Key Terms
Issuer:
|
Deutsche
Bank AG, London Branch
|
|
Issue
Price:
|
100%
of the Face Amount
|
|
Underlyings:
|
Underlying
|
Ticker
Symbol
|
Initial
Level
†
|
Trigger
Level
†
|
|
Russell
2000
®
Index
|
RTY
|
|
|
|
S&P
500
®
Index
|
SPX
|
|
|
|
|
EURO
STOXX 50
®
Index
|
SX5E
|
|
|
|
|
|
|
|
|
|
|
†
The Initial Level and Trigger Level for each of the Russell 2000
®
Index and the S&P 500
®
Index will be determined on the Trade Date. The Initial Level and Trigger Level for the EURO STOXX 50
®
Index will be determined on March 7, 2017.
|
|
|
Automatic Call:
|
The securities
will be automatically called by the Issuer if, on any of the Observation Dates, the closing levels of
all
the Underlyings
are greater than or equal to their respective Initial Levels.
|
|
|
|
(
Key
Terms continued on next page
)
|
Investing
in the securities involves a number of risks
.
See
“
Risk Factors
”
beginning on page 7 of the accompanying
product supplement
,
page PS
-
5 of the accompanying prospectus supplement and page 13 of the accompanying prospectus
and
“
Selected Risk Considerations
”
beginning on page PS
-
10 of this pricing supplement
.
The Issuer
’
s
estimated value of the securities on the Trade Date is approximately $952
.
70 to $972
.
70 per $1
,
000 Face Amount
of securities
,
which is less than the Issue Price
.
Please see
“
Issuer
’
s Estimated
Value of the Securities
”
on page PS
-
3 of this pricing supplement for additional information
.
By acquiring
the securities
,
you will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure
(
as
defined below
)
by the competent resolution authority
,
which may include the write down of all
,
or a portion
,
of any payment on the securities or the conversion of the securities into ordinary shares or other instruments of ownership
.
If any Resolution Measure becomes applicable to us
,
you may lose some or all of your investment in the securities
.
Please see
“
Resolution Measures and Deemed Agreement
”
on page PS
-
4 of this pricing supplement
for more information
.
Neither the
Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or passed
upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement, product supplement, prospectus
supplement or prospectus. Any representation to the contrary is a criminal offense.
|
Price
to Public
|
Discounts
and Commissions
(1)
|
Proceeds
to Us
|
Per
Security
|
$1,000.00
|
$12.00
|
$988.00
|
Total
|
$
|
$
|
$
|
|
(1)
|
For
more detailed information about discounts and commissions, please see “Supplemental
Plan of Distribution (Conflicts of Interest)” in this pricing supplement. The securities
will be sold with underwriting discounts and commissions in an amount of $12.00 per $1,000
Face Amount of securities.
|
The
agent for this offering is our affiliate. For more information, please see “Supplemental Plan of Distribution (Conflicts
of Interest) ” in this pricing supplement.
The
securities are not deposits or savings accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation
or any other U
.
S
.
or foreign governmental agency or instrumentality
.
March
, 2017
(
Key
Terms continued from previous page
)
Payment upon an Automatic Call:
|
If the securities are automatically called, you will receive a cash payment per $1,000 Face Amount of securities on the related Call Settlement Date equal to the Face Amount
multiplied by
the Call Return for the applicable Observation Date. The Call Returns are based on a rate of 13.25% per annum. The securities will cease to be outstanding following an Automatic Call and no further payments will be made following the Call Settlement Date. The Observation Dates, Call Settlement Dates, Call Return and the payment due upon an Automatic Call applicable to each Observation Date are set forth in the table below.
|
Observation Date
|
Call Settlement
Date
|
Call Return
|
Payment upon an
Automatic Call
(
per $1
,
000 Face Amount of securities
)
|
March 7, 2018
|
March 12, 2018
|
113.25%
|
$1,132.50
|
March 6, 2019
|
March 11, 2019
|
126.50%
|
$1,265.00
|
|
March
4, 2020
|
March
9, 2020
|
139.75%
|
$1,397.50
|
|
March 4, 2021
|
March 9, 2021
|
153.00%
|
$1,530.00
|
Observation Dates
1, 2
:
|
Annually,
on the dates set forth in the table under “Payment upon an Automatic Call” above
|
Call Settlement Date
1, 2
:
|
As set
forth in the table under “Payment upon an Automatic Call” above
|
Payment at Maturity:
|
If the
securities are not automatically called, you will receive a cash payment at maturity that will depend
solely
on the
Final Level of the Laggard Underlying, calculated as follows:
|
|
·
If
the Final Level of the Laggard Underlying is
greater than
or
equal to
its Trigger Level
, you will receive
a cash payment at maturity per $1,000 Face Amount of securities calculated as follows:
$1,000
+ ($1,000 x Digital Return)
|
|
·
If
the Final Level of the Laggard Underlying is
less than
its Trigger Level
, you will receive a cash payment at maturity
per $1,000 Face Amount of securities calculated as follows:
|
|
|
|
$1,000
+ ($1,000 x Underlying Return of the Laggard Underlying)
|
|
|
|
If
the securities are not automatically called and the Final Level of the Laggard Underlying is less than its Trigger Level
,
for each $1
,
000 Face Amount of securities
,
you will lose 1
.
00% of the Face Amount for every 1
.
00%
by which the Final Level of the Laggard Underlying is less than its Initial Level
.
In this circumstance
,
you
will lose a significant portion or all of your investment at maturity
.
Any payment at maturity is subject to the credit
of the Issuer
.
|
Laggard Underlying:
|
The
Underlying with the lowest Underlying Return on the Final Valuation Date. If the calculation agent determines that any two
or all three of the Underlyings have equal lowest Underlying Returns, then the calculation agent will, in its sole discretion,
designate one of such Underlyings as the Laggard Underlying.
|
Digital Return:
|
66.25%,
which reflects the maximum return on the securities. Accordingly, the maximum Payment at Maturity will be $1,662.50 per $1,000
Face Amount of securities.
|
Trigger Level:
|
For each
Underlying, 70.00% of its Initial Level. The Trigger Price for each of the Russell 2000
®
Index and the S&P 500
®
Index are set forth in
the table under “Underlyings” above.
The Trigger Level for the EURO STOXX 50
®
Index will
be determined on March 7
,
2017
.
|
Underlying Return:
|
For each
Underlying, the Underlying Return will be calculated as follows:
|
|
Final
Level – Initial Level
|
|
Initial
Level
|
|
The
Underlying Return for each Underlying may be positive
,
zero or negative
.
|
Initial Level:
|
For the
Russell 2000
®
Index and the S&P 500
®
Index, the closing level of such Underlying on the Trade Date, as set forth in the table under “Underlyings”
above. For the EURO STOXX 50
®
Index, the closing level of such Underlying on March 7, 2017.
