By acquiring the notes, you will be bound by and deemed irrevocably
to consent to the imposition of any Resolution Measure by the competent resolution authority. See “Consent to Potential Imposition
of Resolution Measures” on page TS-3 of this term sheet.
None of the Securities and Exchange Commission (the “SEC”),
any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined if
this Note Prospectus (as defined below) is truthful or complete. Any representation to the contrary is a criminal offense.
Summary
The Leveraged Index Return Notes
®
Linked to the
Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022 (the “notes”) are our senior unsecured obligations.
The notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or secured by collateral.
The notes will
rank equally and
pari passu
with the claims of all our other unsecured and unsubordinated creditors, subject to any statutory
priority regime of the jurisdiction of our incorporation (or, in the case of notes issued by Deutsche Bank AG through a branch,
of the law of the jurisdiction where the branch is established). Any payments due on the notes, including any repayment of principal,
will be subject to the credit risk of Deutsche Bank and to any Resolution Measure (as described herein) imposed by the competent
resolution authority.
The notes provide you a leveraged return if the Ending Value of the Market Measure, which is the Bloomberg
ExEnergy Subindex
SM
Excess Return (the “Index”), is greater than its Starting Value. If the Ending Value
is less than the Starting Value, you will lose all or a portion of the principal amount of your notes. Payments on the notes, including
the amount you receive at maturity, will be calculated based on the $10 principal amount per unit and will depend on the performance
of the Index, subject to our credit risk. See “Terms of the Notes” below.
On the cover page of this term sheet, we have provided the initial
estimated value for the notes. Our initial estimated value of the notes was determined based on our valuation of two theoretical
components of the notes: (i) a theoretical bond component and (ii) a theoretical derivative component. The value of the bond component
of the notes is calculated based on an internal funding rate, which is determined primarily based on the rates at which our conventional
debt securities of comparable maturity may trade, adjusted to account for our funding needs and objectives for the period matching
the term of the notes. The value of the derivative component is calculated based on our internal pricing models using relevant
parameter inputs.
The economic terms of the notes (including the Participation
Rate) are based on the internal funding rate and the economic terms of certain related hedging arrangements. The internal funding
rate is typically lower than the rate we would pay when we issue conventional debt securities on equivalent terms. This difference
in funding rate, as well as the underwriting discount and the estimated cost of hedging our obligations under the notes (which
includes the hedging related charge described below), reduced the economic terms of the notes to you and the initial estimated
value of the notes on the pricing date. Due to these factors, the public offering price you pay to purchase the notes is greater
than the initial estimated value of the notes. For more information about the initial estimated value and the structuring of the
notes, see “Structuring the Notes” on page TS-15.
|
Terms of the Notes
|
Redemption Amount Determination
|
|
Issuer:
|
Deutsche Bank AG, London Branch
|
On the maturity date, you will receive a cash payment per unit
determined as follows:
|
|
Principal Amount:
|
$10.00 per unit
|
|
Term:
|
Approximately five years
|
|
Market Measure:
|
Bloomberg ExEnergy Subindex
SM
Excess Return (Bloomberg symbol: “BCOMXE”), an excess return index.
|
|
Starting Value:
|
90.72669
A Market Disruption Event occurred with respect to the futures
contract on live cattle, a component of the Market Measure, on the pricing date because the settlement price of such component
was a “limit price.”
The calculation agent determined the Starting Value
of 90.72669 using the closing level of the Market Measure of 90.73852 on the pricing date, as adjusted by the settlement price
of the futures contract on live cattle on July 13, 2017, as described in product supplement COMM LIRN-1 under the caption “Description
of LIRNs—Market Disruption Events—Starting Value” beginning on page PS-25.
|
|
Ending Value:
|
The closing level of the Market Measure on the calculation day. The scheduled calculation day is subject to postponement in the event of Market Disruption Events, as described on page PS-26 of product supplement COMM LIRN-1.
|
|
Threshold Value:
|
90.72669 (100% of the Starting Value)
|
|
Participation Rate:
|
174%
|
|
Calculation Day:
|
July 20, 2022
|
|
Fees and Charges:
|
The underwriting discount of $0.06 per unit listed on the cover page and the hedging related charge of $0.075 per unit described in “Structuring the Notes” on page TS-15.
|
|
Calculation Agent:
|
Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) and Deutsche Bank, acting jointly.
|
|
Leveraged Index Return Notes
®
|
TS-
2
|
|
Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
|
|
The terms and risks of the notes are contained in this term sheet
and in the following:
These documents (together, the “Note Prospectus”)
have been filed as part of a registration statement with the SEC, which may, without cost, be accessed on the SEC website as indicated
above or obtained from MLPF&S by calling 1-800-294-1322. Before you invest, you should read the Note Prospectus, including
this term sheet, for information about us and this offering. Any prior or contemporaneous oral statements and any other written
materials you may have received are superseded by the Note Prospectus. Delaware Trust Company, which acquired the corporate trust
business of Law Debenture Trust Company of New York, is the successor trustee of the notes. When you read the accompanying 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. Capitalized terms used but not
defined in this term sheet have the meanings set forth in product supplement COMM LIRN-1. Unless otherwise indicated or unless
the context requires otherwise, all references in this document to “we,” “us,” “our” or similar
references are to Deutsche Bank.
