Pricing
Supplement No. 2684B
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)
|
Deutsche
Bank
Deutsche
Bank AG
$4,384,000
Leveraged Securities Linked to the iShares
®
MSCI EAFE ETF due May 3
,
2018
General
|
·
|
The
Leveraged Securities Linked to the iShares
®
MSCI EAFE ETF due May 3, 2018
(the “
securities
”) are designed for investors who seek a return at
maturity of 120.00% of any increase in the price of the iShares
®
MSCI
EAFE ETF (the “
Underlying
”). If the Final Price is greater than or
equal to the Initial Price, for each $1,000 Face Amount of securities, investors will
receive at maturity a return on the Face Amount equal to 120.00% times
the Underlying
Return. However, if the Final Price is less than the Initial Price, for each $1,000 Face
Amount of securities, investors will lose 0.55% of the Face Amount for every 1.00% by
which the Final Price is less than the Initial Price. As a result, investors will have
reduced exposure to any decline of the Underlying from the Initial Price to the Final
Price. The securities do not pay any coupons or dividends and investors should be willing
to lose up to 55.00% of the Face Amount of securities if the Underlying Return is negative.
Any payment on the securities is subject to the credit of the Issuer.
|
|
·
|
Senior
unsecured obligations of Deutsche Bank AG due May 3, 2018
|
|
·
|
Minimum
purchase of $1,000. Minimum denominations of $1,000 (the “
Face Amount
”)
and integral multiples thereof.
|
|
·
|
The
securities priced on April 29, 2016 (the “
Trade Date
”) and are expected
to settle on May 4, 2016 (the “
Settlement Date
”).
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Underlying:
|
iShares
®
MSCI EAFE ETF (Ticker: EFA)
|
Issue Price:
|
100% of the Face Amount
|
Upside Leverage Factor:
|
120.00%
|
Downside Participation Factor:
|
55.00%
|
Payment at Maturity:
|
·
If the Final Price is greater than or equal to the Initial Price
, you will receive a cash payment at maturity per $1,000 Face Amount of securities calculated as follows:
|
|
|
|
$1,000 + ($1,000 x Underlying Return x Upside Leverage Factor)
|
|
|
|
·
If the Final Price is less than the Initial Price
, you will receive a cash payment at maturity per $1,000 Face Amount of
securities calculated as follows:
$1,000 + ($1,000
x Underlying Return x Downside Participation Factor)
|
|
|
|
If the Final Price is less than the Initial Price
,
for each $1
,
000 Face Amount of securities
,
you will lose 0
.
55% of the Face Amount for every 1
.
00% by which the Final Price is less than the Initial Price
.
In this circumstance
,
you will lose up to 55.00% of your investment at maturity if the Underlying Return is negative
.
Any payment at maturity is subject to the credit of the Issuer
.
|
|
|
Underlying Return:
|
The Underlying Return, expressed
as a percentage, will equal:
Final Price
–
Initial Price
Initial Price
The Underlying Return may be
positive
,
zero or negative
.
|
(Key Terms continued
on next page)
Investing in the securities
involves a number of risks
.
See
“
Risk Factors
”
beginning on page 13 of the accompanying prospectus
,
PS
-
5 of the accompanying prospectus supplement and page 7 of the accompanying product supplement
and
“
Selected
Risk Considerations
”
beginning on page PS
-
9 of this pricing supplement
.
The Issuer
’
s
estimated value of the securities on the Trade Date is $987.50 per $1
,
000 Face Amount of securities
,
which is less
than the Issue Price
.
Please see
“
Issuer
’
s Estimated Value of the Securities
”
on page PS
-
3 of this pricing supplement for additional information
.
By acquiring the securities
,
you will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure (as defined below) by the competent
resolution authority
,
which may include the write down of all
,
or a portion
,
of any payment on the securities
or the conversion of the securities into ordinary shares or other instruments of ownership
.
If any Resolution Measure becomes
applicable to us
,
you may lose some or all of your investment in the securities
.
Please see
“
Resolution
Measures and Deemed Agreement
”
on page PS
-
4 of this pricing supplement for more information
.
Neither the Securities
and Exchange Commission nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy
or the adequacy of this pricing supplement or the accompanying 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 Security
|
$1,000.00
|
$0.00
|
$1,000.00
|
Total
|
$4,384,000.00
|
$0.00
|
$4,384,000.00
|
|
(1)
|
For
more detailed information about discounts and commissions, please see “Supplemental
Plan of Distribution (Conflicts of Interest)” in this pricing supplement. Deutsche
Bank Securities Inc. (“
DBSI
”), acting as agent for Deutsche Bank AG,
will not receive a selling concession in connection with the sale of the securities.