The Initial
Level of the EURO STOXX 50
®
Index is
not
the closing level of such Underlying on the Trade Date
.
|
Final Level:
|
For each
Underlying, the closing level of such Underlying on the Final Valuation Date.
|
Trade Date
2
:
|
March
6, 2017
|
Settlement Date
2
:
|
March
9, 2017
|
Final Valuation Date
1, 2
:
|
March
4, 2022
|
Maturity Date
1, 2
:
|
March
9, 2022
|
Listing:
|
The securities
will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MAD3
/ US25155MAD39
|
|
1
|
Subject
to adjustment as described under “Description of Securities — Adjustments
to Valuation Dates and Payment Dates” in the accompanying product supplement. If
an Observation Date is postponed, the related Call Settlement Date will be postponed
as described under “Description of Securities — Adjustments to Valuation
Dates and Payment Dates” in the accompanying product supplement.
|
|
2
|
In
the event that we make any changes to the expected Trade Date or Settlement Date, the
Observation Dates, Call Settlement Dates, Final Valuation Date and Maturity Date may
be changed so that the stated term of the securities remains the same.
|
Issuer
’
s Estimated Value
of the Securities
The Issuer’s estimated value of the
securities is equal to the sum of our valuations of the following two components of the securities: (i) a bond and (ii) an embedded
derivative(s). The value of the bond component of the securities is calculated based on the present value of the stream of cash
payments associated with a conventional bond with a principal amount equal to the Face Amount of securities, discounted at an internal
funding rate, which is determined primarily based on our market-based yield curve, adjusted to account for our funding needs and
objectives for the period matching the term of the securities. The internal funding rate is typically lower than the rate we would
pay when we issue conventional debt securities on equivalent terms. This difference in funding rate, as well as the agent’s
commissions, if any, and the estimated cost of hedging our obligations under the securities, reduces the economic terms of the
securities to you and is expected to adversely affect the price at which you may be able to sell the securities in any secondary
market. The value of the embedded derivative(s) is calculated based on our internal pricing models using relevant parameter inputs
such as expected interest and dividend rates and mid-market levels of price and volatility of the assets underlying the securities
or any futures, options or swaps related to such underlying assets. Our internal pricing models are proprietary and rely in part
on certain assumptions about future events, which may prove to be incorrect.
The Issuer’s estimated value of the
securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the securities.
The difference between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date is due to the
inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations under the securities
through one or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost of providing such
hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent in providing
such hedge.
The Issuer’s estimated value of the
securities on the Trade Date does not represent the price at which we or any of our affiliates would be willing to purchase your
securities in the secondary market at any time. Assuming no changes in market conditions or our creditworthiness and other relevant
factors, the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary market
transactions, if at all, would generally be lower than both the Issue Price and the Issuer’s estimated value of the securities
on the Trade Date. Our purchase price, if any, in secondary market transactions will be based on the estimated value of the securities
determined by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure
of our cost of funds and (ii) our pricing models at that time, less a bid spread determined after taking into account the size
of the repurchase, the nature of the assets underlying the securities and then-prevailing market conditions. The price we report
to financial reporting services and to distributors of our securities for use on customer account statements would generally be
determined on the same basis. However, during the period of approximately six months beginning from the Trade Date, we or our affiliates
may, in our sole discretion, increase the purchase price determined as described above by an amount equal to the declining differential
between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date, prorated over such period on
a straight-line basis, for transactions that are individually and in the aggregate of the expected size for ordinary secondary
market repurchases.
Resolution Measures and Deemed Agreement
On May 15, 2014, the European Parliament
and the Council of the European Union adopted a directive establishing a framework for the recovery and resolution of credit institutions
and investment firms (commonly referred to as the “
Bank Recovery and Resolution Directive
”). The Bank Recovery
and Resolution Directive required each member state of the European Union to adopt and publish by December 31, 2014 the laws, regulations
and administrative provisions necessary to comply with the Bank Recovery and Resolution Directive. Germany adopted the Recovery
and Resolution Act (
Sanierungs- und Abwicklungsgesetz
, or the “
Resolution Act
”), which became effective
on January 1, 2015. The Bank Recovery and Resolution Directive and the Resolution Act provided national resolution authorities
with a set of resolution powers to intervene in the event that a bank is failing or likely to fail and certain other conditions
are met. From January 1, 2016, the power to initiate resolution measures applicable to significant banking groups (such as Deutsche
Bank Group) in the European Banking Union has been transferred to the European Single Resolution Board which, based on the European
Union regulation establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment
firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund (the “
SRM Regulation
”),
works in close cooperation with the European Central Bank, the European Commission and the national resolution authorities. Pursuant
to the SRM Regulation, the Resolution Act and other applicable rules and regulations, the securities may be subject to any Resolution
Measure by the competent resolution authority if we become, or are deemed by the 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. By acquiring the securities, you will be bound by and deemed irrevocably
to consent to the provisions set forth in the accompanying prospectus, which we have summarized below.
By acquiring the securities, you will be
bound by and deemed irrevocably to consent to the imposition of any Resolution Measure by the competent resolution authority. Under
the relevant resolution laws and regulations as applicable to us from time to time, the securities may be subject to the powers
exercised by the competent resolution authority to: (i) write down, including to zero, any payment (or delivery obligations) on
the securities; (ii) convert the securities into ordinary shares of (a) the Issuer, (b) any group entity or (c) any bridge bank
or other instruments of ownership of such entities qualifying as common equity tier 1 capital; and/or (iii) apply any other resolution
measure including, but not limited to, any transfer of the securities to another entity, the amendment, modification or variation
of the terms and conditions of the securities or the cancellation of the securities. We refer to each of these measures as a “
Resolution
Measure
.” A “group entity” refers to an entity that is included in the corporate group subject to a Resolution
Measure. A “bridge bank” refers to a newly chartered German bank that would receive some or all of our assets, liabilities
and material contracts, including those attributable to our branches and subsidiaries, in a resolution proceeding.
Furthermore, by acquiring the securities,
you:
|
·
|
are deemed irrevocably to have agreed,
and you will agree: (i) to be bound by, to acknowledge and to accept any Resolution Measure and any amendment, modification or
variation of the terms and conditions of the securities to give effect to any Resolution Measure; (ii) that you will have no claim
or other right against us arising out of any Resolution Measure; and (iii) that the imposition of any Resolution Measure will not
constitute a default or an event of default under the securities, under the senior indenture dated November 22, 2006 among us,
Law Debenture Trust Company of New York, as trustee, and Deutsche Bank Trust Company Americas, as issuing agent, paying agent,
authenticating agent and registrar, as amended and supplemented from time to time (the “
Indenture
”), or for
the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act of 1939, as amended (the “
Trust
Indenture Act
”);
|
|
·
|
waive, to the fullest extent permitted
by the Trust Indenture Act and applicable law, any and all claims against the trustee and the paying agent, the issuing agent and
the registrar (each, an “
indenture agent
”) for, agree not to initiate a suit against the trustee or the indenture
agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that the trustee or
the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution Measure by
the competent resolution authority with respect to the securities; and
|
|
·
|
will be deemed irrevocably to have: (i)
consented to the imposition of any Resolution Measure as it may be imposed without any prior notice by the competent resolution
authority of its decision to exercise such power with respect to the securities; (ii) authorized, directed and requested The Depository
Trust Company (“
DTC
”) and any direct participant in DTC or other intermediary through which you hold such securities
to take any and all necessary action, if required, to implement the imposition of any Resolution Measure with respect to the securities
as it may be imposed, without any further action or direction on your part or on the part of the trustee or the indenture agents;
and (iii) acknowledged and accepted that the Resolution Measure provisions described herein and in the “Resolution Measures”
section of the accompanying prospectus are exhaustive on the matters described herein and therein to the exclusion of any other
agreements, arrangements or understandings between you and the Issuer relating to the terms and conditions of the securities.
|
This is only a summary
,
for more
information please see the accompanying prospectus dated April 27
,
2016
,
including the risk factors beginning on
page 13 of such prospectus
.
