Pricing Supplement No. 2852B
To
underlying supplement No
.
1 dated August 17
,
2015
,
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)
|
$2,905,000 Callable Contingent
Yield Securities Linked to the Least Performing of the FTSE
®
100 Index, the Russell 2000
®
Index
and the EURO STOXX 50
®
Index due December 29, 2020
The Callable Contingent Yield Securities (the “
securities
”)
are linked to the least performing of the FTSE
®
100 Index, the Russell 2000
®
Index and the EURO STOXX
50
®
Index (each, an “
Underlying
,” and collectively, the “
Underlyings
”) and
may pay a Contingent Coupon of $22.1875 per $1,000 Face Amount of securities on the relevant Coupon Payment Dates, calculated based
on a coupon rate of 8.875% per annum. The investor will receive a Contingent Coupon on a Coupon Payment Date
only if
the
closing levels of
all
the Underlyings on the applicable Observation Date are greater than or equal to their respective Coupon
Barriers (equal to 65.00% of their respective Initial Levels). Otherwise, no Contingent Coupon will be payable with respect to
that Observation Date. The securities may not pay Contingent Coupons on some or all of the Coupon Payment Dates and, therefore,
should
not
be viewed as conventional debt securities with periodic coupon payments.
The Issuer may, in its sole discretion, redeem
the securities in whole, but not in part, on any Coupon Payment Date prior to the Maturity Date, which we refer to as the “
Call
Settlement Date
.” If the securities are redeemed by the Issuer, you will receive a cash payment per $1,000 Face Amount
of securities on the Call Settlement Date equal to the Face Amount
plus
any Contingent Coupon for such Coupon Payment Date
that may be due on such date. The securities will cease to be outstanding following an early redemption and no Contingent Coupon
will accrue or be payable following such early redemption.
If the securities are not redeemed by us prior
to maturity and the Final Level of the least performing Underlying, which we refer to as the “
Laggard Underlying
,”
is greater than or equal to its Trigger Level (equal to 65.00% of its Initial Level), for each $1,000 Face Amount of securities,
investors will receive at maturity a cash payment equal to the Face Amount
plus
the Contingent Coupon otherwise due on
such date. However, if the securities are not redeemed by us and the Final Level of the Laggard Underlying is less than its Trigger
Level, for each $1,000 Face Amount of securities, investors will lose 1.00% of the Face Amount for every 1.00% by which the Final
Level of the Laggard Underlying is less than its Initial Level. The securities do not pay any dividends and investors should be
willing to lose a significant portion or all of their investment if the securities are not redeemed by us and the Final Level
of the Laggard Underlying is less than its Trigger Level. Any payment on the securities is subject to the credit of the Issuer.
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 to be made on the
securities depends on the ability of Deutsche Bank AG to satisfy its obligations as they become due and is not guaranteed by any
third party. In the event Deutsche Bank AG were to default on its obligations, you might not receive any amounts owed to you under
the terms of the securities.
Terms and Conditions
|
Payoff Diagram
|
Issuer:
|
Deutsche Bank AG, London Branch
|
Trade Date:
|
June 22, 2017
|
Settlement Date:
|
June 27, 2017
|
Final Valuation Date
1
:
|
December 22, 2020
|
Maturity Date
1
:
|
December 29, 2020
|
Observation Dates
1
:
|
September 22, 2017, December 22, 2017, March 22, 2018, June 22, 2018, September 24, 2018, December 27, 2018, March 22, 2019, June 24, 2019, September 23, 2019, December 23, 2019, March 23, 2020, June 22, 2020, September 22, 2020 and December 22, 2020 (
Final Valuation Date
)
|
Coupon Payment Dates
1
:
|
As set forth in the table under “Contingent Coupon” in the Key Terms below. For the final Observation Date, the related Coupon Payment Date will be the Maturity Date.
|
Denominations:
|
$1,000 (the “
Face Amount
”) and integral multiples of $1,000 in excess thereof
|
Underlyings:
|
Underlying
|
Initial Level
|
Coupon Barrier
|
Trigger Level
|
FTSE
®
100 Index
|
7,439.29
|
4,835.54
|
4,835.54
|
Russell 2000
®
Index
|
1,404.538
|
912.950
|
912.950
|
EURO STOXX 50
®
Index
|
3,555.76
|
2,311.24
|
2,311.24
|
|
Issue Price:
|
100% of the Face Amount
|
Early Redemption at Issuer’s Option:
|
The Issuer may, in its sole discretion, redeem the securities in whole, but not in part, on any Coupon Payment Date prior to the Maturity Date upon written notice to the trustee prior to the relevant Coupon Payment Date. Upon an Early Redemption, you will receive a cash payment per $1,000 Face Amount of securities on the relevant Coupon Payment Date equal to the Face Amount
plus
any Contingent Coupon otherwise due on such date.
|
Underlying Return:
|
For each Underlying, the Underlying Return will be
calculated as follows:
Final Level – Initial
Level
Initial Level
The Underlying Return for each Underlying may be
positive
,
zero or negative
.
|
Initial Level:
|
For each Underlying, the closing level of such Underlying on the Trade Date, as set forth in the table above
|
Final Level:
|
For each Underlying, the closing level of such Underlying on the Final Valuation Date
|
Coupon Barrier:
|
For each Underlying, 65.00% of the Initial Level of such Underlying, as set forth in the table above
|
Trigger Level:
|
For each Underlying, 65.00% of the Initial Level of such Underlying, as set forth in the table above
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MBW0 / US25155MBW01
|
|
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 $973.50 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
-
1 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
-
2 of
this pricing supplement for more information
.
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Underlying:
|
Underlying
|
Initial Level
|
Coupon Barrier
|
Trigger Level
|
|
FTSE
®
100 Index (Ticker: UKX)
|
7,439.29
|
4,835.54
|
4,835.54
|
|
Russell 2000
®
Index (Ticker: RTY)
|
1,404.538
|
912.950
|
912.950
|
|
EURO STOXX 50
®
Index (Ticker: SX5E)
|
3,555.76
|
2,311.24
|
2,311.24
|
Issue Price:
|
100% of the Face Amount
|
Contingent Coupon Feature:
|
·
If the closing levels of
all
the Underlyings on any Observation Date are
greater than
or
equal to
their respective Coupon Barriers
, Deutsche Bank AG will pay you the Contingent Coupon per $1,000 Face Amount of securities
applicable to such Observation Date on the related Coupon Payment Date.
·
If the closing level of
any
Underlying on any Observation Date is
less than
its Coupon Barrier
, the
Contingent Coupon per $1,000 Face Amount of securities applicable to such Observation Date will not be payable and Deutsche Bank
AG will not make any payment to you on the related Coupon Payment Date.
The Contingent Coupon applicable to each
Observation Date is a fixed amount as set forth in the table under “Contingent Coupon” below, calculated based on
a coupon rate of 8.875% per annum. If the securities are redeemed by us prior to the Maturity Date, the Contingent Coupon will
be paid on the corresponding Call Settlement Date and no further amounts will be owed to you under the securities.
|
Coupon Barrier:
|
For each Underlying, 65.00% of the Initial Level of such Underlying, as set forth in the table under “Underlyings” above
|
Observation Dates
1
:
|
Quarterly on the dates set forth in the table under “Contingent Coupon” below
|
Coupon Payment Dates
1
:
|
As set forth in the table under “Contingent Coupon” below. For the final Observation Date, the related Coupon Payment Date will be the Maturity Date.
|
Contingent Coupon:
|
The table below sets forth each Observation Date, Coupon Payment Date and the Contingent Coupon applicable to such Observation Date.
