Obbligazione Deutsch Bank London 0% ( US25156D5894 ) in USD

Emittente Deutsch Bank London
Prezzo di mercato 100 USD  ⇌ 
Paese  Germania
Codice isin  US25156D5894 ( in USD )
Tasso d'interesse 0%
Scadenza 26/05/2017 - Obbligazione è scaduto



Prospetto opuscolo dell'obbligazione Deutsche Bank (London Branch) US25156D5894 in USD 0%, scaduta


Importo minimo 1 000 USD
Importo totale 34 581 770 USD
Cusip 25156D589
Standard & Poor's ( S&P ) rating NR
Moody's rating NR
Descrizione dettagliata Deutsche Bank (London Branch) è una filiale del gruppo bancario tedesco Deutsche Bank AG, che opera nel mercato finanziario londinese offrendo una vasta gamma di servizi bancari e di investimento a clienti istituzionali e privati.

The Obbligazione issued by Deutsch Bank London ( Germany ) , in USD, with the ISIN code US25156D5894, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 26/05/2017

The Obbligazione issued by Deutsch Bank London ( Germany ) , in USD, with the ISIN code US25156D5894, was rated NR by Moody's credit rating agency.

The Obbligazione issued by Deutsch Bank London ( Germany ) , in USD, with the ISIN code US25156D5894, was rated NR by Standard & Poor's ( S&P ) credit rating agency.







424B2 1 dp56672_424b2-sun60.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered
Maximum Aggregate Offering
Amount of Registration

Price

Fee(1)
Market-Linked Step Up Notes Linked to the EURO STOXX 50®
$34,581,770.00
$4,018.40


Index

(1) Calculated in accordance with Rule 457(r) of the Securities Act of 1933.



File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N o. 3 3 3 -1 8 4 1 9 3
(T o Prospe c t us Adde ndum da t e d De c e m be r
2 4 , 2 0 1 4 , Prospe c t us da t e d Se pt e m be r 2 8 ,
2 0 1 2 , Prospe c t us Supple m e nt da t e d
Se pt e m be r 2 8 , 2 0 1 2 a nd Produc t
Supple m e nt EQU I T Y I N DI CES SU N -1 da t e d
M a rc h 5 , 2 0 1 4 )

3,458,177 Units
Pricing Date
May 28, 2015
$10 principal amount per unit
Settlement Date
June 4, 2015
Term Sheet No. SUN-60
Maturity Date
May 26, 2017
CUSIP No. 25156D589









M a rk e t -Link e d St e p U p N ot e s Link e d t o t he EU RO
ST OX X 5 0 ® I nde x
Maturity of approximately two years

If the Index is flat or increases up to the Step Up Value, a return of 18.43%

If the Index increases above the Step Up Value, a return equal to the percentage increase in the Index

1-to-1 downside exposure to decreases in the Index, with up to 100% of your principal at risk

All payments occur at maturity and are subject to the credit risk of Deutsche Bank AG

No periodic interest payments

Limited secondary market liquidity, with no exchange listing

T he not e s a re be ing issue d by De ut sc he Ba nk AG ("De ut sc he Ba nk ") t hrough it s London Bra nc h. T he re a re
im port a nt diffe re nc e s be t w e e n t he not e s a nd a c onve nt iona l de bt se c urit y, inc luding diffe re nt inve st m e nt
risk s a nd c e rt a in a ddit iona l c ost s. Se e "Risk Fa c t ors" be ginning on pa ge T S-6 of t his t e rm she e t a nd
be ginning on pa ge PS-7 of produc t supple m e nt EQU I T Y I N DI CES SU N -1 .