Investors that purchase and hold the securities in fee-based advisory accounts may be
charged fees based on the amount of assets held in those accounts, including the securities.
|
The agent for this offering
is our affiliate. For more information, see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing
supplement.
The securities are
not deposits or savings accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other U
.
S
.
or foreign governmental agency or instrumentality
.
Deutsche Bank Securities
April 29, 2016
(Key Terms continued
from previous page)
Initial Price:
|
$59.45, equal to the Closing Price of the Underlying on April 26, 2016.
The Initial Price is
not
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:
|
April 29, 2016
|
Settlement Date:
|
May 4, 2016
|
Final Valuation Date
1
:
|
April 30, 2018
|
Maturity Date
1
:
|
May 3, 2018
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP:
|
25152R5C3
|
ISIN:
|
US25152R5C30
|
|
1
|
Subject
to adjustment as described under “Description of Securities — Adjustments
to Valuation Dates and Payment Dates” in the accompanying product supplement.
|
Issuer’s Estimated Value of the
Securities
The Issuer’s
estimated value of the securities is equal to the sum of our valuations of the following two components of the securities: (i)
a bond and (ii) an embedded derivative(s). The value of the bond component of the securities is calculated based on the present
value of the stream of cash payments associated with a conventional bond with a principal amount equal to the Face Amount of securities,
discounted at an internal funding rate, which is determined primarily based on our market-based yield curve, adjusted to account
for our funding needs and objectives for the period matching the term of the securities. The internal funding rate is typically
lower than the rate we would pay when we issue conventional debt securities on equivalent terms. This difference in funding rate,
as well as the agent’s commissions, if any, and the estimated cost of hedging our obligations under the securities, reduces
the economic terms of the securities to you and is expected to adversely affect the price at which you may be able to sell the
securities in any secondary market. The value of the embedded derivative(s) is calculated based on our internal pricing models
using relevant parameter inputs such as expected interest and dividend rates and mid-market levels of price and volatility of the
assets underlying the securities or any futures, options or swaps related to such underlying assets. Our internal pricing models
are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect.
The Issuer’s
estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue
Price of the securities. The difference between the Issue Price and the Issuer’s estimated value of the securities on the
Trade Date is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations
under the securities through one or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost
of providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent
in providing such hedge.
The Issuer’s
estimated value of the securities on the Trade Date does not represent the price at which we or any of our affiliates would be
willing to purchase your securities in the secondary market at any time. Assuming no changes in market conditions or our creditworthiness
and other relevant factors, the price, if any, at which we or our affiliates would be willing to purchase the securities from
you in secondary market transactions, if at all, would generally be lower than both the Issue Price and the Issuer’s estimated
value of the securities on the Trade Date. Our purchase price, if any, in secondary market transactions will be based on the estimated
value of the securities determined by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another
appropriate measure of our cost of funds and (ii) our pricing models at that time, less a bid spread determined after taking into
account the size of the repurchase, the nature of the assets underlying the securities and then-prevailing market conditions.
The price we report to financial reporting services and to distributors of our securities for use on customer account statements
would generally be determined on the same basis. However, during the period of approximately three months beginning from the Trade
Date, we or our affiliates may, in our sole discretion, increase the purchase price determined as described above by an amount
equal to the declining differential between the Issue Price and the Issuer’s estimated value of the securities on the Trade
Date, prorated over such period on a straight-line basis, for transactions that are individually and in the aggregate of the expected
size for ordinary secondary market repurchases.
Resolution
Measures and Deemed Agreement
On
May 15, 2014, the European Parliament and the Council of the European Union adopted a directive establishing a framework for the
recovery and resolution of credit institutions and investment firms (commonly referred to as the “
Bank Recovery and Resolution
Directive
”). The Bank Recovery and Resolution Directive required each member state of the European Union to adopt and
publish by December 31, 2014 the laws, regulations and administrative provisions necessary to comply with the Bank Recovery and
Resolution Directive. Germany adopted the Recovery and Resolution Act (
Sanierungs- und Abwicklungsgesetz
, or the “
Resolution
Act
”), which became effective on January 1, 2015. The Bank Recovery and Resolution Directive and the Resolution Act provided
national resolution authorities with a set of resolution powers to intervene in the event that a bank is failing or likely to fail
and certain other conditions are met. From January 1, 2016, the power to initiate resolution measures applicable to significant
banking groups (such as Deutsche Bank Group) in the European Banking Union has been transferred to the European Single Resolution
Board which, based on the European Union regulation establishing uniform rules and a uniform procedure for the resolution of credit
institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund (the “
SRM
Regulation
”), works in close cooperation with the European Central Bank, the European Commission and the national resolution
authorities. Pursuant to the SRM Regulation, the Resolution Act and other applicable rules and regulations, the securities may
be subject to any Resolution Measure by the competent resolution authority if we become, or are deemed by the competent supervisory
authority to have become, “non-viable” (as defined under the then applicable law) and are unable to continue our regulated
banking activities without a Resolution Measure becoming applicable to us. By acquiring the securities, you will be bound by and
deemed irrevocably to consent to the provisions set forth in the accompanying prospectus, which we have summarized below.
