|
Pricing Supplement No. 2877B
To underlying
supplement No
.
1 dated August 17
,
2015
,
product supplement
B dated July 31
,
2015
,
prospectus
supplement dated July 31
,
2015 and
prospectus
dated April 27
,
2016
|
Registration Statement No
.
333
–
206013
Rule 424
(
b
)(
2
)
|
|
The information in
this preliminary pricing supplement is not complete and may be changed
.
This preliminary pricing supplement and the accompanying
underlying supplement
,
product supplement
,
prospectus supplement and prospectus do not constitute an offer to sell
nor do they seek an offer to buy the notes in any jurisdiction where the offer or sale is not permitted
.
Subject to Completion.
Dated July 18, 2017
|
Deutsche Bank AG
$ Digital
Return Notes Linked to the Energy Select Sector SPDR
®
Fund due July 27
,
2018
|
|
·
|
The
notes are designed for investors who seek a return at maturity linked to the performance of the Energy Select Sector SPDR
®
Fund (the “
Underlying
”). If the Final Price is greater than or equal to the Buffer Price, which is equal
to 85.00% of the Initial Price, investors will receive at maturity a return on the notes equal to the Digital Return of at least
5.85%. However, if the Final Price is less than the Buffer Price, for each $1,000 Face Amount of notes, investors will lose 1.17647%
of the Face Amount for every 1.00% by which the Final Price is less than the Initial Price by an amount greater than the Buffer
Amount of 15.00%. The notes do not pay any coupons or dividends and investors should be willing to lose a significant portion
or all of their investment if the Final Price is less than the Buffer Price. Any payment on the notes is subject to the credit
of the Issuer.
|
|
|
·
|
Senior
unsecured obligations of Deutsche Bank AG due July 27, 2018
|
|
|
·
|
Minimum
purchase of $10,000. Minimum denominations of $1,000 (the “
Face Amount
”) and integral multiples thereof.
|
|
|
·
|
The
notes are expected to price on or about July 19, 2017 (the “
Trade Date
”) and are expected to settle on or about
July 24, 2017 (the “
Settlement Date
”).
|
Key Terms
|
Issuer:
|
Deutsche Bank AG, London Branch
|
|
Underlying:
|
Energy Select Sector SPDR
®
Fund (Ticker: XLE)
|
|
Issue Price:
|
100% of the Face Amount
|
|
Buffer Amount:
|
15.00%
|
|
Buffer Price:
|
85.00% of the Initial Price
|
|
Digital Return:
|
At least 5.85%, which reflects the maximum return on the notes. The actual Digital Return will be determined on the Trade Date and will not be less than 5.85%. Accordingly, the maximum Payment at Maturity will not be less than $1,058.50 per $1,000 Face Amount of notes.
|
|
Downside Participation Factor:
|
117.647%
|
|
|
(
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–9 of this pricing supplement.
The Issuer’s estimated
value of the notes on the Trade Date is approximately $972.00 to $992.00 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
|
Maximum Discounts and Commissions
(1)
|
Minimum Proceeds to Us
|
|
Per Note
|
$1,000.00
|
$4.00
|
$996.00
|
|
Total
|
$
|
$
|
$
|
|
|
(1)
|
For
more detailed information about discounts and commissions, please see “Supplemental
Plan of Distribution (Conflicts of Interest)” in this pricing supplement. The notes
will be sold with varying underwriting discounts and commissions in an amount not to
exceed $4.00 per $1,000 Face Amount of notes. Deutsche Bank Securities Inc. (“
DBSI
”)
may pay a fee of up to $3.00 per $1,000 Face Amount of notes to CAIS Capital LLC with
respect to the notes for which CAIS Capital LLC acts as introducing broker.
|
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
|
|
(
Key Terms continued from previous page
)
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|
|
|
|
Payment at Maturity:
|
·
If
the Final Price is
greater than
or
equal to
the Buffer Price
, you will receive a cash payment at maturity per
$1,000 Face Amount of notes equal to the Face Amount
plus
the product of the Face Amount and the Digital Return, calculated
as follows:
|
|
$1,000 + ($1,000 x Digital Return)
|
|
·
If
the Final Price is
less than
the Buffer Price
, you will receive a cash payment at maturity per $1,000 Face Amount of
notes calculated as follows:
|
|
|
|
|
|
$1,000 + [$1,000 x (Underlying Return + Buffer Amount) x Downside Participation Factor)]
|
|
|
|
|
|
If the Final Price is less than the Buffer Price
,
for each $1
,
000 Face Amount of notes
,
you will lose 1.17647% of the Face Amount for every 1.00% by which the Final Price is less than the Initial Price by an amount greater than the Buffer Amount
.