T he init ia l e st im a t e d va lue of t he not e s a s of t he pric ing da t e is $ 9 .7 0 8 pe r unit , w hic h is le ss t ha n t he
public offe ring pric e list e d be low . See "Summary" on the following page, "Risk Factors" beginning on page TS-6 of this term
sheet and "Structuring the Notes" on page TS-11 of this term sheet for additional information. The actual value of your notes at any
time will reflect many factors and cannot be predicted with accuracy.

http://www.sec.gov/Archives/edgar/data/1159508/000095010315004344/dp56672_424b2-sun60.htm[6/1/2015 4:49:26 PM]


By acquiring the notes, you will be deemed to agree to be bound by any Resolution Measure imposed by our competent resolution
authority. See "Consent to Potential Imposition of Resolution Measures" on page TS-3 of this term sheet.
_________________________

None of the Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body has
approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any
representation to the contrary is a criminal offense.
_________________________


Per Unit
Total
Public offering price
$ 10.00
$ 34,581,770.00
Underwriting discount
$ 0.20
$ 691,635.40
Proceeds, before expenses, to Deutsche Bank
$ 9.80
$ 33,890,134.60

T he not e s:

Are N ot FDI C I nsure d
Are N ot Ba nk Gua ra nt e e d
M a y Lose V a lue

M e rrill Lync h & Co.
May 28, 2015

Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due May 26, 2017
Summary

The Market-Linked Step Up Notes Linked to the EURO STOXX 50® Index, due May 26, 2017 (the "notes") are our senior
unsecured obligations. The notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or secured by
collateral. T he not e s w ill ra nk e qua lly w it h a ll of our ot he r unse c ure d a nd unsubordina t e d de bt s e x c e pt for
de bt s re quire d t o be pre fe rre d by la w . Any pa ym e nt s due on t he not e s, inc luding a ny re pa ym e nt of
princ ipa l, w ill be subje c t t o t he c re dit risk of De ut sc he Ba nk a nd t o a ny Re solut ion M e a sure (a s de sc ribe d
he re in) im pose d by our c om pe t e nt re solut ion a ut horit y. The notes provide you with a Step Up Payment if the Ending
Value of the Market Measure, which is the EURO STOXX 50® Index (the "Index"), is equal to or greater than its Starting Value, but
is not greater than the Step Up Value. If the Ending Value is greater than the Step Up Value, you will participate on a 1-for-1 basis
in the increase in the level of the Index above the Starting Value. If the Ending Value is less than the Starting Value, you will lose
all or a portion of the principal amount of your notes. Payments on the notes, including the amount you receive at maturity, will be
calculated based on the $10 principal amount per unit and will depend on the performance of the Index, subject to our credit risk.
See "Terms of the Notes" below.

On the cover page of this term sheet, we have provided the initial estimated value for the notes. Our initial estimated value of the
notes was determined based on our valuation of two theoretical components of the notes: (i) a theoretical bond component and (ii)
a theoretical derivative component. The value of the bond component of the notes is calculated based on an internal funding rate,
which is determined primarily based on the rates at which our conventional debt securities of comparable maturity may trade,
adjusted to account for our funding needs and objectives for the period matching the term of the notes. The value of the derivative
component is calculated based on our internal pricing models using relevant parameter inputs.

The economic terms of the notes (including the Step Up Payment) are based on the internal funding rate and the economic terms
of certain related hedging arrangements. The internal funding rate is typically lower than the rate we would pay when we issue
conventional debt securities on equivalent terms. This difference in funding rate, as well as the underwriting discount and the
estimated cost of hedging our obligations under the notes (which includes the hedging related charge described below) reduced the
economic terms of the notes to you and the initial estimated value of the notes on the pricing date. Due to these factors, the public
offering price you pay to purchase the notes is greater than the initial estimated value of the notes. For more information about the
initial estimated value and the structuring of the notes, see "Structuring the Notes" on page TS-11.