Additional Terms Specific to the Securities
You should read this pricing supplement
together with underlying supplement No. 1 dated August 17, 2015, product supplement B dated July 31, 2015, the prospectus supplement
dated July 31, 2015 relating to our Series A global notes of which these securities are a part and the prospectus dated April 27,
2016. Delaware Trust Company, which acquired the corporate trust business of Law Debenture Trust Company of New York, is the successor
trustee of the securities. When you read the accompanying underlying supplement, product supplement and prospectus supplement,
please note that all references in such supplements to the prospectus dated July 31, 2015, or to any sections therein, should refer
instead to the accompanying prospectus dated April 27, 2016 or to the corresponding sections of such prospectus, as applicable,
unless otherwise specified or the context otherwise requires. You may access these documents on the website of the Securities and
Exchange Commission (the “
SEC
”) at
.
www.sec.gov as follows (or if such address
has changed, by reviewing our filings for the relevant date on the SEC website):
|
·
|
Underlying supplement No. 1 dated August
17, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006546/crt_dp58829-424b2.pdf
|
·
|
Product supplement B dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
·
|
Prospectus supplement dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
|
·
|
Prospectus dated April 27, 2016:
|
http://www.sec.gov/Archives/edgar/data/1159508/000119312516559607/d181910d424b21.pdf
Our Central Index Key, or CIK, on the SEC
website is 0001159508. As used in this pricing supplement, “
we
,” “
us
” or “
our
”
refers to Deutsche Bank AG, including, as the context requires, acting through one of its branches.
This pricing supplement, together with the
documents listed above, contains the terms of the securities 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 this pricing supplement and in “Risk Factors” in the accompanying product supplement,
prospectus supplement and prospectus, as the securities 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 securities.
You may revoke your offer to purchase
the securities at any time prior to the time at which we accept such offer by notifying the applicable agent
.
We reserve
the right to change the terms of
,
or reject any offer to purchase
,
the securities prior to their issuance
.
We
will notify you in the event of any changes to the terms of the securities and you will be asked to accept such changes in connection
with your purchase of any securities
.
You may also choose to reject such changes
,
in which case we may reject your
offer to purchase the securities
.
Hypothetical Examples
The
tables and hypothetical examples set forth below are for illustrative purposes only.
The actual returns applicable to a
purchaser of the securities will be determined on the relevant Observation Date or on the Final Valuation Date, as applicable.
The following results are based solely on the hypothetical examples cited below. You should
consider carefully whether the securities are suitable to your investment goals. The numbers appearing in the tables and hypothetical
examples below may have been rounded for ease of analysis.
If
the securities are called
:
The
following table illustrates the payment due upon an Automatic Call per $1,000 Face Amount of securities on each of the Observation
Dates. The Call Returns below are based on a rate of 13.25% per annum.
Observation
Date
|
Call
Settlement Date
|
Call
Return
|
Payment
upon an Automatic Call
(
per $1
,
000 Face Amount of securities
)
|
March 7, 2018
|
March 12, 2018
|
113.25%
|
$1,132.50
|
March 6, 2019
|
March 11, 2019
|
126.50%
|
$1,265.00
|
March 4, 2020
|
March 9, 2020
|
139.75%
|
$1,397.50
|
March 4, 2021
|
March 9, 2021
|
153.20%
|
$1,532.00
|
If
the securities are not called
:
The
following table illustrates the hypothetical Payments at Maturity per $1,000 Face Amount of securities for a hypothetical range
of performances if the securities are not automatically called. The hypothetical Payments at Maturity set forth below reflect the
Digital Return of 66.25% and the Trigger Level for each Underlying equal to 70.00% of its respective Initial Level. The actual
Initial Level and Trigger Level for the Russell 2000
®
Index and the S&P 500
®
Index will be determined
on the Trade Date. The actual Initial Level and Trigger Level for the EURO STOXX 50
®
Index will be determined on
March 7, 2017.
We make no representation or warranty as to which of the Underlyings will be the Laggard Underlying for
purposes of calculating the Payment at Maturity
.
Hypothetical
Underlying
Return of the
Laggard Underlying
(%)
|
Hypothetical
Payment
at Maturity
($)
|
Hypothetical
Return
on the Securities
(%)
|
100.00%
|
$1,662.50
|
66.25%
|
90.00%
|
$1,662.50
|
66.25%
|
80.00%
|
$1,662.50
|
66.25%
|
70.00%
|
$1,662.50
|
66.25%
|
60.00%
|
$1,662.50
|
66.25%
|
50.00%
|
$1,662.50
|
66.25%
|
40.00%
|
$1,662.50
|
66.25%
|
30.00%
|
$1,662.50
|
66.25%
|
20.00%
|
$1,662.50
|
66.25%
|
10.00%
|
$1,662.50
|
66.25%
|
5.00%
|
$1,662.50
|
66.25%
|
0.00%
|
$1,662.50
|
66.25%
|
-5.00%
|
$1,662.50
|
66.25%
|
-10.00%
|
$1,662.50
|
66.25%
|
-15.00%
|
$1,662.50
|
66.25%
|
-20.00%
|
$1,662.50
|
66.25%
|
-25.00%
|
$1,662.50
|
66.25%
|
-
30
.
00%
|
$1
,
662
.
50
|
66
.
25%
|
-40.00%
|
$600.00
|
-40.00%
|
-50.00%
|
$500.00
|
-50.00%
|
-60.00%
|
$400.00
|
-60.00%
|
-70.00%
|
$300.00
|
-70.00%
|
-80.00%
|
$200.00
|
-80.00%
|
-90.00%
|
$100.00
|
-90.00%
|
-100.00%
|
$0.00
|
-100.00%
|
Hypothetical Examples of Amounts Payable at Maturity
The following hypothetical examples illustrate how the returns
set forth in the tables above are calculated.
Example 1
:
The closing levels
of
all
the Underlyings are greater than their respective Initial Levels on the first Observation Date
. Because the closing
levels of
all
the Underlyings on the first Observation Date are greater than their respective Initial Levels, the securities
are automatically called on the first Observation Date and the investor will receive on the related Call Settlement Date a cash
payment of $1,132.50 per $1,000 Face Amount of securities. There will be no further payments on the securities.
Example 2
:
The closing level of
at least one Underlying is less than its Initial Level on the first Observation Date and the closing levels of all the Underlyings
are greater than their respective Initial Levels on the second Observation Date
. Because the closing level of at least one
Underlying is less than its Initial Level on the first Observation Date, the securities are not automatically called on the first
Observation Date. Because the closing levels of
all
the Underlyings are greater than their respective Initial Levels on
the second Observation Date, the securities are automatically called on the second Observation Date and the investor will receive
on the related Call Settlement Date a cash payment of $1,265.00 per $1,000 Face Amount of securities. There will be no further
payments on the securities.
Example 3
:
The closing level of
at least one Underlying is less than its Initial Level on each Observation Date and the Final Level of the Laggard Underlying is
greater than its Trigger Level
,
resulting in an Underlying Return of the Laggard Underlying of 70
.
00%
. Because
the closing level of at least one Underlying is less than its Initial Level on each Observation Date, the securities are not automatically
called. Because the Final Level of the Laggard Underlying is greater than its Trigger Level (equal to 70.00% of its Initial Level),
despite the Underlying Return of the Laggard Underlying being greater than the Digital Return, the investor will receive on the
Maturity Date a cash payment of $1,662.50 per $1,000 Face Amount of securities, calculated as follows:
$1,000 + ($1,000 x Digital Return)
$1,000 + ($1,000 x 66.25%) = $1,662.50
Example 4
:
The closing level of
at least one Underlying is less than its Initial Level on each Observation Date and the Final Level of the Laggard Underlying is
greater than its Trigger Level
,
resulting in an Underlying Return of the Laggard Underlying of
-
20
.