In this circumstance
,
you will lose some or all of your investment at maturity
.
Any payment at maturity is subject to the credit of the Issuer
.
|
|
Underlying Return:
|
The performance of the Underlying from the Initial Price to the Final Price, calculated as follows:
|
|
Final Price – Initial Price
|
|
Initial Price
|
|
|
The Underlying Return may be positive
,
zero or negative
.
|
|
Initial Price:
|
The Closing Price of the Underlying on the Trade Date
|
|
Final Price:
|
The Closing Price of the Underlying on the Final Valuation Date
|
|
Closing Price:
|
The closing price of one share of the Underlying on the relevant date of calculation
multiplied by
the then-current Share Adjustment Factor, as determined by the calculation agent
|
|
Share Adjustment Factor:
|
Initially 1.0, subject to adjustment for certain actions affecting the Underlying. See “Description of Securities — Anti-dilution Adjustments for Funds” in the accompanying product supplement.
|
|
Trade Date
2
:
|
July 19, 2017
|
|
Settlement Date
2
:
|
July 24, 2017
|
|
Final Valuation Date
1, 2
:
|
July 24, 2018
|
|
Maturity Date
1, 2
:
|
July 27, 2018
|
|
Listing:
|
The notes will not be listed on any securities exchange.
|
|
CUSIP / ISIN:
|
25155MCQ2 / US25155MCQ24
|
|
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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.
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
”);
|
|
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·
|
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
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|
|
·
|
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:
|
http://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 also 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 Digital Return of 5.85%
and reflect the Buffer Price of 85.00% of the Initial Price and the Buffer Amount of 15.00%. The actual Initial Price, Buffer Price
and 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 whether or not the Final Price is greater
than or equal to the Buffer Price and, if the Final Price is less than the Buffer Price, the Underlying Return, which will be based
on the performance of the Underlying as measured on the Final Valuation Date. The numbers appearing in the table and examples below
may have been rounded for ease of analysis and it has been assumed that no event affecting the Underlying has occurred during the
term of the notes that would cause the calculation agent to adjust the Share Adjustment Factor. You should consider carefully whether
the notes are suitable to your investment goals.
|
Hypothetical
Underlying Return
(%)
|
Hypothetical
Return on the Notes
(%)
|
Hypothetical
Payment at Maturity
($)
|
|
100.00%
|
5.85%
|
$1,058.50
|
|
90.00%
|
5.85%
|
$1,058.50
|
|
80.00%
|
5.85%
|
$1,058.50
|
|
70.00%
|
5.85%
|
$1,058.50
|
|
60.00%
|
5.85%
|
$1,058.50
|
|
50.00%
|
5.85%
|
$1,058.50
|
|
40.00%
|
5.85%
|
$1,058.50
|
|
30.00%
|
5.85%
|
$1,058.50
|
|
20.00%
|
5.85%
|
$1,058.50
|
|
10.00%
|
5.85%
|
$1,058.50
|
|
5.00%
|
5.85%
|
$1,058.50
|
|
0.00%
|
5.85%
|
$1,058.50
|
|
-5.00%
|
5.85%
|
$1,058.50
|
|
-10.00%
|
5.85%
|
$1,058.50
|
|
-
15
.
00%
|
5
.
85%
|
$1
,
058
.
50
|
|
-16.00%
|
-1.18%
|
$988.24
|
|
-20.00%
|
-5.88%
|
$941.18
|
|
-30.00%
|
-17.65%
|
$823.53
|
|
-40.00%
|
-29.41%
|
$705.88
|
|
-50.00%
|
-41.18%
|
$588.24
|
|
-60.00%
|
-52.94%
|
$470.59
|
|
-70.00%
|
-64.71%
|
$352.94
|
|
-80.00%
|
-76.47%
|
$235.29
|
|
-90.00%
|
-88.24%
|
$117.65
|
|
-100.00%
|
-100.00%
|
$0.00
|
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 Price is
greater than the Initial Price
,
resulting in an Underlying Return of 40
.
00%
. Because the Final Price is greater
than the Buffer Price (equal to 85.00% of the Initial Price), even though the Underlying Return is 40.00%, the investor receives
a return on the notes equal to the Digital Return of 5.85% and a Payment at Maturity of $1,058.50 per $1,000 Face Amount of notes,
calculated as follows:
$1,000 + ($1,000 x Digital Return)
$1,000 + ($1,000 x 5.85%) = $1,058.50
Example 2
:
The Final Price is
less than the Initial Price but is greater than the Buffer Price
,
resulting in an Underlying Return of
-
10
.