Consent to Potential Imposition of Resolution
Measures
Under the German Recovery and
Resolution Act, which became effective on January 1, 2015, the notes may be subject to any Resolution Measure by the competent
resolution authority under relevant German and/or European laws or regulations if we become, or are deemed by the competent supervisory
authority to have become, “non-viable” (as defined under the then applicable law) and are unable to continue our regulated
banking activities without a Resolution Measure becoming applicable to us. A “Resolution Measure” may include: (i)
a write down, including to zero, of any payment (or delivery obligations) on the notes; (ii) a conversion of the notes into ordinary
shares of (a) the Issuer, (b) any group entity or (c) any bridge bank or other instruments of ownership of such entities qualifying
as common equity tier 1 capital; and/or (iii) any other resolution measure, including, but not limited to, any transfer of the
notes to another entity, the amendment, modification or variation of the terms and conditions of the notes or the cancellation
of the notes. By acquiring the notes, you will be deemed irrevocably to agree:
|
|
·
|
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 notes to give effect to any
Resolution Measure;
|
|
|
·
|
that you would have no claim or other right against
us arising out of any Resolution Measure; and
|
|
|
·
|
that the imposition of any Resolution Measure
will not constitute a default or an event of default under the notes, under the senior indenture or for the purposes of, but only
to the fullest extent permitted by, the Trust Indenture Act of 1939, as set forth in the accompanying prospectus dated April 27,
2016.
|
Please read “Risk
Factors” in this term sheet and see the accompanying prospectus, including the risk factors beginning on page 13 of such
prospectus, for further information.
|
Leveraged Index Return Notes
®
|
TS-
3
|
|
Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
|
|
Investor Considerations
|
You may wish to consider an investment in the notes if:
|
The notes may not be an appropriate investment for you if:
|
|
|
|
|
§
You
anticipate that the Index will increase from the Starting Value to the Ending Value.
§
You
are willing to risk a loss of principal and return if the Index decreases from the Starting Value to the Ending Value.
§
You
are willing to forgo the interest payments that are paid on conventional interest bearing debt securities.
§
You
are willing to forgo the rights and benefits of owning the commodities or futures contracts represented by or included in the Index.
§
You
are willing to accept a limited or no market for sales prior to maturity, and understand that the market prices for the notes,
if any, will be affected by various factors, including our actual and perceived creditworthiness, the internal funding rate and
fees and charges on the notes.
§
You
are willing to assume our credit risk, as issuer of the notes, for all payments under the notes, including the Redemption Amount.
§
You
are willing to consent to be bound by any Resolution Measure imposed by the competent resolution authority.
|
§
You
believe that the Index will decrease from the Starting Value to the Ending Value or that it will not increase sufficiently over
the term of the notes to provide you with your desired return.
§
You
seek principal repayment or preservation of capital.
§
You
seek interest payments or other current income on your investment.
§
You
want to receive the rights and benefits of owning the commodities or futures contracts represented by or included in the Index.
§
You
seek an investment for which there will be a liquid secondary market.
§
You
are unwilling or are unable to take market risk on the notes or to take our credit risk as issuer of the notes.
§
You
are unwilling to consent to be bound by any Resolution Measure imposed by the competent resolution authority.
|
We urge you to consult your investment, legal, tax, accounting,
and other advisors before you invest in the notes.
|
Leveraged Index Return Notes
®
|
TS-
4
|
|
Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
|
|
Hypothetical Payout Profile and Examples of Payments
at Maturity
|
Leveraged Index Return
Notes
®
|
This graph reflects the returns on
the notes based on the Participation Rate of 174% and the Threshold Value of 100% of the Starting Value. The green line reflects
the returns on the notes, while the dotted gray line reflects the returns of a direct investment in the components of the Index.
This graph has been prepared for purposes
of illustration only.
|
The following table and examples are for purposes of illustration
only. They are based on hypothetical values and show hypothetical returns on the notes. They illustrate the calculation of the
Redemption Amount and total rate of return based on a hypothetical Starting Value of 100, a hypothetical Threshold Value of 100,
the Participation Rate of 174% and a range of hypothetical Ending Values.
The actual amount you receive and the resulting total
rate of return will depend on the actual Starting Value, Threshold Value, Ending Value, and whether you hold the notes to maturity.
The following examples do not take into account any tax consequences from investing in the notes.
For recent actual levels of the Market Measure, see “The
Index” section below. In addition, all payments on the notes are subject to issuer credit risk.
|
Ending
Value
|
Percentage
Change from the Starting Value to the Ending Value
|
Redemption
Amount per Unit
(1)
|
Total
Rate of Return on the Notes
|
|
0.00
|
-100.00%
|
$0.00
|
-100.00%
|
|
50.00
|
-50.00%
|
$5.00
|
-50.00%
|
|
80.00
|
-20.00%
|
$8.00
|
-20.00%
|
|
90.00
|
-10.00%
|
$9.00
|
-10.00%
|
|
94.00
|
-6.00%
|
$9.40
|
-6.00%
|
|
97.00
|
-3.00%
|
$9.70
|
-3.00%
|
|
100.00
(2)(3)
|
0.00%
|
$10.00
|
0.00%
|
|
105.00
|
5.00%
|
$10.87
|
8.70%
|
|
110.00
|
10.00%
|
$11.74
|
17.40%
|
|
120.00
|
20.00%
|
$13.48
|
34.80%
|
|
130.00
|
30.00%
|
$15.22
|
52.20%
|
|
140.00
|
40.00%
|
$16.96
|
69.60%
|
|
150.00
|
50.00%
|
$18.70
|
87.00%
|
|
160.00
|
60.00%
|
$20.44
|
104.40%
|
|
|
(1)
|
The Redemption Amount per unit is based on the Participation Rate.