00%
.
Because the closing level of at least one Underlying is less than its Initial Level on each Observation Date, the securities are
not automatically called. Because the Final Level of the Laggard Underlying is greater than its Trigger Level, the investor will
receive on the Maturity Date a cash payment of $1,662.50 per $1,000 Face Amount of securities, calculated as follows:
$1,000 + ($1,000 x Digital Return)
$1,000 + ($1,000 x 66.25%) = $1,662.50
Example 5
:
The closing level of
at least one Underlying is less than its Initial Level on each Observation Date and the Final Level of the Laggard Underlying is
less than its Trigger Level
(
while the Final Levels of the other Underlyings are greater than their respective Initial Levels
),
resulting in an Underlying return of the Laggard Underlying of
-
50
.
00%
. Because the closing level of at least
one Underlying is less than its Initial Level on each Observation Date, the securities are not automatically called. Because the
Final Level of the Laggard Underlying is less than its Trigger Level, despite the Final Levels of the other Underlyings being greater
than their respective Initial Levels, the investor will receive on the Maturity Date a cash payment of $500.00 per $1,000 Face
Amount of securities, calculated as follows
$1,000 + ($1,000 x Underlying
Return of the Laggard Underlying)
$1,000 + ($1,000 x -50.00%) = $500.00
Example 6
:
The closing level of
at least one Underlying is less than its Initial Level on each Observation Date and the Final Levels of all the Underlyings are
less than their respective Initial Levels
,
with the Final Level of the Laggard Underlying being less than its Trigger Level
,
resulting in an Underlying Return of the Laggard Underlying of
-
70
.
00%
. Because the closing level of at least
one Underlying is less than its Initial Level on each Observation Date, the securities are not automatically called. Because the
Final Level of the Laggard Underlying is less than its Trigger Level, the investor will receive on the Maturity Date a cash payment
of $300.00 per $1,000 Face Amount of securities, calculated as follows
$1,000 + ($1,000 x Underlying
Return of the Laggard Underlying)
$1,000 + ($1,000 x -70.00%) = $300.00
Selected Purchase Considerations
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·
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STEP-UP
APPRECIATION POTENTIAL
― If the closing levels of
all
the Underlyings on any annual Observation Date are
greater than or equal to their respective Initial Levels, the securities will be automatically called. If the securities are automatically
called, you will receive on the applicable Call Settlement Date a cash payment per $1,000 Face Amount of securities equal to the
Face Amount multiplied by the applicable Call Return based on a rate of 13.25% per annum. Even if the securities are not automatically
called, if the Final Level of the Laggard Underlying is greater than or equal to its Trigger Level, you will receive on the Maturity
Date a positive return on the securities equal to the Digital Return of 66.25%. In this circumstance, you would receive on the
Maturity Date the maximum Payment at Maturity of $1,662.50 per $1,000 Face Amount of securities.
Any payment on the securities
is subject to our ability to satisfy our obligations as they become due.
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|
·
|
LIMITED PROTECTION AGAINST LOSS
—
If the securities are not automatically called and the Final Level of the Laggard Underlying is greater than or equal to its Trigger
Level, you will receive at maturity a positive return on the securities equal to the Digital Return. However, if the securities
are not automatically called and the Final Level of the Laggard Underlying is less than its Trigger Level, for each $1,000 Face
Amount of securities, you will lose 1.00% of the Face Amount for every 1.00% by which the Final Level of the Laggard Underlying
is less than its Initial Level.
In this circumstance, you will lose a significant portion or all of your investment in the securities.
|
|
·
|
POTENTIAL EARLY EXIT WITH APPRECIATION
AS A RESULT OF THE AUTOMATIC CALL FEATURE
― While the original term of the securities is approximately five years, the
securities
will be automatically called if the closing levels of
all
the
Underlyings on any annual Observation Date are greater than or equal to their respective Initial Levels, and you will receive
the applicable payment corresponding to that Observation Date, as set forth on the cover of this pricing supplement.
|
|
·
|
RETURN
LINKED TO THE LEAST PERFORMING OF THE THREE UNDERLYINGS
— The return on the securities, which may be positive, zero
or negative, is linked to the least performing of the Russell 2000
®
Index, the S&P 500
®
Index
and the EURO STOXX 50
®
Index as described herein. If the securities are not automatically called, the Payment at
Maturity will be determined solely by reference to the performance of the Laggard Underlying.
|
Russell
2000
®
Index
The
Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S. equity
market. The Russell 2000
®
Index measures the composite price performance of stocks of approximately 2,000 companies
domiciled in the U.S. and its territories and consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index represents approximately 10% of the total market capitalization of the Russell
3000
®
Index.
This is only a summary of the Russell 2000
®
Index
.
For more information
on the Russell 2000
®
Index
,
including information concerning its composition
,
calculation methodology
and adjustment policy
,
please see the section entitled “The Russell Indices — The Russell 2000
®
Index
”
in the accompanying underlying supplement No
.
1 dated August 17
,
2015
.
S&P
500
®
Index
The
S&P 500
®
Index is intended to provide a performance benchmark for the U.S. equity markets. The calculation
of the level of the S&P 500
®
Index is based on the relative value of the aggregate market value of the shares
of 500 companies as of a particular time as compared to the aggregate average market value of the shares of 500 similar companies
during the base period of the years 1941 through 1943.
This is only a summary of the S&P 500
®
Index
.
For more information on the S&P 500
®
Index
,
including information concerning its composition
,
calculation methodology and adjustment policy
,
please see the section entitled “The S&P Dow Jones Indices
— The S&P 500
®
Index
”
in the accompanying underlying supplement No
.
1 dated
August 17
,
2015
.
EURO
STOXX 50
®
Index
The
EURO STOXX 50
®
Index is composed of the stocks of 50 major companies in the Eurozone. These companies include
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 18 European countries.
This is only a summary of the EURO
STOXX 50
®
Index
.
For more information on the EURO STOXX 50
®
Index
,
including
information concerning its composition
,
calculation methodology and adjustment policy
,
please see the
section entitled “The EURO STOXX 50
®
Index
”
in the accompanying underlying
supplement No
.
1 dated August 17
,
2015
.
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·
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TAX
CONSEQUENCES
— I
n the opinion of our special tax counsel, Davis Polk & Wardwell
LLP, which is based on prevailing market conditions, it is more likely than not that the securities will be treated for U.S. federal
income tax purposes as prepaid financial contracts that are not debt. Generally, if this treatment is respected, (i) you should
not recognize taxable income or loss prior to the maturity or other taxable disposition of your securities and (ii) the gain or
loss on your securities should be capital gain or loss and should be long-term capital gain or loss if you have held the securities
for more than one year. The Internal Revenue Service (the “
IRS
”) or a court might not agree with this treatment,
however, in which case the timing and character of income or loss on your securities could be materially and adversely affected.
|
In
2007, the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal
income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether
beneficial owners of these instruments should be required to accrue income over the term of their investment. It also asks for
comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance
of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income
(including any mandated accruals) realized by non-U.S. persons should be subject to withholding tax; and whether these instruments
are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize
certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on
appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of
these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect.
