Key Terms
Issuer:
|
Deutsche
Bank AG, London Branch
|
Issue
Price:
|
100%
of the Face Amount
|
Underlyings:
|
Underlying
|
Ticker
Symbol
|
Initial
Price
†
|
Trigger
Price
†
|
|
SPDR
®
S&P
®
Regional Banking ETF
|
KRE
|
|
|
|
Energy
Select Sector SPDR
®
Fund
|
XLE
|
|
|
|
|
|
|
|
|
†
The Initial Price and Trigger Price for each Underlying will be set on the Trade Date.
|
|
|
High
Digital Return:
|
Between
42.00% and 48.00%. The actual High Digital Return will be determined on the Trade Date and will be between 42.00% and 48.00%.
Accordingly, the maximum Payment at Maturity will be between $1,420.00 and $1,480.00 per $1,000 Face Amount of notes.
|
Low
Digital Return:
|
10.00%
|
|
(
Key
Terms continued on next page
)
|
Investing
in the notes involves a number of risks
.
See
“
Risk Factors
”
beginning on page 7 of the accompanying
product supplement
,
page PS
–
5 of the accompanying prospectus supplement and page 13 of the accompanying prospectus
and
“
Selected Risk Considerations
”
beginning on page PS
–
10 of this pricing supplement
.
The
Issuer
’
s estimated value of the notes on the Trade Date is approximately $913
.
90 to $933
.
90 per $1
,
000
Face Amount of notes
,
which is less than the Issue Price
.
Please see
“
Issuer
’
s Estimated
Value of the Notes
”
on page PS
–
3 of this pricing supplement for additional information
.
By
acquiring the notes
,
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 notes or the conversion of the notes 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 notes
.
Please
see
“
Resolution Measures and Deemed Agreement
”
on page PS
–
4 of this pricing supplement
for more information
.
Neither
the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed
upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement, product supplement, prospectus
supplement or prospectus. Any representation to the contrary is a criminal offense.
|
Price
to Public
|
Discounts
and Commissions
(1)
|
Proceeds
to Us
|
Per
Note
|
$1,000.00
|
$2.50
|
$997.50
|
Total
|
$
|
$
|
$
|
|
(1)
|
For more detailed information
about discounts and commissions, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing
supplement. The notes will be sold with underwriting discounts and commissions in an amount of $2.50 per $1,000 Face Amount of
notes.
|
The
agent for this offering is our affiliate. For more information, please see “Supplemental Plan of Distribution (Conflicts
of Interest)” in this pricing supplement.
The
notes are not deposits or savings accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any
other U
.
S
.
or foreign governmental agency or instrumentality
.
Deutsche Bank Securities
October , 2017
(
Key
Terms continued from previous page
)
|
|
Payment
at Maturity:
|
·
If the Final Price of the Laggard Underlying is
greater than
or
equal to
its Initial Price
, you will
receive a cash payment per $1,000 Face Amount of notes at maturity calculated as follows:
|
|
|
|
$1,000 + ($1,000 x High Digital Return)
|
·
If the Final Price of the Laggard Underlying is
less than
its Initial Price but
greater than
or
equal
to
its Trigger Price
, you will receive a cash payment per $1,000 Face Amount of notes at maturity calculated as
follows:
$1,000
+ ($1,000 x Low Digital Return)
·
If the Final Price of the Laggard Underlying is
less than
its Trigger Price
, you will receive a cash payment
per $1,000 Face Amount of notes at maturity calculated as follows:
|
$1,000 + ($1,000 x Underlying Return of the Laggard Underlying)
|
If
the Final Price of the Laggard Underlying is less than its Trigger Price
,
you will be fully exposed to the negative
Underlying Return of the Laggard Underlying and, for each $1
,
000 Face Amount of notes
,
you will lose 1
.
00%
of the Face Amount for every 1
.
00% by which the Final Price of the Laggard Underlying is less than its Initial Price
.
In this circumstance
,
you will lose a significant portion or all of your investment at maturity
.
Any payment
at maturity is subject to the credit of the Issuer
.
|
Laggard Underlying:
|
The
Underlying with the lower Underlying Return on the Final Valuation Date. If the calculation agent determines that the two
Underlyings have equal Underlying Returns, then the calculation agent will, in its sole discretion, designate either of the
Underlyings as the Laggard Underlying.
|
Trigger Price:
|
For
each Underlying, 60.00% of the Initial Price of such Underlying, as set forth in the table under “Underlyings”
above
|
Underlying
Return:
|
For each Underlying, the performance of such Underlying from its Initial Price to its Final Price, calculated as follows:
|
Final Price – Initial Price
|
Initial Price
|
The
Underlying Return for each Underlying may be positive
,
zero or negative
.
|
Initial
Price:
|
For
each Underlying, the Closing Price of such Underlying on the Trade Date, as set forth in the table under “Underlyings”
above
|
Final
Price:
|
For
each Underlying, the Closing Price of such Underlying on the Final Valuation Date
|
Closing
Price:
|
For
each Underlying, the closing price of one share of such Underlying on the relevant date of calculation
multiplied by
the then-current Share Adjustment Factor applicable to such Underlying, as determined by the calculation agent
|
Share
Adjustment Factor:
|
For
each Underlying, initially 1.0, subject to adjustment for certain actions affecting such Underlying. See “Description
of Securities — Anti-Dilution Adjustments for Funds” in the accompanying product supplement.
|
Trade
Date
2
:
|
October
25, 2017
|
Settlement
Date
2
:
|
October
30, 2017
|
Final
Valuation Date:
1, 2
:
|
October
25, 2021
|
Maturity
Date
1, 2
:
|
October
28, 2021
|
Listing:
|
The
notes will not be listed on any securities exchange.
|
CUSIP
/ ISIN:
|
25155MEY3
/ US25155MEY30
|
|
1
|
Subject to adjustment as described under “Description
of Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement.
|
|
2
|
In the event that we make any changes to the expected
Trade Date or Settlement Date, the Final Valuation Date and Maturity Date may be changed so that the stated term of the notes
remains the same.
|
Issuer
’
s Estimated Value of the Notes
The Issuer’s estimated value of the
notes is equal to the sum of our valuations of the following two components of the notes: (i) a bond and (ii) an embedded derivative(s).