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Terms of the Notes
Redemption Amount Determination
I ssue r:
Deutsche Bank AG, London Branch
On the maturity date, you will receive a cash payment per unit
determined as follows:
Princ ipa l
$10.00 per unit

Am ount :

T e rm :
Approximately two years

M a rk e t
EURO STOXX 50® Index (Bloomberg
M e a sure :
symbol: "SX5E"), a price return index.
St a rt ing V a lue : 3,650.71
Ending V a lue :
The closing level of the Market Measure
on the scheduled calculation day. The
calculation day is subject to postponement
in the event of Market Disruption Events,
as described beginning on page PS-21 of
product supplement EQUITY INDICES
SUN-1.
St e p U p V a lue : 4,323.54 (118.43% of the Starting Value,
rounded to two decimal places).
St e p U p
$1.843 per unit, which represents a return
Pa ym e nt :
of 18.43% over the principal amount.
T hre shold
3,650.71 (100% of the Starting Value).
V a lue :
Ca lc ula t ion
May 19, 2017

Da y:
Fe e s a nd
The underwriting discount of $0.20 per unit
Cha rge s:
listed on the cover page and the hedging
related charge of $0.075 per unit described
in "Structuring the Notes" on page TS-11.
Ca lc ula t ion
Merrill Lynch, Pierce, Fenner & Smith
Age nt :
Incorporated ("MLPF&S") and Deutsche
Bank, acting jointly.
Market-Linked Step Up Notes
TS-2
Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due May 26, 2017
The terms and risks of the notes are contained in this term sheet and in the following:


Product supplement EQUITY INDICES SUN-1 dated March 5, 2014:
http://www.sec.gov/Archives/edgar/data/1159508/000095010314001639/crt_dp44544-424b2.pdf


Prospectus supplement dated September 28, 2012:
http://www.sec.gov/Archives/edgar/data/1159508/000119312512409437/d414995d424b21.pdf


Prospectus dated September 28, 2012:
http://www.sec.gov/Archives/edgar/data/1159508/000119312512409372/d413728d424b21.pdf


Prospectus addendum dated December 24, 2014:
http://www.sec.gov/Archives/edgar/data/1159508/000095010314009034/crt_52088.pdf

These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the SEC, which may,
without cost, be accessed on the SEC website as indicated above or obtained from MLPF&S by calling 1-800-294-1322. Before
you invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or
contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus.
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Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement EQUITY INDICES
SUN-1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to "we," "us," "our," or
similar references are to Deutsche Bank. The trustee has appointed Deutsche Bank Trust Company Americas as its authenticating
agent with respect to our Series A global notes.

Consent to Potential Imposition of Resolution Measures

Under the German Recovery and Resolution Act, which went into effect on January 1, 2015, the notes may be subject to any
Resolution Measure by our competent resolution authority under relevant German and/or European law if we become, or are
deemed by our competent supervisory authority to have become, "non-viable" (as defined under the then applicable law) and are
unable to continue our regulated banking activities without a Resolution Measure becoming applicable to us. A "Re solut ion
M e a sure " may include: (i) a write down, including to zero, of any payment (or delivery obligations) on the notes; (ii) a conversion
of the notes into ordinary shares or other instruments qualifying as core equity tier 1 capital; and/or (iii) any other resolution
measure, including (but not limited to) any transfer of the notes to another entity, the amendment of the terms and conditions of the
notes or the cancellation of the notes. By acquiring the notes, you will be deemed to agree:

·
to be bound by any Resolution Measure,

·
that you would have no claim or other right against us, the trustee and the paying agent arising out of any Resolution Measure,
and

·
that the imposition of any Resolution Measure will not constitute a default or an event of default under the notes, under the
senior indenture or for the purpose of the Trust Indenture Act of 1939, as set forth in the accompanying prospectus addendum
dated December 24, 2014.

Please read "Risk Factors" in this term sheet and see the accompanying prospectus addendum for further information.

Investor Considerations

Y ou m a y w ish t o c onside r a n inve st m e nt in t he not e s T he not e s m a y not be a n a ppropria t e inve st m e nt for
if:
you if:


You anticipate that the Index will increase from the Starting
You believe that the Index will decrease from the Starting
Value to the Ending Value.
Value to the Ending Value.


You are willing to risk a loss of principal and return if the
You seek principal repayment or preservation of capital.
Index decreases from the Starting Value to the Ending Value.

You seek interest payments or other current income on your
You are willing to forgo the interest payments that are paid on
investment.
conventional interest bearing debt securities.


You want to receive dividends or other distributions paid on
You are willing to forgo dividends or other benefits of owning
the stocks included in the Index.
the stocks included in the Index.