Withholding
under legislation commonly referred to as “FATCA” might (if the securities were recharacterized as debt instruments)
apply to amounts treated as interest paid with respect to the securities, as well as to payments of gross proceeds of a taxable
disposition, including upon an automatic call or at maturity, of a security. However, under a recent IRS notice, this regime will
not apply to payments of gross proceeds (other than any amount treated as interest) with respect to dispositions occurring before
January 1, 2019. You should consult your tax adviser regarding the potential application of FATCA to the securities.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“
Section 871
(
m
)”) generally impose
a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to non-U.S. holders with
respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides
certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements
set forth in the applicable Treasury regulations (such an index, a “
Qualified Index
”). Additionally, the applicable
regulations exclude from the scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “
Underlying Security
”).
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the securities with regard to non-U.S.
holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex
and its application may depend on your particular circumstances, including whether you enter into other transactions with respect
to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided
in the pricing supplement for the securities. You should consult your tax adviser regarding the potential application of Section
871(m) to the securities.
You
should review carefully the section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.”
The preceding discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel regarding
the material U.S. federal income tax consequences of owning and disposing of the securities.
Under
current law, the United Kingdom will not impose withholding tax on payments made with respect to the securities.
For
a discussion of certain German tax considerations relating to the securities, you should refer to the section in the accompanying
prospectus supplement entitled “Taxation by Germany of Non-Resident Holders.”
You
should consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities (including possible
alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
Selected Risk Considerations
An investment in the securities involves
significant risks. Investing in the securities is not equivalent to investing directly in the stocks composing the Underlyings.
In addition to these selected risk considerations, you should review the “Risk Factors” sections of the accompanying
product supplement, prospectus supplement and prospectus.
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·
|
YOUR INVESTMENT IN THE SECURITIES MAY
RESULT IN A LOSS
— The securities do not guarantee any return of your investment. The return on the securities at maturity
is linked to the performance of the Laggard Underlying and will depend on whether the securities are automatically called and whether
the Final Level of the Laggard Underlying is less than its Trigger Level, as applicable. If the securities are not automatically
called and the Final Level of the Laggard Underlying is less than its Trigger Level, for each $1,000 Face Amount of securities,
you will lose 1.00% of the Face Amount for every 1.00% by which the Final Level of the Laggard Underlying is less than its Initial
Level. In this circumstance, you will lose a significant portion or all of your investment at maturity.
Any payment on the securities
is subject to our ability to satisfy our obligations as they become due.
|
|
·
|
THE RETURN ON THE SECURITIES IS LIMITED
— If the securities are automatically called, the return on the securities will be limited by the pre-specified Call Return
on the relevant Observation Date, regardless of the performance of the Underlyings. In addition, since the securities could be
called as early as the first Observation Date, the term of your investment could be as short as approximately one year and your
return on the securities would be less than what you would have received if the securities were called on a later Observation Date.
If the securities are not automatically called and the Final level of the Laggard Underlying is greater than or equal to its Trigger
Level, you will receive a positive return on the securities equal to the Digital Return. In this circumstance, your positive return
on the securities will be limited to 66.25%. However, if the securities are not automatically called and the Final Level of the
Laggard Underlying is less than its Trigger Level, for each $1,000 Face Amount of securities, you will lose 1.00% of the Face Amount
for every 1.00% by which the Final Level of the Laggard Underlying is less than its Initial Level. Therefore, the return on the
securities is limited regardless of whether the securities are automatically called or not.
|
|
·
|
REINVESTMENT RISK
— If
the securities are automatically called, the term of the securities may be reduced to as short as approximately one year. There
is no guarantee that you would be able to reinvest the proceeds from an investment in the securities at a comparable return for
a similar level of risk in the event the securities are automatically called prior to the Maturity Date.
|
|
·
|
IF THE SECURITIES ARE NOT AUTOMATICALLY
CALLED
,
YOUR PAYMENT AT MATURITY WILL BE DETERMINED SOLELY BY THE PERFORMANCE OF THE LAGGARD UNDERLYING
— If the
securities are not automatically called, the Payment at Maturity will be determined solely by reference to the performance of the
Laggard Underlying, without taking into consideration the performance of the other Underlyings.
|
|
·
|
THE INITIAL PRICE FOR THE EURO STOXX
50
®
INDEX WILL NOT BE DETERMINED UNTIL AFTER THE TRADE DATE
— The Initial Price for the EURO STOXX
50
®
Index will not be determined until March 7, 2017, which is after the Trade Date. Accordingly, you will not know
the Initial Price of the EURO STOXX 50
®
Index on the Trade Date. The Initial Price of the EURO STOXX 50
®
Index may be greater than, equal to or less than the closing price of the EURO STOXX 50
®
Index on the Trade Date.
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|
·
|
A HIGHER DIGITAL/CALL
RETURN OR A LOWER TRIGGER LEVEL FOR EACH UNDERLYING MAY REFLECT A GREATER EXPECTED VOLATILITY OF ONE OR MORE OF THE UNDERLYINGS,
WHICH
IS GENERALLY ASSOCIATED WITH A GREATER RISK OF LOSS
—
Volatility is a measure of the degree of variation in the trading
prices of an asset over a period of time. The greater the expected volatility at the time the terms of the securities are set on
the Trade Date, the greater the expectation is at that time that at least one of the Underlyings may close below its Trigger Level
on the Final Valuation Date (resulting in a loss of a significant portion or all of your initial investment). In addition, the
economic terms of the securities, including the Trigger Levels and the Digital/Call Return, are based, in part, on the expected
volatility of the Underlyings at the time the terms of the securities are set on the Trade Date, where higher expected volatility
will generally lead to a higher Digital/Call Return or a lower Trigger Level for each Underlying. Accordingly, a higher Digital/Call
Return as compared with the expected return on our conventional fixed income securities with a similar maturity or the expected
return on our other similarly structured securities will generally indicate a greater risk of loss, while a lower Trigger Level
for each Underlying as compared with otherwise comparable securities does not necessarily indicate that the securities have a greater
likelihood of returning your investment at maturity. You should be willing to accept the downside market risk of each
Underlying and the potential loss of a significant portion or all of your initial investment at maturity.
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·
|
THE SECURITIES DO NOT PAY ANY COUPONS
— Unlike ordinary debt securities, the securities do not pay any coupons and do not guarantee any return of your investment
at maturity.
|
|
·
|
THE SECURITIES ARE SUBJECT TO THE CREDIT
OF DEUTSCHE BANK AG
— The securities are senior unsecured obligations of Deutsche Bank AG and are not, either directly
or indirectly, an obligation of any third party. Any payment(s) to be made on the securities depends on the ability of Deutsche
Bank AG to satisfy its obligations as they become due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating
or increase in the credit spreads charged by the market for taking Deutsche Bank AG’s credit risk will likely have an adverse
effect on the value of the securities. As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the
value of the securities and, in the event Deutsche Bank AG were to default on its obligations or become subject to a Resolution
Measure, you might not receive any amount(s) owed to you under the terms of the securities and you could lose your entire investment.
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·
|
THE SECURITIES MAY BE WRITTEN DOWN
,
BE CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION MEASURES
.
