We are offering Trigger Callable
Contingent Yield Notes linked to the least performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the S&P 500
®
Index. The Notes are our unsubordinated and unsecured obligations and are offered
at a minimum investment of $1,000 in denominations of $10.00 and integral multiples thereof.
Underlyings
|
Contingent
Coupon Rate
|
Initial
Underlying Levels
|
Downside
Thresholds
|
Coupon
Barriers
|
CUSIP
/
ISIN
|
EURO STOXX 50
®
Index (Ticker:
SX5E)
|
9.50%
per annum
|
3,584.83
|
2,150.90, equal to 60.00% of its Initial Underlying
Level
|
2,330.14, equal to 65.00% of its Initial Underlying
Level
|
25190K458
/ US25190K4581
|
Russell 2000
®
Index (Ticker: RTY)
|
1,355.889
|
813.533, equal to 60.00% of its Initial Underlying
Level
|
881.328, equal to 65.00% of its Initial Underlying
Level
|
S&P 500
®
Index
(Ticker: SPX)
|
2,357.03
|
1,414.22, equal
to 60.00% of its Initial Underlying Level
|
1,532.07, equal
to 65.00% of its Initial Underlying Level
|
Please
see
“
Additional Terms
Specific to the Notes
”
in this pricing supplement.
The Notes will have the terms specified in 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 Notes are a part,
the prospectus dated April 27, 2016 and this pricing supplement.
The
Issuer
’
s estimated value
of the Notes on the Trade Date is $9.820 per $10.00 Face Amount of Notes, which is less than the Issue Price. Please see
“
Issuer
’
s
Estimated Value of the Notes
”
on the following page
of this pricing supplement for additional information.
Neither the Securities and
Exchange Commission nor any state securities commission has approved or disapproved of the Notes or passed upon the accuracy or
the adequacy of this pricing supplement or the accompanying underlying supplement No
.
1
,
product supplement B
,
prospectus supplement or prospectus
.
Any representation to the contrary is a criminal offense
.
The Notes 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
.
|
Price to Public
|
Discounts and Commissions
(1)
|
Proceeds to Us
|
Offering of Notes
|
Total
|
Per Note
|
Total
|
Per Note
|
Total
|
Per Note
|
Notes linked to the least performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the S&P 500
®
Index
|
$33,164,000.00
|
$10.00
|
$331,640.00
|
$0.10
|
$32,832,360.00
|
$9.90
|
|
(1)
|
For more detailed information
about discounts and commissions, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing
supplement.
|
Deutsche Bank Securities Inc.
(“
DBSI
”) is our affiliate. For more information, please see “Supplemental Plan of Distribution (Conflicts
of Interest)” in this pricing supplement.
UBS Financial Services Inc
.
|
Deutsche
Bank Securities
|
Issuer
’
s
Estimated Value of the Notes
|
The Issuer’s estimated value
of the Notes is equal to the sum of our valuations of the following two components of the Notes: (i) a bond and (ii) an embedded
derivative(s). The value of the bond component of the Notes 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 Notes, 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 Notes. 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 Notes, reduces the economic terms of the Notes to you and
is expected to adversely affect the price at which you may be able to sell the Notes 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 Notes 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 Notes on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the Notes.
The difference between the Issue Price and the Issuer’s estimated value of the Notes 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 Notes 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 Notes on the Trade Date does not represent the price at which we or any of our 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 or our affiliates would be willing to purchase the Notes 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 Notes
on the Trade Date. Our purchase price, if any, in secondary market transactions will be based on the estimated value of the Notes
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 Notes and then-prevailing market conditions. The price we report to
financial reporting services and to distributors of our Notes 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 Notes 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
|
Under German and European laws
and regulations, the Notes 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. A “
Resolution
Measure
” 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 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) any other resolution measure, including,
but not limited to, any transfer of the Notes to another entity, the amendment, modification or variation of the terms and conditions
of the Notes or the cancellation of the Notes. By acquiring the Notes, you will be bound by and will be deemed irrevocably to
consent to the imposition of any Resolution Measure by the competent resolution authority as set forth in the accompanying prospectus
dated April 27, 2016.
Please read the risk factor “The Notes 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
”
in this pricing supplement and see the accompanying prospectus
,
including the risk factors beginning on page 13 of such prospectus
,
for further information
.
Additional
Terms Specific to the Notes
|
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 Notes 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 Notes. 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):
|
¨
|
Product
supplement B dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
¨
|
Prospectus
dated April 27, 2016:
|
References to “Deutsche
Bank AG,” “we,” “our” and “us” refer to Deutsche Bank AG, including, as the context
requires, acting through one of its branches. In this pricing supplement, “Notes” refers to the Trigger Callable Contingent
Yield Notes that are offered hereby, unless the context otherwise requires.
All references to “Final
Underlying Level” and “Initial Underlying Level” in this pricing supplement shall be deemed to refer to “Final
Level” and “Initial Level,” respectively, as used in the accompanying product supplement.
If the terms described in this
pricing supplement are inconsistent with those described in the accompanying underlying supplement, product supplement, prospectus
supplement or prospectus, the terms described in this pricing supplement shall control.
This pricing supplement
,
together with the documents listed above
,
contains the terms of the Notes and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms
,
correspondence
,
trade ideas
,
structures for implementation
,
sample structures, brochures or other educational materials of ours
.
You should carefully consider
,
among other things
,
the matters set forth in “Key Risks
”
in
this pricing supplement and “Risk Factors
”
in the accompanying product supplement
,
prospectus supplement
and prospectus
,
as the Notes involve risks not associated with conventional debt securities
.
We urge you to consult
your investment
,
legal
,
tax
,
accounting and other advisers before deciding to invest in the Notes.
The suitability considerations
identified below are not exhaustive. Whether or not the Notes are a suitable investment for you will depend on your individual
circumstances, and you should reach an investment decision only after you and your investment, legal, tax, accounting and other
advisers have carefully considered the suitability of an investment in the Notes in light of your particular circumstances. You
should also review “Key Risks” on page 7 of this pricing supplement and “Risk Factors” on page 7 of the
accompanying product supplement, page PS-5 of the accompanying prospectus supplement and page 13 of the accompanying prospectus.
The Notes may be suitable for
you if
,
among other considerations
:
|
¨
|
You
fully understand the risks inherent in an investment in the Notes, including the risk
of loss of your entire investment.
|
|
¨
|
You
can tolerate the loss of a significant portion or all of your investment and you are
willing to make an investment in which you could have the same downside market risk as
a hypothetical investment in the Least Performing Underlying or the stocks included in
the Least Performing Underlying.
|
|
¨
|
You
believe the closing levels of
all
Underlyings will be greater than or equal
to their respective Coupon Barriers on each scheduled trading day during the applicable
Observation Periods, and on the Final Valuation Date.
|
|
¨
|
You
believe the Final Underlying Levels of
all
Underlyings will be greater
than or equal to their respective Downside Thresholds.
|
|
¨
|
You
are willing to accept the individual market risk of each Underlying on each scheduled
trading day during the quarterly Observation Periods and on the Final Valuation Date,
and you understand that any decline in the level of one Underlying will not be offset
or mitigated by a lesser decline or any potential increase in the levels of the other
Underlyings.
|
|
¨
|
You
are willing to make an investment whose return is limited to the applicable Contingent
Coupons, regardless of any potential increase in the levels of the Underlyings, which
could be significant.
|
|
¨
|
You
can tolerate fluctuations in the value of the Notes prior to maturity that may be similar
to or exceed the downside fluctuations in the level of the Least Performing Underlying.
|
|
¨
|
You
are willing to invest in the Notes based on the Contingent Coupon Rate specified on the
cover of this pricing supplement.
|
|
¨
|
You
do not seek guaranteed current income from this investment and you are willing to forgo
any dividends and any other distributions paid on the stocks composing the Underlyings.
|
|
¨
|
You
are willing and able to hold Notes that may be called early at the sole discretion of
Deutsche Bank AG, regardless of the closing level of any Underlying, and are otherwise
willing and able to hold the Notes to the Maturity Date as set forth on the cover of
this pricing supplement and you are not seeking an investment for which there will be
an active secondary market.
|
|
¨
|
You
understand and are willing to accept the risks associated with the Underlyings.