By
acquiring the securities, you will be bound by and will be deemed irrevocably to consent to the imposition of any Resolution Measure
by the competent resolution authority. Under the relevant resolution laws and regulations as applicable to us from time to time,
the securities may be subject to the powers exercised by the competent resolution authority to: (i) write down, including to zero,
any payment (or delivery obligations) on the securities; (ii) convert the securities into ordinary shares of (a) the Issuer, (b)
any group entity or (c) any bridge bank or other instruments of ownership of such entities qualifying as common equity tier 1 capital;
and/or (iii) apply any other resolution measure including, but not limited to, any transfer of the securities to another entity,
the amendment, modification or variation of the terms and conditions of the securities or the cancellation of the securities. We
refer to each of these measures as a “
Resolution Measure
.” A “group entity” refers to an entity
that is included in the corporate group subject to a Resolution Measure. A “bridge bank” refers to a newly chartered
German bank that would receive some or all of our assets, liabilities and material contracts, including those attributable to our
branches and subsidiaries, in a resolution proceeding.
Furthermore,
by acquiring the securities, you:
|
·
|
are deemed irrevocably
to have agreed, and you will agree: (i) to be bound by, to acknowledge and to accept any Resolution Measure and any amendment,
modification or variation of the terms and conditions of the securities to give effect to any Resolution Measure; (ii) that you
will have no claim or other right against us arising out of any Resolution Measure; and (iii) that the imposition of any Resolution
Measure will not constitute a default or an event of default under the securities, under the senior indenture dated November 22,
2006 among us, Law Debenture Trust Company of New York, as trustee, and Deutsche Bank Trust Company Americas, as issuing agent,
paying agent, authenticating agent and registrar, as amended and supplemented from time to time (the “
Indenture
”),
or for the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act of 1939, as amended (the “
Trust
Indenture Act
”);
|
|
·
|
waive, to the
fullest extent permitted by the Trust Indenture Act and applicable law, any and all claims against the trustee and the paying agent,
the issuing agent and the registrar (each, an “
indenture
agent
”) for, agree not to initiate a suit against
the trustee or the indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for,
any action that the trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition
of a Resolution Measure by the competent resolution authority with respect to the securities; and
|
|
·
|
will be deemed
irrevocably to have: (i) consented to the imposition of any Resolution Measure as it may be imposed without any prior notice by
the competent resolution authority of its decision to exercise such power with respect to the securities; (ii) authorized, directed
and requested The Depository Trust Company (“
DTC
”) and any direct participant in DTC or other intermediary through
which you hold such securities to take any and all necessary action, if required, to implement the imposition of any Resolution
Measure with respect to the securities as it may be imposed, without any further action or direction on your part or on the part
of the trustee or the indenture agents; and (iii) acknowledged and accepted that the Resolution Measure provisions described herein
and in the “Resolution Measures” section of the
|
accompanying
prospectus are exhaustive on the matters described herein and therein to the exclusion of any other agreements, arrangements or
understandings between you and the Issuer relating to the terms and conditions of the securities.
This
is only a summary, for more information please see the accompanying prospectus dated April 27, 2016, including the risk factors
beginning on page 13 of such prospectus.
Additional
Terms Specific to the Securities
You
should read this pricing supplement together with underlying supplement No. 1 dated August 17, 2015, product supplement B dated
July 31, 2015, the prospectus supplement dated July 31, 2015 relating to our Series A global notes of which these securities are
a part and the prospectus dated April 27, 2016. When you read the accompanying underlying supplement, product supplement and prospectus
supplement, please note that all references in such supplements to the prospectus dated July 31, 2015, or to any sections therein,
should refer instead to the accompanying prospectus dated April 27, 2016 or to the corresponding sections of such prospectus, as
applicable, unless otherwise specified or the context otherwise requires. You may access these documents on the website of the
Securities and Exchange Commission (the “
SEC
”) at
.
www.sec.gov as follows (or
if such address has changed, by reviewing our filings for the relevant date on the SEC website):
|
·
|
Underlying
supplement No. 1 dated August 17, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006546/crt_dp58829-424b2.pdf
|
·
|
Product
supplement B dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
·
|
Prospectus
supplement dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
|
·
|
Prospectus
dated April 27, 2016:
|
https://www.sec.gov/Archives/edgar/data/1159508/000119312516559607/d181910d424b21.pdf
Our
Central Index Key, or CIK, on the SEC website is 0001159508. As used in this pricing supplement, “
we
,” “
us
”
or “
our
” refers to Deutsche Bank AG, including, as the context requires, acting through one of its branches.