You seek an investment for which there will be a liquid
You are willing to accept a limited market for sales prior to
secondary market.
maturity, and understand that the market prices for the notes,
if any, will be affected by various factors, including our actual You are unwilling or are unable to take market risk on the
and perceived creditworthiness, the internal funding rate and
notes or to take our credit risk as issuer of the notes.
fees and charges on the notes.


You are unwilling to consent to be bound by any Resolution
You are willing to assume our credit risk, as issuer of the
Measure imposed by our competent resolution authority.
notes, for all payments under the notes, including the

Redemption Amount.

You are willing to consent to be bound by any Resolution
Measure imposed by our competent resolution authority.

We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.
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Market-Linked Step Up Notes
TS-3
Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due May 26, 2017
Hypothetical Payout Profile and Examples of Payments at
Maturity

M a rk e t -Link e d St e p U p N ot e s
This graph reflects the returns on the notes, based on the

Threshold Value of 100% of the Starting Value, the Step Up
Payment of $1.843 per unit, and the Step Up Value of 118.43%
of the Starting Value. The green line reflects the returns on the
notes, while the dotted gray line reflects the returns of a direct
investment in the stocks included in the Index, excluding
dividends.

This graph has been prepared for purposes of illustration only.


The following table and examples are for purposes of illustration only. They are based on hypothetical values and show
hypothetical returns on the notes. They illustrate the calculation of the Redemption Amount and total rate of return based on a
hypothetical Starting Value of 100, a Threshold Value of 100, a Step Up Value of 118.43, the Step Up Payment of $1.843 per unit
and a range of hypothetical Ending Values. T he a c t ua l a m ount you re c e ive a nd t he re sult ing t ot a l ra t e of re t urn w ill
de pe nd on t he a c t ua l St a rt ing V a lue , T hre shold V a lue , Ending V a lue , St e p U p V a lue , a nd w he t he r you hold
t he not e s t o m a t urit y. The following examples do not take into account any tax consequences from investing in the notes.

For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the
Ending Value will not include any income generated by dividends paid on the stocks included in the Index, which you would
otherwise be entitled to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to issuer
credit risk.

Pe rc e nt a ge Cha nge
from t he St a rt ing V a lue
Re de m pt ion Am ount pe r
T ot a l Ra t e of Re t urn on t he
Ending V a lue
t o t he Ending V a lue
U nit
N ot e s
0.00

-100.00%

$0.000

-100.00%

50.00

-50.00%

$5.000

-50.00%

60.00

-40.00%

$6.000

-40.00%

70.00

-30.00%

$7.000

-30.00%

80.00

-20.00%

$8.000

-20.00%

90.00

-10.00%

$9.000

-10.00%

94.00

-6.00%

$9.400

-6.00%

97.00

-3.00%

$9.700

-3.00%

100.00(1)(2)
0.00%

$11.843(3)
18.43%

102.00

2.00%

$11.843

18.43%

105.00

5.00%

$11.843

18.43%

110.00

10.00%

$11.843

18.43%

118.43(4)
18.43%

$11.843

18.43%

120.00

20.00%

$12.000

20.00%

http://www.sec.gov/Archives/edgar/data/1159508/000095010315004344/dp56672_424b2-sun60.htm[6/1/2015 4:49:26 PM]


130.00

30.00%

$13.000

30.00%

132.00

32.00%

$13.200

32.00%

140.00

40.00%

$14.000

40.00%

150.00

50.00%

$15.000

50.00%

160.00

60.00%

$16.000

60.00%


(1) The hypot he t ic a l Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The
actual Starting Value is 3,650.71, which was the closing level of the Market Measure on the pricing date.

(2) This is the hypot he t ic a l Threshold Value.

(3) This amount represents the sum of the principal amount and the Step Up Payment of $1.843.

(4) This is the hypot he t ic a l Step Up Value.