|
|
¨
|
You
are willing and able to assume the credit risk associated with Deutsche Bank AG as Issuer
of the Notes and you understand that, if Deutsche Bank AG defaults on its obligations
or becomes subject to a Resolution Measure, you might not receive any amounts due to
you, including any payment of a Contingent Coupon, any payment of your initial investment
at maturity or any payment upon an Issuer Call.
|
The Notes may
not
be suitable
for you if
,
among other considerations
:
|
¨
|
You
do not fully understand the risks inherent in an investment in the Notes, including the
risk of loss of your entire investment.
|
|
¨
|
You
cannot tolerate the loss of a significant portion or all of your investment or you are
unwilling to make an investment in which you could have the same downside market risk
as a hypothetical investment in the Least Performing Underlying or the stocks included
in the Least Performing Underlying.
|
|
¨
|
You
require an investment designed to provide a full return of your initial investment at
maturity.
|
|
¨
|
You
believe the closing level of any Underlying will be less than its Coupon Barrier on any
scheduled trading day during the specified Observation Periods and less than its Downside
Threshold on the Final Valuation Date.
|
|
¨
|
You
believe the Final Underlying Level of any Underlying will be less than its Downside Threshold.
|
|
¨
|
You
are unwilling to accept the individual market risk of each Underlying on each scheduled
trading day during the quarterly Observation Periods and on the Final Valuation Date,
and you understand that any decline in the level of one Underlying will not be offset
or mitigated by a lesser decline or any potential increase in the levels of the other
Underlyings.
|
|
¨
|
You
seek an investment that participates in any increase in the levels of the Underlyings
or that has unlimited return potential.
|
|
¨
|
You
cannot tolerate fluctuations in the value of the Notes prior to maturity that may be
similar to or exceed the downside fluctuations in the level of the Least Performing Underlying.
|
|
¨
|
You
are unwilling to invest in the Notes based on the Contingent Coupon Rate specified on
the cover of this pricing supplement.
|
|
¨
|
You
prefer the lower risk and, therefore, accept the potentially lower returns of fixed income
investments with comparable maturities and credit ratings.
|
|
¨
|
You
seek guaranteed current income from this investment or you prefer to receive any dividends
or any other distributions paid on the stocks composing the Underlyings.
|
|
¨
|
You
are unwilling or unable to hold Notes that may be called early at the sole discretion
of Deutsche Bank AG, regardless of the closing level of any Underlying, or are otherwise
unwilling or unable to hold the Notes to the Maturity Date as set forth on the cover
of this pricing supplement or you seek an investment for which there will be an active
secondary market.
|
|
¨
|
You
do not understand or are unwilling to accept the risks associated with the Underlyings.
|
|
¨
|
You
are unwilling or unable to assume the credit risk associated with Deutsche Bank AG as
Issuer of the Notes for all payments on the Notes, including any payment of a Contingent
Coupon, any payment of your initial investment at maturity or any payment upon an Issuer
Call.
|
Final
Terms
|
Issuer
|
Deutsche
Bank AG, London Branch
|
Issue Price
|
100%
of the Face Amount of Notes
|
Face Amount
|
$10.00
|
Term
|
Approximately
3 years, unless called earlier
|
Strike Date
|
May
17, 2017
|
Trade Date
|
May
18, 2017
|
Settlement
Date
|
May
25, 2017
|
Final Valuation
Date
1
|
May
18, 2020
|
Maturity Date
1
|
May
26, 2020
|
Underlyings
|
The
EURO STOXX 50
®
Index, the Russell 2000
®
Index and the S&P 500
®
Index
|
Issuer Call
|
Deutsche Bank AG may, in its sole
discretion, call the Notes in whole, but not in part, on any Coupon Payment Date prior to the Maturity Date (the “
Issuer
Call Date
”) upon written notice to the trustee prior to the Issuer Call Date. If the Notes are called by Deutsche
Bank AG in its sole discretion, Deutsche Bank AG will pay you a cash payment per Note equal to $10.00 plus any Contingent
Coupon otherwise due on such Coupon Payment Date and no further amounts will be owed to you under the Notes.
|
Observation Periods
|
There are twelve quarterly Observation Periods. The first Observation Period will consist of each scheduled trading day from, but excluding, the Trade Date to, and including, the first Observation End Date. Each subsequent Observation Period will consist of each scheduled trading day from, but excluding, an Observation End Date to, and including, the next Observation End Date.
|
|
Observation
End Dates
1
|
Coupon
Payment Dates
/
Issuer Call Date
(
if called
)
1
|
|
August
18, 2017
|
August
25, 2017
|
|
November
20, 2017
|
November
28, 2017
|
|
February
20, 2018
|
February
27, 2018
|
|
May
18, 2018
|
May
25, 2018
|
|
August
20, 2018
|
August
28, 2018
|
|
November
19, 2018
|
November
27, 2018
|
|
February
19, 2019
|
February
26, 2019
|
|
May
20, 2019
|
May
28, 2019
|
|
August
19, 2019
|
August
27, 2019
|
|
November
18, 2019
|
November
25, 2019
|
|
February
18, 2020
|
February
25, 2020
|
|
May
18, 2020
(
Final Valuation Date
)
|
May
26, 2020
(
Maturity Date
)
|
Contingent Coupon
|
If the closing levels
of
all
Underlyings on each scheduled trading day during the applicable quarterly Observation Period are
greater than or equal to their respective Coupon Barriers, Deutsche Bank AG will pay you the Contingent Coupon per $10.00
Face Amount of Notes applicable to such Observation Period on the related Coupon Payment Date.
If the closing level of
any
Underlying on any scheduled trading day during the applicable quarterly Observation Period is less than
its Coupon Barrier, the Contingent Coupon applicable to such Observation Period will not have accrued or be payable and
Deutsche Bank AG will not make any payment to you on the related Coupon Payment Date.
The Contingent Coupon
for the Notes will be a fixed amount based upon equal installments at the Contingent Coupon Rate set forth below. For
each Observation Period, the Contingent Coupon for the Notes that would be payable for such Observation Period on which
the closing levels of all Underlyings are greater than or equal to their respective Coupon Barriers is set forth below
under “Contingent Coupon Payments.”
Contingent Coupon Payments
on the Notes are not guaranteed. Deutsche Bank AG will not pay you the Contingent Coupon for any Observation Period on
which the closing level of any Underlying on any scheduled trading day during that Observation Period is less than its
applicable Coupon Barrier
.
|
|
|
Contingent Coupon Rate
|
9.50% per annum
|
Contingent Coupon Payments
|
$0.2375 per $10.00 Face Amount of Notes
|
Coupon
Payment
Dates
1
|
As
set forth in the table under “Observation Periods” above. The Coupon Payment Date for the final Observation End
Date will be the Maturity Date.
|
Payment at Maturity (per $10.00
Face Amount of Notes)
|
If the Notes have not
previously been called by Deutsche Bank AG in its sole discretion and the Final Underlying Level of the Least Performing
Underlying is greater than or equal to its Downside Threshold
, Deutsche Bank AG will pay you a cash payment per $10.00
Face Amount of Notes at maturity equal to the Face Amount
plus
the Contingent Coupon otherwise due on the Maturity
Date.
If the Notes have not
previously been called by Deutsche Bank AG in its sole discretion and the Final Underlying Level of the Least Performing
Underlying is less than its Downside Threshold
, Deutsche Bank AG will pay you a cash payment per $10.00 Face Amount
of Notes at maturity that is less than the Face Amount, equal to:
$10.00
+ ($10.00 x Underlying Return of Least Performing Underlying)
In this circumstance
,
you will lose a significant portion or all of your initial investment in an amount proportionate to the negative Underlying
Return of the Least Performing Underlying
,
regardless of the performance of the other Underlyings
.
You will
be exposed to the market risk of each Underlying and any decline in the level of one Underlying may negatively affect
your return and will not be offset or mitigated by a lesser decline or any potential increase in the levels of any of
the other Underlyings
.
|
Least Performing Underlying
|
The Underlying with the largest
percentage decrease from its Initial Underlying Level to its Final Underlying Level, as measured by its Underlying Return.
If the calculation agent determines that any two or all three Underlyings have equal Underlying Returns, then the calculation
agent will, in its sole discretion, designate either Underlying as the Least Performing Underlying.
|
Underlying Return
|
With respect to each Underlying,
the Underlying Return will be calculated as follows:
Final
Underlying Level – Initial Underlying Level
Initial
Underlying Level
|
Downside Threshold
|
With respect to the EURO
STOXX 50
®
Index, 2,150.90 equal to 60.00% of its Initial Underlying Level.