|
|
|
(2)
|
The
hypothetical
Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual
Starting Value is 90.72669, which was determined as set forth on page TS-2 above.
|
|
|
(3)
|
This is the
hypothetical
Threshold Value.
|
|
Leveraged Index Return Notes
®
|
TS-
5
|
|
Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
|
|
Redemption Amount Calculation Examples
|
Example 1
|
|
|
|
The Ending Value is 70.00, or 70.00% of the Starting Value:
|
|
|
|
Starting Value: 100.00
|
|
Threshold Value: 100.00
|
|
Ending Value: 70.00
|
|
|
|
= $7.00
Redemption Amount per unit
|
|
Example 2
|
|
|
|
The Ending Value is 150.00, or 150.00% of the Starting Value:
|
|
|
|
Starting Value: 100.00
|
|
Ending Value: 150.00
|
|
|
|
= $18.70
Redemption Amount per unit
|
|
Leveraged Index Return Notes
®
|
TS-
6
|
|
Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
|
|
Additional Risk Factors
There is no assurance that the methodology of the Index will
result in the Index accurately reflecting the market performance of futures contracts represented by or included in the Index.
The methodology and criteria used to determine the composition
of the Index, the weights of the Index Components (as defined below), and the calculation of the level of the Index are designed
to enable the Index to serve as a measure of the performance of the commodities markets, excluding the energy sector. It is possible
that the methodology and criteria of the Index will not accurately reflect the performance of these commodities and that the trading
of, or investments in, products based on or related to the Index, such as the notes, will not correlate with that performance.
The Index tracks commodity futures contracts and does not
track the spot prices of the Index Commodities.
The Index is composed of exchange-traded futures contracts (the
“Index Components”) on the Index Commodities (as defined below). Unlike equities, which typically entitle the holder
to a continuing stake in a corporation, a commodity futures contract is typically an agreement to buy a set amount of an underlying
physical commodity at a predetermined price during a stated delivery period. A futures contract reflects the expected value of
the underlying physical commodity upon delivery in the future. In contrast, the underlying physical commodity’s current or
“spot” price reflects the immediate delivery value of the commodity.
The notes are linked to the Index and not to the spot prices
of the Index Commodities. An investment in the notes is not the same as buying and holding the Index Commodities. While price movements
in the Index Components may correlate with changes in the spot prices of the Index Commodities, the correlation will not be perfect
and price movements in the spot markets for the Index Commodities may not be reflected in the futures market (and vice versa).
Accordingly, an increase in the spot prices of the Index Commodities may not result in an increase in the prices of the Index Components
or the level of the Index. The prices of the Index Components and the level of the Index may decrease while the spot prices for
the Index Commodities remain stable or increase, or do not decrease to the same extent.
Higher future prices of the Index Components relative to their
current prices may have a negative effect on the level of the Index, and therefore the value of the notes.
Commodity indices generally reflect movements in commodity prices
by measuring the value of futures contracts for the applicable commodities. To maintain the Index, as futures contracts approach
expiration, they are replaced by similar contracts that have a later expiration. For example, a futures contract purchased and
held in August may specify an October expiration date. As time passes, the contract expiring in October may be replaced by a contract
for delivery in December. This process is referred to as “rolling.” The level of the Index is calculated as if the
expiring futures contracts are sold and the proceeds from those sales are used to purchase longer-dated futures contracts. The
difference in the price between the contracts that are sold and the new contracts for more distant delivery that are purchased
is called “roll yield,” and the change in price that contracts experience while they are components of the Index is
sometimes referred to as “spot return.”
|
Leveraged Index Return Notes
®
|
TS-
8
|
|
Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
|
|
If the expiring futures contract included in the Index is “rolled”
into a less expensive futures contract with a more distant delivery date, the market for that futures contract is (putting aside
other considerations) trading in “backwardation.” In the example above, the purchase of the December contract would
take place at a price that is lower than the sale price of the October contract. In this case, the effect of the roll yield on
the level of the Index will be positive because it costs less to replace the expiring futures contract. However, if the expiring
futures contract included in the Index is “rolled” into a more expensive futures contract with a more distant delivery
date, the market for that futures contract is trading in “contango.” This would occur, for example, if the purchase
of the December contract took place at a price that is higher than the sale price of the October contract. In this case, the effect
of the roll yield on the level of the Index will be negative because it will cost more to replace the expiring futures contract.
There is no indication that the markets for the Index Components
will consistently be in backwardation or that there will be a positive roll yield that increases the level of the Index. It is
possible, when near-term or spot prices of the underlying commodities are decreasing, for the level of the Index to decrease significantly
over time even when some or all of the constituent commodities are experiencing backwardation. If all other factors remain constant,
the presence of contango in the market for an Index Component could generally result in negative roll yield, even when the near-term
or spot prices of the underlying commodities are stable or increasing, which could decrease the level of the Index and the market
value of the notes.
