.S. dollars) of one share of the
Oil Services HOLDRSSM
Trust from June 22, 2006 through September 9, 2009. The closing price of one
share of the Oil Services HOLDRSSM
Trust on September 9, 2009 was $108.94.
Market
Vectors Gold Miners ETF
We have derived all
information contained in this term sheet regarding the Market Vectors Gold
Miners ETF (the “GDX”)
including, without limitation, its make-up, method of calculation and changes in
its components, from publicly available information, and we have not
participated in the preparation of, or verified, such publicly available
information. Such information reflects the policies of, and is subject to change
by, Market Vectors ETF Trust and Van
Eck Associates
Corporation (“Van Eck”).
The GDX is an investment portfolio of the Market Vectors ETF Trust, a registered
investment company. Van Eck is the investment adviser to the Market Vectors Gold
Miners ETF. The GDX is an exchange traded fund that trades on the NYSE Arca
under the ticker symbol “GDX.”
The Market Vectors
ETF Trust is a registered investment company that consists of numerous separate
investment portofilios, including the GDX. Information provided to or filed with
the SEC by the Market Vectors Gold Miners ETF pursuant to the Securities Act of
1933, as amended, and the Investment Company Act of 1940, as amended, can be
located by reference to the SEC file numbers 333−123257 and 811−10325,
respectively, through the SEC’s website at http://www.sec.gov.
For additional information regarding the Market Vectors ETF Trust, Van Eck and
the GDX, please see the prospectus dated May 1, 2009. In addition, information
about the Market Vectors ETF Trust, Van Eck and the GDX may be obtained from
other sources including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents and the Van Eck website at www.vaneck.com.
Information contained in the Van Eck website is not incorporated by reference
in, and should not be considered a part of this term sheet or any pricing
supplement.
Investment
Objective
The GDX seeks to
provide investment results that replicate as closely as possible the price and
yield performance, before fees and expenses, of the NYSE Arca Gold Miners Index.
The NYSE Arca Gold Miners Index is a modified market capitalization weighted
index comprised of publicly traded companies involved primarily in mining for
gold or silver. The NYSE Arca Gold Miners Index includes common stocks and
American Depositary Receipts (“ADRs”) of selected companies
that are involved in mining for gold and silver and that are listed for trading
on the NYSE or the NYSE Amex or quoted on The NASDAQ Stock Market. Only
companies with market capitalization greater than $100 million and that have a
daily average trading volume of at least 50,000 shares over the past six months
are eligible for inclusion in the NYSE Arca Gold Miners Index.
Indexing
Investment Approach
The GDX, utilizes a
“passive” or indexing investment approach and attempts to approximate the
investment performance of the Gold Miners Index by investing in a portfolio of
securities that generally replicate the Gold Miners Index. It is possible that
the Market Vectors Gold Miners ETF may not fully replicate the performance of
the NYSE Arca Gold Miners Index due to the temporary unavailability of certain
securities in the secondary market or due to other extraordinary
circumstances.
Holdings
Information
The holding
information for the GDX is updated on a daily basis. As of September 10, 2009
the GDX had a total of 32 total constituents. The following tables summarize the
GDX’s top 10 holdings in individual companies as of such date.
Top
10 Holdings in Individual Companies as of September 10, 2009
Company
|
Percentage
of
Total
Holdings
|
Barrick Gold
Corp.
|
12.47%
|
Goldcorp
Inc.
|
11.28%
|
Newmont
Mining Corp.
|
8.50%
|
Kinross Gold
Corp.
|
5.72%
|
AngloGold
Ashanti Ltd.
|
5.70%
|
Gold Fields
Ltd.
|
4.96%
|
Agnico-Eagle
Mines Ltd.
|
4.82%
|
Cia de Minas
Buenaventura SA
|
4.54%
|
IAMGOLD
Corp.
|
4.44%
|
Yamana Gold
Inc.
|
4.34%
|
The information
above was compiled from the Van Eck website. Information contained in the Van
Eck website is not incorporated by reference in, and should not be considered a
part of, this term sheet or any pricing supplement.