With respect to the Russell
2000
®
Index, 813.533, equal to 60.00% of its Initial Underlying Level.
With respect to the S&P
500
®
Index, 1,414.22, equal to 60.00% of its Initial Underlying Level.
|
Coupon Barrier
|
With respect to the EURO
STOXX 50
®
Index, 2,330.14, equal to 65.00% of its Initial Underlying Level.
With respect to the Russell
2000
®
Index, 881.328, equal to 65.00% of its Initial Underlying Level.
With respect to the S&P
500
®
Index, 1,532.07, equal to 65.00% of its Initial Underlying Level.
|
Initial Underlying Level
|
With
respect to each Underlying, the closing level of such Underlying on the Strike Date.
With respect to the EURO
STOXX 50
®
Index, 3,584.83.
With respect to the Russell
2000
®
Index, 1,355.889.
With respect to the S&P
500
®
Index, 2,357.03.
|
Final Underlying Level
|
With respect to each Underlying,
the closing level of such Underlying on the Final Valuation Date
|
|
|
INVESTING
IN THE NOTES INVOLVES SIGNIFICANT RISKS
.
YOU
MAY LOSE A SIGNIFICANT PORTION OR ALL OF YOUR INITIAL INVESTMENT
.
ANY
PAYMENT ON THE NOTES
,
INCLUDING ANY PAYMENT OF A CONTINGENT
COUPON, ANY PAYMENT UPON AN ISSUER CALL AND ANY PAYMENT OF YOUR INITIAL INVESTMENT AT MATURITY
,
IS
SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER
.
IF DEUTSCHE
BANK AG WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS OR BECOME SUBJECT TO A RESOLUTION MEASURE
,
YOU
MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT
|
|
|
|
|
1
|
Each of the Observation
End Dates (including the Final Valuation Date) and the Coupon Payment Dates (including
the Maturity Date) are subject to adjustment as described under “Description of
Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying
product supplement.
|
|
|
|
|
Strike
Date
:
|
For each Underlying, the Initial Underlying Level
is observed and the Downside Threshold and Coupon Barrier are determined.
|
|
|
|
|
Quarterly
(callable by Deutsche Bank AG in its sole discretion)
:
|
If the closing levels
of
all
Underlyings on each scheduled trading day during an Observation Period are greater than or equal
to their respective Coupon Barriers, Deutsche Bank AG will pay you the Contingent Coupon per $10.00 Face Amount of Notes
applicable to such Observation Period on the related Coupon Payment Date.
Deutsche Bank AG may,
in its sole discretion, call the Notes in whole, but not in part, on any Coupon Payment Date prior to the Maturity Date,
regardless of the closing level of any Underlying. If the Notes are called by Deutsche Bank AG in its sole discretion,
Deutsche Bank AG will pay you a cash payment per Note equal to $10.00 plus any Contingent Coupon otherwise due on such
Coupon Payment Date and no further amounts will be owed to you under the Notes.
|
|
|
|
|
Maturity
Date
:
|
For each Underlying, the
Final Underlying Level is determined and the Underlying Return is calculated on the Final Valuation Date.
If the Notes have not
previously been called by Deutsche Bank AG and the Final Underlying Level of the Least Performing Underlying is greater
than or equal to its Downside Threshold and Coupon Barrier
, Deutsche Bank AG will pay you a cash payment per $10.00
Face Amount of Notes at maturity equal to the Face Amount
plus
the Contingent Coupon otherwise due on the Maturity
Date.
If the Notes have not
previously been called by Deutsche Bank AG and the Final Underlying Level of the Least Performing Underlying is less than
its Downside Threshold
, Deutsche Bank AG will pay you a cash payment per $10.00 Face Amount of Notes at maturity that
is less than the Face Amount, equal to:
$10.00
+ ($10.00 x Underlying Return of the Least Performing Underlying)
In
this circumstance
,
you
will lose a significant portion or all of your initial investment in an amount proportionate to the negative Underlying
Return of the Least Performing Underlying
,
regardless
of the performance of the other Underlyings
.
You
will be exposed to the market risk of each Underlying and any decline in the level of one Underlying may negatively affect
your return and will not be offset or mitigated by a lesser decline or any potential increase in the levels of any of
the other Underlyings
.
|
An investment in the Notes involves
significant risks. Investing in the Notes is not equivalent to investing directly in the Underlyings or in the stocks composing
the Underlyings. Some of the risks that apply to an investment in the Notes are summarized below, but we urge you to read the
more detailed explanation of risks relating to the Notes generally in the “Risk Factors” sections of the accompanying
product supplement, prospectus supplement and prospectus. We also urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the Notes.
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¨
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Your
Investment in the Notes May Result in a Loss of Your Initial Investment
— The
Notes differ from ordinary debt securities in that Deutsche Bank AG will not necessarily
pay you the Face Amount per $10.00 Face Amount of Notes at maturity. If the Notes are
not called by Deutsche Bank AG in its sole discretion, the return on the Notes at maturity
will depend on whether the Final Underlying Levels of
all
of the Underlyings are
greater than or equal to their respective Downside Thresholds. If the Notes are
not
called by Deutsche Bank AG in its sole discretion and the Final Underlying Levels
of
all
Underlyings are greater than or equal to their respective Downside Thresholds,
for each $10.00 Face Amount of Notes, Deutsche Bank AG will pay you at maturity the Face
Amount
plus
any Contingent Coupon otherwise due on the Maturity Date. However,
if the Notes are
not
called by Deutsche Bank AG in its sole discretion
and the Final Underlying Level of
any
Underlying is less than its Downside Threshold,
you will be fully exposed to any negative Underlying Return of the Least Performing Underlying
and, for each $10.00 Face Amount of Notes, you will incur a loss that is proportionate
to the decline in the Final Underlying Level of the Least Performing Underlying as compared
to its Initial Underlying Level.
In this circumstance
,
you will lose a significant
portion or all of your initial investment at maturity
.
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Your
Investment is Exposed to a Decline in the Level of Each Underlying
— Your
return on the Notes, if any, is not linked to a basket consisting of the Underlyings.
Rather, any payment on the Notes will be determined by reference to the performance of
each individual Underlying. 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 fully exposed to the risks related to each of the Underlyings. Poor performance by
any of the Underlyings over the term of the Notes may negatively affect your return and
will not be offset or mitigated by a positive performance by the any of the other Underlyings.
To receive any Contingent Coupon or contingent repayment of your initial investment at
maturity, the closing levels of
all
of the Underlyings are required to be
greater than their respective Coupon Barriers on each scheduled trading day during the
applicable Observation Period and their respective Downside Thresholds, as applicable.
In addition, if not called prior to maturity, you may incur a loss proportionate to the
negative Underlying Return of the Least Performing Underlying even if the levels of the
other Underlyings increase during the term of the Notes. Accordingly, your investment
is exposed to a decline in the level of each Underlying.
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Because
the Notes are Linked to the Least Performing Underlying
,
You are Exposed to Greater
Risk of Receiving No Contingent Coupons or a Loss on your Investment than if the Notes
were Linked to just One Underlying
— The risk that you will not receive
any Contingent Coupons and/or lose a significant portion or all of your initial investment
in the Notes is greater in the Notes than in substantially similar securities that are
linked to the performance of just one Underlying. With three Underlyings, it is more
likely that the closing level of any Underlying will be less than its Coupon Barrier
on any scheduled trading day during the applicable Observation Period and the Final Underlying
Level of any Underlying will be less than its Downside Threshold on the Final Valuation
Date than if the Notes were linked to only one of the Underlyings, and therefore it is
more likely that you will not receive any Contingent Coupons and will receive an amount
in cash less than your initial investment on the Maturity Date.
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In
addition, movements in the levels of the Underlyings may be correlated or uncorrelated at different times during the term of the
Notes and such correlation (or lack thereof) could have an adverse effect on your return on the Notes. The correlation of a pair
of Underlyings represents a statistical measurement of the degree to which the ratios of the returns of those Underlyings were
similar to each other over a given period of time. The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with
1.0 indicating perfect positive correlation (
i
.
e
., the levels of both Underlyings are increasing together or decreasing
together and the ratio of their daily returns has been constant), 0 indicating no correlation (
i
.
e
., there is no
statistical relationship between the daily returns of that pair of Underlyings) and -1.0 indicating perfect negative correlation
(
i
.
e
., as the level of one Underlying increases, the level of the other Underlying decreases and the ratio of their
daily returns has been constant).