Risks associated with the Index may adversely affect the market
price of the notes.
The annual composition of the Index will be calculated in reliance
upon historic price, liquidity, and production data that are subject to potential errors in data sources or errors that may affect
the weighting of the Index Components. Bloomberg Finance L.P. (collectively with its affiliates, “Bloomberg”) and UBS
Securities LLC (collectively with its affiliates, “UBS”) may not discover every discrepancy, and any discrepancies
that require revision will not be applied retroactively. These discrepancies may adversely affect the level of the Index and the
market price of the notes.
Furthermore, the weightings for the Index, related indices or
subindices are determined by Bloomberg, which has a significant degree of discretion with respect to the Index, related indices
and subindices. This discretion would permit, among other things, changes to the composition of the Index, related indices or subindices
or changes to the manner or timing of the publication of the levels of such indices at any time during the year if Bloomberg deemed
the changes necessary in light of a number of potential factors.
The notes are linked to the Bloomberg ExEnergy Subindex
SM
Excess Return (Bloomberg symbol “BCOMXE”), an excess return index, not the Bloomberg ExEnergy Subindex
SM
Total Return (Bloomberg symbol “BCOMXETR”).
The notes are linked to the Bloomberg ExEnergy Subindex
SM
Excess Return (Bloomberg symbol “BCOMXE”), an excess return index, which we refer to in this term sheet as the “Index.”
The Index reflects both price movements as well as roll yields. By comparison, the Bloomberg ExEnergy Subindex
SM
Total
Return includes commodity price movements, a roll-return component, and a U.S. Treasury-bill return component to measure a fully
collateralized commodity futures investment. Because the notes are linked to the Index and not the Bloomberg ExEnergy Subindex
SM
Total Return, the Redemption Amount will not reflect the total return feature.
Trading and other transactions by UBS in the futures contracts
comprising the Index and the underlying commodities may adversely affect the level of the Index.
UBS may actively trade the Index Commodities, or futures contracts
or options on the Index Commodities, on a regular basis as part of its general business for proprietary accounts, for other accounts
under management, to facilitate transactions for customers or to hedge obligations under products linked to the Index, related
indices or any index components. UBS may also issue or underwrite securities or financial or derivative instruments with returns
linked to or related to the performance of the Index, any related indices or any index components. These activities may adversely
affect the market value of the Index Components and the level of the Index. UBS may receive substantial returns from these activities
while the market value of the Index Components and the level of the Index decrease. UBS has no obligation to consider your interests.
The Index may in the future include contracts that are not
currently included in the Index or contracts that are not traded on regulated futures exchanges.
The Index was originally based solely on futures contracts traded
on regulated futures exchanges (referred to in the United States as “designated contract markets”). At present, the
Index is comprised exclusively of regulated futures contracts. However, the Index may in the future include over-the-counter contracts
(such as swaps and forward contracts) traded on trading facilities that are subject to lesser degrees of regulation or, in some
cases, no substantive regulation. As a result, trading in such contracts and the manner in which prices and volumes are reported
by the relevant trading facilities may not be subject to the provisions of and the protections afforded by the U.S. Commodity Exchange
Act or other applicable statutes and related regulations that govern trading on regulated U.S. futures exchanges or similar statutes
and regulations that govern trading on regulated U.K. futures exchanges. In addition, many electronic trading facilities have only
recently initiated trading and do not have significant trading histories. As a result, the trading of contracts on such facilities
and the inclusion of such contracts in the Index may be subject to certain risks not presented by U.S. or U.K. exchange-traded
futures contracts, including risks related to the liquidity and price histories of the relevant contracts.
|
Leveraged Index Return Notes
®
|
TS-
9
|
|
Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
|
|
The Index
We have derived all information contained in this term sheet
regarding the Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly
available information. We have not participated in the preparation of, or verified, such publicly available information. Such information
reflects the policies of, and is subject to change by, UBS and Bloomberg (together, the “Index Sponsors”). The Index
was developed by the Index Sponsors and is calculated, maintained and published by the Index Sponsors. The Index Sponsors have
no obligation to continue to publish, and may discontinue or suspend the publication of, the Index at any time. The consequences
of the Index Sponsors discontinuing publication of the Index are discussed in the section entitled “Description of LIRNs—Discontinuance
of a Market Measure” on page PS-27 of product supplement COMM LIRN-1. None of us, the calculation agents or MLPF&S accepts
any responsibility for the calculation, maintenance or publication of the Index or any successor index.
The Index is a subindex of
the Bloomberg Commodity Index
SM
(the “BCOM Index”). The Index includes all futures contracts included in
the BCOM Index with the exception of the Energy Commodity Group, which consists of Crude Oil (WTI and Brent), ULS Diesel, Natural
Gas and Unleaded Gasoline. The Index is calculated using the same methodology as the BCOM Index but with reference only to the
futures contracts on Aluminum, Coffee, Copper, Corn, Cotton, Gold, Lean Hogs, Live Cattle, Nickel, Silver, Soybeans, Soybean Meal,
Soybean Oil, Sugar, Wheat (Chicago and KC HRW) and Zinc, and to their respective weightings within the Index. The determination
of these weights is the same as the BCOM Index and is discussed below. The Index is calculated on an excess return basis which
reflects the return of underlying commodity futures price movements only. The Index is reported by Bloomberg under the ticker symbol
“BCOMXE.”