The value of the bond component of the notes is calculated based on the present value of the stream of cash payments associated
with a conventional bond with a principal amount equal to the Face Amount of notes, discounted at an internal funding rate, which
is determined primarily based on our market-based yield curve, adjusted to account for our funding needs and objectives for the
period matching the term of the notes. The internal funding rate is typically lower than the rate we would pay when we issue conventional
debt securities on equivalent terms. This difference in funding rate, as well as the agent’s commissions, if any, and the
estimated cost of hedging our obligations under the notes, reduces the economic terms of the notes to you and is expected to adversely
affect the price at which you may be able to sell the notes in any secondary market. The value of the embedded derivative(s) is
calculated based on our internal pricing models using relevant parameter inputs such as expected interest and dividend rates and
mid-market levels of price and volatility of the assets underlying the notes or any futures, options or swaps related to such underlying
assets. Our internal pricing models are proprietary and rely in part on certain assumptions about future events, which may prove
to be incorrect.
The Issuer’s estimated value of the
notes on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the notes. The difference
between the Issue Price and the Issuer’s estimated value of the notes on the Trade Date is due to the inclusion in the Issue
Price of the agent’s commissions, if any, and the cost of hedging our obligations under the notes through one or more of
our affiliates. Such hedging cost includes our or our affiliates’ expected cost of providing such hedge, as well as the profit
we or our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.
The Issuer’s estimated value of the
notes on the Trade Date does not represent the price at which we or any of our affiliates would be willing to purchase your notes
in the secondary market at any time. Assuming no changes in market conditions or our creditworthiness and other relevant factors,
the price, if any, at which we or our affiliates would be willing to purchase the notes from you in secondary market transactions,
if at all, would generally be lower than both the Issue Price and the Issuer’s estimated value of the notes on the Trade
Date. Our purchase price, if any, in secondary market transactions will be based on the estimated value of the notes determined
by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure of our cost
of funds and (ii) our pricing models at that time, less a bid spread determined after taking into account the size of the repurchase,
the nature of the assets underlying the notes and then-prevailing market conditions. The price we report to financial reporting
services and to distributors of our notes for use on customer account statements would generally be determined on the same basis.
However, during the period of approximately six months beginning from the Trade Date, we or our affiliates may, in our sole discretion,
increase the purchase price determined as described above by an amount equal to the declining differential between the Issue Price
and the Issuer’s estimated value of the notes on the Trade Date, prorated over such period on a straight-line basis, for
transactions that are individually and in the aggregate of the expected size for ordinary secondary market repurchases.
Resolution Measures and Deemed Agreement
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 notes may be subject to any Resolution Measure by the competent resolution authority if we become, or
are deemed by the competent supervisory authority to have become, “non-viable” (as defined under the then applicable
law) and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable to us. By acquiring
the notes, 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 notes, 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 notes
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 notes; (ii) convert 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)
apply 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. 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 notes, 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 notes 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 notes, 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 notes; 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 notes; (ii) authorized, directed
and requested The Depository Trust Company (“
DTC
”) and any direct participant in DTC or other intermediary through
which you hold such notes to take any and all necessary action, if required, to implement the imposition of any Resolution Measure
with respect to the notes 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 notes.
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 Notes
You
should read this pricing supplement together with underlying supplement No. 1 dated August 17, 2015, product supplement B dated
July 31, 2015, the prospectus supplement dated July 31, 2015 relating to our Series A global notes of which these notes are a part
and the prospectus dated April 27, 2016. Delaware Trust Company, which acquired the corporate trust business of Law Debenture Trust
Company of New York, is the successor trustee of the notes. When you read the accompanying underlying supplement, product supplement
and prospectus supplement, please note that all references in such supplements to the prospectus dated July 31, 2015, or to any
sections therein, should refer instead to the accompanying prospectus dated April 27, 2016 or to the corresponding sections of
such prospectus, as applicable, unless otherwise specified or the context otherwise requires. You may access these documents on
the website of the Securities and Exchange Commission (the “
SEC
”) at
.
www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
|
·
|
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 notes and supersedes all other prior or
contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in this pricing supplement and in “Risk Factors” in the accompanying
product supplement, prospectus supplement and prospectus, as the notes involve risks not associated with conventional debt securities.
We urge you to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the notes.
You
may revoke your offer to purchase the notes 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 notes prior to their
issuance
.
We will notify you in the event of any changes to the terms of the notes and you will be asked to accept such
changes in connection with your purchase of any notes
.
You may choose to reject such changes
,
in which case we may
reject your offer to purchase the notes
.
Hypothetical Examples
The following table illustrates a range
of hypothetical payments at maturity on the notes. The table and the hypothetical examples below assume a High Digital Return of
45.00% (the midpoint of the range set forth on the cover) and reflect the Low Digital Return of 10.00% and the Trigger Price for
each Underlying equal to 60.00% of its Initial Price. The actual Initial Price and Trigger Price for each Underlying and the actual
High Digital Return will be determined on the Trade Date. The table and hypothetical examples set forth below are for illustrative
purposes only. The actual return applicable to a purchaser of the notes will be based on the Underlying Return of the Laggard Underlying,
which will be based on the performance of the Laggard Underlying as measured on the Final Valuation Date. The numbers appearing
in the table and hypothetical examples below may have been rounded for ease of analysis and it has been assumed that no event affecting
either Underlying has occurred during the term of the notes that would cause the calculation agent to adjust the Share Adjustment
Factor for such Underlying. You should consider carefully whether the notes are suitable to your investment goals.
We make no representation or warranty
as to which of the Underlyings will be the Laggard Underlying for purposes of calculating the Payment at Maturity
.
Hypothetical
Underlying Return of the Laggard Underlying
(%)
|
Hypothetical
Payment at Maturity
($)
|
Hypothetical
Return on the Notes
(%)
|
100.00%
|
$1,450.00
|
45.00%
|
90.00%
|
$1,450.00
|
45.00%
|
80.00%
|
$1,450.00
|
45.00%
|
70.00%
|
$1,450.00
|
45.00%
|
60.00%
|
$1,450.00
|
45.00%
|
50.00%
|
$1,450.00
|
45.00%
|
40.00%
|
$1,450.00
|
45.00%
|
30.00%
|
$1,450.00
|
45.00%
|
20.00%
|
$1,450.00
|
45.00%
|
10.00%
|
$1,450.00
|
45.00%
|
5.00%
|
$1,450.00
|
45.00%
|
0
.