|
|
Observation Date
|
Coupon Payment Date
|
Contingent Coupon
(per $1,000 Face Amount of
Securities)
|
|
September 22, 2017
|
September 27, 2017
|
$22.1875
|
|
December 22, 2017
|
December 29, 2017
|
$22.1875
|
|
March 22, 2018
|
March 27, 2018
|
$22.1875
|
|
June 22, 2018
|
June 27, 2018
|
$22.1875
|
|
September 24, 2018
|
September 27, 2018
|
$22.1875
|
|
December 27, 2018
|
January 2, 2019
|
$22.1875
|
|
March 22, 2019
|
March 27, 2019
|
$22.1875
|
|
June 24, 2019
|
June 27, 2019
|
$22.1875
|
|
September 23, 2019
|
September 26, 2019
|
$22.1875
|
|
December 23, 2019
|
December 30, 2019
|
$22.1875
|
|
March 23, 2020
|
March 26, 2020
|
$22.1875
|
|
June 22, 2020
|
June 25, 2020
|
$22.1875
|
|
September 22, 2020
|
September 25, 2020
|
$22.1875
|
|
December 22, 2020 (
Final Valuation Date
)
|
December 29, 2020 (
Maturity Date
)
|
$22.1875
|
Early Redemption at Issuer’s Option:
|
The Issuer may, in its sole discretion, redeem the securities in whole, but not in part, on any Coupon Payment Date prior to the Maturity Date, which we refer to as the “
Call Settlement Date
,” upon written notice to the trustee prior to the relevant Coupon Payment Date. Upon an Early Redemption, you will receive a cash payment per $1,000 Face Amount of securities on the Call Settlement Date equal to the Face Amount
plus
any Contingent Coupon for such Coupon Payment Date that may be due on such date. The securities will cease to be outstanding following an early redemption and no Contingent Coupon will accrue or be payable following such early redemption.
|
|
|
|
(
Key Terms continued on next page
)
|
Investing in the securities involves a number
of risks
.
See
“
Risk Factors
”
beginning on page 9 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 $973
.
50 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
-
1 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-2 of this pricing supplement for more information
.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy
of this pricing supplement or the accompanying underlying supplement, product supplement, prospectus supplement or prospectus.
Any representation to the contrary is a criminal offense.
|
Price to Public
|
Total Discounts
,
Commissions and Fees
(1)
|
Proceeds to Us
|
Per Security
|
$1,000.00
|
$17.50
|
$982.50
|
Total
|
$2,905,000.00
|
$50,837.50
|
$2,854,162.50
|
|
(1)
|
For more detailed information about discounts and commissions, please see “Supplemental
Plan of Distribution Information (Conflicts of Interest)” in this pricing supplement.
|
The agent for this offering is Deutsche Bank
Securities Inc. (“
DBSI
”), an affiliate of ours. For more information, please see “Supplemental Plan of
Distribution (Conflicts of Interest)” in this pricing supplement.
The securities are
not deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other governmental agency
.
June 22, 2017
|
(
Key Terms continued from previous page
)
|
|
|
Payment at Maturity:
|
If the securities are not redeemed by us
prior to maturity, the payment you will receive at maturity will depend
solely
on the Final Level of the Laggard Underlying
on the Final Valuation Date.
·
If the Final Level of the Laggard Underlying is
greater than
or
equal to
its Trigger Level
, you will
receive a cash payment per $1,000 Face Amount of securities on the Maturity Date equal to the Face Amount
plus
the Contingent
Coupon otherwise due on such date.
·
If the Final Level of the Laggard Underlying is
less than
its Trigger Level
, you will receive a cash payment
per $1,000 Face Amount of securities calculated as follows:
$1,000
+ ($1,000 x Underlying Return of the Laggard Underlying)
If the securities are not redeemed by
us prior to maturity and the Final Level of the Laggard Underlying is less than its Trigger Level
,
you will be fully exposed
to the negative Underlying Return of the Laggard Underlying and
,
for each $1
,
000 Face Amount of securities
,
you will lose 1
.
00% of the Face Amount for every 1
.
00% by which the Final Level of the Laggard Underlying is
less than its Initial Level
.
In this circumstance
,
you will lose a significant portion or all of your initial investment
.
Any payment at maturity is subject to the credit of the Issuer
.
|
Trigger Level:
|
For each Underlying, 65.00% of the Initial Level of such Underlying, as set forth in the table under “Underlyings” above
|
Laggard Underlying:
|
The Underlying with the lowest Underlying Return on the Final Valuation Date. If the calculation agent determines that any two or all three of the Underlyings have equal lowest Underlying Returns, then the calculation agent will, in its sole discretion, designate one of such Underlyings as the Laggard Underlying.
|
Underlying Return:
|
For each Underlying, the performance of such Underlying from its Initial Level to its Final Level, calculated as follows:
|
|
|
|
Final Level –
Initial Level
Initial Level
|
|
|
|
The Underlying Return for each Underlying may be positive
,
zero or negative
.
|
Initial Level:
|
For each Underlying, the closing level of such Underlying on the Trade Date, as set forth in the table under “Underlyings” above
|
Final Level:
|
For each Underlying, the closing level of such Underlying on the Final Valuation Date
|
Trade Date:
|
June 22, 2017
|
Settlement Date:
|
June 27, 2017
|
Final Valuation Date
1
:
|
December 22, 2020
|
Maturity Date
1
:
|
December 29, 2020
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MBW0 / US25155MBW01
|
|
1
|
Subject to adjustment as described under “Description
of Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement. If an Observation
Date is postponed, the related Coupon Payment Date will be postponed as described under “Description of Securities —
Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement. If a Coupon Payment Date is postponed,
the related Call Settlement Date will be the Coupon Payment Date as postponed.
|
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 four months beginning from the Trade Date, we or our
affiliates may, in our sole discretion, increase the purchase price determined as described above by an amount equal to the declining
differential between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date, prorated over
such period on a straight-line basis, for transactions that are individually and in the aggregate of the expected size for ordinary
secondary market repurchases.
Resolution Measures and Deemed Agreement
On
May 15, 2014, the European Parliament and the Council of the European Union adopted a directive establishing a framework for the
recovery and resolution of credit institutions and investment firms (commonly referred to as the “
Bank Recovery and Resolution
Directive
”). The Bank Recovery and Resolution Directive required each member state of the European Union to adopt and
publish by December 31, 2014 the laws, regulations and administrative provisions necessary to comply with the Bank Recovery and
Resolution Directive. Germany adopted the Recovery and Resolution Act (
Sanierungs
-
und Abwicklungsgesetz
, or the
“
Resolution Act
”), which became effective on January 1, 2015. The Bank Recovery and Resolution Directive and
the Resolution Act provided national resolution authorities with a set of resolution powers to intervene in the event that a bank
is failing or likely to fail and certain other conditions are met. From January 1, 2016, the power to initiate resolution measures
applicable to significant banking groups (such as Deutsche Bank Group) in the European Banking Union has been transferred to the
European Single Resolution Board which, based on the European Union regulation establishing uniform rules and a uniform procedure
for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a
Single Resolution Fund (the “
SRM Regulation
”), works in close cooperation with the European Central Bank, the
European Commission and the national resolution authorities. Pursuant to the SRM Regulation, the Resolution Act and other applicable
rules and regulations, the securities may be subject to any Resolution Measure by the competent resolution authority if we become,
or are deemed by the competent supervisory authority to have become, “non-viable” (as defined under the then applicable
law) and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable to us. By acquiring
the securities, you will be bound by and deemed irrevocably to consent to the provisions set forth in the accompanying prospectus,
which we have summarized below.
By
acquiring the securities, you will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure by
the competent resolution authority. Under the relevant resolution laws and regulations as applicable to us from time to time, the
securities may be subject to the powers exercised by the competent resolution authority to: (i) write down, including to zero,
any payment (or delivery obligations) on the securities; (ii) convert the securities into ordinary shares of (a) the Issuer, (b)
any group entity or (c) any bridge bank or other instruments of ownership of such entities qualifying as common equity tier 1 capital;
and/or (iii) apply any other resolution measure including, but not limited to, any transfer of the securities to another entity,
the amendment, modification or variation of the terms and conditions of the securities or the cancellation of the securities. We
refer to each of these measures as a “
Resolution Measure
.” A “group entity” refers to an entity
that is included in the corporate group subject to a Resolution Measure. A “bridge bank” refers to a newly chartered
German bank that would receive some or all of our assets, liabilities and material contracts, including those attributable to our
branches and subsidiaries, in a resolution proceeding.