YOU
MAY LOSE SOME OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— Pursuant to the SRM Regulation,
the Resolution Act and other applicable rules and regulations described above under “Resolution Measures and Deemed Agreement,”
the securities are subject to the powers exercised by the competent resolution authority to impose Resolution Measures on us, which
may include: writing down, including to zero, any claim for payment on the securities; converting the securities into ordinary
shares of (i) the Issuer, (ii) any group entity or (iii) any bridge bank or other instruments of ownership of such entities qualifying
as common equity tier 1 capital; or applying any other resolution measure including, but not limited to, transferring the securities
to another entity, amending, modifying or varying the terms and conditions of the securities or cancelling the securities. The
competent resolution authority may apply Resolution Measures individually or in any combination.
|
The German law on the mechanism
for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
,
or the “
Resolution Mechanism Act
”) provides that, in a German insolvency
proceeding of the Issuer, certain specifically defined senior unsecured debt instruments would rank junior to, without constituting
subordinated debt, all other outstanding unsecured unsubordinated obligations of the Issuer and be satisfied only if all such other
senior unsecured obligations of the Issuer have been paid in full. This prioritization would also be given effect if Resolution
Measures are imposed on the Issuer, so that obligations under debt instruments that rank junior in insolvency as described above
would be written down or converted into common equity tier 1 instruments
before
any other senior unsecured obligations of
the Issuer are written down or converted. A large portion of our liabilities consist of senior unsecured obligations that either
fall outside the statutory definition of debt instruments that rank junior to other senior unsecured obligations according to the
Resolution Mechanism Act or are expressly exempted from such definition.
Among those unsecured unsubordinated
obligations that are expressly exempted are money market instruments and senior unsecured debt instruments whose terms provide
that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event which is uncertain
at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than by monetary payment,
or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence of an event
which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of interest or
the amount of the interest payments solely depends on a fixed or floating reference interest rate and is settled by monetary payment.
This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency proceedings instituted, or when
Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of the Issuer outstanding at that
time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect to the Issuer, the
competent regulatory authority or court would determine which of our senior debt securities issued under the prospectus have the
terms described in clauses (i) or (ii) above, referred to herein as the “
Structured
Debt Securities
,” and which do not, referred to herein as the “
Non
-
Structured
Debt Securities
.” We expect the securities offered herein to be classified as Structured Debt Securities, but
the competent regulatory authority or court may classify the securities differently. In a German insolvency proceeding or in the
event of the imposition of Resolution Measures with respect to the Issuer, the Structured Debt Securities are expected to be among
the unsecured unsubordinated obligations that would bear losses after the Non-Structured Debt Securities as described above.
Nevertheless
,
you may lose some or all of your investment in the
securities
if a Resolution
Measure becomes applicable to us
.
Imposition of a Resolution Measure would likely occur if we become, or are
deemed by the 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. The Bank Recovery
and Resolution Directive and the Resolution Act are intended to eliminate the need for public support of troubled banks, and you
should be aware that public support, if any, would only potentially be
used by the competent supervisory authority as a last resort
after having assessed and exploited, to the maximum extent practicable, the resolution tools, including the bail-in tool.
By acquiring the securities, you
would have no claim or other right against us arising out of any Resolution Measure and we would have no obligation to make payments
under the securities following the imposition of a Resolution Measure. In particular, the imposition of any Resolution Measure
will not constitute a default or an event of default under the securities, under the Indenture or for the purposes of, but only
to the fullest extent permitted by, the Trust Indenture Act. Furthermore, because the securities are subject to any Resolution
Measure, secondary market trading in the securities may not follow the trading behavior associated with similar types of securities
issued by other financial institutions which may be or have been subject to a Resolution Measure.
In addition, by your acquisition
of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable law, any and all claims
against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or the indenture agents in respect
of, and agree that the trustee and the indenture agents will not be liable for, any action that the trustee or the indenture agents
take, or abstain from taking, in either case in accordance with the imposition of a Resolution Measure by the competent resolution
authority with respect to the securities.
Accordingly
,
you may have limited or
circumscribed rights to challenge any decision of the competent resolution authority to impose any Resolution Measure
.
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·
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THE ISSUER
’
S ESTIMATED
VALUE OF THE SECURITIES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE SECURITIES
— The Issuer’s estimated
value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of
the securities. The difference between the Issue Price and the Issuer’s estimated value of the securities on the Trade
Date is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations
under the securities through one or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost
of providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent
in providing such hedge. The Issuer’s estimated value of the securities is determined by reference to an internal funding
rate and our pricing models. The internal funding rate is typically lower than the rate we would pay when we issue conventional
debt securities on equivalent terms. This difference in funding rate, as well as the agent’s commissions, if any, and the
estimated cost of hedging our obligations under the securities, reduces the economic terms of the securities to you and is expected
to adversely affect the price at which you may be able to sell the securities in any secondary market. In addition, our internal
pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. If
at any time a third party dealer were to quote a price to purchase your securities or otherwise value your securities, that price
or value may differ materially from the estimated value of the securities determined by reference to our internal funding rate
and pricing models. This difference is due to, among other things, any difference in funding rates, pricing models or assumptions
used by any dealer who may purchase the securities in the secondary market.
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·
|
INVESTING IN THE SECURITIES IS NOT THE
SAME AS INVESTING IN THE STOCKS COMPOSING THE UNDERLYINGS
— The return on the securities may not reflect the return you
would have realized if you had directly invested in the stocks composing the Underlyings. For instance, your Payment at Maturity
on the securities is
solely
dependent upon the performance of the Laggard Underlying, and you will not participate in any
potential increase in the levels of any Underlying, which could be significant.
|
|
·
|
IF THE LEVELS OF THE UNDERLYINGS CHANGE
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME MANNER
— Your securities may trade quite differently from
the levels of the Underlyings. Changes in the levels of the Underlyings may not result in comparable changes in the value of your
securities.
|
|
·
|
NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or rights to receive cash dividends or other distributions
or other rights that holders of the stocks composing the Underlyings would have.
|
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·
|
YOUR INVESTMENT
IS EXPOSED TO A DECLINE IN THE LEVEL OF EACH UNDERLYING
— Your return on the securities is not linked to a basket consisting
of the Underlyings. Rather, any payment on the securities will be determined solely by reference to the performance of the least
performing of three Underlyings. Unlike an instrument with a return linked to a basket, in which risk is mitigated and diversified
among all of the basket components, you will be exposed equally to the risks related to each of the Underlyings and your return
will be based on the least performing of the Underlyings, as measured on each Observation Date and the Final Valuation Date. A
negative performance by any of the Underlyings over the term of the securities may adversely affect your return on the securities
and will not be offset or mitigated by a positive performance by the other Underlyings.
|
|
·
|
BECAUSE
THE SECURITIES ARE LINKED TO THE LEAST PERFORMING OF THE THREE UNDERLYINGS, YOU ARE EXPOSED TO A GREATER RISK OF LOSING A SIGNIFICANT
PORTION OR ALL OF YOUR
|
INVESTMENT THAN
IF THE SECURITIES WERE LINKED TO JUST ONE UNDERLYING
— The risk that you will lose a significant portion or all of your
initial
investment
in the securities is greater than in substantially
similar
securities that are linked to the performance of just one of the Underlyings. With three Underlyings, it is more likely
that the Final Level of the Laggard Underlying will be less than its Trigger Level than if the securities were linked to only
one of the Underlyings, and therefore, it is more likely that you will receive a Payment at Maturity that is significantly less
than your initial investment. In addition, the performance of the Underlyings may not be correlated. If the performance of the
Underlyings is not correlated, or is negatively correlated, the potential for the Final Level of the Laggard Underlying to be
less than its Trigger Level on the Final Valuation Date is even greater. Although the correlation of the Underlyings’ performance
may change over the term of the securities, the Trigger Level is determined, in part, based on the correlation of the Underlyings’
performance at the time when the terms of the securities are finalized. A lower Trigger Level is generally associated with a lower
correlation of the Underlyings, which reflects a greater potential for loss on your investment at maturity.
|
·
|
the UNDERLYINGS
REFLECT THE PRICE RETURN OF THEIR RESPECTIVE COMPONENT STOCKS
,
NOT THEIR TOTAL RETURN INCLUDING ALL DIVIDENDS AND OTHER
DISTRIBUTIONS
— The return on the securities is based
on the performance of each Underlying, which reflects the changes in the market prices of their respective component stocks. None
of the Underlyings is, however, a “total return” index, which, in addition to reflecting the price returns of the stocks
composing such Underlying, would also reflect the reinvestment of all dividends and other distributions paid on such component
stocks.