Historical
Information About the Market Vectors Gold Miners ETF
The following graph
sets forth the historical performance of the Market Vectors Gold Miners ETF,
based on the daily closing price (in U.S. dollars) of one share of the Market
Vectors Gold Miners ETF from June 22, 2006 through September 9, 2009. The
closing price of one share of the Market Vectors Gold Miners ETF on September 9,
2009 was $44.12.
The
NYSE Arca Gold Miners Index
We have derived all
information contained in this term sheet regarding the NYSE Arca Gold Miners
Index, including, without limitation, its make-up, method of calculation and
changes in its components, from publicly available information, and we have not
participated in the preparation of, or verified, such publicly available
information. Such information reflects the policies of, and is subject to change
by, the NYSE Arca. The NYSE Arca Gold Miners Index was developed by the NYSE
Amex (formerly the American Stock Exchange) and is calculated, maintained and
published by the NYSE Arca. The NYSE Arca has no obligation to continue to
publish, and may discontinue the publication of, the NYSE Arca Gold Miners
Index. The NYSE Arca Gold Miners Index is reported by Bloomberg under the ticker
symbol “GDM.”
The NYSE Arca Gold
Miners Index is a modified market capitalization weighted index comprised of
publicly traded companies involved primarily in the mining of gold or
silver.
Eligibility
Criteria for Index Components
The NYSE Arca Gold
Miners Index includes common stocks and ADRs of selected companies that are
involved in mining for gold and silver and that are listed for trading on the
NYSE or the NYSE Amex or quoted on The NASDAQ Stock Market. Only
companies with market capitalization greater than $100 million that have a daily
average trading volume of at least 50,000 shares over the past six months are
eligible for inclusion in the NYSE Arca Gold Miners Index.
Index
Calculation
The NYSE Arca Gold
Miners Index is calculated using a modified market capitalization weighting
methodology. The NYSE Arca Gold Miners Index is weighted based on the
market capitalization of each of the component securities, modified to conform
to the following asset diversification requirements, which are applied in
conjunction with the scheduled quarterly adjustments to the NYSE Arca Gold
Miners Index:
|
(1)
|
the weight of
any single component security may not account for more than 20% of the
total value of the NYSE Arca Gold Miners
Index;
|
|
(2)
|
the component
securities are split into two subgroups–large and small, which are ranked
by market capitalization weight in the NYSE Arca Gold Miners Index. Large
stocks are defined as having a NYSE Arca Gold Miners Index weight greater
than or equal to 5%. Small securities are defined as having an NYSE Arca
Gold Miners Index weight below 5%;
and
|
|
(3)
|
the aggregate
weight of those component securities which individually represent more
than 4.5% of the total value of the NYSE Arca Gold Miners Index may not
account for more than 50% of the total NYSE Arca Gold Miners Index
value.
|
The NYSE Arca Gold
Miners Index is reviewed quarterly so that the NYSE Arca Gold Miners Index
components continue to represent the universe of companies involved in the gold
mining industry. The NYSE Arca may at any time and from time to time change the
number of securities comprising the group by adding or deleting one or more
securities, or replacing one or more securities contained in the group with one
or more substitute securities of its choice, if in the NYSE Arca’s discretion
such addition, deletion or substitution is necessary or appropriate to maintain
the quality and/or character of the NYSE Arca Gold Miners Index. Changes to the
NYSE Arca Gold Miners Index compositions and/or the component share weights in
the NYSE Arca Gold Miners Index typically take effect after the close of trading
on the third Friday of each calendar quarter month in connection with the
quarterly index rebalance.
At the time of the
quarterly rebalance, the weights for the components stocks (taking into account
expected component changes and share adjustments), are modified in accordance
with the following procedures.
Diversification Rule
1: If any component stock exceeds 20% of the total value of
the NYSE Arca Gold Miners Index, then all stocks greater than 20% of the NYSE
Arca Gold Miners Index are reduced to represent 20% of the value of the NYSE
Arca Gold Miners Index. The aggregate amount by which all component stocks are
reduced is redistributed proportionately across the remaining stocks that
represent less than 20% of the index value. After this redistribution, if any
other stock then exceeds 20%, the stock is set to 20% of the index value and the
redistribution is repeated.