The
lower (or more negative) the correlation between two Underlyings, the less likely it is that those Underlyings will move in the
same direction and, therefore, the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside
Threshold on any scheduled trading day during an Observation Period or the Final Valuation Date, respectively. This is because
the less positively correlated a pair of Underlyings are, the greater the likelihood that the level of at least one of the Underlyings
will decrease. This results in a greater potential for a Contingent Coupon not to be paid during the term of the Notes and for
a loss of principal at maturity. However, even if two Underlyings have a higher positive correlation, one or both of those Underlyings
might close below its Coupon Barrier or Downside Threshold on any scheduled trading day during an Observation Period or the Final
Valuation Date as the levels of both of those Underlyings may decrease together.
In
addition, for each additional Underlying to which the Notes are linked, there is a greater potential for one pair of Underlyings
to have low or negative correlation. Therefore, the greater the number of Underlyings, the greater the potential for missed Contingent
Coupons and for loss of principal at maturity. Deutsche Bank AG determines the Contingent Coupon Rate for the Notes based, in
part, on the correlation among the Underlyings, calculated using internal models at the time the terms of the Notes are set. As
discussed above, increased risk resulting from lower correlation or from a greater number of underlyings will be reflected in
a higher Contingent Coupon Rate than would be payable on notes linked to fewer underlyings that have a higher degree of correlation.
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Your
Potential Return on the Notes Is Limited to the Face Amount Plus Any Contingent Coupons
and You Will Not Participate in Any Increase in the Level of Any Underlying
—
The Notes will not pay more than the Face Amount
plus
any Contingent Coupons payable
over the term of the Notes. Therefore, your potential return on the Notes will be limited
to the Contingent Coupon Rate, but the total return will vary based on the number of
Observation Periods during which the requirement for a Contingent Coupon has been met
prior to maturity or if Deutsche Bank AG, in its sole discretion, calls the Notes. If
the Notes are called, you will not participate in any increase in the level of any Underlying
and you will not receive any Contingent Coupons in respect of any Observation Period
after the applicable Issuer Call Date. If the Notes are called by Deutsche Bank AG in
its sole discretion on the first Coupon Payment Date (approximately three months following
the Trade Date), the total return on the Notes will be minimal. If the Notes are not
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called,
you may be subject to the full downside performance of the Least Performing Underlying even though you were not able to participate
in any potential increase in the level of any Underlying.
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¨
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The
Notes May be Called Prior to the Maturity Date
— We may, in our sole discretion,
call the Notes in whole, but not in part, on any Coupon Payment Date prior to the Maturity
Date. For United States federal income tax purposes, an early redemption of the Notes
at Deutsche Bank AG’s option would be a taxable event to you. In addition, if the
Notes are called by us prior to the Maturity Date, you will not receive any Contingent
Coupon that would have otherwise accrued after the Issuer Call Date.
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¨
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Our
Decision to Redeem the Notes May Depend on the Interest We Would Pay on a Conventional
Fixed
-
Rate
,
Non
-
Callable Debt Security of Comparable Maturity
— It is more likely that Deutsche Bank AG will, at its election, call the Notes
prior to maturity during periods when the interest we would pay on a conventional fixed-rate,
non-callable debt security of comparable maturity is less than the Contingent Coupon
Rate and when the level of any of the Underlyings is greater than its Coupon Barrier.
The greater likelihood of Deutsche Bank AG calling the Notes in that environment increases
the risk that you will not be able to reinvest the proceeds from an investment in the
Notes in a comparable investment with a similar level of. Therefore, the Notes are more
likely to remain outstanding when the expected interest payable on the Notes is less
than what would be payable on other comparable instruments, which includes when the level
of any Underlying is less than its Coupon Barrier and your risk of not receiving a Contingent
Coupon is relatively higher.
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You
May Not Receive Any Contingent Coupons
— Deutsche Bank AG will not necessarily
make periodic coupon payments on the Notes. If the closing level of
any
Underlying
on any scheduled trading day during an Observation Period is less than its Coupon Barrier,
Deutsche Bank AG will not pay you the Contingent Coupon applicable to such Observation
Period. If the closing level of any Underlying is less than its Coupon Barrier on any
scheduled trading day during each of the Observation Periods, Deutsche Bank AG will not
pay you any Contingent Coupons during the term of, and you will not receive a positive
return on, your Notes.
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Each
Contingent Coupon is based on the Closing Levels of the Underlyings on Each Scheduled
Trading Day During the Applicable Quarterly Observation Period
— Whether a
Contingent Coupon will be payable with respect to an Observation Period will be based
solely on the closing levels of the Underlyings on each scheduled trading day during
that Observation Period. If the closing level of any Underlying on any scheduled trading
day during an Observation Period is less than its Coupon Barrier, you will not receive
any Contingent Coupon with respect to that Observation Period. As a result, a Contingent
Coupon for an Observation Period may be lost after the first day of such period, and
you may not know whether you will receive a Contingent Coupon for an Observation Period
until the end of that period.
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¨
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Contingent
Repayment of Your Initial Investment Applies Only If You Hold the Notes to Maturity
— If your Notes are not called by Deutsche Bank AG in its sole discretion, you
should be willing to hold your Notes to maturity. If you are able to sell your Notes
prior to maturity in the secondary market, you may have to sell them at a loss relative
to your initial investment even if the closing levels of all of the Underlyings are greater
than their respective Downside Thresholds at the time of sale.
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¨
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A
Higher Contingent Coupon Rate or a Lower Coupon Barrier and Downside Threshold May Reflect
Greater Expected Volatility of the Underlying
,
Which Is Generally Associated with
a Greater Risk of Loss
— Volatility is a measure of the degree of variation
in the levels of the Underlyings over a period of time. The greater the expected volatility
at the time the terms of the Notes are set on the Trade Date, the greater the expectation
is at that time that an Underlying may close below its Coupon Barrier on any scheduled
trading day during an Observation Period (resulting in a missed Contingent Coupon) or
Downside Threshold on the Final Valuation Date (resulting in the loss of a significant
portion or all of your investment at maturity). In addition, the economic terms of the
Notes, including the Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold,
are based, in part, on the expected volatility of the Underlyings at the time the terms
of the Notes are set on the Trade Date, where higher expected volatility will generally
lead to a higher Contingent Coupon Rate or a lower Coupon Barrier and Downside Threshold.
Accordingly, a higher Contingent Coupon Rate as compared with the coupon on our conventional
fixed income securities with a similar maturity or the coupon on our other similarly
structured securities will generally indicate a greater risk of loss, while a lower Coupon
Barrier and Downside Threshold as compared with otherwise comparable securities does
not necessarily indicate that the Notes have a greater likelihood of paying Contingent
Coupons or returning your investment at maturity. You should be willing to accept
the downside market risk of the Underlyings and the potential loss of some or all of
your investment at maturity.
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Reinvestment
Risk
— If Deutsche Bank AG calls the Notes in its sole discretion, the holding
period over which you would receive any applicable Contingent Coupon, which is based
on the Contingent Coupon Rate as specified on the cover hereof, could be as little as
approximately three months. There is no guarantee that you would be able to reinvest
the proceeds from an investment in the Notes at a comparable return for a similar level
of risk in the event the Notes are called prior to the Maturity Date.
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The
Notes Are Subject to the Credit of Deutsche Bank AG
—
The
Notes are unsubordinated and 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 Notes 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 Notes. As a result,
the actual and perceived creditworthiness of Deutsche Bank AG will affect the value of
the Notes 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 Notes and you could lose your entire investment.
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The
Notes 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
.
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Resolution
Measures could be imposed on us
. German and European laws and regulations provide
German and European resolution authorities with a set of powers to intervene in the event
that a bank is failing or likely to fail and certain other conditions are met. Specifically,
the competent resolution authority could impose Resolution Measures on us under German
and European laws and regulations 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.