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·
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THE SPONSOR OF AN UNDERLYING MAY ADJUST
THE RELEVANT UNDERLYING IN WAYS THAT AFFECT THE LEVEL OF SUCH UNDERLYING AND HAS NO OBLIGATION TO CONSIDER YOUR INTERESTS
—
The sponsor of an Underlying (each, an “
Index Sponsor
”) is responsible for calculating and maintaining the relevant
Underlying. The Index Sponsor can add, delete or substitute the components of the relevant Underlying or make other methodological
changes that could change the level of such Underlying. You should realize that the changing of such Underlying components may
affect such Underlying, as a newly added component may perform significantly better or worse than the component it replaces. Additionally,
the Index Sponsor may alter, discontinue or suspend calculation or dissemination of the relevant Underlying. Any of these actions
could adversely affect the level of such Underlying and, thus, the value of, and your return on, the securities. The Index Sponsors
have no obligation to consider your interests in calculating or revising the relevant Underlyings.
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THE SECURITIES ARE SUBJECT TO RISKS
ASSOCIATED WITH SMALL
-
CAPITALIZATION COMPANIES
— The stocks composing the Russell 2000
®
Index are
issued by companies with relatively small market capitalization. These companies often have greater stock price volatility, lower
trading volume and less liquidity than large-capitalization companies and, therefore, the level of the Russell 2000
®
Index may be more volatile than the levels of indices that consist of large-capitalization stocks. Stock prices of small-capitalization
companies are also generally more vulnerable than those of large-capitalization companies to adverse business and economic developments,
and the stocks of small-capitalization companies may be thinly traded. In addition, small-capitalization companies are typically
less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel,
making them more vulnerable to loss of personnel. Such small-capitalization companies tend to have lower revenues, less diverse
product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than
large-capitalization companies and are more susceptible to adverse developments related to their products. These companies may
also be more susceptible to adverse developments related to their products or services.
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THERE
ARE RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES LINKED TO THE VALUES OF EQUITY SECURITIES ISSUED BY NON
-
U
.
S
.
COMPANIES
— The EURO STOXX 50
®
Index includes component stocks that are issued by companies incorporated
outside of the U.S. Because the component stocks also trade outside the U.S., the securities are subject to the risks associated
with non-U.S. securities markets. Generally, non-U.S. securities markets may be less liquid and more volatile than U.S. securities
markets and market developments may affect non-U.S. securities markets differently than U.S. securities markets, which may adversely
affect the level of the EURO STOXX 50
®
Index and the value of your securities. Furthermore, there are risks associated
with investments in securities linked to the values of equity securities issued by non-U.S. companies. There is generally less
publicly available information about non-U.S. companies than about those U.S. companies that are subject to the reporting requirements
of the SEC, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements that
differ from those applicable to U.S. reporting companies. In addition, the prices of equity securities issued by non-U.S. companies
may be adversely affected by political, economic, financial and social factors that may be unique to the particular countries
in which the non-U.S. companies are incorporated. These factors include the possibility of recent or future changes in a non-U.S.
government’s economic and fiscal policies (including any direct or indirect intervention to stabilize the economy and/or
securities market of the country of such non-U.S. government), the presence, and extent, of
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cross shareholdings
in non-U.S. companies, the possible imposition of, or changes in, currency exchange laws or other non-U.S. laws or restrictions
applicable to non-U.S. companies or investments in non-U.S. securities and the possibility of fluctuations in the rate of exchange
between currencies. Moreover, certain aspects of a particular non-U.S. economy may differ favorably or unfavorably from the U.S.
economy in important respects, such as growth of gross national product, rate of inflation, capital reinvestment, resources and
self-sufficiency. Specifically, the stocks included in the EURO STOXX 50
®
Index are issued by companies located
in countries within the Eurozone, some of which are and have been experiencing economic stress.
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WE
ARE ONE OF THE COMPANIES THAT MAKE UP
THE
EURO STOXX 50
®
INDEX
— We are one
of the companies that make up the EURO STOXX 50
®
Index. To our knowledge, we are not currently affiliated with any
of the other companies the equity securities of which are represented in the EURO STOXX 50
®
Index. As a result,
we will have no ability to control the actions of such other companies, including actions that could affect the value of the equity
securities composing the EURO STOXX 50
®
Index or your securities. None of the other companies represented in the
EURO STOXX 50
®
Index will be involved in the offering of the securities in any way. Neither they nor we will have
any obligation to consider your interests as a holder of the securities in taking any corporate actions that might affect the value
of your not securities.
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THE UNDERLYING
RETURN WILL NOT BE ADJUSTED FOR CHANGES IN THE EURO RELATIVE TO THE U
.
S
.
DOLLAR
— The EURO STOXX 50
®
Index is composed of stocks denominated in euro. Because the level of the EURO STOXX 50
®
Index is also calculated
in euro (and not in U.S. dollars), the performance of the EURO STOXX 50
®
Index will not be adjusted for exchange
rate fluctuations between the U.S. dollar and the euro. Therefore, if the euro strengthens or weakens relative to the U.S. dollar
over the term of the securities, you will not receive any additional payment or incur any reduction in your return on the securities.
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PAST PERFORMANCE OF THE UNDERLYINGS
IS NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the Underlyings over the term of the securities
may bear little relation to the historical closing levels of the Underlyings and/or the hypothetical examples set forth elsewhere
in this pricing supplement. We cannot predict the future performance of the Underlyings or whether the performance of the Underlyings
will result in the return of any of your investment.
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ASSUMING NO CHANGES IN MARKET CONDITIONS
AND OTHER RELEVANT FACTORS
,
THE PRICE YOU MAY RECEIVE FOR YOUR SECURITIES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY
BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER’S ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE
— While
the payment(s) on the securities described in this pricing supplement is based on the full Face Amount of securities, the Issuer’s
estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue
Price of the securities. The Issuer’s estimated value of the securities on the Trade Date does not represent the price at
which we or any of our affiliates would be willing to purchase your securities in the secondary market at any time. Assuming no
changes in market conditions or our creditworthiness and other relevant factors, the price, if any, at which we or our affiliates
would be willing to purchase the securities from you in secondary market transactions, if at all, would generally be lower than
both the Issue Price and the Issuer’s estimated value of the securities on the Trade Date. Our purchase price, if any, in
secondary market transactions would be based on the estimated value of the securities determined by reference to (i) the then-prevailing
internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our pricing models at
that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the assets underlying
the securities and then-prevailing market conditions. The price we report to financial reporting services and to distributors of
our securities for use on customer account statements would generally be determined on the same basis. However, during the period
of approximately six months beginning from the Trade Date, we or our affiliates may, in our sole discretion, increase the purchase
price determined as described above by an amount equal to the declining differential between the Issue Price and the Issuer’s
estimated value of the securities on the Trade Date, prorated over such period on a straight-line basis, for transactions that
are individually and in the aggregate of the expected size for ordinary secondary market repurchases.