Diversification Rule
2: The components are sorted into two groups, large are
components with a starting index weight of 5% or greater and small are those
that are under 5% (after any adjustments for Diversification Rule 1). Each group
in aggregate will be represent 50% of the index weight. The weight of each of
the large stocks will be scaled down proportionately with a floor of 5% so that
the aggregate weight of the large components will be reduced to represent 50% of
the NYSE Arca Gold Miners Index. If any component stock falls below a weight
equal to the product of 5% and the proportion by which the stocks were scaled
down following this distribution, then the weight of the stock is set equal to
the product of 5% and the proportion by which the stocks were scaled down, the
components with weights greater than 5% will reduced proportionately. The weight
of each of the small components will be scaled up proportionately from the
redistribution of the large components. If any component stock exceeds a weight
equal to the product of 4.5% and the proportion by which the stocks were scaled
down following this distribution, then the weight of the stock is set equal to
the product of 4.5% and the proportion by which the stocks were scaled down. The
redistribution of weight to the remaining stocks is repeated until the entire
amount has been redistributed.
Index
Maintenance
The NYSE Arca Gold
Miners Index is reviewed quarterly to ensure that at least 90% of the index
weight is accounted for by index components that continue to meet the initial
eligibility requirements. Components will be removed from the NYSE Arca Gold
Miners Index during the quarterly review if the market capitalization falls
below $50 million or the traded average daily shares for the previous six months
is lower than 25,000 shares. In conjunction with the quarterly review, the share
weights used in the calculation of the NYSE Arca Gold Miners Index are
determined based upon current shares outstanding modified, if necessary, to
provide greater index diversification, as described above. The index components
and their share weights are determined and announced prior to taking effect. The
share weight of each component stock in the index portfolio remains fixed
between quarterly reviews except in the event of certain types of corporate
actions such as stock splits, reverse stock splits, stock dividends, or similar
events. The share weights used in the index calculation are not typically
adjusted for shares issued or repurchased between quarterly reviews. However, in
the event of a merger between two components, the share weight of the surviving
entity may be adjusted to account for any stock issued in the acquisition. The
NYSE Arca may substitute stocks or change the number of stocks included in the
NYSE Arca Gold Miners Index, based on changing conditions in the industry or in
the event of certain types of corporate actions, including mergers,
acquisitions, spin-offs, and reorganizations. In the event of component or share
weight changes to the index portfolio, the payment of dividends
other than ordinary
cash dividends, spin-offs, rights offerings, re-capitalization, or other
corporate actions affecting a component stock of the NYSE Arca Gold Miners
Index; the index divisor may be adjusted to ensure that there are no changes to
the index level as a result of non-market forces.
SPDR®
S&P®
Metals & Mining ETF
We have derived all
information contained in this term sheet regarding the SPDR®
S&P® Metals
& Mining ETF (the “XME”) including, without
limitation, its make-up, method of calculation and changes in its components,
from publicly available information, and we have not participated in the
preparation of, or verified, such publicly available information. Such
information reflects the policies of, and is subject to change by SPDR Series
Trust and SSgA Funds Management, Inc. (“SSgA”) . The XME is an
investment portfolio maintained and managed by SSgA. SSgA is the investment
advisor to the XME. The XME is an exchange traded fund that trades on the NYSE
Arca under the ticker symbol “XME.”
The SPDR Series
Trust is a registered investment company that consists of numerous separate
investment portfolios, including the XME. Information provided to or filed with
the SEC by the SPDR Series Trust pursuant to the Securities Act of 1933, as
amended, and the Investment Company Act of 1940, as amended, can be located by
reference to Commission file numbers 333-57791 and 811-08837, respectively,
through the Commission’s website at http://www.sec.gov.
For additional information regarding the SPDR Series Trust, SSgA and the GDX,
please see the prospectus dated October 31, 2008 as supplemented on June 1,
2009. In addition, information may be obtained from other sources including, but
not limited to, press releases, newspaper articles and other publicly
disseminated documents and the SSgA website at www.spdrs.com.
Information contained in the SSgA website is not incorporated by reference in,
and should not be considered a part of this term sheet or any pricing
supplement.