This
pricing supplement, together with the documents listed above, contains the terms of the securities and supersedes all other prior
or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in this pricing supplement and in “Risk Factors” in the accompanying
product supplement, prospectus supplement and prospectus, as the securities involve risks not associated with conventional debt
securities. We urge you to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the
securities.
You
may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the applicable
agent. We reserve the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. We
will notify you in the event of any changes to the terms of the securities and you will be asked to accept such changes in connection
with your purchase of any securities. You may also choose to reject such changes, in which case we may reject your offer to purchase
the securities.
What Is the Payment
at Maturity on the Securities, Assuming a Range of Hypothetical Performances for the Underlying?
The table below illustrates
the Payment at Maturity per $1,000 Face Amount of securities for a hypothetical range of performances for the Underlying from -100.00%
to +100.00%. The table below reflects the Upside Leverage Factor of 120.00% and the Downside Participation Factor of 55.00%. The
actual Initial Price is set forth on the cover of this pricing supplement. The following results are based solely on the hypothetical
examples cited. You should consider carefully whether the securities are suitable to your investment goals. The numbers appearing
in the table and examples below may have been rounded for ease of analysis.
Underlying Return (%)
|
Payment at Maturity ($)
|
Return on Securities (%)
|
100.00%
|
$2,200.00
|
120.00%
|
75.00%
|
$1,900.00
|
90.00%
|
50.00%
|
$1,600.00
|
60.00%
|
40.00%
|
$1,480.00
|
48.00%
|
30.00%
|
$1,360.00
|
36.00%
|
20.00%
|
$1,240.00
|
24.00%
|
10.00%
|
$1,120.00
|
12.00%
|
5.00%
|
$1,060.00
|
6.00%
|
0.00%
|
$1,000.00
|
0.00%
|
-5.00%
|
$972.50
|
-2.75%
|
-10.00%
|
$945.00
|
-5.50%
|
-20.00%
|
$890.00
|
-11.00%
|
-30.00%
|
$835.00
|
-16.50%
|
-40.00%
|
$780.00
|
-22.00%
|
-50.00%
|
$725.00
|
-27.50%
|
-75.00%
|
$587.50
|
-41.25%
|
-100.00%
|
$450.00
|
-55.00%
|
Hypothetical Examples of Amounts Payable
at Maturity
The following hypothetical
examples illustrate how the Payments 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 30
.
00%
.
Because the
Final Price is greater than the Initial Price, the investor receives a Payment at Maturity of $1,360.00 per $1,000 Face Amount
of securities, calculated as follows:
$1,000 + ($1,000 x Underlying
Return x Upside Leverage Factor)
$1,000 + ($1,000 x 30.00%
x 120.00%) = $1,360.00
Example 2
:
The
Final Price is equal to the Initial Price
,
resulting in an Underlying Return of 0
.
00%
. Because the Final Price
is equal to the Initial Price, the investor receives a Payment at Maturity of $1,000.00 per $1,000 Face Amount of securities.
$1,000 + ($1,000 x Underlying
Return x Upside Leverage Factor)
$1,000 + ($1,000 x 0.00%
x 120.00%) = $1,000.00
Example 3
:
The
Final Price is less than the Initial Price
,
resulting in an Underlying Return of
-
50
.
00%.
Because the
Final Price is less than the Initial Price, the investor receives a Payment at Maturity of $725.00 per $1,000 Face Amount of securities,
calculated as follows:
$1,000 + ($1,000 x Underlying
Return x Downside Participation Factor)
$1,000 + ($1,000 x -50.00%
x 55.00%) = $725.00
Because the Downside Participation Factor is
less than 100.00%, the investor has a loss of 27.50% on the securities, which is less than the 50.00% decline from the Initial
Price to the Final Price.