The BCOM Index Family
The BCOM Index was established
in July 1998 to provide a liquid and diversified benchmark for commodities. The BCOM Index is currently composed of futures contracts
on 20 physical commodities. A commodity futures contract is an agreement that provides for the purchase and sale of a specified
type and quantity of a commodity during a stated delivery month for a fixed price. The 20 commodities for 2017 that compose the
BCOM Index (each, an “Index Commodity” and collectively, the “Index Commodities”) are: Aluminum, Coffee,
Copper, Corn, Cotton, Crude Oil (Brent and WTI), Gold, Lean Hogs, Live Cattle, Natural Gas, Nickel, Silver, Soybeans, Soybean Meal,
Soybean Oil, Sugar, ULS Diesel, Unleaded Gasoline, Wheat (Chicago and KC HRW), and Zinc. Futures contracts on the BCOM Index are
currently listed for trading on the Chicago Board of Trade (the “CBOT”). The Index Commodities currently trade on United
States exchanges, with the exception of aluminum, nickel and zinc, which trade on the London Metal Exchange.
On July 1, 2014, Bloomberg
became responsible for the governance, calculation, distribution and licensing of the BCOM Index. The BCOM Index was renamed from
the Dow Jones–UBS Commodity Index
SM
to the Bloomberg Commodity Index
SM
and the ticker changed from
“DJUBS” to “BCOM.” UBS has maintained its ownership, but will have no role in any aspect of index governance
or calculation.
Methodology
The BCOM Index tracks what
is known as a rolling futures position, which is a position where, on a periodic basis, futures contracts on physical commodities
specifying delivery on a nearby date must be sold and futures contracts on physical commodities that have not yet reached the delivery
period must be purchased. An investor with a rolling futures position is able to avoid delivering underlying physical commodities
while maintaining exposure to those commodities. The rollover for each BCOM Index component occurs over a period of five BCOM Business
Days each month according to a pre-determined schedule.
The methodology for determining
the composition and weighting of the BCOM Index and for calculating its level is subject to modification by the Index Sponsors
at any time. Bloomberg publishes a daily index closing level for the BCOM Index at approximately 5:00 p.m., New York City
time, on each BCOM Business Day on the Bloomberg page set forth above.
A “BCOM Business Day”
means a day on which the sum of the Commodity Index Percentages (as described below under “—Annual Reweighting and
Rebalancing of the BCOM Index”) for the Index Commodities that are open for trading is greater than 50%.
The BCOM Index
was created using the following four main principles
Economic Significance:
To achieve a fair representation of a diversified group of commodities to the world economy, the BCOM Index uses both liquidity
data and U.S. dollar-weighted production data in determining the relative quantities of included commodities. The BCOM Index primarily
relies on liquidity data, or the relative amount of trading activity of a particular commodity, as an important indicator of the
value placed on that commodity by financial and physical market participants. The BCOM Index also relies on production data as
a useful measure of the importance of a commodity to the world economy.
Diversification:
In
order to avoid the BCOM Index being subjected to micro-economic shocks in one commodity or sector, diversification rules have been
established and are applied annually on a price-percentage basis in order to maintain diversified commodities exposure over time.
Continuity:
The BCOM
Index is intended to provide a stable benchmark so that there is confidence that historical performance data is based on a structure
that bears some resemblance to both the current and future composition of the BCOM Index.
Liquidity:
The inclusion
of liquidity as a weighting factor helps to ensure that the BCOM Index can accommodate substantial investment flows.
|
Leveraged Index Return Notes
®
|
TS-
10
|
|
Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
|
|
Designated Contracts
for each Index Commodity
A futures contract known
as a “designated contract” is selected for each of the 24 commodities eligible for inclusion in the BCOM Index. The
24 commodities eligible for inclusion in the BCOM Index are: Aluminum, Cocoa, Coffee, Copper, Corn, Cotton, Crude Oil (Brent and
WTI), Gold, Lead, Lean Hogs, Live Cattle, Natural Gas, Nickel, Platinum, Silver, Soybeans, Soybean Meal, Soybean Oil, Sugar, Tin,
ULS Diesel, Unleaded Gasoline, Wheat (Chicago and KC HRW), and Zinc. With the exception of several LME contracts, crude oil and
wheat, where there exists more than one futures contract with sufficient liquidity to be chosen as a designated contract for an
eligible commodity, the futures contract that is traded in North America and denominated in United States dollars has been chosen.
If more than one of those contracts exists, the most actively traded contract is chosen. Data concerning this designated contract
will be used to calculate the BCOM Index. The termination or replacement of a futures contract on an established exchange occurs
infrequently. If a designated contract were to be terminated or replaced, a comparable futures contract would be selected, if available,
to replace that designated contract. The 24 commodities eligible for inclusion in the BCOM Index are traded on the LME, CBOT, the
New York Commodities Exchange (“COMEX”), the Chicago Mercantile Exchange (“CME”), the New York Mercantile
Exchange (the “NYMEX”) and the Intercontinental Exchange (“ICE”).