The XME seeks to
provide investment results that replicate as closely as possible the total
return performance, before fees and expenses, the performance of an index
derived from the oil and gas equipment and services segment known as the
S&P® Metals
and Mining Select Industry Index™. The XME
uses a passive management strategy designed to track the total return
performance of the S&P® Metals
and Mining Select Industry Index™. The
S&P® Metals
and Mining Select Industry Index™
represents the metals and mining sub-industry portion of the S&P® Total
Market Index (“S&P
TMI”). The S&P TMI tracks all the U.S. common stocks listed on the
NYSE and NASDAQ. The S&P® Metals
and Mining Select Industry Index™ is an
equal weighted market cap index. There is no assurance that the XME will achieve
its investment objective.
Holdings
Information
The holding
information for the XME is updated on a daily basis. As of September 10, 2009
the XME had a total of 26 total constituents. The following tables summarize the
XME’s top 10 holdings in individual companies as of such date.
Top
10 Holdings in Individual Companies as of September 10, 2009
Company
|
Percentage
of
Total
Holdings
|
Coeur D Alene
Mines Corp Id
|
6.48%
|
Hecla Mng
Co
|
5.42%
|
Massey Energy
Corp
|
4.86%
|
Alpha Natural
Resources Inc
|
4.83%
|
Freeport-Mcmoran
Copper & Gold Inc.
|
4.74%
|
United States
Stl Corp New
|
4.66%
|
Steel
Dynamics Inc
|
4.42%
|
Royal Gold
Inc
|
4.41%
|
Ak Stl Hldg
Corp
|
4.39%
|
Commercial
Metals Co
|
4.36%
|
The information
above was compiled from the SSgA website. Information contained in the SSgA
website is not incorporated by reference in, and should not be considered a part
of, this term sheet or any pricing supplement.
Historical
Information About the SPDR®
S&P®
Metals & Mining ETF
The following graph
sets forth the historical performance of the SPDR®
S&P®
Metals & Mining ETF, based on the daily closing price (in U.S. dollars) of
one share of the SPDR®
S&P®
Metals & Mining ETF from June 22, 2006 through September 9, 2009. The
closing price of one share of the SPDR®
S&P®
Metals & Mining ETF on September 9, 2009 was $44.21.
The
S&P® Metals
& Mining Select IndustryTM
Index
We have derived all
information contained in this term sheet regarding the S&P® Metals
and Mining Select Industry IndexTM Index,
including, without limitation, its make-up, method of calculation and changes in
its components, from publicly available information, and we have not
participated in the preparation of, or verified, such publicly available
information. Such information reflects the policies of, and is subject to change
by, S&P®. The
S&P® Metals
and Mining Select Industry IndexTM Index
is reported by Bloomberg under the ticker symbol “SPSIMM.”
The S&P® Metals
and Mining Select Industry IndexTM Index
is an equal-weighted index that is designed to measure the performance of the
metals & mining sub-industry portion of the S&P TMI, a benchmark that
measures the performance of the U.S. equity market. The S&P TMI Index offers
broad market exposure to companies of all market capitalization, including all
common equities listed on the NYSE, the AMEX and the NASDAQ National and Small
Cap markets. Only U.S. companies are eligible for inclusion in the S&P® TMI
Index. Each of the component stocks in the S&P® Metals
and Mining Select Industry IndexTM is a
constituent company within the metals & mining sub-industry of the S&P
TMI Index.
Eligibility
for the S&P® Metals
and Mining Select Industry IndexTM
Membership to the
S&P® Metals
and Mining Select Industry IndexTM is
based on a company’s GICS classification, as well as liquidity market cap
requirements and domicile.
To be eligible for
the S&P® Metals
and Mining Select Industry IndexTM,
companies must be in the S&P TMI Index and rank in the top 90% of their
relevant GICS sub-industry (i.e., homebuilding
sub-industry) by float- adjusted market capitalization. The stocks at the top,
whose cumulative market capitalization is less than or equal to 90% of the total
market capitalization of the homebuilding sub-industry, are deemed to qualify.