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If
a Resolution Measure is imposed on us
,
you may lose some or all of your investment
in the Notes
. A Resolution Measure may include: a write down, including to zero,
of any claim for payment on the Notes; a conversion of the Notes into ordinary shares
of us, any group entity or any bridge bank or other instruments of ownership of such
entities qualifying as common equity tier 1 capital; or the application of any other
resolution measure including, but not limited to, any transfer of the Notes to another
entity, an amendment, modification or variation of the terms and conditions of the Notes
or the cancellation of the Notes. The competent resolution authority may apply Resolution
Measures individually or in any combination. You may lose some or all of your investment
in the Notes if a Resolution Measure becomes applicable to us.
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If
a Resolution Measure is imposed on us
,
we expect that other debt instruments issued
by us may be affected by such Resolution Measure before the Notes would be
. The imposition
of a Resolution Measure would have to be conducted in accordance with a set order of
priority derived from the order of priority that would apply in a German insolvency proceeding
with respect to the Issuer. Under the applicable German law, certain specifically defined
senior unsecured debt instruments (including securities we expect to be classified as
Non-Structured Debt Notes) would rank junior to, without constituting subordinated debt,
all other senior unsecured obligations of the Issuer (including securities we expect
to be classified as Structured Debt Notes). The specifically defined senior unsecured
debt instruments (including Non-Structured Debt Notes) would be satisfied in a German
insolvency proceeding with respect to the Issuer only if all other senior unsecured obligations
of the Issuer (including Structured Debt Securities) have been paid in full. Therefore,
if a Resolution Measure were imposed on us, our Non-Structured Debt Securities would
be written down or converted into common equity tier 1 instruments before our Structured
Debt Securities are written down or converted. This order of priority 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. While we expect the Notes offered herein to be classified as Structured Debt
Securities, and therefore to be affected after our Non-Structured Debt Securities in
the event of the imposition of Resolution Measures, the competent regulatory authority
or court may classify the Notes differently. Even if the Notes are classified as Structured
Debt Securities, you may lose some or all of your investment in the Notes if a Resolution
Measure becomes applicable to us.
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If
a Resolution Measure is imposed on us
,
the secondary market for the Notes may
be affected
. Because the Notes are subject to Resolution Measures, the secondary
market trading in the Notes may not follow the trading behavior associated with similar
types of Notes issued by other financial institutions which may be or have been subject
to a Resolution Measure.
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By acquiring the
Notes, you will be bound by and will be deemed irrevocably to consent to the imposition of any Resolution Measure by the competent
resolution authority. As a result, you would have no claim or other right against us arising out of any Resolution Measure and
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 purposes of, but only to the fullest extent permitted by, the Trust Indenture Act of 1939, as amended. In
addition, the trustee, the paying agent, issuing agent, registrar and The Depository Trust Company (“
DTC
”)
and any direct participant in DTC or other intermediary through which you hold such Notes may take any and all necessary action,
or abstain from taking any action, if required, to implement the imposition of any Resolution Measure with respect to the Notes.
Accordingly
,
you may have limited or circumscribed rights to challenge any decision of the competent resolution authority
to impose any Resolution Measure
.
For more information
,
including details on the particular German and European
laws and regulations referenced above
,
please see the accompanying prospectus dated April 27
,
2016
,
including
the risk factors beginning on page 13 of such prospectus
.
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The
Issuer
’
s Estimated Value of the Notes on the Trade Date Will Be Less Than
the Issue Price of the Notes
— The Issuer’s estimated value of the Notes
on the Trade Date (as disclosed on the cover of this pricing supplement) is less than
the Issue Price of the Notes. The difference between the Issue Price and the Issuer’s
estimated value of the Notes 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 Notes 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 Notes 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 Notes, reduces the
economic terms of the Notes to you and is expected to adversely affect the price at which
you may be able to sell the Notes 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 Notes or otherwise value your Notes, that price or value may differ
materially from the estimated value of the Notes 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
Notes in the secondary market.
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Investing
in the Notes Is Not the Same as Investing in the Underlyings or the Stocks Composing
the Underlyings
— The return on your Notes may not reflect the return you would
realize if you invested directly in the Underlyings or the stocks composing the Underlyings.
For instance, your return on the Notes is limited to the applicable Contingent Coupons
you receive, regardless of any increase in the level of any Underlying, which could be
significant.
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¨
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If
the Levels of the Underlyings Change
,
the Value of the Notes May Not Change in
the Same Manner
— The Notes 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 the Notes.
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No
Dividend Payments or Voting Rights
— As a holder of the Notes, 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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¨
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The
Notes 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 Notes 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 Notes 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 Notes. 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 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 within the Eurozone, some of which are and
have been experiencing economic stress.
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¨
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The
Underlying Return of the EURO STOXX 50
®
Index 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 Notes, you will not receive
any additional payment or incur any reduction in your return, if any, at maturity.
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¨
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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 underlying the
EURO STOXX 50
®
Index, or your Notes. None of the other companies represented
in the EURO STOXX 50
®
Index will be involved in the offering of the Notes
in any way. Neither they nor we will have any obligation to consider your interests as
a holder of the Notes in taking any corporate actions that might affect the value of
your Notes.
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Each
Underlying Reflects the Price Return of the Stocks Composing Such Underlying
,
Not
Their Total Return Including All Dividends and Other Distributions
— Each Underlying
reflects the changes in the market prices of the stocks composing such Underlying. None
of the Underlyings is,
however, a “total
return”
index, which, in addition to reflecting those price returns, would also reflect the reinvestment
of all dividends and other distributions paid on the stocks composing such Underlying.
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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 (the “
Underlying Sponsor
”) is responsible for calculating
and maintaining the relevant Underlying. The Underlying Sponsor can add, delete or substitute
the relevant Underlying components 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 Underlying Sponsor
may alter, discontinue or suspend calculation or dissemination of the relevant Underlying.
Any of these actions could adversely affect the value of, and your return on, the Notes.
The Underlying Sponsor has no obligation to consider your interests in calculating or
revising the relevant Underlying.
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¨
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Past
Performance of the Underlyings Is No Guide to Future Performance
— The actual
performance of the Underlyings 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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¨
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Assuming
No Changes in Market Conditions and Other Relevant Factors
,
the Price You May
Receive for Your Notes in Secondary Market Transactions Would Generally Be Lower Than
Both the Issue Price and the Issuer
’
s Estimated Value of the Notes on the
Trade Date
— While the payment(s) on the Notes described in this pricing supplement
is based on the full Face Amount of Notes, the Issuer’s estimated value of the
Notes on the Trade Date (as disclosed on the cover of this pricing supplement) is less
than the Issue Price of the Notes. The Issuer’s estimated value of the Notes on
the Trade Date does not represent the price at which we or any of our 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 or our affiliates would be willing to purchase the Notes 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 Notes on the Trade Date. Our purchase
price, if any, in secondary market transactions would be based on the
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estimated
value of the Notes 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 Notes and then-prevailing market conditions. The price
we report to financial reporting services and to distributors of our Notes 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 Notes 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.
In
addition to the factors discussed above, the value of the Notes 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 Notes, 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 Notes are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your Notes to maturity.
|
¨
|
The
Notes Will Not Be Listed and There Will Likely Be Limited Liquidity
— The Notes
will not be listed on any securities exchange. There may be little or no secondary market
for the Notes. We or our affiliates intend to act as market makers for the Notes 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 Notes 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 Notes, the price at which you
may be able to sell your Notes is likely to depend on the price, if any, at which we
or our affiliates are willing to buy the Notes. 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 Notes. If you have to sell your Notes 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.
|
|
¨
|
Many
Economic and Market Factors Will Affect the Value of the Notes
— Because the
Notes can be thought of as securities that combine two components, a bond and an embedded
derivative(s), the terms and features of the Notes at issuance and the value of the Notes
prior to maturity will be influenced by factors that impact the value of bonds and embedded
derivatives generally. While we expect that, generally, the levels of the Underlyings
will affect the value of the Notes more than any other single factor, the terms of the
Notes at issuance and the value of the Notes prior to maturity will also be affected
by a number of other factors that may either offset or magnify each other, including:
|
|
¨
|
the
expected volatility of the Underlyings;
|
|
¨
|
the
time remaining to the maturity of the Notes;
|
|
¨
|
the
market prices and dividend rates of the stocks composing the Underlyings;
|
|
¨
|
the
composition of the Underlyings;
|
|
¨
|
interest
rates and yields in the markets generally;
|
|
¨
|
geopolitical
conditions and economic, financial, political, regulatory or judicial events that affect
the Underlying or the markets generally;
|
|
¨
|
supply
and demand for the Notes; and
|
|
¨
|
our
creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
During the term of the
Notes, their value may decline significantly due to the factors described above even if the levels of the Underlyings remain unchanged
from their Initial Underlying Levels, and any sale prior to the Maturity Date could result in a substantial loss to you. You must
hold the Notes to maturity to receive the stated payout from the Issuer.