00%
|
$1
,
450
.
00
|
45
.
00%
|
-1.00%
|
$1,100.00
|
10.00%
|
-5.00%
|
$1,100.00
|
10.00%
|
-10.00%
|
$1,100.00
|
10.00%
|
-20.00%
|
$1,100.00
|
10.00%
|
-30.00%
|
$1,100.00
|
10.00%
|
-
40
.
00%
|
$1
,
100
.
00
|
10
.
00%
|
-41.00%
|
$590.00
|
-41.00%
|
-50.00%
|
$500.00
|
-50.00%
|
-60.00%
|
$400.00
|
-60.00%
|
-70.00%
|
$300.00
|
-70.00%
|
-80.00%
|
$200.00
|
-80.00%
|
-90.00%
|
$100.00
|
-90.00%
|
-100.00%
|
$0.00
|
-100.00%
|
Hypothetical Examples of Amounts Payable at Maturity
The following hypothetical examples illustrate
how the payments on the notes at maturity set forth in the table above are calculated.
Example
1
:
The Final Prices of both Underlyings are greater than their respective Initial Prices
,
resulting in an Underlying
Return of the Laggard Underlying of 70
.
00%
. Because the Final Price of the Laggard Underlying is greater than its Initial
Price, the investor receives a return on the notes equal to the High Digital Return of 45.00% and a Payment at Maturity of $1,450.00
per $1,000 Face Amount of notes, calculated as follows:
$1,000
+ ($1,000 x High Digital Return)
$1,000
+ ($1,000 x 45.00%) = $1,450.00
In
this example, even though the Final Price of the Laggard Underlying is greater than its Initial Price by 70.00%, because the maximum
gain on the notes is limited to the High Digital Return of 45.00%, the investor will receive a return on the notes equal to the
High Digital Return.
Example 2
:
The Final Price of
the Laggard Underlying is less than its Initial Price
,
resulting in an Underlying Return of the Laggard Underlying of
-
5
.
00%
,
while the Final Price of the other Underlying is greater than its Initial Price
.
B
ecause
the Final Price of the Laggard Underlying is less than its Initial Price but greater than its Trigger Price (equal to 60.00% of
its Initial Price), the investor receives a return on the notes equal to the Low Digital Return of 10.00% and a Payment at Maturity
of $1,100.00 per $1,000 Face Amount of notes, calculated as follo
ws:
$1,000
+ ($1,000 x Low Digital Return)
$1,000
+ ($1,000 x 10.00%) = $1,100.00
In
this example, even though the Final Price of the other Underlying is greater than its Initial Price, because the Payment at Maturity
is determined by reference to the performance of the Laggard Underlying, the investor will receive a return on the notes equal
to the Low Digital Return.
Example 3
:
The Final Price of
the Laggard Underlying is less than its Trigger Price
,
resulting in an Underlying Return of the Laggard Underlying of
-
50
.
00%
,
while the Final Price of the other Underlying is greater than its Initial Price
. Because the Final Price of the Laggard
Underlying is less than its Trigger Price, the investor receives a Payment at Maturity of $500.00 per $1,000 Face Amount of notes,
calculated as follows:
$1,000 + ($1,000 x Underlying Return of
the Laggard Underlying)
$1,000 + ($1,000 x -50.00%)
= $500.00
In
this example, even though the Final Price of the other Underlying is greater than its Initial Price, because the Payment at Maturity
is determined by reference to the performance of the Laggard Underlying, the investor will lose 50.00% of its investment, reflecting,
for each $1,000 Face Amount of notes, a 1.00% loss of the Face Amount for every 1.00% by which the Final Price of the Laggard Underlying
is less than its Initial Price.
Example
4
:
The Final Prices of both Underlyings are less than their respective Trigger Prices
,
resulting in an Underlying
Return of the Laggard Underlying of
-
70
.
00%
. Because the Final Price of the Laggard Underlying is less than its
Trigger Price, the investor will receive a Payment at Maturity of $300.00 per $1,000 Face Amount of notes, calculated as follows:
$1,000 + ($1,000 x Underlying Return of
the Laggard Underlying)
$1,000 + ($1,000 x -70.00%)
= $300.00
In this example, the investor will lose 70.00% of its investment,
reflecting, for each $1,000 Face Amount of notes, a 1.00% loss of the Face Amount for every 1.00% by which the Final Price of the
Laggard Underlying is less than its Initial Price.
Selected Purchase Considerations
|
·
|
POTENTIAL POSITIVE RETURN ON THE NOTES
IS FIXED AND LIMITED
— If the Final Price of the Laggard Underlying is
greater than
or
equal to
its Initial
Price, your return on the notes will be limited to the High Digital Return of between 42.00% and 48.00% (to be determined on the
Trade Date), resulting in a maximum Payment at Maturity of between $1,420.00 and $1,480.00 per $1,000 Face Amount of notes. If
the Final Price of the Laggard Underlying is
less than
its Initial Price but
greater than
or
equal to
its
Trigger Price, your return on the notes will be limited to the Low Digital Return of 10.00%. In no case will the return on the
notes be greater than the High Digital Return, regardless of any increase in the prices of the Underlyings, which could be significant.
Any payment on the notes is subject to our ability to satisfy our obligations as they become due
.
|
|
·
|
LIMITED
PROTECTION AGAINST LOSS
— If the Final Price of the Laggard Underlying is less than its Initial Price but
greater
than
or
equal to
its Trigger Price, you will receive a return on the notes at maturity equal to the Low Digital Return.
However, if the Final Price of the Laggard Underlying is
less than
its Trigger Price, for each $1,000 Face Amount of notes,
you will lose 1.00% of the Face Amount for every 1.00% by which the Final Price of the Laggard Underlying is less than its Initial
Price. In this circumstance, you will lose a significant portion or all of your investment in the notes at maturity.
|
|
·
|
RETURN
LINKED TO THE LESSER PERFORMING OF THE TWO UNDERLYINGS
— The return on the notes, which may be positive, zero or negative,
is linked to the lesser performing of the SPDR
®
S&P
®
Regional Banking ETF and the Energy Select
Sector SPDR
®
Fund as described herein.