Market-Linked Step Up Notes
TS-4
Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due May 26, 2017
Re de m pt ion Am ount Ca lc ula t ion Ex a m ple s

Ex a m ple 1
The Ending Value is 70.00, or 70.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
100.00
Ending Value:
70.00
Redemption Amount per unit


Ex a m ple 2
The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
118.43
Ending Value:
110.00
Redemption Amount per unit, the principal amount plus the Step Up Payment, since
the Ending Value is equal to or greater than the Starting Value, but less than the
Step Up Value.

Ex a m ple 3
The Ending Value is 132.00, or 132.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
118.43
Ending Value:
132.00
Redemption Amount per unit



Market-Linked Step Up Notes
TS-5
Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due May 26, 2017
http://www.sec.gov/Archives/edgar/data/1159508/000095010315004344/dp56672_424b2-sun60.htm[6/1/2015 4:49:26 PM]


Risk Factors

There are important differences between the notes and a conventional debt security. An investment in the notes involves significant
risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the
"Risk Factors" sections beginning on page PS-7 of product supplement EQUITY INDICES SUN-1, page PS-3 of the prospectus
supplement and page 2 of the prospectus addendum identified above. We also urge you to consult your investment, legal, tax,
accounting, and other advisors before you invest in the notes.


Depending on the performance of the Index as measured shortly before the maturity date, your investment may result in a
loss; there is no guaranteed return of principal.


Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt
security of comparable maturity.


Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected
to affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire
investment.


The notes may be written down to zero, be converted into equity or other instruments or become subject to other
Resolution Measures. You may lose some or all of your investment if any such measure becomes applicable to us. The
imposition of any Resolution Measure does not constitute a default or an event of default under the notes, the senior
indenture or for the purpose of the Trust Indenture Act of 1939 or give you any other right to accelerate or terminate the
notes. You may have limited or circumscribed rights to challenge any decision of our competent resolution authority to
impose any Resolution Measure.Please see "Consent to Potential Imposition of Resolution Measures" in this term sheet
and the "Risk Factors" on page 2 of the accompanying prospectus addendum for more information.


Your investment return may be less than a comparable investment directly in the stocks included in the Index.


The initial estimated value of the notes is an estimate only, determined as of a particular point in time by reference to an
internal funding rate and our pricing models. The internal funding rate is typically lower than the rate we would pay when
we issue conventional debt securities of comparable maturity. As a result of this difference, the initial estimated value of the
notes would likely be lower if it were based on the rate we would pay when we issue conventional debt securities of
comparable maturity. This difference in funding rate, as well as the underwriting discount and the estimated cost of hedging
our obligations under the notes (which includes the hedging related charge described below), reduces the economic terms
of the notes to you.


Our internal pricing models consider relevant parameter inputs such as expected interest rates and mid-market levels of
price and volatility of the assets underlying the notes or any futures, options or swaps related to such underlying assets.
Our pricing models are proprietary and rely in part on certain forecasts about future events, which may prove to be
incorrect. Because our pricing models may differ from other financial institutions' valuation models, and because funding
rates taken into account by other financial institutions (including those with similar creditworthiness) may vary materially
from the internal funding rate used by us, our initial estimated value of the notes may not be comparable to the initial
estimated values of similar notes of other financial institutions.


The public offering price you pay for the notes exceeds the initial estimated value. The difference is due to the inclusion in
the public offering price of the underwriting discount and the estimated cost of hedging our obligations under the notes
(which includes the hedging related charge described below), all as further described in "Structuring the Notes" on page
TS-11. These factors are expected to reduce the price at which you may be able to sell the notes in any secondary market
and, together with various credit, market and economic factors over the term of the notes, including changes in the level of
the Index, will affect the value of the notes in complex and unpredictable ways.


The initial estimated value of the notes on the pricing date does not represent the price at which we, MLPF&S, or any of
our respective affiliates would be willing to purchase your notes in the secondary market at any time. Assuming no changes
in market conditions or our creditworthiness and other relevant factors, the price, if any, at which we, MLPF&S, or any of
our respective affiliates would be willing to purchase the notes from you in secondary market transactions, if at all, would
generally be lower than both the public offering price and the initial estimated value of the notes on the pricing date.
MLPF&S has advised us that any repurchases by them or their affiliates will be made at prices determined by reference to
their pricing models and at their discretion. These prices will include MLPF&S's trading commissions and mark-ups and
http://www.sec.gov/Archives/edgar/data/1159508/000095010315004344/dp56672_424b2-sun60.htm[6/1/2015 4:49:26 PM]


may differ materially from the initial estimated value of the notes determined by reference to our internal funding rate and
pricing models.