|
¨
|
Trading
and Other Transactions by Us or Our Affiliates in the Equity and Equity Derivative Markets
May Impair the Value of the Notes
—
We
or our affiliates expect to hedge our exposure from the Notes 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 its 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 the Underlyings and, therefore,
make it less likely that you will receive a positive return on your investment in the
Notes. It is
possible
that we or our affiliates
could receive substantial returns from these hedging and trading activities while the
value of the Notes 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
Notes. Introducing competing products into the marketplace in this manner could
adversely affect the levels of the Underlyings and the value of the Notes. 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 Notes.
|
|
¨
|
Potential
Deutsche Bank AG Impact on Price
— Trading or transactions by Deutsche Bank
AG or its affiliates in the stocks composing the Underlyings and/or in futures, over-the-counter
options, exchange-traded funds or other instruments with returns linked to the performance
of the Underlyings or the stocks composing the Underlyings may adversely affect the price
of the stocks composing the Underlyings, the levels of the Underlyings, and therefore
the value of the Notes.
|
|
¨
|
We
or Our Affiliates May Publish Research, Express Opinions or Provide Recommendations That
Are Inconsistent with Investing in or Holding the Notes
.
Any Such Research
,
Opinions or Recommendations Could Adversely Affect the Levels of the Underlyings and
the Value of the Notes
— We or our affiliates may publish research from time
to time on financial markets and
|
other
matters that could adversely affect the levels of the Underlyings and the value of the Notes, or express opinions or provide recommendations
that are inconsistent with purchasing or holding the Notes. 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 Notes and the Underlyings.
|
¨
|
Potential
Conflicts of Interest
— Deutsche Bank AG or its affiliates may engage in business
with the issuers of the stocks composing the Underlyings, which may present a conflict
between Deutsche Bank AG and you, as a holder of the Notes. We and our affiliates play
a variety of roles in connection with the issuance of the Notes, including acting as
calculation agent, hedging our obligations under the Notes and determining the Issuer’s
estimated value of the Notes on the Trade Date and the price, if any, at which we or
our affiliates would be willing to purchase the Notes 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 Notes. The calculation agent will determine,
among other things, all values, prices and levels required to be determined for the purposes
of the Notes 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 Contingent Coupons
are paid. Any determination by the calculation agent could adversely affect the return
on the Notes.
|
|
¨
|
There
Is Substantial Uncertainty Regarding the U
.
S
.
Federal Income Tax Consequences
of an Investment in the Notes
— There is no direct legal authority regarding
the proper U.S. federal income tax treatment of the Notes, and we do not plan to request
a ruling from the Internal Revenue Service (the “
IRS
”). Consequently,
significant aspects of the tax treatment of the Notes are uncertain, and the IRS or a
court might not agree with the treatment of the Notes as prepaid financial contracts
that are not debt, with associated contingent coupons, as described below under “What
Are the Tax Consequences of an Investment in the Notes?” If the IRS were successful
in asserting an alternative treatment for the Notes, the tax consequences of ownership
and disposition of the Notes could be materially affected. In addition, as described
below under “What Are the Tax Consequences of an Investment in the Notes?”,
in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. Any Treasury regulations or other guidance
promulgated after consideration of these issues could materially affect the tax consequences
of an investment in the Notes, 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 Notes (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.
|
Hypothetical
terms only
.
Actual terms may vary
.
See the cover page of this pricing supplement for the actual offering terms
.
The following
hypothetical examples illustrate the payment upon an Issuer Call or at maturity for a hypothetical range of performances for
the
Underlyings and reflect the Contingent Coupon Rate of 9.50% per annum
. The following examples
are hypothetical and provided for illustrative purposes only. They do not purport to be representative of every possible scenario
concerning increases or decreases in the levels of the Underlyings relative to their respective Initial Underlying Levels. We
cannot predict the Final Underlying Levels or the closing levels of the Underlyings on any scheduled trading day during the Observation
Periods. You should not take these examples as an indication or assurance of the expected performance of
the
Underlyings.
You should consider carefully whether the Notes are suitable to your investment goals. The numbers in the examples and table below
may have been rounded for ease of analysis.
The following
examples illustrate the payment at maturity or upon an Issuer Call per $10.00 Face Amount of Notes on a hypothetical offering
of Notes based on the following assumptions:
Term:
|
Approximately
3 years, subject to an Issuer Call
|
Contingent
Coupon Rate:
|
9.50%
per annum (or 2.375% per quarter)
|
Contingent
Coupon:
|
$0.2375
per quarter
|
Observation
Periods /
|
|
Observation
End Dates:
|
Quarterly
|
Hypothetical
Initial Underlying Levels:
|
|
EURO
STOXX 50
®
Index:
|
3,000
|
Russell
2000
®
Index:
|
1,500
|
S&P
500
®
Index:
|
2,000
|
Hypothetical
Downside Thresholds:
|
|
EURO
STOXX 50
®
Index:
|
1,800 (60.00% of its
Hypothetical Initial Underlying Level)
|
Russell
2000
®
Index:
|
900 (60.00% of its
Hypothetical Initial Underlying Level)
|
S&P
500
®
Index:
|
1,200 (60.00% of its
Hypothetical Initial Underlying Level)
|
Hypothetical
Coupon Barriers:
|
|
EURO
STOXX 50
®
Index:
|
1,950 (65.00% of its
Hypothetical Initial Underlying Level)
|
Russell
2000
®
Index:
|
975 (65.00% of its
Hypothetical Initial Underlying Level)
|
S&P 500
®
Index:
|
1,300
(65.00% of its Hypothetical Initial Underlying Level)
|
Example 1
—
The
Notes are called on the first Coupon Payment Date
.
Date
|
Lowest Closing Level During Applicable Observation
Period
|
Payment (per $10
.
00 Face Amount of Notes)
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
First Observation Period
|
3,500 (greater than its Coupon Barrier)
|
1,200 (greater than its Coupon Barrier)
|
2,400 (greater than its Coupon Barrier)
|
$10.2375 (Face Amount
plus
Contingent Coupon
|
|
|
|
Total Payment
:
|
$10.2375 (2.375% return)
|
In this example,
because the closing levels of
all
of the Underlyings are greater than their respective Coupon Barriers on each scheduled
trading day during the first Observation Period, Deutsche Bank AG will pay you the Contingent Coupon on the applicable Coupon
Payment Date. Because the Notes have been called by Deutsche Bank AG in its sole discretion on the first Coupon Payment Date,
Deutsche Bank AG will pay you on such Coupon Payment Date a total of $10.2375 per $10.00 Face Amount of Notes, reflecting the
Face Amount
plus
the Contingent Coupon, representing a 2.375% return on the Notes over the approximately three months the
Notes were outstanding before they were called by Deutsche Bank AG in its sole discretion. No further amount will be owed to you
under the Notes.
Example 2
—
The
Notes are called on the eighth Coupon Payment Date
.
Date
|
Lowest Closing Level During Applicable Observation
Period
|
Payment (per $10
.