Furthermore,
by acquiring the securities, you:
|
·
|
are deemed irrevocably to have agreed, and you will agree: (i) to be bound by, to acknowledge
and to accept any Resolution Measure and any amendment, modification or variation of the terms and conditions of the securities
to give effect to any Resolution Measure; (ii) that you will have no claim or other right against us arising out of any Resolution
Measure; and (iii) that the imposition of any Resolution Measure will not constitute a default or an event of default under the
securities, under the senior indenture dated November 22, 2006 among us, Law Debenture Trust Company of New York, as trustee, and
Deutsche Bank Trust Company Americas, as issuing agent, paying agent, authenticating agent and registrar, as amended and supplemented
from time to time (the “
Indenture
”), or for the purposes of, but only to the fullest extent permitted by, the
Trust Indenture Act of 1939, as amended (the “
Trust Indenture Act
”);
|
|
·
|
waive, to the fullest extent permitted by the Trust Indenture Act and applicable law,
any and all claims against the trustee and the paying agent, the issuing agent and the registrar (each, an “
indenture
agent
”) for, agree not to initiate a suit against the trustee or the indenture agents in respect of, and agree that the
trustee and the indenture agents will not be liable for, any action that the trustee or the indenture agents take, or abstain from
taking, in either case in accordance with the imposition of a Resolution Measure by the competent resolution authority with respect
to the securities; and
|
|
·
|
will be deemed irrevocably to have: (i) consented to the imposition of any Resolution
Measure as it may be imposed without any prior notice by the competent resolution authority of its decision to exercise such power
with respect to the securities; (ii) authorized, directed and requested The Depository Trust Company (“
DTC
”)
and any direct participant in DTC or other intermediary through which you hold such securities to take any and all necessary action,
if required, to implement the imposition of any Resolution Measure with respect to the securities as it may be imposed, without
any further action or direction on your part or on the part of the trustee or the indenture agents; and (iii) acknowledged and
accepted that the Resolution Measure provisions described herein and in the “Resolution Measures” section of the accompanying
prospectus are exhaustive on the matters
|
described herein
and therein to the exclusion of any other agreements, arrangements or understandings between you and the Issuer relating to the
terms and conditions of the securities.
This
is only a summary
,
for more information please see the accompanying prospectus dated April 27
,
2016
,
including
the risk factors beginning on page 13 of such prospectus
.
Additional Terms Specific to the Securities
You
should read this pricing supplement together with underlying supplement No. 1 dated August 17, 2015, product supplement B dated
July 31, 2015, the prospectus supplement dated July 31, 2015 relating to our Series A global notes of which these securities are
a part and the prospectus dated April 27, 2016. Delaware Trust Company, which acquired the corporate trust business of Law Debenture
Trust Company of New York, is the successor trustee of the securities. When you read the accompanying underlying supplement, product
supplement and prospectus supplement, please note that all references in such supplements to the prospectus dated July 31, 2015,
or to any sections therein, should refer instead to the accompanying prospectus dated April 27, 2016 or to the corresponding sections
of such prospectus, as applicable, unless otherwise specified or the context otherwise requires. You may access these documents
on the website of the Securities and Exchange Commission (the “
SEC
”) at
.
www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
|
·
|
Underlying supplement No. 1 dated August 17, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006546/crt_dp58829-424b2.pdf
|
·
|
Product supplement B dated July 31, 2015
:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
·
|
Prospectus supplement dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
|
·
|
Prospectus dated April 27, 2016:
|
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
.
Hypothetical Examples
The tables and hypothetical examples set
forth below are for illustrative purposes only. The actual returns applicable to a purchaser of the securities will depend on the
closing levels of the Underlyings on each Observation Date (including the Final Valuation Date) and whether the securities are
redeemed by us prior to the Maturity 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. The numbers appearing in the tables
and hypothetical examples below may have been rounded for ease of analysis.
If the securities are redeemed by us prior to maturity
:
The Issuer may, in its sole discretion,
redeem the securities in whole, but not in part, on any Coupon Payment Date prior to the Maturity Date. Therefore, the term of
the securities may be as short as approximately three months. The following table illustrates the hypothetical payments on the
securities (excluding any Contingent Coupons) per $1,000 Face Amount of securities upon an early redemption.
Potential
Call Settlement Date
|
Hypothetical
Payment upon an Early Redemption at Issuer
’
s Option
($) (per $1,000 Face Amount of Securities)
|
September 27, 2017
|
$1,000.00
|
December 29, 2017
|
$1,000.00
|
March 27, 2018
|
$1,000.00
|
June 27, 2018
|
$1,000.00
|
September 27, 2018
|
$1,000.00
|
January 2, 2019
|
$1,000.00
|
March 27, 2019
|
$1,000.00
|
June 27, 2019
|
$1,000.00
|
September 26, 2019
|
$1,000.00
|
December 30, 2019
|
$1,000.00
|
March 26, 2020
|
$1,000.00
|
June 25, 2020
|
$1,000.00
|
September 25, 2020
|
$1,000.00
|
December 29, 2020 (
Maturity Date
)
|
$1,000.00
|
If the securities are redeemed by us prior
to maturity, 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
any Contingent Coupon for such Coupon Payment Date that may be due on such date. The securities will
cease to be outstanding following an early redemption and no Contingent Coupon will accrue or be payable following such early redemption.
The following hypothetical example illustrates
how the payment on the securities upon an early redemption is calculated as well as how the payment of any Contingent Coupons will
be determined. The example below reflects the Contingent Coupon of $22.1875 that may be payable on one or more of the Coupon Payment
Dates.
Example 1
:
The closing levels
of all the Underlyings are greater than or equal to their respective Coupon Barriers on the first and second Observation Dates
,
and the Issuer elects to redeem the securities on the second Coupon Payment Date
. Because the closing levels of all the
Underlyings on the first and second Observation Dates are greater than or equal to their respective Coupon Barriers, the investor
will receive the Contingent Coupon of $22.1875 on each of the first and second Coupon Payment Dates. Because the Issuer has elected
to redeem the securities, the investor will receive a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding
any Contingent Coupon) on the Call Settlement Date. As a result, the investor will receive a total of $1,044.375 per $1,000 Face
Amount of securities over the approximately six months the securities were outstanding before they were redeemed by the Issuer,
which is equal to the Face Amount
plus
the Contingent Coupons due on the first and second Coupon Payment Dates. The securities
will cease to be outstanding following the early redemption and no Contingent Coupon will accrue or be payable following such early
redemption.
If the securities are not redeemed by us prior to maturity
:
The following table illustrates the hypothetical
Payments at Maturity (excluding any Contingent Coupons) per $1,000 Face Amount of securities for a hypothetical range of performances
of the Laggard Underlying if the securities are not redeemed by us prior to maturity.
We make no representation or warranty
as to which of the Underlyings will be the Laggard Underlying for purposes of calculating the Payment at Maturity
.
The hypothetical Payments at Maturity set
forth in the table below reflect the Coupon Barrier and Trigger Level for each Underlying of 65.00% of its respective Initial Level.
The actual Initial Level, Coupon Barrier and Trigger Level for each Underlying are set forth on the cover of this pricing supplement.
Hypothetical
Underlying Return of the Laggard Underlying
(%)
|
Hypothetical
Payment at Maturity
(
excluding
any Contingent Coupon) ($)
|
Hypothetical
Return on the Securities
(
excluding
any Contingent Coupon) (%)
|
100.00%
|
$1,000.00
|
0.00%
|
90.00%
|
$1,000.00
|
0.00%
|
80.00%
|
$1,000.00
|
0.00%
|
70.00%
|
$1,000.00
|
0.00%
|
60.00%
|
$1,000.00
|
0.00%
|
50.00%
|
$1,000.00
|
0.00%
|
40.00%
|
$1,000.00
|
0.00%
|
30.00%
|
$1,000.00
|
0.00%
|
20.00%
|
$1,000.00
|
0.00%
|
10.00%
|
$1,000.00
|
0.00%
|
0
.