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SPDR
®
S&P
®
Regional Banking ETF
The
SPDR
®
S&P
®
Regional Banking ETF is an exchange-traded fund managed by SPDR
®
Series
Trust, a registered investment company. The SPDR
®
Series Trust consists of numerous separate investment portfolios,
including the SPDR
®
S&P
®
Regional Banking ETF. SSgA Funds Management, Inc. is the investment
adviser of the SPDR
®
S&P
®
Regional Banking ETF. The SPDR
®
S&P
®
Regional Banking ETF seeks to provide investment results that correspond generally to the total return performance, before fees
and expenses, of the S&P
®
Regional Banks Select Industry
TM
Index, which represents the regional banking
sub-industry portion of the U.S. equity market. The SPDR
®
S&P
®
Regional Banking ETF trades on
the NYSE Arca under the ticker symbol “KRE.”
This is only a summary of the SPDR
®
S&P
®
Regional Banking ETF
.
For more information on the SPDR
®
S&P
®
Regional
Banking ETF
,
please see the section entitled “The Select Industry SPDR Exchange Traded Funds — The SPDR
®
S&P
®
Regional Banking ETF” in the accompanying underlying supplement No
.
1 dated August
17
,
2015
.
For more information on the S&P
®
Regional Banks Select Industry
TM
Index
,
please see the section entitled “The S&P Dow Jones Indices — The S&P Select Industry Indices
— The S&P
®
Regional Banks Select Industry Index” in the accompanying underlying supplement
No
.
1 dated August 17
,
2015
.
Energy Select Sector SPDR
®
Fund
The Energy Select Sector SPDR
®
Fund is an exchange-traded fund managed by SPDR
®
Series Trust, a registered investment company. The SPDR
®
Series Trust consists of numerous separate investment portfolios, including the Energy Select Sector SPDR
®
Fund.
The investment advisor to the Energy Select Sector SPDR
®
Fund is SSgA Funds Management, Inc. The Energy Select Sector
SPDR
®
Fund seeks to provide investment results that, before fees and expenses, correspond generally to the price
and yield performance of the Energy Select Sector Index, which measures the performance of the energy sector of the U.S. equity
market. The Energy Select Sector Index includes companies from the following industries: oil, gas, consumable fuels, energy equipment
and services. The Energy Select Sector SPDR
®
Fund trades on the NYSE Arca under the ticker symbol “XLE.”
This is only a summary of the Energy Select Sector SPDR
®
Fund
.
For more information on the Energy
Select Sector SPDR
®
Fund
,
including information concerning its composition
,
calculation methodology
and adjustment policy
,
please see the section entitled “Exchange Traded Funds — The Select Sector SPDR Exchange
Traded Funds — The Energy Select Sector SPDR
®
Fund” in the accompanying underlying supplement
No
.
1 dated August 17
,
2015
.
For more information on the Energy Select Sector Index
,
please see the
section entitled “The S&P Dow Jones Indices — The S&P Select Sector Indices — The Energy Select Sector
Index” in the accompanying underlying supplement
.
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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.
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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.
Withholding under legislation
commonly referred to as “FATCA” might (if the notes were recharacterized as debt instruments) apply to amounts treated
as interest paid with respect to the notes, as well as to the payment of gross proceeds of a taxable disposition, including redemption
at maturity, of a note. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than
any amount treated as interest) with
respect to dispositions occurring before January 1, 2019. You should consult your tax adviser
regarding the potential application of FATCA to the notes.
Section 871(m) of the Code and
Treasury regulations promulgated thereunder (“
Section 871
(
m
)”) generally impose a 30% withholding tax
(unless an income tax treaty applies) on dividend equivalents paid or deemed paid to non-U.S. holders with respect to certain financial
instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding
regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury
regulations (such an index, a “
Qualified Index
”). Additionally, the applicable regulations exclude from the
scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could
pay U.S.-source dividends for U.S. federal income tax purposes (each an “
Underlying Security
”). Based on certain
determinations made by us, we expect that Section 871(m) will not apply to the notes with regard to non-U.S. holders. Our determination
is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may
depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement
for the notes. You should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
You should review carefully the
section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel regarding the material U.S.
federal income tax consequences of owning and disposing of the notes.
Under current law, the United
Kingdom will not impose withholding tax on payments made with respect to the notes.
For a discussion of certain German
tax considerations relating to the notes, you should refer to the section in the accompanying prospectus supplement entitled “Taxation
by Germany of Non-Resident Holders.”
You should consult your tax
adviser regarding the U
.
S
.
federal tax consequences of an investment in the notes
(
including possible alternative
treatments and the issues presented by the 2007 notice
),
as well as tax consequences arising under the laws of any state
,
local or non
-
U
.
S
.
taxing jurisdiction
.
Selected Risk Considerations
An investment in the notes involves significant
risks. Investing in the notes is not equivalent to investing directly in the shares of any Underlying or in any of the component
securities held by any Underlying. In addition to these selected risk considerations, you should review the “Risk Factors”
sections of the accompanying product supplement, prospectus supplement and prospectus.
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YOUR INVESTMENT IN THE NOTES MAY RESULT
IN A LOSS
— The notes do not guarantee any return of your investment. The return on the notes at maturity is linked to
the performance of the Laggard Underlying and will depend on whether the Final Price of the Laggard Underlying is less than its
Trigger Price. If the Final Price of the Laggard Underlying is
less than
its Trigger Price, your investment will be fully
exposed to any decline in the price of the Laggard Underlying as measured on the Final Valuation Date and, for each $1,000 Face
Amount of notes, you will lose 1.00% of the Face Amount for every 1.00% by which the Final Price of the Laggard Underlying is less
than its Initial Price. In this circumstance, you will lose a significant portion or all of your investment at maturity.
Any
payment on the notes is subject to our ability to satisfy our obligations as they become due
.
