Pricing Supplement No. 2834B
To product supplement B dated July 31
,
2015
,
prospectus supplement dated July 31
,
2015 and
prospectus dated April 27
,
2016
|
Registration Statement No
.
333
-
206013
Rule 424
(
b
)(
2
)
|
The
information in this preliminary pricing supplement is not complete and may be changed
.
This preliminary pricing supplement
and the accompanying product supplement
,
prospectus supplement and prospectus do not constitute an offer to sell nor do
they seek an offer to buy the securities in any jurisdiction where the offer or sale is not permitted
.
Subject
to Completion. Dated May 25, 2017
|
Deutsche Bank AG
$ Autocallable Securities
Linked to the Common Stock of Ford Motor Company due June 21
,
2018
General
|
·
|
The securities are designed for investors
who seek a return at maturity linked to the performance of the common stock of Ford Motor Company (the “
Underlying
”)
and will pay Coupons on a monthly basis that accrue at a rate of between 9.00% and 11.00% per annum (to be determined on the Trade
Date) regardless of the performance of the Underlying.
|
|
·
|
The securities will not be automatically
called during the first six months following the Trade Date. The securities will be automatically called after such six-month period
if the Closing Price of the Underlying on any quarterly Observation Date is
greater than
or
equal to
the Initial
Price. If the securities are automatically called, investors will receive a cash payment per $1,000 Face Amount of securities on
the related Call Settlement Date equal to the Face Amount
plus
the Coupon otherwise due on such date. The securities will
cease to be outstanding following an Automatic Call and no Coupon will accrue or be payable following the related Call Settlement
Date.
|
|
·
|
A Knock-Out Event will occur if the Closing
Price of the Underlying on any day from, but excluding, the Trade Date to, and including, the Final Valuation Date is less than
the Threshold Price (80.00% of the Initial Price). If the securities are not automatically called and a Knock-Out Event has
not
occurred, for each $1,000 Face Amount of securities, investors will receive a cash payment at maturity equal to the Face Amount
plus
the Coupon otherwise due on such date. However, if the securities are not automatically called but a Knock-Out Event
has occurred, Deutsche Bank AG will deliver to investors at maturity a number of shares of the Underlying per $1,000 Face Amount
of securities equal to the Face Amount
divided by
the Initial Price (the “
Share Delivery Amount
”) (which
is expected to have a value that is less, and possibly significantly less, than the Face Amount and may have no value at all)
plus
pay the Coupon otherwise due on such date. Investors should be willing to accept the risk of losing some or all of their initial
investment, as well as the risk of owning shares of the Underlying (including the risk of further decline in their value), if the
securities are not automatically called but a Knock-Out Event has occurred. Any payment on the securities is subject to the credit
of the Issuer.
|
|
·
|
Senior unsecured obligations of Deutsche
Bank AG due June 21, 2018
|
|
·
|
Minimum purchase of $1,000. Minimum denominations
of $1,000 (the “
Face Amount
”) and integral multiples thereof.
|
|
·
|
The securities are expected to price on
or about June 16, 2017 (the “
Trade Date
”) and are expected to settle on or about June 21, 2017 (the “
Settlement
Date
”).
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Issue Price:
|
100% of the Face
Amount
|
Underlying:
|
Common
stock of Ford Motor Company (Ticker: F)
|
Coupon:
|
The
securities will pay Coupons monthly in arrears on the Coupon Payment Dates in 12 equal installments based on the Coupon rate of
between 9.00% and 11.00% per annum (to be determined on the Trade Date), regardless of the performance of the Underlying. Each
installment will be between $7.500 and $9.167 (to be determined on the Trade Date) per $1,000 Face Amount of securities.
|
Automatic Call:
|
The
securities will not be automatically called during the first six months following the Trade Date. The securities will be automatically
called after such six-month period if the Closing Price of the Underlying on any quarterly Observation Date (including the Final
Valuation Date) is greater than or equal to the Initial Price. If the securities are automatically called, you will receive a
cash payment per $1,000 Face Amount of securities on the related Call Settlement Date equal to the Face Amount
plus
the
Coupon otherwise due on such date. No Coupon will accrue or be payable following the Call Settlement Date.
|
|
|
|
(
Key Terms continued on next page
)
|
Investing
in the securities involves a number of risks
.
See
“
Risk Factors
”
beginning on page 7 of the accompanying
product supplement
,
page PS
-
5 of the accompanying prospectus supplement and page 13 of the accompanying prospectus
and
“
Selected Risk Considerations
”
beginning on page PS
-
9 of this pricing supplement
.
The
Issuer
’
s estimated value of the securities on the Trade Date is approximately $950.00 to
$976.00
per $1
,
000 Face Amount of securities
,
which is less than the
Issue Price
.
Please see
“
Issuer
’
s Estimated Value of the Securities
”
on page PS
-
3
of this pricing supplement for additional information
.
By
acquiring the securities
,
you will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure
(as defined below) by the competent resolution authority
,
which may include the write down of all
,
or a portion
,
of any payment on the securities or the conversion of the securities into ordinary shares or other instruments of ownership
.
If any Resolution Measure becomes applicable to us
,
you may lose some or all of your investment in the securities
.
Please see
“
Resolution Measures and Deemed Agreement
”
on page PS
-
4 of this pricing supplement
for more information
.
Neither
the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or passed
upon the accuracy or the adequacy of this pricing supplement or the accompanying product supplement, prospectus supplement or prospectus.
Any representation to the contrary is a criminal offense.
|
Price to Public
(1)
|
Maximum Discounts and Commissions
(1)
|
Minimum Proceeds to Us
|
Per security
|
$1,000.00
|
$25.00
|
$975.00
|
Total
|
$
|
$
|
$
|
|
(1)
|
For more detailed information about discounts and commissions, please see “Supplemental Plan
of Distribution (Conflicts of Interest)” in this pricing supplement. The securities will be sold with varying underwriting
discounts and commissions in an amount not to exceed $25.00 per $1,000 Face Amount of securities.
|
The agent for this offering is our affiliate.
For more information, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.
The securities are not deposits or savings
accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other U
.
S
.
or foreign
governmental agency or instrumentality
.
June , 2017
|
(
Key Terms continued from previous page
)
|
|
|
Observation Dates:
|
Quarterly on the dates set forth in the table below
|
Call Settlement Dates:
|
As set forth in the table below. For the final Observation Date, the Call Settlement Date will be the Maturity Date.
|
|
|
|
|
Observation Date
1, 3
|
Call Settlement Date
1, 3
|
|
December 18, 2017
|
December 21, 2017
|
|
March 16, 2018
|
March 21, 2018
|
|
June 18, 2018 (
Final Valuation Date
)
|
June 21, 2018 (
Maturity Date
)
|
|
|
|
Payment at Maturity:
|
If the
securities are not automatically called, which means the Closing Price of the Underlying on any quarterly Observation Date (including
the Final Valuation Date) is less than the Initial Price, any payment you receive at maturity (excluding the applicable Coupon
payment) will be determined as follows:
·
If
a Knock
-
Out Event does
not
occur
, you will receive a cash payment per $1,000 Face Amount of securities at maturity
equal to the Face Amount.
·
If
a Knock
-
Out Event occurs
, Deutsche Bank AG will deliver to you at maturity a number of shares of the Underlying per
$1,000 Face Amount of securities equal to the Share Delivery Amount.
In
this circumstance
,
the shares of the Underlying delivered as the Share Delivery Amount at maturity are expected to
be worth less than your initial investment and may have no value at all
.
If you receive the Share Delivery Amount at
maturity
,
we will pay cash in lieu of delivering any fractional shares in an amount equal to that fraction multiplied by
the closing price of the Underlying on the Final Valuation Date
.