Commodity Groups
For purposes of applying
the diversification rules discussed above and below, the commodities available for inclusion in the BCOM Index are assigned to
“Commodity Groups.” The Commodity Groups, and the commodities currently included in each Commodity Group, are as follows:
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Commodity Group:
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Commodities:
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Commodity Group:
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Commodities:
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Energy
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Crude Oil (WTI and Brent)
Natural Gas
ULS Diesel Unleaded Gasoline
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Livestock
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Live Cattle
Lean Hogs
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Industrial Metals
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Aluminum
Copper
Nickel
Zinc
Lead***
Tin***
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Precious Metals
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Gold
Silver
Platinum***
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Grains
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Corn
Soybeans
Soybean Oil
Soybean
Meal Wheat (Chicago and KC HRW)
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Softs
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Coffee
Cotton
Sugar
Cocoa***
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****
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Out
of the 24 commodities available for inclusion annually in the BCOM Index, only those four commodities marked in the table above
with asterisks are currently not included in the BCOM Index.
|
Annual Reweighting
and Rebalancing of the BCOM Index
The BCOM Index is reweighted
and rebalanced each year in January on a price-percentage basis. The annual weightings for the BCOM Index are determined each year
in June or July. The annual weightings are announced in July and implemented the following January.
The relative weightings of
the component commodities included in the BCOM Index are determined annually according to both liquidity and U.S. dollar-adjusted
production data in two-thirds and one-third shares, respectively. For each commodity designated for potential inclusion in the
BCOM Index, liquidity is measured by the commodity liquidity percentage (the “CLP”) and production by the commodity
production percentage (the “CPP”). The CLP for each commodity is determined by taking a five-year average of the product
of the trading volume and the historic U.S. dollar value of the designated contract for that commodity, and dividing the result
by the sum of the products for all commodities which were designated for potential inclusion in the BCOM Index. The CPP is determined
for each commodity by taking a five-year average of annual world production figures, adjusted by the historic U.S. dollar value
of the designated contract, and dividing the result by the sum of the production figures for all the commodities which were designated
for potential inclusion in the BCOM Index. The CLP and CPP are then combined (using a ratio of 2:1) to establish the Commodity
Index Percentage (the “CIP”) for each commodity. The CIP is then adjusted in accordance with the diversification rules
described below in order to determine the commodities which will be included in the BCOM Index and their respective percentage
weights.
To ensure that no single
commodity or commodity sector dominates the BCOM Index, the following diversification rules are applied to the annual reweighting
and rebalancing of the BCOM Index as of January of the applicable year:
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•
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No single commodity may constitute more than 15% of the BCOM Index;
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Leveraged Index Return Notes
®
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TS-
11
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Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
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•
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No single commodity, together with its derivatives (e.g., WTI Crude Oil and Brent Crude Oil, together
with ULS Diesel and Unleaded Gasoline), may constitute more than 25% of the BCOM Index;
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•
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No related group of commodities (e.g., energy, precious metals, livestock or grains) may constitute
more than 33% of the BCOM Index; and
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•
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No single commodity (e.g. natural gas, silver) may constitute less than 2% of the BCOM Index, as liquidity
allows.
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The last rule above helps
to increase the diversification of the BCOM Index by giving even the smallest commodity within the basket a reasonably significant
weight. Commodities with small weights initially may have their weights increased to higher than 2%. Any commodities with CIPs
under 0.4% are eliminated.
Following the annual reweighting
and rebalancing of the BCOM Index in January, the percentage of any single commodity or group of commodities at any time prior
to the next reweighting or rebalancing will fluctuate and may exceed or be less than the percentages set forth above.
Following application of
the diversification rules discussed above, the CIPs are incorporated into the BCOM Index by calculating the new unit weights for
each Index Commodity. Near the beginning of each new calendar year, the CIPs, along with the settlement prices on that date for
the BCOM Index components, are used to determine the commodity index multiplier (the “
CIM
”) for each Index Commodity.
The CIM is used to achieve the percentage weightings of the Index Commodities, in dollar terms, indicated by their respective CIPs.
After the CIMs are calculated, they remain fixed throughout the year. As a result, the observed price percentage of each Index
Commodity will float throughout the year, until the CIMs are reset the following year based on new CIPs.
Computation of
the Bloomberg Commodity Index
SM
The BCOM Index is calculated by Bloomberg by applying the impact
of the changes to the prices of the BCOM Index components (based on their relative weightings). Once the CIMs are determined as
discussed above, the calculation of the BCOM Index is a mathematical process whereby the CIMs for the BCOM Index components are
multiplied by the prices for the BCOM Index components. These products are then summed. The percentage change in this sum is then
applied to the prior level of the BCOM Index to calculate the current level of the BCOM Index level. The BCOM Index is calculated
on an excess return and on a total return basis.
The following graph shows the daily historical performance
of the Index in the period from January 1, 2008 through July 12, 2017. We obtained this historical data from Bloomberg L.P. We
have not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. On the pricing date,
the closing level of the Index was 90.73852. The Starting Value, adjusted as described on page TS-2 above, was 90.72669.
Historical Performance of the Index
This historical data on the Index is not necessarily indicative
of the future performance of the Index or what the value of the notes may be. Any historical upward or downward trend in the level
of the Index during any period set forth above is not an indication that the level of the Index is more or less likely to increase
or decrease at any time over the term of the notes.
Before investing in the notes, you should consult publicly available
sources for the levels of the Index.