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED
TO THE HIGH DIGITAL RETURN
— If the Final Price of the Laggard Underlying is
greater than
or
equal to
its
Initial Price, you will receive a positive return on the notes equal to the High Digital Return of between 42.00% and 48.00% (to
be determined on the Trade Date), regardless of any increase in the prices of the Underlyings, which could be significant. If the
Final Price of the Laggard Underlying is
less than
its Initial Price but
greater than
or
equal to
its Trigger
Price, you will receive a positive return on the notes equal to the Low Digital Return of 10.00%, which is less than the High Digital
Return. Accordingly, the maximum Payment at Maturity will be based on the High Digital Return and will be between $1,420.00 and
$1,480.00 for each $1,000 Face Amount of notes. You will receive a return on the notes reflecting the High Digital Return
only
if
the Final Price of the Laggard Underlying is greater than or equal to its Initial Price. The prices of each Underlying at
various times during the term of the notes could be higher than the Final Price of such Underlying.
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A HIGHER HIGH DIGITAL RETURN AND/OR
LOW DIGITAL RETURN OR A LOWER TRIGGER PRICE FOR EACH UNDERLYING MAY REFLECT A GREATER EXPECTED VOLATILITY OF ONE OR BOTH 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 notes are set on the Trade Date, the greater the expectation is at that time that at least one Underlying may close below
its Trigger Price on the Final Valuation Date (resulting in a loss of a significant portion or all of your investment). In addition,
the economic terms of the notes, including the Trigger Prices, are based, in part, on the expected volatility of the Underlyings
at the time the terms of the notes are set on the Trade Date, where higher expected volatility will generally lead to a higher
High Digital Return and/or Low Digital Return or a lower Trigger Price for each Underlying. Accordingly, a higher High Digital
Return and/or Low Digital Return as compared with the return on our conventional fixed income securities with a similar maturity
or the return on our other similarly structured securities will generally indicate a greater risk of loss, while a lower Trigger
Price for each Underlying as compared with otherwise comparable securities does not necessarily indicate that an investment in
the notes has a greater likelihood of resulting in a positive return on 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 investment at maturity.
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THE NOTES DO NOT PAY ANY COUPONS
—
Unlike ordinary debt securities, the notes do not pay any coupons and do not guarantee any return of your investment at maturity.
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THE NOTES ARE SUBJECT TO THE CREDIT
OF DEUTSCHE BANK AG
— The notes 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 notes depends on the ability of Deutsche Bank AG
to satisfy its obligations as they become due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating or
increase in the credit spreads charged by the market for taking Deutsche Bank AG’s credit risk will likely have an adverse
effect on the value of the notes. As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the value
of the notes and, in the event Deutsche Bank AG were to default on its obligations or become subject to a Resolution Measure, you
might not receive any amount(s) owed to you under the terms of the notes and you could lose your entire investment.
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THE NOTES MAY BE WRITTEN DOWN
,
BE
CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION MEASURES
.
YOU MAY
LOSE SOME OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— Pursuant to the SRM Regulation, the
Resolution Act and other applicable rules and regulations described above under “Resolution Measures and Deemed Agreement,”
the notes 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 notes; converting the notes 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 notes to
another entity, amending, modifying or varying the terms and conditions of the notes or cancelling the notes. 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 notes offered herein to be classified as Structured Debt Securities, but the competent
regulatory authority or court may classify the notes 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
notes
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 notes, 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 notes 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 notes, under the Indenture or for the purposes of, but only to the fullest
extent permitted by, the Trust Indenture Act. Furthermore, because the notes are subject to any Resolution Measure, secondary market
trading in the notes 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 notes, 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 notes.
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 NOTES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE NOTES
— The Issuer’s estimated value
of the notes on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the notes.
The difference between the Issue Price and the Issuer’s estimated value of the notes on the Trade Date is due to the inclusion
in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations under the notes through one
or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost of providing such hedge, as well
as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.
The Issuer’s estimated value of the notes is determined by reference to an internal funding rate and our pricing models.
The internal funding rate is typically lower than the rate we would pay when we issue conventional debt securities on equivalent
terms. This difference in funding rate, as well as the agent’s commissions, if any, and the estimated cost of hedging our
obligations under the notes, reduces the economic terms of the notes to you and is expected to adversely affect the price at which
you may be able to sell the notes in any secondary market. In addition, our internal pricing models are proprietary and rely in
part on certain assumptions about future events, which may prove to be incorrect. If at any time a third party dealer were to quote
a price to purchase your notes or otherwise value your notes, that price or value may differ materially from the estimated value
of the notes determined by reference to our internal funding rate and pricing models. This difference is due to, among other things,
any difference in funding rates, pricing models or assumptions used by any dealer who may purchase the notes in the secondary market.
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INVESTING IN THE NOTES IS NOT THE SAME
AS INVESTING IN THE SHARES OF THE UNDERLYINGS OR THE COMPONENT SECURITIES HELD BY THE UNDERLYINGS
— The return on the
notes may not reflect the return you would have realized if you had directly invested in the shares of the Underlyings or the component
securities held by the Underlyings. For instance, the Payment at Maturity on the notes is dependent on the performance of the Laggard
Underlying, and your return on the notes is limited to the High Digital Return, regardless of any increase in the prices of the
Underlyings, which could be significant.
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IF THE PRICES OF THE UNDERLYINGS CHANGE
,
THE VALUE OF YOUR NOTES MAY NOT CHANGE IN THE SAME MANNER
— Your notes may trade quite differently from the prices
of the Underlyings and the component securities held by the Underlyings. Changes in the prices of the Underlyings and the component
securities held by the Underlyings may not result in comparable changes in the value of your notes.
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the notes, you will not have any voting rights or rights to receive cash dividends or other distributions
or other rights that holders of the shares of the Underlyings or the component securities held by the Underlyings would have.
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YOUR INVESTMENT
IS EXPOSED TO A DECLINE IN THE PRICE OF EACH UNDERLYING
— Your return on the notes, if any, is not linked to a basket
consisting of the Underlyings. Rather, any Payment at Maturity will be determined by reference to the performance of the Laggard
Underlying without taking into consideration the performance of the other 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 and your return will be based on the performance of the Laggard Underlying, as measured
on the Final Valuation Date. Poor performance by either Underlying over the term of the notes may adversely affect your return
on the notes and will not be offset or mitigated by a positive performance by the other Underlying.