00%
.
Although the Final Price is less than the Initial Price, because the Final Price is greater than the Buffer Price, the investor
receives a return on the notes equal to the Digital Return of 5.85% and a Payment at Maturity of $1,058.50 per $1,000 Face Amount
of notes, calculated as follows:
$1,000 + ($1,000 x Digital Return)
$1,000 + ($1,000 x 5.85%) = $1,058.50
Example 3
:
The Final Price is
less than
the Buffer Price
,
resulting in an Underlying Return of
-
50
.
00%
. Because the Final Price
is less than the Buffer Price, the investor receives a Payment at Maturity of $588.24 per $1,000 Face Amount of notes, calculated
as follows:
$1,000 + [$1,000 x (Underlying Return +
Buffer Amount) x Downside Participation Factor]
$1,000 + [$1,000 x (-50.00% + 15.00%) x 117.647%]
= $588.24
Selected Purchase Considerations
|
|
·
|
POTENTIAL POSITIVE RETURN ON THE NOTES
IS FIXED AND LIMITED
— If the Final Price is greater than or equal to the Buffer Price, your return on the notes will
be limited to the Digital Return of at least 5.85% (to be determined on the Trade Date), resulting in a maximum Payment at Maturity
of $1,058.50 per $1,000 Face Amount of notes, regardless of any increase in the price of the Underlying, which may 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 is less than the Initial Price but
greater than
or
equal to
the Buffer Price, you will receive
a return on the notes reflecting the Digital Return. However, if the Final Price is
less than
the Buffer Price, for each
$1,000 Face Amount of notes, you will lose 1.17647% of the Face Amount for every 1.00% by which the Final Price is less than the
Initial Price by an amount greater than the Buffer Amount. In this circumstance, you will lose some or all of your investment in
the notes.
|
|
|
·
|
RETURN LINKED
TO THE PERFORMANCE OF THE
Energy Select Sector SPDR
®
Fund
—
The
return on the notes, which may be positive, zero or negative, is linked to the Energy Select Sector SPDR
®
Fund as
described herein. The Energy Select Sector SPDR
®
Fund seeks investment results that correspond generally to the
price and yield performance, before fees and expenses, of the Energy Select Sector Index (the “
Tracked Index
”).
The Tracked Index measures the performance of the energy sector of the U.S. equity market. The Tracked Index includes companies
from the following industries: oil, gas, consumable fuels, energy equipment and services. The Energy Select Sector SPDR
®
Fund trades on 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
.
|
|
|
·
|
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. Notwithstanding anything to the contrary in the section of the accompanying product
supplement entitled “U.S. Federal Income Tax
Consequences,” under a recent IRS notice, withholding under FATCA will
not apply to payments of gross proceeds (other than any amount treated as interest) of a taxable disposition, including redemption
at maturity, of the notes. 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 the Underlying or in any of the component
securities held by the Underlying. In addition to these selected risk considerations, you should review the “Risk Factors”
sections of the accompanying product supplement, prospectus supplement and prospectus.
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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 Underlying and will depend on whether, and the extent to which, the Underlying Return is positive, zero
or negative. If the Final Price is less than the Buffer Price, your investment will be fully exposed to any decline in the price
of the Underlying as measured on the Final Valuation Date and, for each $1,000 Face Amount of notes, you will lose 1.17647% of
the Face Amount for every 1.00% by which the Final Price is less than the Initial Price by an amount greater than the Buffer Amount.
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 DIGITAL RETURN
— If the Final Price is greater than or equal to the Buffer Price, for each $1,000 Face Amount
of notes, you will receive a cash payment at maturity equal to the Face Amount
plus
the product of the Face Amount and the
Digital Return of at least 5.85% (to be determined on the Trade Date), regardless of any increase in the price of the Underlying,
which may be significant. Accordingly, the maximum Payment at Maturity will be $1,058.50 for each $1,000 Face Amount of notes.
You will receive a return on the notes reflecting the Digital Return
only if
the Final Price is greater than or equal to
the Buffer Price. The price of the Underlying at various times during the term of the notes could be higher than the Final Price
of the Underlying. Because the Digital Return is a fixed amount, the return on the notes may be less than the return you would
have realized if you had invested directly in the Underlying.