If the stock count is less than 25, then companies having a float-adjusted
market capitalization above $500 million are added sequentially in order of
float-adjusted market capitalization. If there are still fewer than 25 stocks in
the S&P® Metals
and Mining Select Industry IndexTM, stocks
from a supplementary list of highly correlated sub-industries that meet the
market capitalization and liquidity thresholds, are included in order of their
float-adjusted market capitalization to reach 25 constituents.
Market
Capitalization
Stocks with a
float-adjusted market capitalization above $500 million and meet the
liquidity threshold are included in order of their float-adjusted market
capitalization until the stock count reaches 21. The float-adjusted market
capitalization of these stocks must combine to be at least 90% of the total
metals & mining sub-industry market capitalization. If the S&P® Metals
and Mining Select Industry IndexTM Index
still does not have enough stocks that meet the criteria for inclusion, the
minimum market capitalization requirements may be relaxed until the other
requirements have been satisfied.
Liquidity
Constituents must
have a liquidity ratio—defined by dollar value traded over the previous
12 months divided by average market capitalization over the previous
12 months—greater than 30%. The length of time to evaluate liquidity is
reduced to available trading period for IPOs or spin-offs that do not have
12 months of trading history.
Domicile
Only U.S. companies
are eligible for inclusion in the S&P® Metals
and Mining Select Industry IndexTM.
S&P® Metals
and Mining Select Industry IndexTM Index
Construction and Calculations
The S&P® Metals
and Mining Select Industry IndexTM Index
is equal-weighted and calculated by the divisor methodology.
The initial divisor
is set to have a base index value of 1000 on December 15, 2000. The index
value is simply the index market value divided by the index
divisor:
|
|
|
Index
Value
|
=
|
(Index Market
Value) / Divisor
|
Index Market
Value
|
=
|
|
(Component
Stocks)i ×
(Price)i
|
where N is the
number of stocks in the index.
At the beginning of
each quarterly rebalancing, the Component Stocks are set so that each
constituent has equal weight.
(Component
Stocks)i, after rebalance =
K / (Price)i, rebalance
date
where K is an
arbitrary or nominal value used to ensure each company’s “shares” number is
derived to establish equal weighting in the index.
In
order to maintain index series continuity, it is also necessary to adjust the
divisor at each rebalancing.
(Index Value)before rebalance =
(Index Value)after rebalance
Therefore,
(Divisor)after rebalance =
(Index Market Value)after rebalance /
(Index Value)before rebalance
Metals
& Mining Select Industry™ Index Maintenance
The membership to
S&P® Metals
and Mining Select Industry IndexTM Index
is reviewed quarterly. Rebalancing occurs after the closing on the third Friday
of the quarter ending month. The reference date for additions and deletions is
after the closing of the last trading date of the previous month. No companies
are added between rebalancings. However, a company will be deleted from the
S&P® Metals
and Mining Select Industry IndexTM if the
S&P TMI Index drops the constituent. If a constituent deletion causes the
number of companies in the S&P® Metals
and Mining Select Industry IndexTM to fall
below 25, no addition will be made to the S&P® Metals
and Mining Select Industry IndexTM until
the next rebalancing. At that time, the entire S&P® Metals
and Mining Select Industry IndexTM will be
rebalanced based on all eligibility criteria, including the minimum number of
companies. In case of GICS changes, where a company does not belong to the
homebuilding sub-industry after the classification change, it is removed from
the S&P® Metals
and Mining Select Industry IndexTM at the
next rebalancing.
The table below
summarizes the types of index maintenance adjustments and indicates whether or
not an index adjustment is required.
S&P
TMI Index Action
|
|
Adjustment
Made to Index
|
|
Divisor
Adjustment?
|
Constituent
change
|
|
If the
constituent is a member of the S&P®
Metals and Mining Select Industry Index™,
it is dropped.
|
|
Yes
|
Share changes
between quarterly
share
adjustments
|
|
None.
|
|
No
|
Quarterly
share changes
|
|
There is no
direct adjustment, however, on the same date the S&P®
Metals and Mining Select Industry Index™
rebalancing will take place.
|
|
Only because
of the Index rebalancing.
|
GICS
change
|
|
None. If,
after the GICS change, a company no longer qualifies to belong to the
relevant Select Industry Index, it is removed at the next
rebalancing.