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BECAUSE THE NOTES ARE LINKED TO THE
LESSER PERFORMING OF THE TWO UNDERLYINGS
,
YOU ARE EXPOSED TO A GREATER RISK OF LOSING A SIGNIFICANT PORTION OR ALL OF YOUR
INVESTMENT THAN IF THE NOTES WERE LINKED TO JUST ONE UNDERLYING
— The risk that you will lose a significant portion or
all of your investment in the notes is greater than in substantially similar securities that are linked to the performance of just
one of the Underlyings. With two Underlyings, it is more likely that the Final Price of at least one Underlying will be less than
its Trigger Price than if the notes were linked to only one Underlying, and therefore, it is more likely that you will receive
a Payment at Maturity that is significantly less than your 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 price
of at least one Underlying to be less than its Trigger Price on the Final Valuation Date is even greater. Although the correlation
of the Underlyings’ performance may change over the term of the notes, the High Digital Return and Low Digital Return and
the Trigger Prices are determined, in part, based on the correlation of the Underlyings’ performance at the time when the
terms of the notes are finalized. A higher High Digital Return and/or Low Digital Return or a lower Trigger Price 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 COMPONENT SECURITIES HELD BY THE
SPDR
®
S&P
®
REGIONAL BANKING ETF ARE SUBJECT TO RISKS ASSOCIATED WITH THE BANKING
SECTOR
— All or substantially all of the component stocks held by the SPDR
®
S&P
®
Regional
Banking ETF are issued by companies whose primary line of business is directly associated with the banking sector. The performance
of companies in the banking sector may be affected by governmental regulation that may limit the amount and types of loans and
other financial commitments that banks can make, the interest rates and fees they can charge and the amount of capital they must
maintain. Profitability is largely dependent on the availability and cost of capital funds, and can fluctuate significantly when
interest rates change. Credit losses resulting from financial difficulties of borrowers can negatively impact the banking sector.
Banks may also be subject to severe price competition. The banking industry is highly competitive, and thus, failure to maintain
or increase market share may adversely affect profitability. These factors, or the absence of such factors, could cause a downturn
in the bank industries and could cause the value of some or all of the component securities held by the SPDR
®
S&P
®
Regional Banking ETF and the price of the SPDR
®
S&P
®
Regional Banking ETF to decline during the
term of the notes, which may adversely affect the value of your notes.
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THE
COMPONENT SECURITIES HELD BY THE ENERGY SELECT SECTOR SPDR
®
FUND ARE SUBJECT TO RISKS ASSOCIATED WITH THE
ENERGY SECTOR
— All or substantially all of the component stocks held by the Energy Select Sector SPDR
®
Fund are issued by companies whose primary line of business is directly associated with the energy sector. As a result, the value
of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory
occurrence affecting this sector than a different investment linked to securities of a more broadly diversified group of issuers.
Issuers in energy-related industries can be significantly affected by fluctuations in energy prices and supply and demand of energy
fuels. Markets for various energy-related commodities can have significant volatility, and are subject to control or manipulation
by large producers or purchasers. Companies in the energy sector may need to make substantial expenditures, and incur significant
amounts of debt, in order to maintain or expand their reserves. Oil and gas exploration and production can be significantly affected
by natural disasters as well as changes in exchange rates, interest rates, government regulation, world events and economic conditions.
Companies in the energy sector may also be at risk for environmental damage claims. These factors could affect the energy sector
and the
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value of some or all
the component securities held by the Energy Select Sector SPDR
®
Fund and the price of the Energy Select Sector SPDR
®
Fund during the term of the notes, which may adversely affect the value of your notes.
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The
Policies of the RESPECTIVE INVESTMENT ADVISOR OF EACH UNDERLYING
,
and Changes that Affect ANY Underlying or ITS TRACKED
INDEX
,
Could Adversely Affect the Value of the notes
—
The policies of the respective investment advisor of each Underlying concerning the calculation of such Underlying’s net
asset value (“
NAV
”), additions, deletions or substitutions of securities or other assets or financial measures
held by such Underlying, substitution of the tracked index of such Underlying and the manner in which changes affecting how such
tracked index is calculated are reflected in such Underlying could adversely affect the price of the shares of such Underlying
and, therefore, the value of, and your return on, the notes. The value of, and your return on, the notes could also be adversely
affected if an investment advisor of an Underlying changes its policies, for example, by changing the manner in which such investment
advisor calculates such Underlying’s NAV, or if such investment advisor discontinues or suspends calculation or publication
of such Underlying’s NAV, in which case it may become difficult to determine the value of the notes. If events such as these
occur or if the Closing Prices of the Underlyings are not available on the Final Valuation Date because of a market disruption
event or for any other reason, the calculation agent, in certain circumstances, may determine the Closing Prices of the Underlyings
and the Payment at Maturity in a manner it considers appropriate in its sole discretion.
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The
PerformanceS of the UNDERLYINGS
,
Particularly During Periods of Market Volatility
,
May Not Match the PerformanceS
of THEIR REsPECTIVE Tracked IndICES or THEIR NET ASSET VALUE per Share
—
The performance of the Underlyings may not match the performances of their respective tracked indices due to a number of factors.
For instance, the Underlyings may not hold all or substantially all of the securities included in their respective tracked indices
and the respective investment advisors of the Underlyings may invest a portion of their respective Underlying’s assets in
securities not included in such Underlying’s tracked index. Therefore, the performances of the Underlyings are generally
linked, in part, to assets other than the securities included in their respective tracked indices. Additionally, the performances
of the Underlyings will reflect transaction costs and fees that are not included in the calculation of their respective tracked
indices.
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In
addition, because the shares of the Underlyings are traded on a securities exchange and are subject to supply and demand, the performance
of one share of each Underlying may differ from the performance of its respective tracked index or such Underlying’s NAV
per share. Furthermore, during periods of market volatility, securities or other assets held by the Underlyings may become unavailable
in the secondary market due to reduced liquidity or suspensions of, or limitations on, trading, making it difficult for market
participants to accurately calculate the NAV per share of the Underlyings and/or create, redeem or hedge shares of the Underlyings.
In such circumstances, the prices at which market participants are willing to buy and sell shares of the Underlyings may be significantly
lower than each Underlying’s NAV and the liquidity of the shares of the Underlyings may be materially and adversely affected.