00%
|
$
1
,
000
.
00
|
0
.
00%
|
-10.00%
|
$1,000.00
|
0.00%
|
-20.00%
|
$1,000.00
|
0.00%
|
-30.00%
|
$1,000.00
|
0.00%
|
-
35
.
00%
|
$
1
,
000
.
00
|
0
.
00%
|
-36.00%
|
$640.00
|
-36.00%
|
-40.00%
|
$600.00
|
-40.00%
|
-50.00%
|
$500.00
|
-50.00%
|
-60.00%
|
$400.00
|
-60.00%
|
-70.00%
|
$300.00
|
-70.00%
|
-80.00%
|
$200.00
|
-80.00%
|
-90.00%
|
$100.00
|
-90.00%
|
-100.00%
|
$0.00
|
-100.00%
|
The following hypothetical examples illustrate
how the payments on the securities set forth in the table above are calculated as well as how the payment of any Contingent Coupons
will be determined. The examples below reflect the Contingent Coupon of $22.1875 that may be payable on one or more of the Coupon
Payment Dates.
Example 1
:
The closing levels
of all the Underlyings are greater than or equal to their respective Coupon Barriers on the first
,
third
,
fifth and
final Observation Dates
,
but the closing level of at least one Underlying is less than its Coupon Barrier on each of the
other Observation Dates
.
The Final Level of the Laggard Underlying is greater than its Trigger Level
. Because the Final
Level of the Laggard Underlying is greater than its Trigger Level (65.00% of its Initial Level), the investor will receive on the
Maturity Date a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon).
Because the closing levels of all the Underlyings
on the first, third, fifth and final Observation Dates are greater than or equal to their respective Coupon Barriers, but the closing
level of at least one Underlying is less than its Coupon Barrier on each of the other Observation Dates, the investor will receive
the Contingent Coupon of $
22.1875
on the first, third and fifth Coupon Payment Dates
and on the Maturity Date, but not on the other Coupon Payment Dates. As a result, the investor will receive a total of $1,088.75
per $1,000 Face Amount of securities over the term of the securities.
Example 2
:
The closing levels
of all the Underlyings are greater than or equal to their respective Coupon Barriers on the final Observation Date
,
but
the closing level of at least one Underlying is less than its Coupon Barrier on each of the other Observation Dates
.
The
Final Level of the Laggard Underlying is greater than its Trigger Level
. Because the Final Level of the Laggard Underlying
is greater than its Trigger Level, the investor will receive on the Maturity Date a cash payment of $1,000.00 per $1,000 Face Amount
of securities (excluding any Contingent Coupon).
Because the closing levels of all the Underlyings
on the final Observation Date are greater than or equal to their respective Coupon Barriers, but the closing level of at least
one Underlying is less than its Coupon Barrier on each of the other Observation Dates, the investor will receive the Contingent
Coupon of $22.1875 on the Maturity Date, but not on the other Coupon Payment Dates. As a result, the investor will receive
a total of $1,022.1875 per $1,000 Face Amount of securities over the term of the securities.
Example 3
:
The closing level
of at least one Underlying is less than its Coupon Barrier on each Observation Date
(
including the final Observation Date
).
The Final Levels of two Underlyings are greater than their respective Trigger
Levels
,
but the Final Level of the Laggard Underlying
is less than its Trigger Level
,
resulting in an Underlying Return for the Laggard Underlying of -60
.
00%
. In this
circumstance, even though the Final Levels of two Underlyings are greater than their respective Trigger Levels, because the Payment
at Maturity is determined
solely
by reference to the performance of the Laggard Underlying and the Final Level of the Laggard
Underlying is less than its Trigger Level, the investor will receive on the Maturity Date a cash payment of $400.00 per $1,000
Face Amount of securities (excluding any Contingent Coupon), calculated as follows:
$1,000 + ($1,000 x Underlying
Return of the Laggard Underlying)
$1,000 + ($1,000 x -60.00%) =
$400.00
Because the closing level of at least one
Underlying is less than its Coupon Barrier on each Observation Date (including the final Observation Date), the investor will not
receive any Contingent Coupon over the entire term of the securities. As a result, the investor will receive only $400.00 per $1,000
Face Amount of securities.
Selected Purchase Considerations
|
·
|
THE SECURITIES MAY OFFER A HIGHER
,
THOUGH CONTINGENT
,
COUPON THAN THE YIELD ON DEBT SECURITIES OF COMPARABLE
MATURITY ISSUED BY US
— The securities will pay Contingent Coupons
only if
the closing levels of
all
the
Underlyings are greater than or equal to their respective Coupon Barriers on the relevant Observation Dates. Payment of a Contingent
Coupon may result in a higher yield than that received on debt securities of comparable maturity issued by us or by an issuer with
a comparable credit rating,
but
is subject to the risk that the closing level of at least one Underlying will be less than
its Coupon Barrier on an Observation Date (resulting in a Contingent Coupon not being paid on the related Coupon Payment Date)
as well as the risk of losing a significant portion or all of your investment if the securities are not redeemed by us and the
Final Level of the Laggard Underlying is less than its Trigger Level.
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 EARLY REDEMPTION AT ISSUER
’
S OPTION
— While the original term
of the securities is approximately three years, the securities may be redeemed by us, in our sole discretion, in whole, but not
in part, on any Coupon Payment Date prior to maturity, and you will be entitled to receive a cash payment per $1,000 Face Amount
of securities equal to the Face Amount
plus
any Contingent Coupon for such Coupon Payment Date that may be due on such date.
Therefore, the term of the securities could be as short as approximately three months. No Contingent Coupon will accrue or be payable
following an early redemption.
|
|
·
|
CONTINGENT COUPONS
— Unless the securities are previously redeemed by us, Contingent Coupons, if any, will be
paid in arrears on the relevant quarterly Coupon Payment Dates
only if
the closing levels of
all
the Underlyings
on the relevant Observation Date are greater than or equal to their respective Coupon Barriers.
If the closing level of at least
one Underlying on each Observation Date is less than its Coupon Barrier
,
you will not receive any Contingent Coupons for
the entire term of the securities
.
|
|
·
|
LIMITED PROTECTION AGAINST LOSS
— If the securities are not redeemed by us prior to maturity and the Final Level
of the Laggard Underlying is greater than or equal to its Trigger Level, for each $1,000 Face Amount of securities, you will receive
a cash payment at maturity equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date. However,
if the securities are not redeemed by us prior to maturity and the Final Level of the Laggard Underlying is less than its Trigger
Level, for each $1,000 Face Amount of securities, you will lose 1.00% of the Face Amount for every 1.00% by which the Final Level
of the Laggard Underlying is less than its Initial Level. In this circumstance, you will lose a significant portion or all of your
investment in the securities.
|
|
·
|
RETURN
LINKED TO THE LEAST PERFORMING OF THE THREE UNDERLYINGS
—
The return on the securities, which may be positive, zero or negative, is linked to the least performing of the FTSE
®
100 Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index as described herein. If the securities
are not redeemed by us prior to maturity, the Payment at Maturity you receive, if any, will be determined
solely
by reference
to the performance of the Laggard Underlying.
|
FTSE
®
100 Index
The FTSE
®
100
Index is a free-float adjusted index which measures the composite price performance of stocks of the largest 100 companies (determined
on the basis of market capitalization) traded on the London Stock Exchange. The 100 companies included in the FTSE
®
100 Index (the “
FTSE Underlying Stocks
”) are selected from premium-listed equity shares that have been admitted
for trading on the London Stock Exchange, have been assigned UK nationality by FTSE International Limited and meet a liquidity
threshold based on public float, accuracy and reliability of prices, size and number of trading days. The FTSE Underlying Stocks
are selected from this group by
selecting the 100 companies with
the largest market value.
This is only a summary of the FTSE
®
100 Index
.
For more information on
the FTSE
®
100 Index
,
including information concerning its composition
,
calculation methodology
and adjustment policy
,
please see the section entitled “The FTSE
®
100 Index” in the accompanying
underlying supplement No
.
1 dated August 17
,
2015
.