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In addition to the factors discussed
above, the value of the securities and our purchase price in secondary market transactions after the Trade Date, if any, will vary
based on many economic and market factors, including our creditworthiness, and cannot be predicted with accuracy. These changes
may adversely affect the value of your securities, including the price you may receive in any secondary market transactions. Any
sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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THE SECURITIES WILL NOT BE LISTED AND
THERE WILL LIKELY BE LIMITED LIQUIDITY
— The securities will not be listed on any securities exchange. There may be little
or no secondary market for the
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securities. We or our affiliates intend to act as market makers for the securities but are not required
to do so and may cease such market making activities at any time. Even if there is a secondary market, it may not provide enough
liquidity to allow you to sell the securities when you wish to do so or at a price advantageous to you. Because we do not expect
other dealers to make a secondary market for the securities, the price at which you may be able to sell your securities is likely
to depend on the price, if any, at which we or our affiliates are willing to buy the securities. If, at any time, we or our affiliates
do not act as market makers, it is likely that there would be little or no secondary market in the securities. If you have to sell
your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss, even in cases
where the levels of the Underlyings have increased since the Trade Date.
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MANY ECONOMIC AND MARKET FACTORS WILL
AFFECT THE VALUE OF THE SECURITIES
— While we expect that, generally, the levels of the Underlyings will affect the value
of the securities more than any other single factor, the value of the securities prior to maturity will also be affected by a number
of other factors that may either offset or magnify each other, including:
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the expected volatility
of the Underlyings;
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·
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the time remaining to
the maturity of the securities;
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·
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the market prices and
dividend rates of the stocks composing the Underlyings;
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·
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the composition of the
Underlyings;
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interest rates and yields
in the markets generally;
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geopolitical conditions
and economic, financial, political, regulatory or judicial events that affect any Underlying or the markets generally;
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supply and demand for
the securities; and
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our creditworthiness,
including actual or anticipated downgrades in our credit ratings.
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During the term of the securities,
it is possible that their value may decline significantly due to the factors described above even if the levels of the Underlyings
remain unchanged from their respective Initial Levels, and any sale prior to the Maturity Date could result in a substantial loss
to you. You must hold the securities to maturity to receive the stated payout from the Issuer.
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TRADING AND OTHER TRANSACTIONS BY US
OR OUR AFFILIATES IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE SECURITIES
— We or our affiliates
expect to hedge our exposure from the securities by entering into equity and equity derivative transactions, such as over-the-counter
options, futures or exchange-traded instruments. We or our affiliates may also engage in trading in instruments linked or related
to the Underlyings on a regular basis as part of our or their general broker-dealer and other businesses, for proprietary accounts,
for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and
hedging activities may adversely affect the levels of one or more Underlyings and, therefore, make it less likely that you will
receive a positive return on your investment in the securities. It is possible that we or our affiliates could receive substantial
returns from these hedging and trading activities while the value of the securities declines. We or our affiliates may also issue
or underwrite other securities or financial or derivative instruments with returns linked or related to the Underlyings. To the
extent that we or our affiliates serve as issuer, agent or underwriter for such securities or financial or derivative instruments,
our or our affiliates’ interests with respect to such products may be adverse to those of the holders of the securities.
Introducing competing products into the marketplace in this manner could adversely affect the levels of one or more Underlyings
and the value of the securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that
differ from, or are in direct opposition to, investors’ trading and investment strategies related to the securities. Furthermore,
because Deutsche Bank Securities Inc. (“
DBSI
”) or one of its affiliates is expected to conduct trading and hedging
activities for us in connection with the securities, DBSI or such affiliate may profit in connection with such trading and hedging
activities and such profit, if any, will be in addition to any compensation that DBSI receives for the sale of the securities to
you. You should be aware that the potential to earn a profit in connection with hedging activities may create a further incentive
for DBSI to sell the securities to you in addition to any compensation they would receive for the sale of the securities.
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WE OR OUR AFFILIATES MAY PUBLISH RESEARCH,
EXPRESS OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE SECURITIES
.
ANY SUCH
RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE LEVELS OF THE UNDERLYINGS AND THE VALUE OF THE SECURITIES
—
We or our affiliates may publish research
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from time to time on financial markets and other matters that could adversely affect
the levels of the Underlyings and the value of the securities, or express opinions or provide recommendations that are inconsistent
with purchasing or holding the securities. Any research, opinions or recommendations expressed by us or our affiliates may not
be consistent with each other and may be modified from time to time without notice. You should make your own independent investigation
of the merits of investing in the securities and the Underlyings.
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POTENTIAL CONFLICTS OF INTEREST
— We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation
agent, hedging our obligations under the securities and determining the Issuer’s estimated value of the securities on the
Trade Date and the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary
market transactions. In performing these roles, our economic interests and those of our affiliates are potentially adverse to your
interests as an investor in the securities. The calculation agent will determine, among other things, all values, prices and levels
required to be determined for the purposes of the securities on any relevant date or time. The calculation agent will also be responsible
for determining whether a market disruption event has occurred as well as, in some circumstances, the prices or levels related
to the Underlyings that affect whether the securities are automatically called. Any determination by the calculation agent could
adversely affect the return on the securities.
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THE U.S. FEDERAL INCOME TAX CONSEQUENCES
OF AN INVESTMENT IN THE SECURITIES ARE UNCERTAIN
— There is no direct legal authority regarding the proper U.S. federal
income tax treatment of the securities, and we do not plan to request a ruling from the IRS. Consequently, significant aspects
of the tax treatment of the securities are uncertain, and the IRS or a court might not agree with the treatment of the securities
as prepaid financial contracts that are not debt. If the IRS were successful in asserting an alternative treatment for the securities,
the tax consequences of ownership and disposition of the securities could be materially and adversely affected. In addition, as
described above under “Tax Consequences,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting
comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the securities, possibly with retroactive effect. You should review carefully the
section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences,” and consult your tax
adviser regarding the U.S. federal tax consequences of an investment in the securities (including possible alternative treatments
and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
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Historical Information
The following graphs set forth the historical
performances of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index based on their daily closing levels from March 3, 2012 through March 3, 2017. The closing level of the Russell 2000
®
Index on March 3, 2017 was 1,394.127. The closing level of the S&P 500
®
Index on March 3, 2017 was 2,383.12.
The closing level of the EURO STOXX 50
®
Index on March 3, 2017 was 3,403.39. The graphs below also indicate by
a broken line a hypothetical Trigger Level equal to 70.00% of, (i) with respect to the Russell 2000
®
Index, 1,394.127,
which was the closing level of the Russell 2000
®
Index on March 3, 2017, (ii) with respect to the S&P 500
®
Index, 2,383.12, which was the closing level of the S&P 500
®
Index on March 3, 2017 and, (iii) with respect
to the EURO STOXX 50
®
Index, 3,403.39, which was the closing level of the EURO STOXX 50
®
Index on
March 3, 2017. The actual Initial Level and Trigger Level for the Russell 2000
®
Index and the S&P 500
®
Index will be determined on the Trade Date. The actual Initial Level and Trigger Level for the EURO STOXX 50
®
Index will be determined on March 7, 2017. We obtained the historical closing levels of the Underlyings below from Bloomberg L.P.
and we have not participated in the preparation of, or verified, such information.
The historical closing levels of the Underlyings
should not be taken as an indication of future performance and no assurance can be given as to the closing levels of the Underlyings
on any of the Observation Dates or the Final Valuation Date
.
We cannot give you assurance that the performance of the Underlyings
will result in the return of any of your initial investment
.