A trading market is not expected to develop for the notes. None of us, MLPF&S, or any of our respective affiliates is
obligated to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase
your notes at any price in any secondary market.


Our business, hedging and trading activities, and those of MLPF&S and our respective affiliates (including trading in
securities of companies included in the Index), and any hedging and trading activities we, MLPF&S or our respective
affiliates engage in for our clients' accounts, may affect the market value and return of the notes and may create conflicts
of interest with you. Our economic interests in determining the initial estimated value of the notes on the pricing date and
the price, if any, at which we

Market-Linked Step Up Notes
TS-6
Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due May 26, 2017
or our affiliates would be willing to purchase the notes from you in secondary market transactions, are potentially adverse to
your interests as an investor in the notes.


The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.


You will have no rights of a holder of the securities represented by the Index, and you will not be entitled to receive
securities or dividends or other distributions by the issuers of those securities.


While we, MLPF&S or our respective affiliates may from time to time own securities of companies included in the Index,
except to the extent that our ordinary shares are included in the Index, we, MLPF&S and our respective affiliates do not
control any other company included in the Index, and are not responsible for any disclosure made by any other company.


Your return on the notes may be affected by factors affecting international securities markets, specifically changes in the
Eurozone. In addition, although you will not obtain the benefit of any increase in the value of the euro against the U.S.
dollar which you would have received if you had owned the securities in the index during the term of your notes, the value
of the notes may be adversely affected by general exchange rate movements in the market.


There may be potential conflicts of interest involving the calculation agent. We have the right to appoint and remove the
calculation agent.


The U.S. federal income tax consequences of an investment in the notes are uncertain, and may be adverse to you. See
"Summary Tax Consequences" below and "U.S. Federal Income Tax Consequences" beginning on page PS-28 of product
supplement EQUITY INDICES SUN-1.

Other Terms of the Notes

The following definition shall supersede and replace the definition of "Market Measure Business Day" set forth in product
supplement EQUITY INDICES SUN-1.

M a rk e t M e a sure Busine ss Da y

A "Market Measure Business Day" means a day on which:

(A) the Eurex (or any successor) is open for trading; and

(B) the Index or any successor thereto is calculated and published.

Market-Linked Step Up Notes
TS-7
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Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due May 26, 2017
The Index

We have derived all information contained in this term sheet regarding the Index, including, without limitation, its make-up, method
of calculation and changes in its components, from publicly available information. 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 STOXX Limited
("STOXX" or the "Index sponsor"). The Index is calculated, maintained and published by STOXX Limited. STOXX Limited has no
obligation to continue to publish, and may discontinue publication of, the Index. The consequences of STOXX discontinuing
publication of the Index are discussed in the section entitled "Description of the Notes - Discontinuance of an Index" beginning on
page PS-22 of product supplement EQUITY INDICES SUN-1. None of us, the calculation agent, or MLPF&S accepts any
responsibility for the calculation, maintenance, or publication of the Index or any successor index.

The Index was created by STOXX Limited, which is owned by Deutsche Boerse AG and SIX Group AG. Publication of the Index
began on February 28, 1998, based on an initial index value of 1,000 on December 31, 1991. The Index is published in The Wall
Street Journal and disseminated on the STOXX Limited website. On March 1, 2010, STOXX Limited announced the removal of the
"Dow Jones" prefix from all of its indices, including the Index.

I nde x Com posit ion a nd M a int e na nc e

The Index is composed of 50 component stocks of market sector leaders from within the 19 EURO STOXX® Supersector indices,
which represent the Eurozone portion of the STOXX Europe 600® Supersector indices. The STOXX Europe 600® Supersector
indices contain the 600 largest stocks traded on the major exchanges of 17 European countries. The component stocks have a
high degree of liquidity and represent the largest companies across all market sectors. The Index is calculated in euros.