Russell
2000
®
Index
The
Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S. equity
market. The Russell 2000
®
Index measures the composite price performance of stocks of approximately 2,000 companies
domiciled in the U.S. and its territories and consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index represents approximately 10% of the total market capitalization of the Russell 3000
®
Index.
This is only a summary of the Russell 2000
®
Index
.
For more information on the Russell 2000
®
Index
,
including information concerning its composition
,
calculation methodology and adjustment policy
,
please
see the section entitled “The Russell Indices — The Russell 2000
®
Index” in the accompanying
underlying supplement No
.
1 dated August 17
,
2015
.
EURO
STOXX 50
®
Index
The EURO STOXX
50
®
Index is composed of the stocks of 50 major companies in the Eurozone. These companies include market sector
leaders from within the 19 EURO STOXX
®
Supersector indices, which represent the Eurozone portion of the STOXX
Europe 600
®
Supersector indices. The STOXX Europe 600
®
Supersector indices contain the
600 largest stocks traded on the major exchanges of 18 European countries.
This is only a summary of the EURO STOXX 50
®
Index
.
For more information on the EURO STOXX 50
®
Index
,
including information concerning its
composition
,
calculation methodology and adjustment policy
,
please see the section entitled “The
Stoxx Indices — The EURO STOXX 50
®
Index
”
in the accompanying underlying supplement
No
.
1 dated August 17
,
2015
.
|
·
|
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. In determining our responsibilities for information reporting
and withholding, if any, we intend to treat the securities 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 securities. If this
treatment is respected, you generally should recognize short-term capital gain or loss on the taxable disposition of your securities
(including retirement), unless you have held the securities 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 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. 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 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 and gross proceeds
from any taxable disposition of a security (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 security occurring before January 1, 2019. You should consult your tax adviser regarding the potential
application of FATCA to the securities.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“
Section 871
(
m
)”) generally impose
a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed
paid
to non-U.S. holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities.
Section 871(m) provides certain exceptions to
this
withholding regime, including for
instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such
an index, a “
Qualified Index
”). Additionally, the applicable regulations exclude from the scope of Section 871(m)
instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends
for U.S. federal income tax purposes (each an “
Underlying Security
”). Based on certain determinations made by
us, our special tax counsel is of the opinion that Section 871(m) should 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. You should consult your tax adviser regarding the potential application of Section 871(m) to the securities
.
You should review carefully the section of the accompanying
product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion, when read in combination
with that section, constitutes the full opinion of our special tax counsel regarding the material U.S. federal income tax consequences
of owning and disposing of the securities.
Under current law, the United Kingdom will not impose
withholding tax on payments made with respect to the securities.
For a discussion of certain German tax considerations
relating to the securities, you should refer to the section in the accompanying prospectus supplement entitled “Taxation
by Germany of Non-Resident Holders.”
You should consult your tax adviser regarding the
U
.
S
.
federal tax consequences of an investment in the securities
(
including possible alternative treatments
and the issues presented by the 2007 notice
),
as well as tax consequences arising under the laws of any state
,
local
or non-U
.
S
.
taxing jurisdiction
.
Selected Risk Considerations
An investment in the securities involves
significant risks. Investing in the securities is not equivalent to investing directly in the stocks composing the Underlyings.
In addition to these selected risk considerations, you should review the “Risk Factors” sections of the accompanying
product supplement, prospectus supplement and prospectus.
|
·
|
YOUR INVESTMENT IN THE SECURITIES MAY RESULT IN A LOSS
— The securities do not guarantee any return of your investment.
The return on the securities at maturity is linked to the performance of the Laggard Underlying. If the securities are not redeemed
by us prior to maturity, you will receive a cash payment per $1,000 Face Amount of securities on the Maturity Date equal to the
Face Amount
plus
the Contingent Coupon otherwise due on such date
only if
the Final Level of the Laggard Underlying
is greater than or equal to its Trigger Level. However, if the securities are not redeemed by us prior to maturity and the Final
Level of the Laggard Underlying is less than its Trigger Level, for each $1,000 Face Amount of securities, you will lose 1.00%
of the Face Amount for every 1.00% by which the Final Level of the Laggard Underlying is less than its Initial Level.
In this
circumstance
,
you will lose a significant portion or all of your investment at maturity
.
Any payment on the securities
is subject to our ability to satisfy our obligations as they become due
.
|
|
·
|
YOUR RETURN ON THE SECURITIES IS LIMITED TO THE FACE AMOUNT PLUS CONTINGENT COUPONS
(
IF ANY
)
AND YOU WILL
NOT PARTICIPATE IN ANY INCREASE IN THE LEVELS OF THE UNDERLYINGS
— The securities will not pay more than the Face Amount
plus
any Contingent Coupons that may be due for each $1,000 Face Amount of securities. You will not participate in any increase
in the levels of the Underlyings, even if the Final Levels of all the Underlyings are greater than their respective Initial Levels.
The maximum payment upon an early redemption or at maturity, as applicable, will be the Face Amount per $1,000 Face Amount of securities
(excluding any Contingent Coupons), regardless of any increase in the levels of the Underlyings, which may be significant.
|
|
·
|
YOU MAY NOT RECEIVE ANY CONTINGENT COUPONS
— The securities may not pay Contingent Coupons on some or all of the
Coupon Payment Dates and, therefore, should not be viewed as conventional debt securities with periodic coupon payments. If the
closing level of at least one Underlying on any Observation Date is less than its respective Coupon Barrier, you will not receive
any Contingent Coupon for that entire period. You will receive the Contingent Coupon for a period
only if
the closing levels
of
all
the Underlyings on the relevant Observation Date are greater than or equal to their respective Coupon Barriers. If
the closing level of at least one Underlying is less than its respective Coupon Barrier on each of the Observation Dates, Deutsche
Bank AG will not pay you any Contingent Coupons during the entire term of the securities and you will not receive a positive return
|
on your investment. Generally, non-payment of Contingent
Coupons coincides with a greater risk of loss of your initial investment in the securities, because the level(s) of one or all
of the Underlyings tend to be lower than their respective Trigger Levels, which are equal to their respective Coupon Barriers.
|
·
|
THE SECURITIES MAY BE REDEEMED PRIOR TO THE MATURITY DATE
— We may, in our sole discretion, redeem the securities
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 securities at the Issuer’s option would be a taxable event to you. In addition, if the securities
are redeemed prior to the Maturity Date, you will not receive any Contingent Coupon that would have otherwise accrued after the
Call Settlement Date.
|
|
·
|
IF THE SECURITIES ARE NOT REDEEMED BY US PRIOR TO THE MATURITY DATE
,
YOUR PAYMENT AT MATURITY WILL BE DETERMINED
SOLELY BY THE FINAL LEVEL OF THE LAGGARD UNDERLYING
— If we do not redeem the securities prior to the Maturity Date,
the Payment at Maturity will be determined
solely
by reference to the Final Level of the Laggard Underlying, without taking
into consideration the performance of the other Underlyings.
|
|
·
|
A HIGHER CONTINGENT COUPON OR A LOWER COUPON BARRIER AND TRIGGER LEVEL FOR EACH UNDERLYING
MAY REFLECT A GREATER EXPECTED VOLATILITY OF ONE OR MORE OF THE UNDERLYINGS
,
WHICH IS GENERALLY ASSOCIATED WITH A GREATER
RISK OF LOSS
— Volatility is a measure of the degree of variation in the trading prices of an asset over a period of
time. The greater the expected volatility at the time the terms of the securities are set on the Trade Date, the greater the expectation
is at that time that at least one of the Underlyings may close below its respective Coupon Barrier on an Observation Date (resulting
in a Contingent Coupon not being paid on the related Coupon Payment Date) or Trigger Level on the Final Valuation Date (resulting
in a loss of a significant portion or all of your initial investment). In addition, the economic terms of the securities, including
the Contingent Coupon, the Coupon Barriers and the Trigger Levels, are based, in part, on the expected volatility of the Underlyings
at the time the terms of the securities are set on the Trade Date, where higher expected volatility will generally lead to a higher
Contingent Coupon or a lower Coupon Barrier and Trigger Level for each Underlying. Accordingly, a higher Contingent Coupon 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 Trigger Level for each Underlying as
compared with otherwise comparable securities does not necessarily indicate that the securities 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 each Underlying
and the potential loss of a significant portion or all of your initial investment at maturity.