Any payment at maturity is subject to the credit of the
Issuer
.
|
Knock-Out Event:
|
A Knock-Out Event occurs if the Closing Price of the Underlying is
less than
the Threshold Price on any day during the Observation Period.
|
Threshold Price:
|
80.00% of the Initial Price
|
Observation Period:
|
The period from, but excluding, the Trade Date to, and including, the Final Valuation Date
|
Initial Price:
|
The Closing Price of the Underlying on the Trade
Date
|
Final Price:
|
The Closing Price of the Underlying on the Final Valuation Date
|
Closing Price:
|
The official closing price of one share of the
Underlying on the relevant date of calculation
multiplied by
the then-current Stock Adjustment Factor
|
Stock Adjustment Factor:
|
Initially 1.0, subject to adjustment upon the
occurrence of certain corporate events affecting the Underlying. See “Description of Securities — Anti-Dilution Adjustments
for Reference Stock” in the accompanying product supplement.
|
Share Delivery Amount:
|
A number of shares of the Underlying per $1,000
Face Amount of securities equal to approximately (1) the Face Amount
divided by
(2) the Initial Price, subject to adjustments
in the case of certain corporate events as described in the accompanying product supplement
|
Coupon Payment Dates
1, 3
:
|
July 20, 2017, August 21, 2017, September 21,
2017, October 19, 2017, November 21, 2017, December 21, 2017, January 19, 2018, February 22, 2018, March 21, 2018, April 19, 2018,
May 21, 2018 and June 21, 2018 (the Maturity Date)
|
Trade Date
3
:
|
June 16, 2017
|
Settlement Date
3
:
|
June 21, 2017
|
Final Valuation Date
2, 3
:
|
June 18, 2018
|
Maturity Date
2, 3
:
|
June 21, 2018
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25190LAB6 / US25190LAB62
|
|
1
|
Subject to adjustment as described under “Description
of Securities — Periodic and Contingent Coupons” in the accompanying product supplement.
|
|
2
|
Subject to adjustment as described under “Description
of Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement.
|
|
3
|
In the event that we make any changes to the expected Trade
Date or Settlement Date, the Coupon Payment Dates, Observation Dates, Final Valuation Date, Call Settlement Dates and Maturity
Date may be changed so that the stated term of the securities remains the same.
|
Issuer
’
s
Estimated Value of the Securities
The
Issuer’s estimated value of the securities is equal to the sum of our valuations of the following two components of the
securities: (i) a bond and (ii) an embedded derivative(s). The value of the bond component of the securities is calculated based
on the present value of the stream of cash payments associated with a conventional bond with a principal amount equal to the Face
Amount of securities, discounted at an internal funding rate, which is determined primarily based on our market-based yield curve,
adjusted to account for our funding needs and objectives for the period matching the term of the securities. The internal funding
rate is typically lower than the rate we would pay when we issue conventional debt securities on equivalent terms. This difference
in funding rate, as well as the agent’s commissions, if any, and the estimated cost of hedging our obligations under the
securities, reduces the economic terms of the securities to you and is expected to adversely affect the price at which you may
be able to sell the securities in any secondary market. The value of the embedded derivative(s) is calculated based on our internal
pricing models using relevant parameter inputs such as expected interest and dividend rates and mid-market levels of price and
volatility of the assets underlying the securities or any futures, options or swaps related to such underlying assets. Our internal
pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect.
The
Issuer’s estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less
than the Issue Price of the securities. The difference between the Issue Price and the Issuer’s estimated value of the securities
on the Trade Date is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging
our obligations under the securities through one or more of our affiliates. Such hedging cost includes our or our affiliates’
expected cost of providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming
the risks inherent in providing such hedge.
The
Issuer’s estimated value of the securities on the Trade Date does not represent the price at which we or any of our affiliates
would be willing to purchase your securities in the secondary market at any time. Assuming no changes in market conditions or
our creditworthiness and other relevant factors, the price, if any, at which we or our affiliates would be willing to purchase
the securities from you in secondary market transactions, if at all, would generally be lower than both the Issue Price and the
Issuer’s estimated value of the securities on the Trade Date. Our purchase price, if any, in secondary market transactions
will be based on the estimated value of the securities determined by reference to (i) the then-prevailing internal funding rate
(adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our pricing models at that time, less a bid
spread determined after taking into account the size of the repurchase, the nature of the assets underlying the securities and
then-prevailing market conditions. The price we report to financial reporting services and to distributors of our securities for
use on customer account statements would generally be determined on the same basis. However, during the period of approximately three
months beginning from the Trade Date, we or our affiliates may, in our sole discretion, increase the purchase price determined
as described above by an amount equal to the declining differential between the Issue Price and the Issuer’s estimated value
of the securities on the Trade Date, prorated over such period on a straight-line basis, for transactions that are individually
and in the aggregate of the expected size for ordinary secondary market repurchases.
Resolution Measures and Deemed Agreement
On May 15, 2014, the European Parliament
and the Council of the European Union adopted a directive establishing a framework for the recovery and resolution of credit institutions
and investment firms (commonly referred to as the “
Bank Recovery and Resolution Directive
”). The Bank Recovery
and Resolution Directive required each member state of the European Union to adopt and publish by December 31, 2014 the laws, regulations
and administrative provisions necessary to comply with the Bank Recovery and Resolution Directive. Germany adopted the Recovery
and Resolution Act (
Sanierungs- und Abwicklungsgesetz
, or the “
Resolution Act
”), which became effective
on January 1, 2015. The Bank Recovery and Resolution Directive and the Resolution Act provided national resolution authorities
with a set of resolution powers to intervene in the event that a bank is failing or likely to fail and certain other conditions
are met. From January 1, 2016, the power to initiate resolution measures applicable to significant banking groups (such as Deutsche
Bank Group) in the European Banking Union has been transferred to the European Single Resolution Board which, based on the European
Union regulation establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment
firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund (the “
SRM Regulation
”),
works in close cooperation with the European Central Bank, the European Commission and the national resolution authorities. Pursuant
to the SRM Regulation, the Resolution Act and other applicable rules and regulations, the securities may be subject to any Resolution
Measure by the competent resolution authority if we become, or are deemed by the competent supervisory authority to have become,
“non-viable” (as defined under the then applicable law) and are unable to continue our regulated banking activities
without a Resolution Measure becoming applicable to us. By acquiring the securities, you will be bound by and deemed irrevocably
to consent to the provisions set forth in the accompanying prospectus, which we have summarized below.
By acquiring the securities, you will be
bound by and deemed irrevocably to consent to the imposition of any Resolution Measure by the competent resolution authority. Under
the relevant resolution laws and regulations as applicable to us from time to time, the securities may be subject to the powers
exercised by the competent resolution authority to: (i) write down, including to zero, any payment (or delivery obligations) on
the securities; (ii) convert the securities into ordinary shares of (a) the
Issuer
,
(b) any group entity or (c) any bridge bank or other instruments of ownership of such entities qualifying as common equity tier
1 capital; and/or (iii) apply any other resolution measure including, but not limited to, any transfer of the securities to another
entity, the amendment, modification or variation of the terms and conditions of the securities or the cancellation of the securities.
We refer to each of these measures as a “
Resolution Measure
.” A “group entity” refers to an entity
that is included in the corporate group subject to a Resolution Measure. A “bridge bank” refers to a newly chartered
German bank that would receive some or all of our assets, liabilities and material contracts, including those attributable to our
branches and subsidiaries, in a resolution proceeding.