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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 UNDERLYING OR THE COMPONENT SECURITIES HELD BY THE UNDERLYING
— The return on the notes
may not reflect the return you would have realized if you had directly invested in the shares of the Underlying or the component
securities held by the Underlying. For instance, your return on the notes is limited to the Digital Return regardless of any potential
increase in the price of the Underlying, which could be significant.
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IF THE PRICE OF THE UNDERLYING CHANGES,
THE VALUE OF YOUR NOTES MAY NOT CHANGE IN THE SAME MANNER
— Your notes may trade quite differently from the shares of
the Underlying and the component securities held by the Underlying. Changes in the prices of the shares of the Underlying and the
component securities held by the Underlying 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 Underlying or the component securities held by the Underlying would have.
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THE EQUITY
SECURITIES HELD BY THE UNDERLYING ARE SUBJECT TO RISKS ASSOCIATED WITH THE ENERGY SECTOR
— All or substantially all of
the equity securities held by the Underlying are issued by companies whose primary 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 to 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. These companies may be at risk for environmental damage claims. These factors could
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affect
the energy sector and could affect the value of the component securities held by the Underlying and the price of the Underlying
during the term of the notes, which may adversely affect the value of your notes.
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THE
POLICIES OF THE INVESTMENT ADVISOR OF THE UNDERLYING AND CHANGES THAT AFFECT THE UNDERLYING
OR ITS TRACKED INDEX COULD ADVERSELY AFFECT THE VALUE OF THE NOTES
— The policies
of the investment advisor of the Underlying (the “
Underlying Advisor
”)
concerning the calculation of the Underlying’s net asset value (“
NAV
”),
additions, deletions or substitutions of securities or other assets or financial measures
held by the Underlying, substitution of the Tracked Index and the manner in which changes
affecting how the Tracked Index is calculated are reflected in the Underlying could adversely
affect the price of the shares of the 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 the Underlying Advisor changes its policies, for example, by changing the
manner in which the Underlying Advisor calculates the Underlying’s NAV, or if the
Underlying Advisor discontinues or suspends calculation or publication of the 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 Price of the Underlying is 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 Price of the Underlying
and the Payment at Maturity in a manner it considers appropriate in its sole discretion.
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The
Performance of the Underlying
,
Particularly During Periods of Market Volatility
,
May Not Match the Performance of THE Tracked INDEX or its Net Asset Value per Share
—
The performance of the Underlying may not match the performance of the Tracked Index
due to a number of factors. For instance, the Underlying may not hold all or substantially
all of the securities included in the Tracked Index and the Underlying Advisor may invest
a portion of the Underlying’s assets in securities not included in the Tracked
Index. Therefore, the performance of the Underlying is generally linked, in part, to
assets other than the securities included in the Tracked Index. Additionally,
the
performance of the Underlying will reflect transaction costs and fees that are
not included in the calculation of the Tracked Index.
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In addition, because the shares
of the Underlying are traded on a securities exchange and are subject to supply and demand, the performance of one share of the
Underlying may differ from the performance of the Tracked Index or the Underlying’s NAV per share. Furthermore, during periods
of market volatility, securities or other assets held by the Underlying 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 Underlying and/or create, redeem or hedge shares of the Underlying.
In such circumstances, the prices at which market participants are willing to buy and sell shares of the Underlying may be significantly
lower than the Underlying’s NAV and the liquidity of the shares of the Underlying may be materially and adversely affected.
Consequently, the performance of the Underlying may deviate significantly from the performance of the Tracked Index or the 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 price of the shares of the Underlying when it deviates significantly from the performance of the
Tracked Index or the 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
— The calculation agent will make adjustments to the Share Adjustment Factor, which will initially
be set at 1.0, for certain events affecting the shares of the Underlying. The calculation agent is not required, however, to make
such adjustments in response to all events that could affect the shares of the Underlying. If 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 the 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 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
UNDERLYING OR THE UNDERLYING STOCK ISSUERS AND US AND WE HAVE NOT PARTICIPATED IN THE PREPARATION OF
,
OR VERIFIED
,
ANY
INFORMATION ABOUT THE UNDERLYING OR THE UNDERLYING STOCK ISSUERS
— We are not affiliated with the Underlying or the issuers
of the component stocks held by the Underlying or included in the Tracked Index (such stocks, “
Underlying Stocks
,”
and the issuers of Underlying Stocks, “
Underlying Stock Issuers
”). However, we
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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 Underlying nor any of the Underlying Stock Issuers is
involved in this offering in any way and none of them has any obligation of any sort with respect to your notes. The Underlying
has no obligation to take your interests into consideration for any reason, including when taking any actions that would require
the calculation agent to adjust the Share Adjustment Factor, which may adversely affect the value of your notes.