Consequently, the performances of the Underlyings may deviate significantly from the performances of their respective tracked indices
or each Underlying’s NAV per share. These circumstances may or may not constitute market disruption events and, in either
case, your return on the notes may be determined based on the prices of the shares of the Underlyings when they deviate significantly
from the performance of their respective tracked indices or each Underlying’s NAV per share. If this occurs, the value of,
and your return on, the notes may be materially and adversely affected
.
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ANTI
-
DILUTION
PROTECTION IS LIMITED AND THE CALCULATION AGENT MAY MAKE ADJUSTMENTS IN ADDITION TO
,
OR THAT DIFFER FROM
,
THOSE SET
FORTH IN THE ACCOMPANYING PRODUCT SUPPLEMENT
— For each Underlying, the calculation agent will make adjustments to the
relevant Share Adjustment Factor, which will initially be set at 1.0, for certain events affecting the shares of such Underlying.
The calculation agent is not required, however, to make such adjustments in response to all events that could affect the shares
of the Underlyings. If such an event occurs that does not require the calculation agent to make an adjustment, the value of the
notes may be materially and adversely affected. In addition, you should be aware that the calculation agent may, at its sole discretion,
make adjustments to each Share Adjustment Factor or any other terms of the notes that are in addition to, or that differ from,
those described in the accompanying product supplement to reflect changes occurring in relation to the relevant Underlying in circumstances
where the calculation agent determines that it is appropriate to reflect those changes to ensure an equitable result. Any alterations
to the specified anti-dilution adjustments described in the accompanying product supplement may be materially adverse to investors
in the notes. You should read “Description of Securities — Anti-Dilution Adjustments for Funds” in the accompanying
product supplement in order to understand the adjustments that may be made to the notes.
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THERE IS NO AFFILIATION BETWEEN THE
UNDERLYINGS OR THE UNDERLYING STOCK ISSUERS AND US AND WE HAVE NOT PARTICIPATED IN THE PREPARATION OF
,
OR VERIFIED
,
ANY INFORMATION ABOUT THE UNDERLYINGS OR THE UNDERLYING STOCK ISSUERS
— We are not affiliated with the Underlyings
or the issuers of the component stocks held by the Underlyings or underlying their respective tracked indices (such stocks, “
Underlying
Stocks
,” and the issuers of Underlying Stocks, “
Underlying Stock Issuers
”). However, we or our affiliates
may currently, or from time to time in the future, engage in business with the Underlying Stock Issuers, including extending loans
to, making equity investments in, acting as underwriter in connection with future offerings of the Underlying Stocks by, or providing
advisory services (including merger and acquisition advisory services) to, such Underlying Stock Issuers. In the course of this
business, we or our affiliates may acquire non-public information about the Underlying Stock Issuers and we will not disclose any
such information to you. Nevertheless, neither we nor our affiliates have participated in the preparation of, or verified, any
information about the Underlying Stocks or any of the Underlying Stock Issuers. You, as an investor in the notes, should make your
own investigation into the Underlying Stocks and the Underlying Stock Issuers. Neither the Underlyings nor any of the Underlying
Stock Issuers are involved in this offering in any way and none of them has any obligation of any sort with respect to your notes.
The Underlyings have no obligation to take your interests into consideration for any reason, including when taking any actions
that would require the calculation agent to adjust an Underlying’s Share Adjustment Factor, which may adversely affect the
value of your notes.
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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 notes may bear little
relation to the historical closing prices 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 NOTES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY BE
LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER
’
S ESTIMATED VALUE OF THE NOTES ON THE TRADE DATE
— While
the payment(s) on the notes described in this pricing supplement is based on the full Face Amount of notes, the Issuer’s
estimated value of the notes on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price
of the notes. The Issuer’s estimated value of the notes on the Trade Date does not represent the price at which we or any
of our affiliates would be willing to purchase your notes in the secondary market at any time. Assuming no changes in market conditions
or our creditworthiness and other relevant factors, the price, if any, at which we or our affiliates would be willing to purchase
the notes from you in secondary market transactions, if at all, would generally be lower than both the Issue Price and the Issuer’s
estimated value of the notes on the Trade Date. Our purchase price, if any, in secondary market transactions would be based on
the estimated value of the notes determined by reference to (i) the then-prevailing internal funding rate (adjusted by a spread)
or another appropriate measure of our cost of funds and (ii) our pricing models at that time, less a bid spread determined after
taking into account the size of the repurchase, the nature of the assets underlying the notes and then-prevailing market conditions.
The price we report to financial reporting services and to distributors of our notes for use on customer account statements would
generally be determined on the same basis. However, during the period of approximately six months beginning from the Trade Date,
we or our affiliates may, in our sole discretion, increase the purchase price determined as described above by an amount equal
to the declining differential between the Issue Price and the Issuer’s estimated value of the notes on the Trade Date, prorated
over such period on a straight-line basis, for transactions that are individually and in the aggregate of the expected size for
ordinary secondary market repurchases.
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In addition to the factors discussed
above, the value of the notes and our purchase price in secondary market transactions after the Trade Date, if any, will vary based
on many economic and market factors, including our creditworthiness, and cannot be predicted with accuracy. These changes may adversely
affect the value of your notes, including the price you may receive in any secondary market transactions. Any sale prior to the
Maturity Date could result in a substantial loss to you. The notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
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THE NOTES WILL NOT BE LISTED AND THERE
WILL LIKELY BE LIMITED LIQUIDITY
— The notes will not be listed on any securities exchange. There may be little or no
secondary market for the notes. We or our affiliates intend to act as market makers for the notes but are not required to do so
and may cease such market making activities at any time. Even if there is a secondary market, it may not provide enough liquidity
to allow you to sell the notes when you wish to do so or at a price advantageous to you. Because we do not expect other dealers
to make a secondary market for the notes, the price at which you may be able to sell your notes is likely to depend on the price,
if any, at which we or our affiliates are willing to buy the notes. If, at any time, we or our
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affiliates do not act as market
makers, it is likely that there would be little or no secondary market in the notes. If you have to sell your notes prior to maturity,
you may not be able to do so or you may have to sell them at a substantial loss, even in cases where the prices of the Underlyings
have increased since the Trade Date.