Furthermore, by acquiring the securities,
you:
|
·
|
are deemed irrevocably to have agreed,
and you will agree: (i) to be bound by, to acknowledge and to accept any Resolution Measure and any amendment, modification or
variation of the terms and conditions of the securities to give effect to any Resolution Measure; (ii) that you will have no claim
or other right against us arising out of any Resolution Measure; and (iii) that the imposition of any Resolution Measure will not
constitute a default or an event of default under the securities, under the senior indenture dated November 22, 2006 among us,
Law Debenture Trust Company of New York, as trustee, and Deutsche Bank Trust Company Americas, as issuing agent, paying agent,
authenticating agent and registrar, as amended and supplemented from time to time (the “
Indenture
”), or for
the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act of 1939, as amended (the “
Trust
Indenture Act
”);
|
|
·
|
waive, to the
fullest extent permitted by the Trust Indenture Act and applicable law, any and all claims against the trustee and the paying agent
, the issuing agent and the registrar (each, an “indenture
agent
”) for, agree not to initiate a suit against
the
trustee
or the indenture
agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that the trustee or
the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution Measure by
the competent resolution authority with respect to the securities; and
|
|
·
|
will be deemed
irrevocably to have: (i) consented to the imposition of any Resolution Measure as it may be imposed without any prior notice by
the competent resolution authority of its decision to exercise such power with respect to the securities; (ii)
authorized,
directed and requested The Depository Trust Company (“
DTC
”) and any direct participant in DTC or other intermediary
through which you hold such securities to take any and all necessary action, if required, to implement the imposition of any Resolution
Measure with respect to the securities as it may be imposed, without any further action or direction on your part or on the part
of the trustee or the indenture agents; and
(iii) acknowledged and accepted that the Resolution
Measure provisions described herein and in the “Resolution Measures” section of the accompanying prospectus are exhaustive
on the matters described herein and therein to the exclusion of any other agreements, arrangements or understandings between you
and the Issuer relating to the terms and conditions of the securities.
|
This is only a summary
,
for more
information please see the accompanying prospectus dated April 27
,
2016
,
including the risk factors beginning on
page 13 of such prospectus
.
Additional Terms Specific to the Securities
You should read this
pricing supplement together with product supplement B dated July 31, 2015, the prospectus supplement dated July
31
,
2015 relating to our Series A global notes of which these securities are a part and the prospectus dated April 27, 2016. Delaware
Trust Company, which acquired the corporate trust business of Law Debenture Trust Company of New York, is the successor trustee
of the securities. When you read the accompanying 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 supplement dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
|
·
|
Prospectus dated April 27, 2016:
|
https://www.sec.gov/Archives/edgar/data/1159508/000119312516559607/d181910d424b21.pdf
Our Central
Index
Key, or CIK, on the SEC website is 0001159508. As used in this pricing supplement, “
we
,” “
us
”
or “
our
” refers to Deutsche Bank AG, including, as the context requires, acting through one of its branches.
This pricing supplement,
together with the documents listed above, contains the terms of the securities and supersedes all other prior or contemporaneous
oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade
ideas, structures for implementation, sample structures, brochures or other educational materials
of
ours. You should carefully consider, among other things, the matters set forth in this pricing supplement and in “Risk Factors”
in the accompanying product supplement, prospectus supplement and prospectus, as the securities involve risks not associated with
conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before deciding
to invest in the securities.
You may
revoke
your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the applicable agent
.
We reserve the right to change the terms of, or reject any offer to purchase
,
the securities prior to their issuance
.
We will notify you in the event of any changes to the terms of the securities and you will be asked to accept such changes in
connection with your purchase of any securities
.
You may also choose to reject such changes
,
in which case we may
reject your offer to purchase the securities
.
What Are the Possible Payments at Maturity
on the Securities
,
Assuming a Range of Hypothetical Performances for the Underlying?
The tables and hypothetical examples set
forth below are for illustrative purposes only. The actual returns applicable to a purchaser of the securities will be determined
based on the performance of the Underlying during the Observation Period as well as on each Observation Date (including the Final
Valuation Date). The following results are based
solely
on the hypothetical examples cited below. You should consider carefully
whether the securities are suitable to your investment goals.
If the securities are automatically called
:
The following table illustrates the hypothetical
payments on the securities (excluding Coupon payments) upon an Automatic Call in respect of each Observation Date.
Observation Date
|
Call Settlement Date
|
Payment
upon an Automatic Call
(
per $1
,
000
Face Amount of Securities
) ($)
|
December 18, 2017
|
December 21, 2017
|
$1,000.00
|
March 16, 2018
|
March 21, 2018
|
$1,000.00
|
June
18, 2018
(
Final
Valuation Date
)
|
June
21, 2018
(
Maturity
Date
)
|
$1,000.00
|
|
|
|
If the securities are automatically called,
the investor will receive a cash payment per $1,000 Face Amount of securities on the related Call Settlement Date equal to the
Face Amount
plus
the Coupon otherwise due on such date. No Coupon will accrue or be payable following the Call Settlement
Date.
If the securities are
not
automatically
called
:
The table below illustrates the hypothetical
Payments at Maturity per $1,000 Face Amount of securities for a hypothetical range of performances for the Underlying from -100%
to +100% (excluding any Coupon payments) if the securities are not automatically called. The table and the hypothetical examples
set forth below reflect the Threshold Price of 80.00% of the Initial Price. The actual Initial Price and Threshold Price will be
determined on the Trade Date. The following results are based
solely
on the hypothetical examples cited. You should consider
carefully whether the securities are suitable to your investment goals. The numbers appearing in the table and examples below may
have been rounded for ease of analysis and it has been assumed that no event affecting the Underlying has occurred during the term
of the securities that would cause the calculation agent to adjust the Stock Adjustment Factor and/or the Share Delivery Amount.
|
A
Knock
-
Out Event
Does Not
Occur During the Observation Period
|
A
Knock
-
Out Event
Occurs
During the Observation Period
|
Hypothetical
Return of the Underlying
(%)
|
Hypothetical
Payment at Maturity
(excluding Coupon payments) ($)
|
Hypothetical
Return on the Securities at Maturity
(excluding Coupon payments) (%)
|
Value
of the Share Delivery Amount on the Final Valuation Date
* ($)
|
Hypothetical
Return on the Securities at Maturity
(excluding Coupon payments) (%)
|
100.00%
|
$1,000.00
|
0.00%
|
N/A
|
0.00%
|
90.00%
|
$1,000.00
|
0.00%
|
N/A
|
0.00%
|
80.00%
|
$1,000.00
|
0.00%
|
N/A
|
0.00%
|
70.00%
|
$1,000.00
|
0.00%
|
N/A
|
0.00%
|
60.00%
|
$1,000.00
|
0.00%
|
N/A
|
0.00%
|
50.00%
|
$1,000.00
|
0.00%
|
N/A
|
0.00%
|
40.00%
|
$1,000.00
|
0.00%
|
N/A
|
0.00%
|
30.00%
|
$1,000.00
|
0.00%
|
N/A
|
0.00%
|
20.00%
|
$1,000.00
|
0.00%
|
N/A
|
0.00%
|
10.00%
|
$1,000.00
|
0.00%
|
N/A
|
0.00%
|
0
.
00%
|
$1
,
000
.
00
|
0
.
00%
|
N
/
A
|
0
.
00%
|
-10.00%
|
$1,000.00
|
0.00%
|
$900.00
|
-10.00%
|
-
20
.
00%
|
$1
,
000
.
00
|
0
.