|
|
No
|
Spin-off
|
|
No weight
change. The price is adjusted to price of Parent Company minus (Price of
Spin-off company/Share Share ratio). The Component Stocks change so that
the company’s weight remains the same as its weight before the
spin-off.
|
|
No
|
Rights
Offering
|
|
The price is
adjusted to Price of Parent Company minus (Price of Rights
Subscription/Rights Ratio). The Component Stocks change so that the
company’s weight remains the same as its weight before the
spin-off.
|
|
No
|
Stock
Split
|
|
The Component
Stocks are multiplied by and price is divided by the split
factor.
|
|
No
|
Share
Issuance or Share Repurchase
|
|
None.
|
|
No
|
Special
Dividends
|
|
Price of the
stock making the special dividend payment is reduced by the per share
special dividend amount after the close of trading on the day before the
dividend ex-date.
|
|
Yes
|
iShares®
Dow Jones U.S. Real Estate Index Fund
For more information on the
iShares® Dow Jones U.S. Real Estate Index
Fund, including information concerning its composition, calculation methodology
and adjustment policy, please see the section entitled “The iShares Exchange
Traded Funds – iShares® Dow Jones U.S. Real Estate Index
Fund” in the accompanying underlying supplement no. 17 dated August 11,
2008.
Historical
Information About the iShares®
Dow Jones U.S. Real Estate Index Fund
The following graph
sets forth the historical performance of the iShares®
Dow Jones U.S. Real Estate Index Fund, based on the daily closing price (in U.S.
dollars) of one share of the iShares®
Dow Jones U.S. Real Estate Index Fund from June 22, 2006 through September 9,
2009. The closing price of one share of the iShares®
Dow Jones U.S. Real Estate Index Fund on September 9, 2009 was
$40.94.
iShares®
MSCI EAFE®
Index Fund
For more information on the iShares
Exchange Traded Funds, including information concerning calculation methodology
and adjustment policy, please see the section entitled “The iShares Exchange
Traded Funds – Methodology” in the accompanying underlying supplement no. 17
dated August 11, 2008. For more information on the MSCI EAFE® Index, please see the section
entitled “The MSCI Indices – The MSCI EAFE® Index” in the accompanying
underlying supplement no. 17 dated August 11, 2008.
Historical
Information About the iShares®
MSCI EAFE®
Index Fund
The following graph
sets forth the historical performance of the iShares®
MSCI EAFE®
Index Fund, based on the daily closing price (in U.S. dollars) of one share of
the iShares®
MSCI EAFE®
Index Fund from June 22, 2006 through September 9, 2009. The closing price of
one share of the iShares®
MSCI EAFE®
Index Fund on September 9, 2009 was $54.20.
PowerShares
QQQ TrustSM,
Series 1
We have obtained
all information regarding the PowerShares QQQ TrustSM, Series
1 (the “QQQQ”) contained
in this term sheet, including, without limitation, its make-up, method of
calculation and changes in its components, from publicly available information,
and we have not participated in the preparation of, or verified, such available
information.
QQQQ is a unit
investment trust designed to generally correspond to the price and yield
performance of the Nasdaq-100 Index®. We make
no assurance that this investment objective will be fully met. Information filed
by the QQQ with the SEC pursuant to the Securities Exchange Act of 1934, as
amended, can be located by reference to the SEC file number 812-13590 on the
SEC’s website at http://www.sec.gov.
The QQQQ is traded on the Nasdaq under the trading symbol “QQQQ”.
The trust, an
exchange traded fund, is a registered investment company which both (a)
continuously issues and redeems “in kind” its shares, known as PowerShares QQQ
Index Tracking StockSM (“PowerShares QQQ Shares”) only
in large lot sizes called Creation Units at their once daily net asset value
(“NAV”) and (b) lists
the shares individually for trading on Nasdaq at prices established throughout
the trading day, like any other listed equity security trading in the secondary
market on Nasdaq. PowerShares QQQ Shares held by the trust consist of a
portfolio of equity securities or, in the case of securities not yet delivered
in connection with purchases made by the trust or portfolio deposits,
confirmations of contracts to purchase such securities (collectively, the “Portfolio”).