The composition of the Index is reviewed annually, based on the closing stock data on the last trading day in August. The
component stocks are announced the first trading day in September. Changes to the component stocks are implemented on the
third Friday in September and are effective the following trading day. Changes in the composition of the Index are made to ensure
that the Index includes the 50 market sector leaders from within the Euro STOXX Index.

The free float factors for each component stock used to calculate the Index, as described below, are reviewed, calculated and
implemented on a quarterly basis and are fixed until the next quarterly review. Each component's weight is capped at 10% of the
index's total free float market capitalization.

The Index is also reviewed on an ongoing basis. Corporate actions (including initial public offerings, mergers and takeovers, spin-
offs, delistings and bankruptcy) that affect the Index composition are immediately reviewed. Any changes are announced,
implemented and effective in line with the type of corporate action and the magnitude of the effect.

Ca lc ula t ion of t he I nde x

The Index is calculated with the Laspeyres formula, which measures the aggregate price changes in the component stocks against
a fixed base quantity weight. The formula for calculating the Index value can be expressed as follows:

free float market capitalization of the Index
Index =
Divisor
The "free float market capitalization of the Index" is equal to the sum of the products of the closing price, market capitalization and
free float factor for each component stock as of the time the Index is being calculated.

The divisor for the Index is adjusted to maintain the continuity of the Index values across changes due to corporate actions. The
following is a summary of the adjustments to any component stock made for corporate actions and the effect of such adjustment on
the divisor, where an index divisor may decrease (Ñ) or increase (D) or keep constant () when corporate actions occur for a
component stock. Assuming shareholders receive "B" new shares for every "A" share held for the following corporate actions:

Market-Linked Step Up Notes
TS-8
http://www.sec.gov/Archives/edgar/data/1159508/000095010315004344/dp56672_424b2-sun60.htm[6/1/2015 4:49:26 PM]


Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due May 26, 2017
Corpora t e
Divisor
Ac t ion
Adjust m e nt Form ula
Ñ
Cash dividend
adjusted price = closing level ­ dividend announced by company × (1 ­ withholding tax)
(applied for return
index only)



D
Special Cash
adjusted price = closing level ­ dividend announced by company × (1 ­ withholding tax)
dividend (applied
for price return
index only)




Split and Reverse
adjusted price = closing level × A/B
Split

new number of shares = old number of shares × B/A



D
Rights Offering
adjusted price = (closing level × A + subscription price × B)/(A + B)

new number of shares = old number of shares × (A + B)/A




Stock Dividend
adjusted price = closing level × A/(A + B)

new number of shares = old number of shares × (A + B)/A



Ñ
Stock Dividend of a
adjusted price = (closing level × A ­ price of different company security × B)/A
Different Company
Security



Ñ
Return of Capital
adjusted price = [closing level ­ dividend announced by company × (1 ­ withholding tax)] × A/B
and Share

Consolidation
new number of shares = old number of shares × B/A



Ñ
Repurchase
adjusted price = (closing level ­ dividend announced by company) × A/B
Shares-Self-

Tender
new number of shares = old number of shares × B/A

adjusted price = (price before tender × old number of shares) ­ (tender price × number of tendered
shares)
new number of shares

new number of shares = old number of shares ­ number of tendered shares



Ñ
Spinoff
adjusted price = (closing level × A ­ price of spun ­ off shares × B)/A



D
Combination Stock
Shareholders receive B new shares from the distribution and C new shares from the rights
Distribution
offering for every A shares held:
(Dividend or Split)
if rights are applicable after stock distribution (one action applicable to other):
and Rights Offering

adjusted price = closing level × A + subscription price × C × (1 + B/A)
(A + B) × (1 + C/A)

new number of shares = old number of shares × [(A + B) × (1 + C/A)]/A

if stock distribution is applicable after rights (one action applicable to other):

adjusted price = closing level × A + subscription price × C
(A + C) × (1 + B/A)
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