00%
|
$800.00
|
-20.00%
|
-30.00%
|
N/A
|
N/A
|
$700.00
|
-30.00%
|
-40.00%
|
N/A
|
N/A
|
$600.00
|
-40.00%
|
-50.00%
|
N/A
|
N/A
|
$500.00
|
-50.00%
|
-60.00%
|
N/A
|
N/A
|
$400.00
|
-60.00%
|
-70.00%
|
N/A
|
N/A
|
$300.00
|
-70.00%
|
-80.00%
|
N/A
|
N/A
|
$200.00
|
-80.00%
|
-90.00%
|
N/A
|
N/A
|
$100.00
|
-90.00%
|
-100.00%
|
N/A
|
N/A
|
$0.00
|
-100.00%
|
|
*
|
The value of the Share Delivery Amount on the Maturity
Date is equal to the number of shares of the Underlying included in the Share Delivery Amount
multiplied by
the closing
price of the Underlying on the Maturity Date. For
|
purposes
of this table and the hypothetical examples below, the closing price of one share of the Underlying on the Maturity Date is deemed
to be the same as the hypothetical Final Price as of the Final Valuation Date. If you receive the Share Delivery Amount at maturity,
we will pay cash in lieu of delivering any fractional shares in an amount equal to that fraction
multiplied by
the closing
price of the Underlying on the Final Valuation Date.
Hypothetical Examples of Amounts on the
Securities
The following hypothetical examples illustrate
how the payments on the securities set forth in the tables above are calculated. The examples below assume a monthly Coupon of
$7.50 (based on a hypothetical Coupon rate of 9.00% per annum, which is the bottom of the range set forth on the cover) that is
payable on each Coupon Payment Date. The actual Coupon rate will be determined on the Trade Date.
Example 1
:
The Closing Price of
the Underlying is
greater than
the Initial Price on the first Observation Date
. The securities will not be automatically
called during the first six months following the Trade Date. Because the Closing Price of the Underlying on the first Observation
Date (which occurs shortly after the first six months following the Trade Date) is greater than the Initial Price, the securities
are automatically called on the first Observation Date. As a result, the investor will receive on the related Call Settlement Date
a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any Coupons). In addition, the investor will receive
Coupon payments totaling $45.00 per $1,000 Face Amount of securities over the six-month term of the securities. As a result, the
investor will receive a total of $1,045.00 per $1,000 Face Amount of securities..
Example 2
:
The Closing Price of
the Underlying is
less than
the Initial Price on the first and second Observation Dates but is
greater than
the Initial
Price on the final Observation Date
. Because the Closing Price of the Underlying is less than the Initial Price on the first
and second Observation Dates, but is greater than the Initial Price on the final Observation Date, the securities are automatically
called on the final Observation Date (the Final Valuation Date). As a result, the investor will receive on the related Call Settlement
Date (the Maturity Date) a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any Coupons). In addition,
the investor will receive Coupon payments totaling $90.00 per $1,000 Face Amount of securities over the one-year term of the securities.
As a result, the investor will receive a total of $1,090.00 per $1,000 Face Amount of securities.
Example 3
:
The Closing Price of
the Underlying is
less than
the Initial Price on each Observation Date and a Knock
-
Out Event has not occurred
.
Because the Closing Price of the Underlying is less than the Initial Price on each Observation Date, the securities are not automatically
called. A Knock-Out Event has not occurred, which means the Closing Price of the Underlying on each day during the Observation
Period was greater than or equal to the Threshold Price. Because a Knock-Out Event has not occurred, the investor receives a Payment
at Maturity of $1,000.00 per $1,000 Face Amount of securities (excluding Coupon payments). In addition, the investor will receive
Coupon payments totaling $90.00 per $1,000 Face Amount of securities over the one-year term of the securities. As a result, the
investor will receive a total of $1,090.00 per $1,000 Face Amount of securities.
Example 4
:
The Closing Price
of the Underlying is
less than
the Initial Price on each Observation Date
,
a Knock
-
Out Event has occurred
and the Final Price is 50
.
00% of the Initial Price
. Because the Closing Price of the Underlying is less than the Initial
Price on each Observation Date, the securities are not automatically called. A Knock-Out Event has also occurred, which means
the Closing Price of the Underlying on at least one day during the Observation Period was less than the Threshold Price. Because
a Knock-Out Event has occurred, Deutsche Bank AG will deliver to you on the Maturity Date a number of shares of the Underlying
equal to the Share Delivery Amount for each $1,000 Face Amount of securities you hold, and will pay cash in lieu of delivering
any fractional shares in an amount equal to that fraction
multiplied by
the closing price of the Underlying on the Final
Valuation Date. The value of the shares received at maturity and, thus, the total return on the securities at such time will depend
on the closing price of the Underlying on the Maturity Date, and will likely result in a loss of some or all of your investment.
In this example, we assume (i) a hypothetical Initial Price of $11.00, (ii) a hypothetical Final Price of $5.50, (iii) a hypothetical
Share Delivery Amount of 90.9091 and (iv) that the closing price of one share of the Underlying on the Maturity Date is the same
as the hypothetical Final Price on the Final Valuation Date. The actual Share Delivery Amount and Initial Price will be determined
on the Trade Date.
Value on the Maturity Date of shares of the Underlying received:
|
$495.00
|
(90 shares x $5.50)
|
Amount of cash received for fractional shares at the Final Price:
|
$5.00
|
(0.9091 shares x $5.50)
|
Total:
|
$500.00
|
|
Total return on the securities (excluding any Coupon):
|
-50.00%
|
|
In
addition, the investor will receive Coupon
payments totaling
$90.00 per
$1,000 Face Amount of securities over the one-year term of the securities. As a result, the investor will receive shares and
cash with a total value of $590.00 per $1,000 Face Amount of securities.
Selected Purchase Considerations
|
·
|
THE SECURITIES OFFER A HIGHER COUPON
IN EXCHANGE FOR EXPOSURE TO DOWNSIDE RISK OF THE UNDERLYING
— The securities will pay Coupons on a monthly basis at a
rate of between 9.00% and 11.00% per annum (to be determined on the Trade Date). This rate may be higher than the yield on debt
securities of comparable maturity issued by us or by an issuer with a comparable credit rating, because you are taking downside
risk of the Underlying if the securities are not automatically called and a Knock-Out Event occurs.
Any payment on the securities
is subject to our ability to satisfy our obligations as they become due
.
|
|
·
|
POTENTIAL EARLY EXIT AS A RESULT OF
AN AUTOMATIC CALL
— While the original term of the securities is approximately one year, the securities will be automatically
called prior to maturity if the Closing Price of the Underlying is greater than or equal to the Initial Price on any Observation
Date, and you will receive a cash payment per $1,000 Face Amount of securities on the related Call Settlement Date equal to the
Face Amount
plus
the Coupon otherwise due on such date. Therefore, the term of the securities could be as short as approximately
six months. No Coupon will accrue or be payable following the Call Settlement Date.
|
|
·
|
LIMITED
PROTECTION AGAINST LOSS
— If the securities are not automatically called and
a Knock-Out Event has not occurred (which means the Closing Price of the Underlying is
greater than or equal to the Threshold Price on each day during the Observation Period
but less than the Initial Price on each Observation Date), you will receive a cash payment
per $1,000 Face Amount of securities on the Maturity Date equal to the Face Amount
plus
the Coupon otherwise due on such date. However, if the securities are not automatically
called and a Knock-Out Event occurs (which means the Closing Price of the Underlying
is less than the Threshold Price on at least one day during the Observation Period and
less than the Initial Price on each Observation Date), Deutsche Bank will deliver to
you at maturity a number of shares of the Underlying equal to the Share Delivery Amount
per $1,000 Face Amount of securities
plus
pay the Coupon otherwise due on such
date. The shares of the Underlying delivered at maturity are expected to be worth less,
and possibly significantly less, than your initial investment and may have no value at
all.