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REINVESTMENT RISK
— If your securities are redeemed by us prior to maturity, the term of the securities may
be reduced to as short as approximately three 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 redeemed by
us prior to the Maturity Date.
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THE SECURITIES ARE SUBJECT TO THE CREDIT OF
DEUTSCHE BANK AG
— The
securities are senior unsecured obligations of Deutsche Bank AG and are not, either directly or indirectly, an obligation of any
third party. Any payment(s) to be made on the securities depends on the ability of Deutsche Bank AG to satisfy its obligations
as they become due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating or increase in the credit spreads
charged by the market for taking Deutsche Bank AG’s credit risk will likely have an adverse effect on the value of the securities.
As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the value of the securities and, in the
event Deutsche Bank AG were to default on its obligations or become subject to a Resolution Measure, you might not receive any
amount(s) owed to you under the terms of the securities and you could lose your entire investment
.
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THE SECURITIES
May Be Written Down
,
Be Converted Into Ordinary Shares or Other Instruments of Ownership or Become Subject to Other Resolution
Measures
.
You May Lose Some or All of Your Investment If Any Such Measure Becomes Applicable to US
—
Pursuant to the SRM Regulation, the Resolution Act and other applicable rules and regulations described above under “Resolution
Measures and Deemed Agreement,” the securities are subject to the powers exercised by the competent resolution authority
to impose Resolution Measures on us, which may include: writing down, including to zero, any claim for payment on the securities;
converting the securities into ordinary shares of (i) the Issuer, (ii) any group entity or (iii) any bridge bank or other instruments
of ownership of such entities qualifying as common equity tier 1 capital; or applying any other resolution measure including, but
not limited to, transferring the securities to another entity, amending, modifying or varying the terms and conditions of the securities
or cancelling the securities. The competent resolution authority may apply Resolution Measures individually or in any combination.
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The
German law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
, or the “
Resolution
Mechanism Act
”) provides that, in a German insolvency proceeding of the Issuer, certain specifically defined senior unsecured
debt instruments would rank junior to, without constituting subordinated debt, all other outstanding unsecured unsubordinated obligations
of the Issuer and be satisfied only if all such other senior unsecured obligations of the Issuer have been paid in full. This prioritization
would also be given effect if Resolution Measures are imposed on the Issuer, so that obligations under debt instruments that rank
junior in insolvency as described above would be written down or converted into common equity tier 1 instruments
before
any other senior unsecured obligations of the Issuer are written down or converted. A large portion of our liabilities consist
of senior unsecured obligations that either fall outside the statutory definition of debt instruments that rank junior to other
senior unsecured obligations according to the Resolution Mechanism Act or are expressly exempted from such definition.
Among
those unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt instruments
whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event
which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than
by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence
of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of
interest or the amount of the interest payments solely depends on a fixed or floating reference interest rate and is settled by
monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency proceedings
instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of the Issuer
outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect
to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued under the
prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the “
Structured Debt Securities
,”
and which do not, referred to herein as the “
Non-Structured Debt Securities
.” We expect the securities offered
herein to be classified as Structured Debt Securities, but the competent regulatory authority or court may classify the securities
differently. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect to the Issuer,
the Structured Debt Securities are expected to be among the unsecured unsubordinated obligations that would bear losses after the
Non-Structured Debt Securities as described above.
Nevertheless
,
you may lose some or all of your investment in the securities
if a Resolution Measure becomes applicable to us
. Imposition of a Resolution Measure would likely occur if we become, or are
deemed by the competent supervisory authority to have become, “non-viable” (as defined under the then applicable law)
and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable to us. The Bank Recovery
and Resolution Directive and the Resolution Act are intended to eliminate the need for public support of troubled banks, and you
should be aware that public support, if any, would only potentially be used by the competent supervisory authority as a last resort
after having assessed and exploited, to the maximum extent practicable, the resolution tools, including the bail-in tool.
By
acquiring the securities, you would have no claim or other right against us arising out of any Resolution Measure and we would
have no obligation to make payments under the securities following the imposition of a Resolution Measure. In particular, the imposition
of any Resolution Measure will not constitute a default or an event of default under the securities, under the Indenture or for
the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act. Furthermore, because the securities are
subject to any Resolution Measure, secondary market trading in the securities may not follow the trading behavior associated with
similar types of securities issued by other financial institutions which may be or have been subject to a Resolution Measure.
In
addition, by your acquisition of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable
law, any and all claims against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or the
indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that the
trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution
Measure by the competent resolution authority with respect to the securities.
Accordingly
,
you may have limited or circumscribed
rights to challenge any decision of the competent resolution authority to impose any Resolution Measure
.
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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
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an internal funding rate and our pricing models. The
internal funding rate is typically lower than the rate we would pay when we issue conventional debt securities on equivalent terms.
This difference in funding rate, as well as the agent’s commissions, if any, and the estimated cost of hedging our obligations
under the securities, reduces the economic terms of the securities to you and is expected to adversely affect the price at which
you may be able to sell the securities in any secondary market. In addition, our internal pricing models are proprietary and rely
in part on certain assumptions about future events, which may prove to be incorrect. If at any time a third party dealer
were to quote a price to purchase your securities or otherwise value your securities, that price or value may differ materially
from the estimated value of the securities determined by reference to our internal funding rate and pricing models. This
difference is due to, among other things, any difference in funding rates, pricing models or assumptions used by any dealer who
may purchase the securities in the secondary market.
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INVESTING IN THE SECURITIES IS NOT THE SAME AS INVESTING IN THE STOCKS COMPOSING THE UNDERLYINGS
— The return
on the securities may not reflect the return you would have realized if you had directly invested in the stocks composing the Underlyings.
For instance, your Payment at Maturity on the securities is
solely
dependent upon the performance of the Laggard Underlying,
and you will not participate in any potential increase in the levels of any Underlying, which could be significant.
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IF THE LEVELS OF THE UNDERLYINGS CHANGE
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME MANNER
—
Your securities may trade quite differently from the levels of the Underlyings. Changes in the levels of the Underlyings may not
result in comparable changes in the value of your securities.
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or
rights to receive cash dividends or other distributions or other rights that holders of the stocks composing the Underlyings would
have.
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YOUR INVESTMENT IS EXPOSED TO A DECLINE IN THE LEVEL OF EACH UNDERLYING
—
Your return on the securities, if any, including the payment of any Contingent Coupon and any payment upon an early redemption
or at maturity, as applicable, is not linked to a basket consisting of the Underlyings. Rather, any payment on the securities will
be determined
solely
by reference to the performance of 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 exposed equally to the
risks related to each of the Underlyings. Poor performance by any Underlying over the term of the securities will adversely affect
your return on the securities and will not be offset or mitigated by a positive performance by the other Underlyings.
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BECAUSE THE SECURITIES ARE LINKED TO THE LEAST PERFORMING OF
THE THREE UNDERLYINGS
,
YOU ARE EXPOSED TO A GREATER RISK OF RECEIVING NO CONTINGENT COUPONS OR LOSING A SIGNIFICANT PORTION
OR ALL OF YOUR INVESTMENT THAN IF THE SECURITIES 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 securities is greater than with
substantially similar securities that are linked to the performance of just one of the Underlyings. With three Underlyings, it
is more likely that the closing level of at least one Underlying will be less than its Coupon Barrier on each Observation Date
(including the final Observation Date), and the Final Level of the Laggard Underlying will be less than its Trigger Level, than
if the securities were linked to only one or two of the Underlyings, and therefore, it is more likely that you will not receive
any Contingent Coupons and will receive a Payment at Maturity that is significantly less than your initial investment. In addition,
the performance of the Underlyings may not be correlated. If the performance of the Underlyings is not correlated, or is negatively
correlated, the potential for the level of at least one Underlying to close below its Coupon Barrier or Trigger Level on an Observation
Date or the Final Valuation Date, respectively, is even greater. Although the correlation of the Underlyings’ performance
may change over the term of the securities, the Contingent Coupon is determined, in part, based on the correlation of the Underlyings’
performance at the time when the terms of the securities are finalized. A higher Contingent Coupon is generally associated with
a lower correlation of the Underlyings, which reflects a greater potential for loss on your investment at maturity.