00 Face Amount of Notes)
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
First Observation Period
|
3,150 (greater than its Coupon Barrier)
|
1,250 (greater than its Coupon Barrier)
|
1,450 (greater than its Coupon Barrier)
|
$0.2375 (Contingent Coupon)
|
Second Observation Period
|
2,700 (greater than its Coupon Barrier)
|
1,400 (greater than its Coupon Barrier)
|
2,500 (greater than its Coupon Barrier)
|
$0.2375 (Contingent Coupon)
|
Third Observation Period
|
2,800 (greater than its Coupon Barrier)
|
1,000 (greater than its Coupon Barrier)
|
1,600 (greater than its Coupon Barrier)
|
$0.2375 (Contingent Coupon)
|
Fourth to Seventh Observation Periods
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
$0.00
|
Eighth Observation Period
|
3,300 (greater than its Coupon Barrier)
|
1,300 (greater than its Coupon Barrier)
|
2,150 (greater than its Coupon Barrier)
|
$10.2375 (Face Amount
plus
Contingent Coupon)
|
|
|
|
Total Payment
:
|
$10.95 (9.50% return)
|
In this example, because the closing
levels of
all
of the Underlyings are greater than their respective Coupon Barriers on each scheduled trading day
during the first three Observation Periods and the eighth Observation Period, Deutsche Bank AG will pay you the Contingent Coupons
on the applicable Coupon Payment Dates. During the fourth to seventh Observation Periods, the closing level of at least one Underlying
is less than its Coupon Barrier on at least one day during each of such Observation Periods. Therefore, no Contingent Coupon is
paid on any applicable Coupon Payment Date. Because the Notes have been called by Deutsche Bank AG in its sole discretion on the
eighth Coupon Payment Date, Deutsche Bank AG will pay you on such Coupon Payment Date a total of $10.2375 per $10.00 Face Amount
of Notes, reflecting the Face Amount
plus
the Contingent Coupon. When added to the Contingent Coupon Payments of $0.7125
paid in respect of the prior Observation Periods, Deutsche Bank AG will have paid you a total of $10.95 per $10.00 Face Amount
of Notes, representing a 9.50% return on the Notes over the approximately two years the Notes were outstanding before they were
called by Deutsche Bank AG in its sole discretion. No further amount will be owed to you under the Notes.
Example 3
—
The
Notes are NOT called and the Final Underlying Level of the Least Performing Underlying is greater than both its Downside Threshold
and Coupon Barrier
.
Date
|
Lowest Closing Level During Applicable Observation
Period
|
Payment (per $10
.
00 Face Amount of Notes)
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
First Observation Period
|
2,900 (greater than its Coupon Barrier)
|
1,250 (greater than its Coupon Barrier)
|
1,750 (greater than its Coupon Barrier)
|
$0.2375 (Contingent Coupon)
|
Second Observation Period
|
1,800 (
less than
its Coupon Barrier)
|
1,300 (greater than its Coupon Barrier)
|
1,500 (greater than its Coupon Barrier)
|
$0.00
|
Third Observation Period
|
2,600 (greater than its Coupon Barrier)
|
1,100 (greater than its Coupon Barrier)
|
1,100 (
less than
its Coupon Barrier)
|
$0.00
|
Fourth to Eleventh Observation Periods
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
$0.00
|
Final Observation Period
|
2,850 (greater than
both
its Downside Threshold and Coupon
Barrier)
|
1,650 (greater than
both
its Downside Threshold and Coupon
Barrier)
|
2,300 (greater than
both
its Downside Threshold and Coupon
Barrier)
|
$10.2375 (Payment at Maturity)
|
|
|
|
Total Payment
:
|
$10.475 (4.75% return)
|
In this example, because the closing
levels of
all
of the Underlyings are greater than their respective Coupon Barriers on each scheduled trading day
during the first and final Observation Periods, Deutsche Bank AG will pay you the Contingent Coupon on the first Coupon Payment
Date and the Maturity Date. During the second to eleventh Observation Periods, the closing level of at least one Underlying is
less than its Coupon Barrier on at least one day during each of such Observation Periods. Therefore, no Contingent Coupon is paid
on any applicable Coupon Payment Date. On the Final Valuation Date, because the Underlying Return of the EURO STOXX 50
®
Index is -5.00%, while the Underlying Returns of the Russell 2000
®
Index and S&P 500
®
Index
are 10.00% and 15.00%, respectively, the EURO STOXX 50
®
Index is designated as the Least Performing Underlying.
Because the Final Underlying Level of the Least Performing Underlying is greater than both its Downside Threshold and Coupon Barrier,
Deutsche Bank AG will pay you at maturity a total of $10.2375 per $10.00 Face Amount of Notes, reflecting the Face Amount
plus
the Contingent Coupon. When added to the Contingent Coupon Payment of $0.2375 paid in respect of the prior Observation Periods,
Deutsche Bank AG will have paid you a total of $10.475 per $10.00 Face Amount of Notes, representing a 4.75% return on the Notes
over the approximately three-year term of the Notes.
Example 4
—
The
Notes are NOT called and the Final Underlying Level of the Least Performing Underlying is less than its Downside Threshold
.
Date
|
Lowest Closing Level During Applicable Observation
Period
|
Payment (per $10
.
00 Face Amount of Notes)
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
First Observation Period
|
2,750 (greater than its Coupon Barrier)
|
1,300 (greater than its Coupon Barrier)
|
1,700 (greater than its Coupon Barrier)
|
$0.2375 (Contingent Coupon)
|
Second Observation Period
|
2,600 (greater than its Coupon Barrier)
|
1,500 (greater than its Coupon Barrier)
|
1,750 (greater than its Coupon Barrier)
|
$0.2375 (Contingent Coupon)
|
Third Observation Period
|
2,800 (greater than its Coupon Barrier)
|
1,450 (greater than its Coupon Barrier)
|
2,300 (greater than its Coupon Barrier)
|
$0.2375 (Contingent Coupon)
|
Fourth to Eleventh Observation Periods
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
$0.00
|
Final Observation Period
|
1,500 (
less than both
its Downside Threshold and Coupon
Barrier)
|
1,200 (greater than its Coupon Barrier)
|
2,200 (greater than its Coupon Barrier)
|
$10.00
+ ($10.00 × Underlying Return of the Least Performing Underlying) =
$10.00
+ ($10.00 × -50.00%) =
$5.00
(Payment at Maturity)
|
|
|
|
Total Payment
:
|
$5.7125 (-42.875% return)
|
In this example, because the closing
levels of
all
of the Underlyings are greater than their respective Coupon Barriers on each scheduled trading day
during the first three Observation Periods, Deutsche Bank AG will pay you the Contingent Coupon on the applicable Coupon Payment
Dates. During the fourth to twelfth Observation Periods, the closing level of at least one Underlying is less than its Coupon
Barrier on at least one day during each of such Observation Periods. Therefore, no Contingent Coupon is paid on any applicable
Coupon Payment Date. On the Final Valuation Date, because the Underlying Return of the EURO STOXX 50
®
Index is
-50.00%, while the Underlying Returns of the Russell 2000
®
Index and S&P 500
®
Index
are -20.00% and 10.00%, respectively, the EURO STOXX 50
®
Index is designated as the Least Performing Underlying.
Because the Final Underlying Level of the Least Performing Underlying is less than its Downside Threshold, Deutsche Bank AG will
pay you at maturity $5.00 per $10.00 Face Amount of Notes. When added to the Contingent Coupon Payments of $0.7125 paid in respect
of the prior Observation Periods, Deutsche Bank AG will have paid you a total of $5.7125 per $10.00 Face Amount of Notes, representing
a -42.875% return on the Notes over the approximately three-year term of the Notes.
The
Issuer will not pay a Contingent Coupon if the closing level of any Underlying is below its Coupon Barrier on any scheduled trading
day during the applicable Observation Period
.
The Issuer may
,
in its sole discretion
,
call the Notes in whole
,
but not in part
,
on any Coupon Payment Date prior to the Maturity Date
,
regardless of the closing level of any
Underlying
.
If the Notes are not called and the Final Underlying Level of the Least Performing Underlying is less than
its Downside Threshold
,
your initial investment will be fully exposed to the negative Underlying Return of the Least Performing
Underlying and
,
for each $10
.
00 Face Amount of Notes
,
you will incur a loss that is proportionate to the
decline in the Final Underlying Level of the Least Performing Underlying as compared to its Initial Underlying Level
,
regardless
of the performance of the other Underlyings
.
In this circumstance
,
you will lose a significant portion or all of
your initial investment
.
Any payment on the Notes
,
including any payment of a Contingent Coupon
,
any payment
upon an Issuer Call and any payment of your initial investment at maturity
,
is subject to the creditworthiness of the Issuer
and
,
if the Issuer were to default on its payment obligations or become subject to a Resolution Measure
,
you could
lose your entire investment
.
The
EURO STOXX 50
®
Index
|
The EURO
STOXX 50
®
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 18 European countries.
The component stocks have a high degree of liquidity and represent the largest companies across all market sectors.
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 STOXX Indices — The EURO STOXX 50
®
Index
”
in the accompanying
underlying supplement No
.
1 dated August 17
,
2015
.
The graph below illustrates
the performance of the EURO STOXX 50
®
Index from January 2
,
2008 to May 17, 2017
.