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Leveraged Index Return Notes
®
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TS-
12
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Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
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License Agreement
“Bloomberg
®
'”, “Bloomberg ExEnergy
Subindex
SM
Excess Return” are service marks of Bloomberg Finance L.P. and its affiliates (collectively, “Bloomberg”)
and have been licensed for use for certain purposes by Deutsche Bank.
The notes are not sponsored, endorsed, sold or promoted by Bloomberg,
UBS AG, UBS Securities LLC (“UBS Securities”) or any of their subsidiaries or affiliates. None of Bloomberg, UBS AG,
UBS Securities or any of their subsidiaries or affiliates makes any representation or warranty, express or implied, to the owners
of or counterparties to the notes or any member of the public regarding the advisability of investing in securities or commodities
generally or in the notes particularly. The only relationship of Bloomberg, UBS AG, UBS Securities or any of their subsidiaries
or affiliates to the Licensee is the licensing of certain trademarks, trade names and service marks and of the Index, which is
determined, composed and calculated by Bloomberg in conjunction with UBS Securities without regard to Deutsche Bank or the notes.
Bloomberg and UBS Securities have no obligation to take the needs of Deutsche Bank or the owners of the notes into consideration
in determining, composing or calculating the Index. None of Bloomberg, UBS AG, UBS Securities or any of their respective subsidiaries
or affiliates is responsible for or has participated in the determination of the timing of, prices at, or quantities of the notes
to be issued or in the determination or calculation of the equation by which the notes are to be converted into cash. None of Bloomberg,
UBS AG, UBS Securities or any of their subsidiaries or affiliates shall have any obligation or liability, including, without limitation,
to notes customers, in connection with the administration, marketing or trading of the notes. Notwithstanding the foregoing, UBS
AG, UBS Securities and their respective subsidiaries and affiliates may independently issue and/or sponsor financial products unrelated
to the notes currently being issued by Licensee, but which may be similar to and competitive with the notes. In addition, UBS AG,
UBS Securities and their subsidiaries and affiliates actively trade commodities, commodity indexes and commodity futures (including
the Bloomberg Commodity Index
SM
and the Bloomberg Commodity Index Total Return
SM
), as well as swaps, options
and derivatives which are linked to the performance of such commodities, commodity indexes and commodity futures. It is possible
that this trading activity will affect the level of the Index and the notes.
This term sheet relates only to the notes and does not relate
to the exchange-traded physical commodities underlying any of the Index Components. Purchasers of the notes should not conclude
that the inclusion of a futures contract in the Index is any form of investment recommendation of the futures contract or the underlying
exchange-traded physical commodity by Bloomberg, UBS AG, UBS Securities or any of their subsidiaries or affiliates. The information
in this term sheet regarding the Index and the Index Components has been derived solely from publicly available documents. None
of Bloomberg, UBS AG, UBS Securities or any of their subsidiaries or affiliates has made any due diligence inquiries with respect
to the Index or the Index Components in connection with the notes. None of Bloomberg, UBS AG, UBS Securities or any of their subsidiaries
or affiliates makes any representation that these publicly available documents or any other publicly available information regarding
the Index or the Index Components, including without limitation a description of factors that affect the prices of such components,
are accurate or complete.
NONE OF BLOOMBERG, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES
OR AFFILIATES GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO AND NONE OF BLOOMBERG, UBS
AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS
THEREIN. NONE OF BLOOMBERG, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY WARRANTY, EXPRESS OR IMPLIED,
AS TO RESULTS TO BE OBTAINED BY DEUTSCHE BANK, OWNERS OF THE NOTES OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY
DATA RELATED THERETO. NONE OF BLOOMBERG, UBS AG, UBS SECURITIES OR ANY OF THEIR SUBSIDIARIES OR AFFILIATES MAKES ANY EXPRESS OR
IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT
TO THE INDEX OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG,
ITS LICENSORS (INCLUDING UBS), AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS SHALL HAVE NO
LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES-WHETHER DIRECT, INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE
OR OTHERWISE—ARISING IN CONNECTION WITH THE NOTES OR THE
INDEX
OR ANY DATA
OR VALUES RELATING THERETO—WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF.
THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS AMONG BLOOMBERG, UBS SECURITIES AND DEUTSCHE BANK, OTHER
THAN UBS AG.
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Leveraged Index Return Notes
®
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TS-
13
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Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
|
|
Supplement to the Plan of Distribution
Under our distribution agreement with MLPF&S, MLPF&S
will purchase the notes from us as principal at the public offering price indicated on the cover of this term sheet, less the indicated
underwriting discount.
We will deliver the notes against payment therefor in New York,
New York on a date that is greater than three business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange
Act of 1934, trades in the secondary market generally are required to settle in three business days, unless the parties to any
such trade expressly agree otherwise. Accordingly, purchasers who wish to trade the notes more than three business days prior to
the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.
The notes will not be listed on any securities exchange. In the
original offering of the notes, the notes will be sold in minimum investment amounts of 100 units. If you place an order to purchase
the notes, you are consenting to MLPF&S acting as a principal in effecting the transaction for your account.