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THE UNDERLYINGS REFLECT THE PRICE RETURN OF THEIR RESPECTIVE COMPONENT STOCKS
,
NOT THEIR TOTAL RETURN INCLUDING ALL DIVIDENDS AND OTHER DISTRIBUTIONS
— The return on the securities is based
on the performance of each Underlying, which reflects the changes in the market prices of their respective component stocks. None
of the Underlyings is, however, a “total return” index, which, in addition to reflecting the price returns of the stocks
composing such Underlying, would also reflect the reinvestment of all dividends and other distributions paid on such component
stocks.
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THE SPONSOR OF AN UNDERLYING MAY ADJUST THE RELEVANT UNDERLYING IN WAYS THAT AFFECT
THE LEVEL OF SUCH UNDERLYING AND HAS NO OBLIGATION TO CONSIDER YOUR INTERESTS
— The sponsor of an Underlying (each, an
“
Index Sponsor
”) is responsible for calculating and maintaining the relevant Underlying. The Index Sponsor can
add, delete or substitute the components of the relevant Underlying or make other methodological changes that could change the
level of such Underlying. You should realize that the changing of such Underlying components may affect such Underlying, as a newly
added component may perform significantly better or worse than the component it replaces. Additionally, the Index Sponsor may alter,
discontinue or suspend calculation or dissemination of the relevant Underlying. Any of these actions could adversely affect the
level of such Underlying and, thus, the value of, and your return on, the securities. The Index Sponsors have no obligation to
consider your interests in calculating or revising the relevant Underlyings.
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THE SECURITIES ARE SUBJECT TO RISKS ASSOCIATED WITH SMALL
-
CAPITALIZATION COMPANIES
— The stocks composing
the Russell 2000
®
Index are issued by companies with relatively small market capitalization. These companies often
have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies and, therefore,
the level of the Russell 2000
®
Index may be more volatile than the levels of indices that consist of large-capitalization
stocks. Stock prices of small-capitalization companies are also generally more vulnerable than those of large-capitalization companies
to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded. In addition,
small-capitalization companies are typically less well-established and less stable financially than large-capitalization companies
and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Such small-capitalization
companies tend to have lower revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial
resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related
to their products. These companies may also be more susceptible to adverse developments related to their products or services.
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THERE ARE RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES LINKED TO THE VALUES OF EQUITY SECURITIES ISSUED BY NON
-
U
.
S
.
COMPANIES
—
The EURO STOXX 50
®
Index and the FTSE
®
100 Index include component stocks that are issued by companies incorporated outside of the U.S. Because the component stocks also
trade outside the U.S., the securities are subject to the risks associated with non-U.S. securities markets. Generally, non-U.S.
securities markets may be less liquid and more volatile than U.S. securities markets and market developments may affect non-U.S.
securities markets differently than U.S. securities markets, which may adversely affect the levels of the EURO STOXX 50
®
Index and the FTSE
®
100 Index, and thus, the value of your securities. Furthermore, there are risks associated with
investments in securities linked to the values of equity securities issued by non-U.S. companies. There is generally less publicly
available information about non-U.S. companies than about those U.S. companies that are subject to the reporting requirements of
the SEC, and non-U.S. companies are subject to accounting, auditing and financial reporting standards and requirements that differ
from those applicable to U.S. reporting companies. In addition, the prices of equity securities issued by non-U.S. companies may
be adversely affected by political, economic, financial and social factors that may be unique to the particular countries in which
the non-U.S. companies are incorporated. These factors include the possibility of recent or future changes in a non-U.S. government’s
economic and fiscal policies (including any direct or indirect intervention to stabilize the economy and/or securities market of
the country of such non-U.S. government), the presence, and extent, of 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 and the FTSE
®
100 Index are issued by companies located
in countries within Europe, some of which are and have been experiencing economic stress.
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WE ARE ONE OF THE COMPANIES THAT MAKE UP
THE
EURO STOXX 50
®
INDEX
— We are one of the companies that make up the EURO STOXX 50
®
Index. To our knowledge, we are not currently affiliated with any of the other companies the equity securities of which are represented
in the EURO STOXX 50
®
Index. As a result, we will have no ability to control the actions of such other companies,
including actions that could affect the value of the equity securities composing the EURO STOXX 50
®
Index or your
securities. None of the other companies represented in the EURO STOXX 50
®
Index will be involved in the offering
of the securities in any way. Neither they nor we will have any obligation to consider your interests as a holder of the securities
in taking any corporate actions that might affect the value of your not securities.
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THE UNDERLYING RETURN WILL NOT BE ADJUSTED FOR CHANGES IN NON
-
U
.
S
.
CURRENCIES RELATIVE TO THE U
.
S
.
DOLLAR
— The EURO STOXX 50
®
Index and the
FTSE
®
100 Index are composed
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of stocks denominated
in non-U.S. currencies. Because the levels of the EURO STOXX 50
®
Index and the
FTSE
®
100 Index
are also calculated in the same respective non
-U.S. currencies
(and
not in U.S. dollars), the performances of the EURO STOXX 50
®
Index and the
FTSE
®
100 Index
will not be adjusted for exchange rate fluctuations between the U.S. dollar and the relevant
non-U.S. currencies. Therefore, if a non-U.S. currency strengthens or weakens relative to the U.S. dollar over the term of the
securities, you will not receive any additional payment or incur any reduction in your return on the securities.
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PAST PERFORMANCE OF THE UNDERLYINGS IS NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the
Underlyings over the term of the securities may bear little relation to the historical closing levels of the Underlyings and/or
the hypothetical examples set forth elsewhere in this pricing supplement. We cannot predict the future performance of the Underlyings
or whether the performance of the Underlyings will result in the return of any of your investment.
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ASSUMING NO CHANGES IN MARKET CONDITIONS AND OTHER RELEVANT FACTORS
,
THE PRICE YOU MAY RECEIVE FOR YOUR SECURITIES
IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER
’
S ESTIMATED VALUE
OF THE SECURITIES ON THE TRADE DATE
— While the payment(s) on the securities described in this pricing supplement is
based on the full Face Amount of securities, the Issuer’s estimated value of the securities on the Trade Date (as disclosed
on the cover of this pricing supplement) is less than the Issue Price of the securities. The Issuer’s estimated value of
the securities on the Trade Date does not represent the price at which we or any of our affiliates would be willing to purchase
your securities in the secondary market at any time. Assuming no changes in market conditions or our creditworthiness and other
relevant factors, the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary
market transactions, if at all, would generally be lower than both the Issue Price and the Issuer’s estimated value of the
securities on the Trade Date. Our purchase price, if any, in secondary market transactions would be based on the estimated value
of the securities determined by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another appropriate
measure of our cost of funds and (ii) our pricing models at that time, less a bid spread determined after taking into account the
size of the repurchase, the nature of the assets underlying the securities and then-prevailing market conditions. The price we
report to financial reporting services and to distributors of our securities for use on customer account statements would generally
be determined on the same basis. However, during the period of approximately four months beginning from the Trade Date, we or our
affiliates may, in our sole discretion, increase the purchase price determined as described above by an amount equal to the declining
differential between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date, prorated over
such period on a straight-line basis, for transactions that are individually and in the aggregate of the expected size for ordinary
secondary market repurchases.
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In addition to the factors discussed above, the value
of the securities and our purchase price in secondary market transactions after the Trade Date, if any, will vary based on many
economic and market factors, including our creditworthiness, and cannot be predicted with accuracy. These changes may adversely
affect the value of your securities, including the price you may receive in any secondary market transactions. Any sale prior to
the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your securities to maturity.