The closing
level of the EURO STOXX 50
®
Index on May 17, 2017 was 3,584.83
.
The dotted lines in the graph below
represent the Coupon Barrier of 2,330.14
,
equal to 65
.
00% of 3,584.83
,
which was the closing level of the
EURO STOXX 50
®
Index on May 17, 2017
,
and the Downside Threshold of 2,150.90
,
equal to 60.00%
of the closing level
.
We obtained the historical closing levels of the EURO STOXX 50
®
Index
from Bloomberg L
.
P
.
and we have not participated in the preparation of
,
or verified
,
such information
.
The historical closing levels of the EURO STOXX 50
®
Index should not be taken as an indication of
future performance and no assurance can be given as to the Final Underlying Level or any future closing level of the EURO STOXX
50
®
Index
.
We cannot give you assurance that the performance of the EURO STOXX 50
®
Index
will result in a positive return on your initial investment and you could lose a significant portion or all of your initial investment
at maturity
.
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
.
The graph below illustrates
the performance of the Russell 2000
®
Index from January 2
,
2008 to May 17, 2017
.
The
closing level of the Russell 2000
®
Index on May 17, 2017 was 1,355.889
.
The dotted lines in
the graph below represent the Coupon Barrier of 881.328
,
equal to 65
.
00% of 1,355.889
,
which was the closing
level of the Russell 2000
®
Index on May 17, 2017
,
and the Downside Threshold of 813.533
,
equal
to 60.00% of the closing level
.
We obtained the historical closing levels of the Russell 2000
®
Index
from Bloomberg L
.
P
.
and we have not participated in the preparation of
,
or verified
,
such information
.
The historical closing levels of the Russell 2000
®
Index should not be taken as an indication of
future performance and no assurance can be given as to the Final Underlying Level or any future closing level of the Russell 2000
®
Index
.
We cannot give you assurance that the performance of the Russell 2000
®
Index will result in a positive
return on your initial investment and you could lose a significant portion or all of your initial investment at maturity
.
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
.
The graph below illustrates
the performance of the S&P 500
®
Index from January 2
,
2008 to May 17, 2017
.
The closing
level of the S&P 500
®
Index on May 17, 2017 was 2,357.03
.
The dotted lines in the graph
below represent the Coupon Barrier of 1,532.07
,
equal to 65
.
00% of 2,357.03
,
which was the closing level
of the S&P 500
®
Index on May 17, 2017
,
and the Downside Threshold of 1,414.22
,
equal to
60.00% of the closing level
.
We obtained the historical closing levels of the S&P 500
®
Index
from Bloomberg L
.
P
.
and we have not participated in the preparation of
,
or verified
,
such information
.
The historical closing levels of the S&P 500
®
Index should not be taken as an indication of
future performance and no assurance can be given as to the Final Underlying Level or any future closing level of the S&P 500
®
Index
.
We cannot give you assurance that the performance of the S&P 500
®
Index will result in a positive
return on your initial investment and you could lose a significant portion or all of your initial investment at maturity
.
Correlation
of the Underlyings
|
The following graph sets forth
the historical performances of the S&P 500
®
Index, the Russell 2000
®
Index and the
EURO STOXX 50
®
Index from January 2, 2008 through May 17, 2017, based on the daily closing levels of the Underlyings.
For comparison purposes, each Underlying has been normalized to have a closing level of 100.00 on January 2, 2008 by (1)
dividing
the closing level of that Underlying on each day by the closing level of that Underlying on January 2, 2008 and (2)
multiplying
by 100.00.
We obtained the closing levels
used to determine the normalized closing levels set forth below from Bloomberg, without verification. Historical performance of
the Underlyings should not be taken as an indication of future performance. Future performance of the Underlyings may differ significantly
from historical performance and no assurance can be given as to the closing levels of the Underlyings during the term of the Notes,
including on any scheduled trading day during a quarterly Observation Period or on the Final Valuation Date. We cannot give you
assurance that the performances of the Underlyings will result in the return of any of your initial investment.
PAST
PERFORMANCE OF THE UNDERLYINGS IS NOT INDICATIVE OF FUTURE RESULTS
.
The closer the relationship of
the daily returns of a pair of Underlyings over a given period, the more positively correlated those Underlyings are. The graph
above illustrates the historical performance of each of the Underlyings relative to the other Underlyings over the time period
shown and provides an indication of how close the relative performance of the daily returns of one Underlying has historically
been to another. For additional information, see the information set forth under “Key Risks — Because the Notes are
Linked to the Least Performing Underlying, You are Exposed to Greater Risk of Receiving no Contingent Coupons or a Loss on your
Investment than if the Notes were Linked to just One Underlying” in this pricing supplement.
The lower (or more negative) the
correlation between two Underlyings, the less likely it is that those Underlyings will move in the same direction and, therefore,
the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside Threshold on any scheduled
trading day during a quarterly Observation Period or the Final Valuation Date, respectively. This is because the less positively
correlated a pair of Underlyings are, the greater the likelihood that the level of at least one of the Underlyings will decrease.
This results in a greater potential for a Contingent Coupon not to be paid during the term of the Notes and for a loss of your
initial investment at maturity. However, even if two Underlyings have a higher positive correlation, one or both of those Underlyings
might close below its Coupon Barrier or Downside Threshold on any scheduled trading day during a quarterly Observation Period
or the Final Valuation Date as the levels of both of those Underlyings may decrease together.
In addition, for each additional
Underlying to which the Notes are linked, there is a greater potential for one pair of Underlyings to have low or negative correlation.
Therefore the greater the number of Underlyings, the greater the potential for missed Contingent Coupons and for a loss of your
initial investment at maturity. Deutsche Bank AG determined the Contingent Coupon Rate for the Notes based, in part, on the correlation
among the Underlyings, calculated using internal models at the time the terms of the Notes were set. As discussed above, increased
risk resulting from lower correlation or from a greater number of underlyings is reflected in a higher Contingent Coupon Rate
than would be payable on notes linked to fewer underlyings that have a higher degree of correlation.
What
Are the Tax Consequences of an Investment in the Notes?
|
Due to
the lack of direct legal authority, there is substantial uncertainty regarding the U.S. federal income tax consequences of an
investment in the Notes. In determining our responsibilities for information reporting and withholding, if any, we intend to treat
the Notes as prepaid financial contracts that are not debt, with associated contingent coupons that constitute ordinary income
and that, when paid to a non-U.S. holder, are generally subject to 30% (or lower treaty rate) withholding. Our special tax counsel,
Davis Polk & Wardwell LLP, has advised that while it believes this treatment to be reasonable, it is unable to conclude that
it is more likely than not that this treatment will be upheld, and that other reasonable treatments are possible that could materially
affect the timing and character of income or loss on your Notes. If this treatment is respected, you generally should recognize
short-term capital gain or loss on the taxable disposition (including retirement) of your Notes, unless you have held the Notes
for more than one year, in which case your gain or loss should be long-term capital gain or loss. However, it is likely that any
sales proceeds that are attributable to the next succeeding contingent coupon after it has been fixed will be treated as ordinary
income and also possible that any sales proceeds attributable to the next succeeding contingent coupon prior to the time it has
been fixed will be treated as ordinary income.
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; and the degree, if any, to which
income (including any mandated accruals) realized by non-U.S. persons should be subject to withholding tax. 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 affect the tax consequences of an investment in the Notes, possibly with retroactive effect.
As discussed
in the section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences — ‘FATCA‘
Legislation,” it would be prudent to assume that an applicable withholding agent will treat payments in respect of the Notes
and gross proceeds from any taxable disposition of a Note (including retirement) as subject to withholding under FATCA.
However, under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount
treated as interest) from the taxable disposition of a Note occurring before January 1, 2019. You should consult your tax
adviser regarding the potential application of FATCA to the Notes.
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, our special tax counsel is of the opinion that Section 871(m)
should not apply to the Notes 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. You should consult your tax adviser regarding
the potential application of Section 871(m) to the Notes.
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 Notes.
Under
current law, the United Kingdom will not impose withholding tax on payments made with respect to the Notes.
For a
discussion of certain German tax considerations relating to the Notes, you should refer to the section in the accompanying prospectus
supplement entitled “Taxation by Germany of Non-Resident Holders.”
You
should consult your tax adviser regarding the U
.
S
.
federal tax consequences of an investment in the Notes
(
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
.