In this circumstance
,
you will lose some or all of your investment at
maturity and will also bear the risk of owning shares of the Underlying
(
including
the risk of further decline in their value
).
|
|
·
|
COUPON PAYMENTS
— Unless the
securities are previously called, the securities will pay Coupons monthly in arrears on the Coupon Payment Dates in 12 equal installments
based on the Coupon rate of between 9.00% and 11.00% per annum (to be determined on the Trade Date). Each installment will equal
between $7.500 and $9.167 (to be determined on the Trade Date) per $1,000 Face Amount of securities. The securities will cease
to be outstanding following an Automatic Call and no Coupon will accrue or be payable following the related Call Settlement Date.
Therefore, you will receive less than 12 Coupon payments if the securities are called prior to the final Observation Date.
|
|
·
|
RETURN LINKED TO THE PERFORMANCE OF
THE UNDERLYING
— The securities are linked to the performance of the common stock of Ford Motor Company (the “
Underlying
”)
as described herein. For more information on the Underlying, please see “The Underlying” in this pricing supplement.
|
|
·
|
TAX CONSEQUENCES
— 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 securities. Our special tax counsel, Davis Polk & Wardwell LLP, believes that it is reasonable to treat a security for
U.S. federal income tax purposes as a put option (the “Put Option”) written by you to us with respect to the Underlying,
secured by a cash deposit equal to the Issue Price of the security (the “Deposit”), which will have an annual yield
based on our cost of borrowing. Our special tax counsel has advised, however, that it is unable to conclude that it is more likely
than not that this treatment will be upheld, and that alternative treatments are possible that could materially and adversely affect
the timing and character of income or loss on your securities. Generally, if this treatment is respected, only a portion of each
Coupon payment will be attributable to interest on the Deposit; the remainder will represent premium attributable to your grant
of the Put Option (“Put Premium”).
|
Under this treatment, if you purchase the securities
at issuance for their Issue Price, (a) interest on the Deposit will be taxed as ordinary interest income, while the Put Premium
will not be taken into account prior to the maturity or other taxable disposition of your securities, (b) if upon an automatic
call or at maturity you receive cash equal to the Face Amount of your securities and the applicable Coupon payment, you will recognize
short-term capital gain in an amount equal to the total Put Premium received, and (c) if at maturity you receive the Underlying,
you generally will not recognize gain or loss with respect to the Put Premium or the Underlying received; instead, the total Put
Premium will reduce your basis in the Underlying received. We will provide the annual yield on the Deposit in the pricing supplement
for the securities.
In 2007, the U.S. Treasury Department and the Internal
Revenue Service (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. While it is not clear whether the securities
would be viewed as similar to the typical prepaid forward contract described in the notice, any Treasury regulations or other guidance
promulgated after consideration
of these issues could materially and adversely affect
the tax consequences of an investment in the securities, possibly with retroactive effect.
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 securities as subject to withholding under FATCA. Notwithstanding anything to the contrary in that section of the accompanying
product supplement, under a recent IRS notice, withholding under FATCA generally will not apply to payments of gross proceeds from
the taxable disposition (including retirement) of the securities. You should consult your tax adviser regarding the potential
application of FATCA to the securities.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“
Section 871
(
m
)”) generally impose a 30% withholding tax (unless an income tax
treaty applies) on dividend equivalents paid or deemed paid to non-U.S. holders with respect to certain financial instruments linked
to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime,
including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations
(such an index, a “
Qualified Index
”). Additionally, the applicable regulations exclude from the scope of Section
871(m) instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source
dividends for U.S. federal income tax purposes (each an “
Underlying Security
”). Based on certain determinations
made by us, we expect that Section 871(m) will not apply to the securities with regard to non-U.S. holders. Our determination is
not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend
on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. If
necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement
for the securities. You should consult your tax adviser regarding the potential application of Section 871(m) to the securities.
You should review carefully the section of the accompanying
product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel regarding the material U.S. federal income tax consequences
of owning and disposing of the securities.
Under current law, the United Kingdom will not impose
withholding tax on payments made with respect to the securities.
For a discussion of certain German tax considerations
relating to the securities, you should refer to the section in the accompanying prospectus supplement entitled “Taxation
by Germany of Non-Resident Holders.”
You should consult your tax adviser regarding the
U
.
S
.
federal tax consequences of an investment in the securities
(
including possible alternative treatments
and the issues presented by the 2007 notice
),
as well as tax consequences arising under the laws of any state
,
local
or non
-
U
.
S
.
taxing jurisdiction
.
Selected Risk Considerations
An investment in the
securities involves significant risks. Investing in the securities is not equivalent to investing directly in the Underlying. In
addition to these selected risk considerations, you should review the “Risk Factors” sections of the accompanying product
supplement, prospectus supplement and prospectus.
|
·
|
YOUR INVESTMENT IN THE SECURITIES MAY
RESULT IN A LOSS
— The securities do not guarantee any return of your investment. The Payment at Maturity is based on
whether the securities are automatically called and whether a Knock-Out Event occurs. If the Closing Price of the Underlying on
any day during the Observation Period is less than the Threshold Price, a Knock-Out Event will have occurred. If the securities
are not automatically called and a Knock-Out Event has occurred (which means the Closing Price of the Underlying is less than the
Threshold Price on at least one day during the Observation Period and less than the Initial Price on each Observation Date), Deutsche
Bank AG will deliver to you at maturity a number of shares of the Underlying equal to the Share Delivery Amount per $1,000 Face
Amount of securities. The shares of the Underlying delivered as the Share Delivery Amount at maturity are expected to be worth
less, and possibly significantly less, than the Face Amount and may have no value at all. In this circumstance, you are expected
to lose some or all of your investment at maturity and will also bear the risk of owning shares of the Underlying (including the
risk of further decline in their value).
Any payment on the securities is subject to our ability to satisfy our obligations
as they become due
.
|
|
·
|
YOUR RETURN ON THE SECURITIES IS LIMITED
TO THE FACE AMOUNT PLUS COUPON PAYMENTS AND YOU WILL NOT PARTICIPATE IN ANY INCREASE IN THE PRICE OF THE UNDERLYING
—
The securities will not pay more than the Face Amount
plus
the Coupon payments for each $1,000 Face Amount of securities.
You will not participate in any increase in the price of the Underlying even if the Final Price is greater than the Initial Price.