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MANY ECONOMIC AND MARKET FACTORS WILL
AFFECT THE VALUE OF THE NOTES
— While we expect that, generally, the prices of the Underlyings will affect the value
of the notes more than any other single factor, the value of the notes prior to maturity will also be affected by a number of other
factors that may either offset or magnify each other, including:
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o
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the expected volatility of the Underlyings;
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o
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the time remaining to the maturity of the notes;
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o
|
the market prices and dividend rates of the shares of the Underlyings and the component securities
held by the Underlyings;
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o
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the composition of the Underlyings;
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o
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the occurrence of certain events affecting one or more of the Underlyings that may or may not require
an anti-dilution adjustment;
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o
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interest rates and yields in the markets generally;
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o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that
affect either Underlying, their respective tracked indices or the markets generally;
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o
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supply and demand for the notes; 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 notes,
it is possible that their value may decline significantly due to the factors described above even if the prices of the Underlyings
remain unchanged from their respective Initial Prices, and any sale prior to the Maturity Date could result in a substantial loss
to you. You must hold the notes to maturity to receive the stated payout from the Issuer.
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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 NOTES
— We or our affiliates
expect to hedge our exposure from the notes by entering into equity and equity derivative transactions, such as over-the-counter
options, futures or exchange-traded instruments. We or our affiliates may also engage in trading in instruments linked or related
to the Underlyings on a regular basis as part of our or 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 prices of one or both Underlyings and, therefore, make it less likely that you will
receive a positive return on your investment in the notes. It is possible that we or our affiliates could receive substantial returns
from these hedging and trading activities while the value of the notes declines. We or our affiliates may also issue or underwrite
other securities or financial or derivative instruments with returns linked or related to the Underlyings. To the extent that we
or our affiliates serve as issuer, agent or underwriter for such securities or financial or derivative instruments, our or our
affiliates’ interests with respect to such products may be adverse to those of the holders of the notes. Introducing competing
products into the marketplace in this manner could adversely affect the prices of one or both Underlyings and the value of the
notes. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or are in direct
opposition to, investors’ trading and investment strategies related to the notes. Furthermore, because Deutsche Bank Securities
Inc. (“
DBSI
”) or one of its affiliates is expected to conduct trading and hedging activities for us in connection
with the notes, DBSI or such affiliate may profit in connection with such trading and hedging activities and such profit, if any,
will be in addition to any compensation that DBSI receives for the sale of the notes to you. You should be aware that the potential
to earn a profit in connection with hedging activities may create a further incentive for DBSI to sell the notes to you in addition
to any compensation they would receive for the sale of the notes.
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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 NOTES
.
ANY SUCH RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE PRICES OF THE UNDERLYINGS AND THE VALUE OF THE NOTES
— We or
our affiliates may publish research from time to time on financial markets and other matters that could adversely affect the prices
of the Underlyings and the value of the notes, or express opinions or provide recommendations that are inconsistent with purchasing
or
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holding the notes. Any research, opinions or recommendations expressed by us or our affiliates may not be consistent with each
other and may be modified from time to time without notice. You should make your own independent investigation of the merits of
investing in the notes and the Underlyings.
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POTENTIAL CONFLICTS OF INTEREST
—
We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent,
hedging our obligations under the notes and determining the Issuer’s estimated value of the notes on the Trade Date and the
price, if any, at which we or our affiliates would be willing to purchase the notes from you in secondary market transactions.
In performing these roles, our economic interests and those of our affiliates are potentially adverse to your interests as an investor
in the notes. The calculation agent will determine, among other things, all values, prices and levels required to be determined
for the purposes of the notes on any relevant date or time. The calculation agent also has some discretion about certain adjustments
to the Share Adjustment Factor for each Underlying and will be responsible for determining whether a market disruption event has
occurred. Any determination by the calculation agent could adversely affect the return on the notes.
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THE U
.
S
.
FEDERAL INCOME
TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES ARE UNCERTAIN
— There is no direct legal authority regarding the proper
U.S. federal income tax treatment of the notes, and we do not plan to request a ruling from the IRS. Consequently, significant
aspects of the tax treatment of the notes are uncertain, and the IRS or a court might not agree with the treatment of the notes
as prepaid financial contracts that are not debt. If the IRS were successful in asserting an alternative treatment for the notes,
the tax consequences of ownership and disposition of the notes could be materially and adversely affected. In addition, as described
above under “Tax Consequences,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect. You should review carefully the section of
the accompanying product supplement entitled “U.S. Federal Income Tax Consequences,” and consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the notes (including possible alternative treatments and the issues presented
by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
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Historical Information
The following graphs set forth the historical
performances of the SPDR
®
S&P
®
Regional Banking ETF and the Energy Select Sector SPDR
®
Fund based on their daily closing prices from October 16, 2012 through October 16, 2017. The closing price of the SPDR
®
S&P
®
Regional Banking ETF on October 16, 2017 was $56.41. The closing price of the Energy Select Sector SPDR
®
Fund on October 16, 2017 was $68.29. Each graph below also indicates by a broken line a hypothetical Trigger Price equal to 60.00%
of the closing price of the relevant Underlying on October 16, 2017. The actual Initial Price and Trigger Price for each Underlying
will be determined on the Trade Date. We obtained the historical closing prices of the Underlyings below from Bloomberg L.P. and
we have not participated in the preparation of, or verified, such information.
The historical closing prices of the
Underlyings should not be taken as an indication of future performance and no assurance can be given as to the Closing Prices of
the Underlyings on the Final Valuation Date
.
We cannot give you assurance that the performance of the Underlyings will result
in the return of any of your investment
.
Supplemental Plan of Distribution
(
Conflicts of Interest
)
DBSI, acting as agent for Deutsche Bank
AG, will not receive a selling concession in connection with the sale of the notes. DBSI will pay custodial fees to other broker-dealers
of 0.25% or $2.50 per $1,000 Face Amount of notes. Deutsche Bank AG will reimburse DBSI for such custodial fees.
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 notes 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 notes against payment
for the notes on the Settlement Date indicated above, which is expected to be a date that is greater than two business days following
the Trade Date. Under Rule 15c6–1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally
are required to settle in two business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement
Date is more than two business days after the Trade Date, purchasers who wish to transact in the notes more than two business days
prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
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