The sponsor of QQQQ
makes available on each business day a list of the names and the required number
of shares for each of the securities in the current portfolio deposit as well as
the income net of expense amount effective through and including the previous
business day per outstanding PowerShares QQQ Share. The sponsor may choose
within its discretion to make available, frequently throughout each business
day, a number representing, on a per PowerShares QQQ Share basis, the sum of the
income net of expense amount effective through and including the previous
business day plus the current value of the securities portion of a portfolio
deposit as in effect on such day (which value will occasionally include a
cash-in-lieu amount to compensate for the omission of a particular index
security from such portfolio deposit). The Nasdaq Stock Market calculates the
Nasdaq-100 Index®
intra-day every 15
seconds on every
business day in which the Nasdaq Stock Market is open for trading. If the
sponsor elects to make such information available, it would be calculated based
upon the best information available to the sponsor and may be calculated by
other persons designated to do so by the sponsor. If the sponsor elects to make
such information available, the inability of the sponsor or its designee to
provide such information for any period of time will not in itself result in a
halt in the trading of PowerShares QQQ Shares on Nasdaq. If such information is
made available, investors interested in creating PowerShares QQQ Shares or
purchasing PowerShares QQQ Shares in the secondary market should not rely solely
on such information in making investment decisions but should also consider
other market information and relevant economic and other factors (including,
without limitation, information regarding the index, the index securities, and
financial instruments based on the index).
Historical
Information About the PowerShares QQQ TrustSM,
Series 1
The following graph
sets forth the historical performance of the PowerShares QQQ TrustSM,
Series 1, based on the daily closing price (in U.S. dollars) of one share of the
PowerShares QQQ TrustSM,
Series 1 from June 22, 2006 through September 9, 2009. The closing price of one
share of the PowerShares QQQ TrustSM,
Series 1 on September 9, 2009 was $41.09.
iShares®
Barclays 1-3 Year Treasury Bond Fund
We have derived all
information contained in this term sheet regarding the iShares® Barclays
1-3 Year Treasury Bond Fund (the “SHY.P”), including, without
limitation, its make-up, method of calculation and changes in its components,
from publicly available information, and we have not participated in the
preparation of or verified such publicly available information. Such information
reflects the policies of, and is subject to change by, iShares® Inc.
(“iShares®”),
iShares® Trust,
Barclays Global Investors, N.A. (“BGI”), and Barclays Global
Fund Advisors (“BGFA”).
BGFA is the investment advisor to the Fund. The Fund is an exchange traded fund
that trades on the NYSE Arca under the ticker symbol “SHY.P”.
iShares® Trust is
a registered investment company that consists of numerous separate investment
portfolios, including the SHY.P. Information provided to or filed with the SEC
by iShares® pursuant
to the Securities Act of 1933, as amended, and the Investment Company Act of
1940, as amended, can be located by reference to SEC file numbers 333-92935 and
811-09729, respectively, through the SEC’s website at http://www.sec.gov.
For additional information regarding iShares®, BGFA
and the SHY.P, please see the prospectus dated July 1, 2009. In addition,
information about iShares® and the
SHY.P may be obtained from other sources including, but not limited to, press
releases, newspaper articles and other publicly disseminated documents and the
iShares® website
at www.ishares.com.
Information contained in the iShares® website
is not incorporated by reference in, and should not be considered a part of,
this term sheet or any pricing supplement.
The SHY.P seeks to
provide investment results that correspond generally to the price and yield
performance, before fees and expenses, of the short-term sector of the United
States Treasury Market as defined by the Barclays Capital U.S. 1-3 Year Treasury
Bond Index. For further
information on methodology that applies generally to the iShares® funds, please refer to “Exchange
Traded Funds—The iShares Exchange Traded Funds—Methodology” in accompanying
underlying supplement no. 17.
Historical
Information About the iShares®
Barclays 1-3 Year Treasury Bond Fund
The following graph
sets forth the historical performance of the iShares®
Barclays 1-3 Year Treasury Bond Fund, based on the daily closing price (in U.S.
dollars) of one share of the iShares®
Barclays 1-3 Year Treasury Bond Fund from June 22, 2006 through September 9,
2009. The closing price of one share of the iShares®
Barclays 1-3 Year Treasury Bond Fund on September 9, 2009 was
$83.87.