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PAST PERFORMANCE OF THE UNDERLYING IS
NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the Underlying over the term of the notes may bear little
relation to the historical closing prices of the Underlying and/or the hypothetical examples set forth elsewhere in this pricing
supplement. We cannot predict the future performance of the Underlying or whether the performance of the Underlying will result
in the return of any of your investment.
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ASSUMING NO CHANGES IN MARKET CONDITIONS
AND OTHER RELEVANT FACTORS, THE PRICE YOU MAY RECEIVE FOR YOUR 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.
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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 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 price of the Underlying
has increased since the Trade Date.
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MANY ECONOMIC AND MARKET FACTORS WILL
AFFECT THE VALUE OF THE NOTES
— While we expect that, generally, the price of the Underlying 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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the expected volatility of the Underlying;
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the time remaining to the maturity of the
notes;
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the market prices and dividend rates of
the shares of the Underlying and the component securities held by the Underlying;
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the composition of the Underlying;
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the occurrence of certain events affecting
the Underlying that may or may not require an anti-dilution adjustment;
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interest rates and yields in the markets
generally;
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geopolitical conditions and economic, financial,
political, regulatory or judicial events that affect the Underlying, the Tracked Index or the markets generally;
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supply and demand for the notes; and
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our creditworthiness, including actual
or anticipated downgrades in our credit ratings.
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During the term of the notes,
it is possible that their value may decline significantly due to the factors described above even if the price of the Underlying
remains unchanged from the Initial Price, and any sale prior to the Maturity Date could result in a substantial loss to you. You
must hold the 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 Underlying on a regular basis as part of our or their general broker-dealer and other businesses, for proprietary accounts,
for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and
hedging activities may adversely affect the price of the Underlying and, therefore, make it less likely that you will receive a
positive return on your investment in the 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 Underlying. To the extent that we or our
affiliates serve as issuer, agent or underwriter for such securities or financial or derivative instruments, our or our affiliates’
interests with respect to such products may be adverse to those of the holders of the notes. Introducing competing products into
the marketplace in this manner could adversely affect the price of the Underlying 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 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 PRICE OF THE UNDERLYING 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 price
of the Underlying and the value of the notes, or express opinions or provide recommendations that are inconsistent with purchasing
or holding the notes. Any research, opinions or recommendations expressed by us or our affiliates may not be consistent with each
other and may be modified from time to time without notice. You should make your own independent investigation of the merits of
investing in the notes and the Underlying.
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POTENTIAL CONFLICTS OF INTEREST
—
We and our affiliates play a variety of roles in connection with the issuance of the 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
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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 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 graph sets forth the historical
performance of the Energy Select Sector SPDR
®
Fund based on its daily closing prices from July 17, 2012 through
July 17, 2017. The closing price of the Underlying on July 17, 2017 was $65.32. The graph below also indicates by a broken line
a hypothetical Buffer Price equal to 85.00% of $65.32, which was the closing price of the Underlying on July 17, 2017. The actual
Initial Price and Buffer Price will be determined on the Trade Date. We obtained the historical closing prices of the Underlying
below from Bloomberg L.P. and we have not participated in the preparation of, or verified, such information.
The historical closing prices of the
Underlying should not be taken as an indication of future performance and no assurance can be given as to the Closing Price of
the Underlying on the Final Valuation Date
.
We cannot give you assurance that the performance of the Underlying will result
in the return of any of your initial investment
.
Supplemental Plan of Distribution
(
Conflicts
of Interest
)
DBSI,
acting as agent for Deutsche Bank AG, will not receive a selling concession in connection with the sale of the notes. DBSI will
pay custodial fees to other broker-dealers of up to 0.10% or $1.00 per $1,000 Face Amount of notes and a fee of up to 0.30% or
$3.00 per $1,000 Face Amount of notes to CAIS Capital LLC with respect to the notes for which CAIS Capital LLC acts as introducing
broker. Deutsche Bank AG will reimburse DBSI for such custodial fees and fee paid to CAIS Capital LLC.
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
may be a date that is greater than three business days following the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act
of 1934, as amended, trades in the secondary market generally are required to settle in three business days, unless the parties
to a trade expressly agree otherwise. Accordingly, if the Settlement Date is more than three business days after
the Trade Date,
purchasers who wish to transact in the
notes
more than three business days prior to
the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
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