MLPF&S has advised us that they or their affiliates may repurchase
and resell the notes, with repurchases and resales being made at prices related to then-prevailing market prices or at negotiated
prices, and these prices will include MLPF&S’s trading commissions and mark-ups. MLPF&S may act as principal or agent
in these market-making transactions; however, it is not obligated to engage in any such transactions. At MLPF&S’s discretion,
for a short, undetermined initial period after the issuance of the notes, MLPF&S may offer to buy the notes in the secondary
market at a price that may exceed the estimated value of the notes at the time of repurchase. Any price offered by MLPF&S for
the notes will be based on then-prevailing market conditions and other considerations, including the performance of the Index,
the remaining term of the notes, and our creditworthiness. However, none of us, MLPF&S, or any of our respective affiliates
is obligated to purchase your notes at any price or at any time, and we cannot assure you that we, MLPF&S, or any of our respective
affiliates will purchase your notes at a price that equals or exceeds the estimated value of the notes at the time of repurchase.
MLPF&S has also advised us that, if you hold your notes in
a MLPF&S account, the value of the notes shown on your account statement will be based on MLPF&S’s estimate of the
value of the notes if MLPF&S or another of its affiliates were to make a market in the notes, which it is not obligated to
do. That estimate will be based upon the price that MLPF&S may pay for the notes in light of then-prevailing market conditions
and other considerations, as mentioned above, and will include transaction costs. This price may be higher than or lower than the
initial estimated value of the notes.
The distribution of the Note Prospectus in connection with these
offers or sales will be solely for the purpose of providing investors with the description of the terms of the notes that was made
available to investors in connection with their initial offering. Secondary market investors should not, and will not be authorized
to, rely on the Note Prospectus for information regarding Deutsche Bank or for any purpose other than that described in the immediately
preceding sentence.
Structuring the Notes
The notes are our debt securities, the return on which is linked
to the performance of the Index. As is the case for all of our debt securities, including our market-linked notes, the economic
terms of the notes reflect our actual or perceived creditworthiness at the time of pricing. The internal funding rate we use in
pricing the market-linked note is typically lower than the rate we would pay when we issue conventional debt securities of comparable
maturity. This generally relatively lower internal funding rate, which is reflected in the economic terms of the notes, along with
the fees and charges associated with market-linked notes, resulted in the initial estimated value of the notes on the pricing date
being less than their public offering price.
At maturity, we are required to pay the Redemption Amount to
holders of the notes, which will be calculated based on the performance of the Index and the $10 principal amount per unit. In
order to meet these payment obligations, at the time we issue the notes, we expect to enter into certain hedging arrangements (which
may include call options, put options or other derivatives) with MLPF&S or one of its affiliates. The terms of these hedging
arrangements are determined by seeking bids from market participants, which may include us, MLPF&S and one of our respective
affiliates, and take into account a number of factors, including our creditworthiness, interest rate movements, the volatility
of the Index, the tenor of the notes and the tenor of the hedging arrangements. The economic terms of the notes and their initial
estimated value depend in part on the terms of these hedging arrangements.
MLPF&S has advised us that the hedging arrangements will
include a hedging related charge of approximately $0.075 per unit, reflecting an estimated profit to be credited to MLPF&S
from these transactions. Since hedging entails risk and may be influenced by unpredictable market forces, additional profits and
losses from these hedging arrangements may be realized by us, MLPF&S or any other hedge providers.
For further information, see “Risk Factors—General
Risks Relating to LIRNs” beginning on page PS-7 and “Use of Proceeds and Hedging” on page PS-21 of product supplement
COMM LIRN-1.
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Leveraged Index Return Notes
®
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TS-
14
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Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
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Summary Tax Consequences
In the opinion of our special tax counsel, Davis Polk & Wardwell
LLP, which is based on prevailing market conditions, it is more likely than not that the notes will be treated for U.S. federal
income tax purposes as prepaid financial contracts that are not debt. Generally, if this treatment is respected, (i) you should
not recognize taxable income or loss prior to the maturity or other taxable disposition of your notes and (ii) the gain or loss
on your notes should be capital gain or loss and should be long-term capital gain or loss if you have held the notes for more than
one year. The Internal Revenue Service (the “
IRS
”) or a court might not agree with this treatment, however,
in which case the timing and character of income or loss on your notes could be materially and adversely affected.
In 2007, the U.S. Treasury Department and the IRS released a
notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether beneficial owners of these instruments should be required
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character
of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to
which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. persons
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership”
regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional
interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of
an investment in the notes, possibly with retroactive effect.
You should review carefully the section of the accompanying product
supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion, when read in combination with
that section, constitutes the full opinion of our special tax counsel regarding the material U.S. federal income tax consequences
of owning and disposing of the notes.
Under current law, the United Kingdom will not impose withholding
tax on payments made with respect to the notes.
For a discussion of certain German tax considerations relating
to the notes, you should refer to the section in the accompanying prospectus supplement entitled “Taxation by Germany of
Non-Resident Holders.”
You should consult your tax advisor regarding the U
.
S
.
federal tax consequences of an investment in the notes
(
including possible alternative treatments and the issues presented
by the 2007 notice
),
as well as tax consequences arising under the laws of any state
,
local or non
-
U
.
S
.
taxing jurisdiction
.
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Leveraged Index Return Notes
®
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TS-
15
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Leveraged Index Return Notes
®
Linked to the Bloomberg ExEnergy Subindex
SM
Excess Return, due July 29, 2022
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