Holdings
Information
The holding
information for the SHY.P is updated on a daily basis. As of September 9, 2009,
99.36% of the Fund’s holdings consisted of bonds, 0.17% consisted of cash and
0.47% was in other assets, including dividends booked but not yet received.(1) The
following tables summarize the SHY.P top 10 holdings as of such
date.
Top
10 Holdings in Individual Companies as of September 9, 2009
Security
|
Percentage
of
Total
Holdings
|
U.S. Treasury
Bonds, 08/15/2012, 1.75%
|
4.09%
|
U.S. Treasury
Bonds, 04/30/2011, 4.88%
|
3.82%
|
U.S. Treasury
Bonds, 11/15/2011, 1.75%
|
3.41%
|
U.S. Treasury
Bonds, 08/15/2011, 5.00%
|
3.32%
|
U.S. Treasury
Bonds, 03/15/2012, 1.38%
|
3.23%
|
U.S. Treasury
Bonds, 04/15/2012, 1.38%
|
3.23%
|
U.S. Treasury
Bonds, 06/15/2012, 1.88%
|
3.05%
|
U.S. Treasury
Bonds, 05/15/2012, 1.38%
|
3.01%
|
U.S. Treasury
Bonds, 02/15/2012, 1.38%
|
2.87%
|
U.S. Treasury
Bonds, 02/15/2011, 5.00%
|
2.79%
|
|
(1)
|
Total
allocation percentages may not equal 100% due to rounding or omission of
holdings of less than 1%. Information on certain fund holdings of less
than 1% may not be widely available and may not be
included.
|
The information
above was compiled from the iShares® website.
Information contained in the iShares® website
is not incorporated by reference in, and should not be considered a part of,
this term sheet or any pricing supplement.
Barclays
Capital U.S. 1-3 Year Treasury Bond Index
We have derived all
information contained in this term sheet regarding the Barclays Capital U.S. 1-3
Year Treasury Bond Index, including, without limitation, its make-up, method of
calculation and changes in its components, from publicly available information,
and we have not participated in the preparation of, or verified, such publicly
available
information. Such information reflects the policies of, and is subject to change
by, Barclays Capital Inc. (“BCI”). The Barclays Capital
U.S. 1-3 Year Treasury Bond Index is calculated, maintained and published by
BCI.
The Barclays
Capital U.S. 1-3 Year Treasury Bond Index measures the performance of public
obligations of the U.S. Treasury. The Barclays Capital U.S. 1-3 Year Treasury
Bond Index is market capitalization weighted, includes all publicly issued U.S.
Treasury securities that meet the index criteria and is rebalanced once a month
on the last calendar day of the month. The U.S. Treasury securities included in
the index must have an original term of between 1¼ and 3¼ years, a remaining
maturity of greater than or equal to 1¼ year, are rated investment grade (at
least Baa3 by Moody’s Investors Service), have $5 billion or more of outstanding
face value and have settled on or before the rebalancing date. In calculating
the index, income from coupons is reinvested on the monthly rebalancing
date.
SUPPLEMENTAL
UNDERWRITING INFORMATION (CONFLICTS OF INTEREST)
Deutsche Bank
Securities Inc. (“DBSI”)
and Deutsche Bank Trust Company Americas, acting as agents for Deutsche Bank AG,
will not receive a commission in connection with the sale of the
notes.
DBSI may pay
referral fees to other broker-dealers of up to 0.25% or $2.50 per $1,000 note
Principal Amount and may additionally pay referral fees to other broker-dealers
of up to 0.75% or $7.50 per $1,000 note Principal Amount. Deutsche Bank AG will
reimburse DBSI for such fees. See “Underwriting” in the accompanying product
supplement.
The agents for this
offering, DBSI and DBTCA, are our affiliates. In accordance with NASD Rule 2720,
DBSI and DBTCA may not make sales in this offering to any discretionary account
without the prior written approval of the customer.
SETTLEMENT
We expect to
deliver the notes against payment for the notes 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 notes 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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