The maximum payment upon an Automatic Call or at maturity will be the Face Amount per $1,000 Face Amount of
|
securities (excluding Coupon
payments), regardless of any increase in the price of the Underlying, which may be significant.
|
·
|
A HIGHER COUPON
RATE OR A LOWER THRESHOLD PRICE MAY REFLECT A GREATER EXPECTED VOLATILITY
,
WHICH IS GENERALLY ASSOCIATED WITH A GREATER
RISK OF LOSS
— Volatility is a measure of the degree of variation in the trading prices of an asset over a period of
time. The greater the expected volatility at the time the terms of the securities are set on the Trade Date, the greater the expectation
is at that time that the Underlying may close below its Threshold Price on any day during the Observation Period (resulting in
a loss of some or all of your initial investment unless the securities are automatically called). In addition, the economic terms
of the securities, including the Coupon rate and the Threshold Price, are based, in part, on the expected volatility of the Underlying
at the time the terms of the securities are set on the Trade Date, where higher expected volatility will generally lead to a higher
Coupon rate or a lower Threshold Price. Accordingly, a higher 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 Threshold Price as compared with otherwise comparable securities does not necessarily indicate
that the securities have a greater likelihood of returning your investment at maturity. You should be willing to accept the downside
market risk of the Underlying and the potential loss of some or all of your initial investment at maturity.
|
|
·
|
REINVESTMENT
RISK
— If your securities are automatically called,
the
term of the
securities may be reduced to as short as approximately six months. There is no
guarantee that you would be able to reinvest the proceeds from an investment in the securities at a comparable return for a similar
level of risk in the event the securities are automatically called prior to the Maturity Date.
|
|
·
|
THE SECURITIES ARE SUBJECT TO THE CREDIT
OF DEUTSCHE BANK AG
— The securities are senior unsecured obligations of Deutsche Bank AG and are not, either directly
or indirectly, an obligation of any third party. Any payment(s) to be made on the securities depends on the ability of Deutsche
Bank AG to satisfy its obligations as they become due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating
or increase in the credit spreads charged by the market for taking Deutsche Bank AG’s credit risk will likely have an adverse
effect on the value of the securities. As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the
value of the securities and, in the event Deutsche Bank AG were to default on its obligations or become subject to a Resolution
Measure, you might not receive any amount(s) owed to you under the terms of the securities and you could lose your entire investment.
|
|
·
|
THE SECURITIES
MAY BE WRITTEN DOWN, BE CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION
MEASURES
.
YOU MAY LOSE SOME OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— Pursuant
to the SRM Regulation, the Resolution Act and other applicable rules and regulations described above under “Resolution Measures
and Deemed Agreement,” the securities are subject to the powers exercised by the competent resolution authority to impose
Resolution Measures on us, which may include: writing down, including to zero, any claim for payment on the securities; converting
the securities into ordinary shares of (i) the Issuer, (ii) any group entity or (iii) any bridge bank or other instruments of ownership
of such entities qualifying as common equity tier 1 capital; or applying any other resolution measure including, but not limited
to, transferring the securities to another entity, amending, modifying or varying the terms and conditions of the securities or
cancelling the securities. The competent resolution authority may apply Resolution Measures individually or in any combination.
|
The
German law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
, or the “
Resolution
Mechanism Act
”) provides that, in a German insolvency proceeding of the Issuer, certain specifically defined senior unsecured
debt instruments would rank junior to, without constituting subordinated debt, all other outstanding unsecured unsubordinated obligations
of the Issuer and be satisfied only if all such other senior unsecured obligations of the Issuer have been paid in full. This prioritization
would also be given effect if Resolution Measures are imposed on the Issuer, so that obligations under debt instruments that rank
junior in insolvency as described above would be written down or converted into common equity tier 1 instruments
before
any other senior unsecured obligations of the Issuer are written down or converted. A large portion of our liabilities consist
of senior unsecured obligations that either fall outside the statutory definition of debt instruments that rank junior to other
senior unsecured obligations according to the Resolution Mechanism Act or are expressly exempted from such definition.
Among
those unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt instruments
whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event
which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than
by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence
of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of
interest or the amount of the interest payments solely depends on a fixed or floating reference interest rate and is settled by
monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German
insolvency
proceedings instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of
the Issuer outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures
with respect to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued
under the prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the “
Structured Debt
Securities
,” and which do not, referred to herein as the “
Non-Structured Debt Securities
.” We expect
the securities offered herein to be classified as Structured Debt Securities, but the competent regulatory authority or court may
classify the securities differently. In a German insolvency proceeding or in the event of the imposition of Resolution Measures
with respect to the Issuer, the Structured Debt Securities are expected to be among the unsecured unsubordinated obligations that
would bear losses after the Non-Structured Debt Securities as described above.
Nevertheless, you may lose some or all of your
investment in the securities if a Resolution Measure becomes applicable to us.
Imposition of a Resolution Measure would likely
occur if we become, or are deemed by the competent supervisory authority to have become, “non-viable” (as defined under
the then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable
to us. The Bank Recovery and Resolution Directive and the Resolution Act are intended to eliminate the need for public support
of troubled banks, and you should be aware that public support, if any, would only potentially be used by the competent supervisory
authority as a last resort after having assessed and exploited, to the maximum extent practicable, the resolution tools, including
the bail-in tool.
By
acquiring the securities, you would have no claim or other right against us arising out of any Resolution Measure and we would
have no obligation to make payments under the securities following the imposition of a Resolution Measure. In particular, the imposition
of any Resolution Measure will not constitute a default or an event of default under the securities, under the Indenture or for
the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act. Furthermore, because the securities are
subject to any Resolution Measure, secondary market trading in the securities may not follow the trading behavior associated with
similar types of securities issued by other financial institutions which may be or have been subject to a Resolution Measure.
In
addition, by your acquisition of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable
law, any and all claims against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or the
indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that the
trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution
Measure by the competent resolution authority with respect to the securities.
Accordingly, you may have limited or circumscribed
rights to challenge any decision of the competent resolution authority to impose any Resolution Measure.
|
·
|
THE ISSUER
’
S ESTIMATED
VALUE OF THE SECURITIES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE SECURITIES
— The Issuer’s estimated
value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of
the securities. The difference between the Issue Price and the Issuer’s estimated value of the securities on the Trade
Date is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations
under the securities through one or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost
of providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent
in providing such hedge. The Issuer’s estimated value of the securities is determined by reference to an internal funding
rate and our pricing models. The internal funding rate is typically lower than the rate we would pay when we issue conventional
debt securities on equivalent terms. This difference in funding rate, as well as the agent’s commissions, if any, and the
estimated cost of hedging our obligations under the securities, reduces the economic terms of the securities to you and is expected
to adversely affect the price at which you may be able to sell the securities in any secondary market. In addition, our internal
pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. If
at any time a third party dealer were to quote a price to purchase your securities or otherwise value your securities, that price
or value may differ materially from the estimated value of the securities determined by reference to our internal funding rate
and pricing models. This difference is due to, among other things, any difference in funding rates, pricing models or assumptions
used by any dealer who may purchase the securities in the secondary market.
|
|
·
|
INVESTING IN THE SECURITIES IS NOT THE
SAME AS INVESTING IN THE UNDERLYING
— The return on the securities may not reflect the return you would have realized
if you had directly invested in the Underlying. For instance, you will not participate in any potential increase in the price of
the Underlying, which could be significant, even though at maturity you may be exposed to the negative performance of the Underlying.
|
|
·
|
IF THE PRICE OF THE UNDERLYING CHANGES
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME MANNER
— Your securities may trade quite differently from
the price of the Underlying. Changes in the price of the Underlying may not result in comparable changes in the value of your securities.
|
|
·
|
NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or rights to receive cash dividends or other distributions
or other rights that holders of the Underlying would have.
|
|
·
|
SINGLE STOCK RISK
— The price
of the Underlying can rise or fall sharply due to factors specific to the Underlying and its issuer, such as stock price volatility,
earnings, financial conditions, corporate, industry and regulatory developments, management changes and decisions and other events,
as well as general market factors, such as general stock market volatility and levels, interest rates and economic and political
conditions. For additional information about the Underlying and its issuer, please see “The Underlying” in this pricing
supplement and such issuer’s SEC filings referred to in that section.