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THE SECURITIES WILL NOT BE LISTED AND THERE WILL LIKELY BE LIMITED LIQUIDITY
— The securities will not be listed
on any securities exchange. There may be little or no secondary market for the securities. We or our affiliates intend to
act as market makers for the securities but are not required to do so and may cease such market making activities at any time.
Even if there is a secondary market, it may not provide enough liquidity to allow you to sell the securities when you wish to do
so or at a price advantageous to you. Because we do not expect other dealers to make a secondary market for the securities, the
price at which you may be able to sell your securities is likely to depend on the price, if any, at which we or our affiliates
are willing to buy the securities. If, at any time, we or our affiliates do not act as market makers, it is likely that there would
be little or no secondary market in the securities. If you have to sell your securities prior to maturity, you may not be able
to do so or you may have to sell them at a substantial loss, even in cases where the levels of the Underlyings have increased since
the Trade Date.
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MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES
— While we expect that, generally, the
levels of the Underlyings will affect the value of the securities more than any other single factor, the value of the securities
prior to maturity will also be affected by a number of other factors that may either offset or magnify each other, including:
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o
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whether the closing level of any Underlying on any Observation Date is less than its Coupon Barrier;
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o
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the expected volatility of the Underlyings;
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o
|
the time remaining to the maturity of the securities;
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o
|
the market prices and dividend rates of the stocks composing the Underlyings;
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o
|
the composition of the Underlyings;
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o
|
interest rates and yields in the markets generally;
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o
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geopolitical conditions and economic, financial, political, regulatory or judicial events that affect any Underlying or the
markets generally;
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o
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supply and demand for the securities; and
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o
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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During the term
of the securities, it is possible that their value may decline significantly due to the factors described above even if the levels
of the Underlyings remain unchanged from their respective Initial Levels, and any sale prior to the Maturity Date could result
in a substantial loss to you. You must hold the securities to maturity to receive the stated payout from the Issuer.
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TRADING AND OTHER TRANSACTIONS BY US OR OUR AFFILIATES IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE
OF THE SECURITIES
— We or our affiliates expect to hedge our exposure from the securities by entering into equity and
equity derivative transactions, such as over-the-counter options, futures or exchange-traded instruments. We or our affiliates
may also engage in trading in instruments linked or related to the Underlyings on a regular basis as part of our or their general
broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions
for customers, including block transactions. Such trading and hedging activities may adversely affect the levels of one or more
Underlyings and, therefore, make it less likely that you will receive a positive return on your investment in the securities. It
is possible that we or our affiliates could receive substantial returns from these hedging and trading activities while the value
of the securities declines. We or our affiliates may also issue or underwrite other securities or financial or derivative instruments
with returns linked or related to the Underlyings.
To the extent that we or our affiliates
serve as issuer, agent or underwriter for such securities or financial or derivative instruments, our or our affiliates’
interests with respect to such products may be adverse to those of the holders of the securities.
Introducing competing
products into the marketplace in this manner could adversely affect the levels of one or more Underlyings and the value of
the securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or
are in direct opposition to, investors’ trading and investment strategies related to the securities.
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WE OR OUR AFFILIATES MAY PUBLISH RESEARCH
,
EXPRESS OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH
INVESTING IN OR HOLDING THE SECURITIES
.
ANY SUCH RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE
LEVELS OF THE UNDERLYINGS AND THE VALUE OF THE SECURITIES
— We or our affiliates may publish research from time to time
on financial markets and other matters that could adversely affect the levels of the Underlyings and the value of the securities,
or express opinions or provide recommendations that are inconsistent with purchasing or holding the securities. Any research, opinions
or recommendations expressed by us or our affiliates may not be consistent with each other and may be modified from time to time
without notice. You should make your own independent investigation of the merits of investing in the securities and the Underlyings.
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POTENTIAL CONFLICTS OF INTEREST
— We and our affiliates play a variety of roles in connection with the issuance
of the securities, including acting as calculation agent, hedging our obligations under the securities and determining the Issuer’s
estimated value of the securities on the Trade Date and the price, if any, at which we or our affiliates would be willing to purchase
the securities from you in secondary market transactions. In performing these roles, our economic interests and those of our affiliates
are potentially adverse to your interests as an investor in the securities. The calculation agent will determine, among other things,
all values, prices and levels required to be determined for the purposes of the securities on any relevant date or time. The calculation
agent will also be responsible for determining whether a market disruption event has occurred as well as, in some circumstances,
the prices or levels related to the Underlyings that affect whether Contingent Coupons are paid. 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 prepaid financial
contracts that are not debt, with associated contingent coupons, as described above under “Tax Consequences.” 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 affected. In addition, as described above under “Tax Consequences,” in 2007 the
U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated
after consideration of these issues could materially 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.
Historical Information
The following graphs set forth the historical performances of the FTSE
®
100 Index, the
Russell 2000
®
Index and the EURO STOXX 50
®
Index based on their daily closing levels from June 22,
2012 through June 22, 2017. The closing level of the FTSE
®
100 Index on June 22, 2017 was 7,439.29. The closing
level of the Russell 2000
®
Index on June 22, 2017 was 1,404.538. The closing level of the EURO STOXX 50
®
Index on June 22, 2017 was 3,555.76. The graphs below also indicate by a broken line the Coupon Barrier and Trigger Level equal
to, (i) with respect to the FTSE
®
100 Index, 4,835.54, which is equal to 65.00% of the closing level of the FTSE
®
100 Index on June 22, 2017, (ii) with respect to the Russell 2000
®
Index, 912.950, which is equal to 65.00% of the
closing level of the Russell 2000
®
Index on June 22, 2017 and, (iii) with respect to the EURO STOXX 50
®
Index, 2,311.244, which is equal to 65.00% of the closing level of the EURO STOXX 50
®
Index on June 22, 2017. We
obtained the historical closing levels of the Underlyings below from Bloomberg L.P. and we have not participated in the preparation
of, or verified, such information.
The historical closing levels of the Underlyings should not be taken as an indication of
future performance and no assurance can be given as to the closing levels of the Underlyings on any of the Observation Dates
(
including
the Final Valuation Date
).
We cannot give you assurance that the performance of the Underlyings will result in the return
of any of your initial investment
.
Supplemental Plan of Distribution
(
Conflicts of Interest
)
DBSI, acting as agent for Deutsche Bank
AG, will receive or allow as a concession or reallowance to other dealers discounts and commissions of 1.75% or $17.50 per $1,000
Face Amount of securities. DBSI may sell all or a part of the securities that it purchases from us to its affiliates or certain
dealers at the price to the public indicated on the cover of this pricing supplement,
minus
a concession not to exceed the
discounts and commissions indicated on the cover. 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 is the third
business day 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.
Validity
of the Securities
In
the opinion of Davis Polk & Wardwell LLP, as special United States products counsel to the Issuer, when the securities offered
by this pricing supplement have been executed and issued by the Issuer and authenticated by the authenticating agent, acting on
behalf of the trustee pursuant to the Indenture, and delivered against payment as contemplated herein, such securities will be
valid and binding obligations of the Issuer, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory
actions giving effect to governmental actions or foreign laws affecting creditors’ rights, provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions
expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this
opinion involves matters governed by German law, Davis Polk & Wardwell LLP has relied, without independent investigation, on
the opinion of Group Legal Services of Deutsche Bank AG, dated as of January 1, 2016, filed as an exhibit to the opinion of Davis
Polk & Wardwell LLP, and this opinion is subject to the same assumptions, qualifications and limitations with respect to such
matters as are contained in such opinion of Group Legal Services of Deutsche Bank AG. In addition, this opinion is subject to customary
assumptions about the trustee’s authorization, execution and delivery of the Indenture and the authentication of the securities
by the authenticating agent and the validity, binding nature and enforceability of the Indenture with respect to the trustee, all
as stated in the opinion of Davis Polk & Wardwell LLP dated as of January 1, 2016, which has been filed by the Issuer on Form
6-K dated January 4, 2016.
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