|
|
·
|
ANTI
-
DILUTION PROTECTION IS LIMITED
AND THE CALCULATION AGENT MAY MAKE ADJUSTMENTS IN ADDITION TO
,
OR THAT DIFFER FROM
,
THOSE SET FORTH IN THE ACCOMPANYING
PRODUCT SUPPLEMENT
— The calculation agent will make adjustments to the Stock Adjustment Factor, which will initially
be set at 1.0, and/or the Share Delivery Amount, for certain events affecting the Underlying. The calculation agent is not required,
however, to make such adjustments in response to all corporate actions, including if the issuer of the Underlying or another party
makes a partial tender or partial exchange offer for the Underlying. If such an event occurs that does not require the calculation
agent to make an adjustment, the value of the securities may be materially and adversely affected. In addition, you should be aware
that the calculation agent may, at its sole discretion, make adjustments to the Stock Adjustment Factor or any other terms of the
securities that are in addition to, or that differ from, those described in the accompanying product supplement to reflect changes
occurring in relation to the Underlying or any other security received in a reorganization event in circumstances where the calculation
agent determines that it is appropriate to reflect those changes to ensure an equitable result. Any alterations to the specified
anti-dilution adjustments for the Underlying or any other security received in a reorganization event described in the accompanying
product supplement may be materially adverse to investors in the securities. You should read “Description of Securities —
Anti-Dilution Adjustments for Reference Stock” in the accompanying product supplement in order to understand the adjustments
that may be made to the securities.
|
|
·
|
IN SOME CIRCUMSTANCES
,
YOU MAY
RECEIVE THE EQUITY SECURITIES OF ANOTHER COMPANY AND NOT THE UNDERLYING AT MATURITY
— Following certain corporate events
relating to the issuer of the Underlying where such issuer is not the surviving entity, you may receive the equity securities of
a successor to such issuer or any cash or any other assets distributed to holders of the Underlying in such corporate event. The
occurrence of these corporate events and the consequent adjustments may materially and adversely affect the value of the securities.
For more information, see the section "Description of Securities — Anti-Dilution Adjustments for Reference Stock"
in the accompanying product supplement. Regardless of the occurrence of one or more dilution or reorganization events, you should
note that at maturity, excluding any applicable Coupon payment, for each $1,000 Face Amount of securities, you will receive an
amount in cash from Deutsche Bank AG equal to the Face Amount unless the securities are not automatically called and a Knock-Out
Event has occurred.
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THERE IS NO AFFILIATION BETWEEN THE
ISSUER OF THE UNDERLYING AND US AND WE HAVE NOT PARTICIPATED IN THE PREPARATION OF
,
OR VERIFIED
,
ANY INFORMATION
ABOUT THE UNDERLYING OR THE ISSUER OF THE UNDERLYING
— We are not affiliated with the issuer of the Underlying. However,
we or our affiliates may currently, or from time to time in the future, engage in business with the issuer of the Underlying, including
extending loans to, making equity investments in, acting as underwriter in connection with future offerings of the Underlying by,
or providing advisory services (including merger and acquisition advisory services) to, such issuer. In the course of this business,
we or our affiliates may acquire non-public information about the issuer of the Underlying and we will not disclose any such information
to you. Nevertheless, neither we nor our affiliates have participated in the preparation of, or verified, any information about
the Underlying or the issuer of the Underlying. You, as an investor in the securities, should make your own investigation into
the Underlying and the issuer of the Underlying. The issuer of the Underlying is not involved in this offering in any way and has
no obligation of any sort with respect to your securities. The issuer of the Underlying has no obligation to take your interests
into consideration for any reason, including when taking any corporate actions that would require the calculation agent to adjust
the Stock Adjustment Factor and/or the Share Delivery Amount, which may adversely affect the value of your securities.
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PAST PERFORMANCE OF THE UNDERLYING IS
NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the Underlying over the term of the securities may bear little
relation to the historical closing prices of the Underlying and/or the hypothetical examples set forth elsewhere in this pricing
supplement. We cannot predict the future performance of the Underlying or whether the performance of the Underlying will result
in the return of any of your investment.
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ASSUMING NO CHANGES IN MARKET CONDITIONS
AND OTHER RELEVANT FACTORS
,
THE PRICE YOU MAY RECEIVE FOR YOUR SECURITIES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY
BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER’S ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE
— While
the payment(s) on the securities described in this pricing supplement is based on the full Face Amount of securities, the Issuer’s
estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue
Price of the securities. The Issuer’s estimated value of the securities on the Trade Date does not represent the price at
which we or any of our affiliates would be willing to purchase your securities in the secondary market at any time. Assuming no
changes in market conditions or our creditworthiness
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and other relevant factors, the
price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary market transactions,
if at all, would generally be lower than both the Issue Price and the Issuer’s estimated value of the securities on the Trade
Date. Our purchase price, if any, in secondary market transactions would be based on the estimated value of the securities determined
by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure of our cost
of funds and (ii) our pricing models at that time, less a bid spread determined after taking into account the size of the repurchase,
the nature of the assets underlying the securities and then-prevailing market conditions. The price we report to financial reporting
services and to distributors of our securities for use on customer account statements would generally be determined on the same
basis. However, during the period of approximately three months beginning from the Trade Date, we or our affiliates may, in our
sole discretion, increase the purchase price determined as described above by an amount equal to the declining differential between
the Issue Price and the Issuer’s estimated value of the securities on the Trade Date, prorated over such period on a straight-line
basis, for transactions that are individually and in the aggregate of the expected size for ordinary secondary market repurchases.
In
addition to the factors discussed above, the value of the securities and our purchase price in secondary market transactions after
the Trade Date, if any, will vary based on many economic and market factors, including our creditworthiness, and cannot be predicted
with accuracy. These changes may adversely affect the value of your securities, including the price you may receive in any secondary
market transactions. Any sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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THE SECURITIES WILL NOT BE LISTED AND
THERE WILL LIKELY BE LIMITED LIQUIDITY
— The securities will not be listed on any securities exchange. There may be little
or no secondary market for the securities. We or our affiliates intend to act as market makers for the securities but are not required
to do so and may cease such market making activities at any time. Even if there is a secondary market, it may not provide enough
liquidity to allow you to sell the securities when you wish to do so or at a price advantageous to you. Because we do not expect
other dealers to make a secondary market for the securities, the price at which you may be able to sell your securities is likely
to depend on the price, if any, at which we or our affiliates are willing to buy the securities. If, at any time, we or our affiliates
do not act as market makers, it is likely that there would be little or no secondary market in the securities. If you have to sell
your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss, even in cases
where the price of the Underlying has increased since the Trade Date.
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MANY ECONOMIC AND MARKET FACTORS WILL
AFFECT THE VALUE OF THE SECURITIES
— While we expect that, generally, the price of the Underlying will affect the value
of the securities more than any other single factor, the value of the securities prior to maturity will also be affected by a number
of other factors that may either offset or magnify each other, including:
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whether
the Closing Price of the Underlying on any Observation Date is less than the Initial Price;
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whether
the Closing Price of the Underlying on any day during the Observation Period is less than the Threshold Price, thereby causing
a Knock-Out Event;
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the
expected volatility of the Underlying;
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the
time remaining to the maturity of the securities;
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the
dividend rate of the Underlying;
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the
real and anticipated results of operations of the issuer of the Underlying;
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actual
or anticipated corporate reorganization events, such as mergers or takeovers, which may affect the Underlying;
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interest
rates and yields in the markets generally;
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geopolitical
conditions and economic, financial, political, regulatory or judicial events that affect the Underlying or the markets generally;
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supply
and demand for the securities; and
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our
creditworthiness, including actual or anticipated downgrades in our credit ratings.
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During the term of the securities,
it is possible that their value may decline significantly due to the factors described above even if the price of the Underlying
remains unchanged from the Initial Price, and any sale prior to the Maturity Date could result in a substantial loss to you. You
must hold the securities to maturity to receive the stated payout from the Issuer.
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TRADING AND OTHER TRANSACTIONS BY US
OR OUR AFFILIATES IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE SECURITIES
— We or our affiliates
expect to hedge our exposure from the securities by entering into equity and equity derivative transactions, such as over-the-counter
options, futures or exchange-traded instruments. We or our affiliates may also engage in trading in instruments linked or related
to the Underlying on a regular basis as part of our or their general broker-dealer and other businesses, for proprietary accounts,
for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and
hedging activities may adversely affect the price of the Underlying and, therefore, make it less likely that you will receive a
positive return on your investment in the securities. It is possible that we or our affiliates could receive substantial returns
from these hedging and trading activities while the value of the securities declines. We or our affiliates may also issue or underwrite
other securities or financial or derivative instruments with returns linked or related to the Underlying. To the extent that we
or our affiliates serve as issuer, agent or underwriter for such securities or financial or derivative instruments, our or our
affiliates’ interests with respect to such products may be adverse to those of the holders of the securities. Introducing
competing products into the marketplace in this manner could adversely affect the price of the Underlying and the value of
the securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or
are in direct opposition to, investors’ trading and investment strategies related to the securities. Furthermore, because
Deutsche Bank Securities Inc. (“
DBSI
”) or one of its affiliates is expected to conduct trading and hedging activities
for us in connection with the securities, DBSI or such affiliate may profit in connection with such trading and hedging activities
and such profit, if any, will be in addition to any compensation that DBSI receives for the sale of the securities to you. You
should be aware that the potential to earn a profit in connection with hedging activities may create a further incentive for DBSI
to sell the securities to you in addition to any compensation they would receive for the sale of the securities.
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WE OR OUR AFFILIATES MAY PUBLISH RESEARCH
,
EXPRESS OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE SECURITIES
.
ANY SUCH
RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE PRICE OF THE UNDERLYING AND THE VALUE OF THE SECURITIES
—
We or our affiliates may publish research from time to time on financial markets and other matters that could adversely affect
the price of the Underlying and the value of the securities, or express opinions or provide recommendations that are inconsistent
with purchasing or holding the securities. Any research, opinions or recommendations expressed by us or our affiliates may not
be consistent with each other and may be modified from time to time without notice. You should make your own independent investigation
of the merits of investing in the securities and the Underlying.
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POTENTIAL CONFLICTS OF INTEREST
— We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation
agent, hedging our obligations under the securities and determining the Issuer’s estimated value of the securities on the
Trade Date and the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary
market transactions. In performing these roles, our economic interests and those of our affiliates are potentially adverse to your
interests as an investor in the securities. The calculation agent will determine, among other things, all values, prices and levels
required to be determined for the purposes of the securities on any relevant date or time. The calculation agent also has some
discretion about certain adjustments to the Stock Adjustment Factor and/or the Share Delivery Amount and will be responsible for
determining whether a market disruption event has occurred as well as, in some circumstances, the prices or levels related to the
Underlying that affect whether the securities are automatically called and whether a Knock-Out Event has occurred. Any determination
by the calculation agent could adversely affect the return on the securities.
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THERE IS SUBSTANTIAL UNCERTAINTY REGARDING
THE U
.
S
.
FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES
— There is no direct legal
authority regarding the proper U.S. federal income tax treatment of the securities, and we do not plan to request a ruling from
the IRS. Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not
agree with the treatment of the securities as Put Options secured by Deposits. If the IRS were successful in asserting an alternative
treatment for the securities, the tax consequences of ownership and disposition of the securities could be materially and adversely
affected. In addition, as described above under “Tax Consequences,” in 2007 the U.S. Treasury Department and the IRS
released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. While it is not clear whether the securities would be viewed as similar to the typical
prepaid forward contract described in the notice, any Treasury regulations or other guidance promulgated after consideration of
these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. You should review carefully the section of the accompanying product supplement entitled “U.S. Federal Income Tax
Consequences” and consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities
(including possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
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The
Underlying
All disclosures contained
in this pricing supplement regarding the Underlying are derived from publicly available information. Neither Deutsche Bank AG nor
any of its affiliates have participated in the preparation of, or verified, such information about the Underlying contained in
this pricing supplement. You should make your own investigation into the Underlying.
Included in the
following section is a brief description of the issuer of the Underlying. We obtained the historical closing price
information set forth below from Bloomberg L.P. and we have not participated in the preparation of, or verified, such
information. You should not take the historical closing prices of the Underlying as an indication of future performance. The
Underlying is registered under the Securities Exchange Act of 1934, as amended (the “
Exchange Act
”).
Companies with securities registered under the Exchange Act are required to file financial and other information specified by
the SEC periodically. Information filed by the issuer of the Underlying with the SEC can be reviewed electronically through a
web site maintained by the SEC. The address of the SEC’s web site is
.
http://www.sec.gov.
Information filed with the SEC by the issuer of the Underlying under the Exchange Act can be located by reference to its SEC
file number provided below.
In addition, information
filed with the SEC can be inspected and copied at the Public Reference Section of the SEC, 100 F Street, N.E., Room 1580, Washington,
D.C. 20549. Copies of this material can also be obtained from the Public Reference Section, at prescribed rates.
Ford
Motor Company
According to publicly
available information, Ford Motor Company designs, manufactures, markets and services cars, trucks and SUVs. Information filed
by Ford Motor Company with the SEC under the Exchange Act can be located by reference to its SEC file number: 001-03950, or
its CIK Code: 0000037996. The common stock of Ford Motor Company is traded on the New York Stock Exchange under the symbol “F.”
Historical
Information
The following graph
sets forth the historical performance of the common stock of Ford Motor Company based on its daily closing prices from May 23,
2012 through May 23, 2017. The closing price of the common stock of Ford Motor Company on May 23, 2017 was $11.05. The graph below
also indicates by a broken line a hypothetical Threshold Price of $8.84, equal to 80.00% of $11.05, which was the closing price
of the common stock of Ford Motor Company on May 23, 2017. We obtained the historical closing prices of the Underlying below from
Bloomberg L.P. and we have not participated in the preparation of, or verified, such information.
The historical closing prices
of the Underlying should not be taken as an indication of future performance and no assurance can be given as to the Closing Price
of the Underlying on any day during the Observation Period
,
including on the Observation Dates and the Final Valuation Date
.
We cannot give you assurance that the performance of the Underlying will result in the return of any of your initial investment
.
Supplemental Plan of Distribution
(
Conflicts of Interest
)
DBSI, acting as agent
for Deutsche Bank AG, will not receive a selling concession in connection with the sale of the securities but will allow as a concession
or reallowance to other dealers discounts and commissions of up to 2.50% or $25.00 per $1,000 Face Amount of securities.
DBSI,
the agent for this offering, is our affiliate. Because DBSI is both our affiliate and a member of the Financial Industry Regulatory
Authority, Inc. (“
FINRA
”), the underwriting arrangement for this offering must comply with the requirements
of FINRA Rule 5121 regarding a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of
interest. In accordance with FINRA Rule 5121, DBSI may not make sales in offerings of the securities to any of its discretionary
accounts without the prior written approval of the customer. See “Plan of Distribution (Conflicts of Interest)” in
the accompanying product supplement.
Settlement
We expect to deliver
the securities against payment for the securities on the Settlement Date indicated above, which may be a date that is greater than
three business days following the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the
secondary market generally are required to settle in three business days, unless the parties to a trade expressly agree otherwise.
Accordingly, if the Settlement Date is more than three business days after the Trade Date, purchasers who wish to transact in the
securities more than three business days prior to the Settlement Date will be required to specify alternative settlement arrangements
to prevent a failed settlement.
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