Selected Purchase Considerations
|
·
|
UNCAPPED
APPRECIATION POTENTIAL
— The securities provide upside leveraged exposure to any increase in the price of the Underlying
by multiplying any positive Underlying Return by the Upside Leverage Factor of 120.00%. Any payment on the securities is subject
to our ability to satisfy our obligations as they become due.
|
|
·
|
LIMITED
PROTECTION AGAINST LOSS
— If the Underlying Return is less than zero, you will lose 0.55% of the Face Amount for every
1.00% by which the Final Price is less than the Initial Price. As a result, you will have reduced exposure to any decline of the
Underlying from the Initial Price to the Final Price. You will be entitled to receive at least 45.00% of the Face Amount of securities
regardless of the performance of the Underlying, provided that you hold the securities to maturity.
|
|
·
|
RETURN LINKED TO THE PERFORMANCE OF
THE ISHARES
®
MSCI EAFE ETF
— The return on the securities, which may be positive, zero or negative, is
linked to the performance of the iShares
®
MSCI EAFE ETF, as described herein. The iShares
®
MSCI
EAFE ETF is an exchange-traded fund managed by iShares
®
Trust, a registered investment company. The iShares
®
Trust
consists of numerous separate investment portfolios, including the iShares
®
MSCI EAFE ETF. The iShares
®
MSCI
EAFE ETF seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses,
of publicly traded securities in the European, Australasian and Far Eastern markets, as measured by the MSCI EAFE
®
Index
(the “
Tracked Index
”). The iShares
®
MSCI EAFE ETF trades on NYSE Arca under the ticker symbol
“EFA.” It is possible that the iShares
®
MSCI EAFE ETF may not fully replicate or may in certain
circumstances diverge significantly from the performance of the Tracked Index due to the temporary unavailability of certain securities
in the secondary markets, the performance of any derivative instruments contained in the iShares
®
MSCI EAFE
ETF, the fees and expenses of the iShares
®
MSCI EAFE ETF or due to other circumstances. The investment advisor
(the “
Underlying Advisor
”) to the iShares
®
MSCI EAFE ETF is Blackrock Fund Advisors.
This
section is only a summary of the iShares
®
MSCI EAFE ETF
.
For more information on the iShares
®
MSCI
EAFE ETF
,
including information concerning calculation methodology and adjustment policy
,
please see the section
entitled
“
The iShares Exchange Traded Funds
—
iShares
®
MSCI EAFE
ETF” in the accompanying underlying supplement No
.
1 dated August 17
,
2015
.
For more information on
the MSCI EAFE
®
Index
,
please see the section entitled
“
The MSCI Indices
—
The
MSCI EAFE
®
Index” in the accompanying underlying supplement No
.
1 dated August 17
,
2015
.
|
|
·
|
TAX CONSEQUENCES
— Due to
the lack of direct legal authority, there is substantial uncertainty regarding the U.S. federal income tax consequences of an investment
in the securities. In determining our responsibilities for information reporting and withholding, if any, we intend to treat the
securities as prepaid financial contracts that are not debt. Our special tax counsel, Davis Polk & Wardwell LLP, has advised
that it believes this treatment to be one of several reasonable treatments, none of which is more likely than not to be upheld.
Other reasonable treatments could materially and adversely affect the timing and character of income or loss on your securities.
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 securities and (ii) subject to the potential application of the “constructive ownership” regime
discussed below, the gain or loss on your securities should be capital gain or loss and should be long-term capital gain or loss
if you have held the securities for more than one year.
|
|
|
Even if the treatment of the securities as prepaid financial contracts
is respected, purchasing a security could be treated as entering into a “constructive ownership transaction” within
the meaning of Section 1260 of the Internal Revenue Code (“
Section 1260
”). In that case, all or a portion of
any long-term capital gain you would otherwise recognize upon the taxable disposition of the security would be recharacterized
as ordinary income to the extent such gain exceeded the “net underlying long-term capital gain” as defined in Section
1260. Any long-term capital gain recharacterized as ordinary income would be treated as accruing at a constant rate over the period
you held the security, and you would be subject to a notional interest charge in respect of the deemed tax liability on the income
treated as accruing in prior tax years. Due to the lack of direct legal authority, our special tax counsel is unable to opine as
to whether or how Section 1260 applies to the securities.
|
|
|
In 2007, the U.S. Treasury Department and the Internal Revenue Service (the “
IRS
”)
released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. 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
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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 discussed above. 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 securities, possibly with retroactive effect.
Withholding
under legislation commonly referred to as “FATCA” might (if the securities were recharacterized as debt instruments)
apply to amounts treated as interest paid with respect to the securities. 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 securities. You should consult your tax adviser regarding the potential application of
FATCA to the securities.
Non-U.S. holders
should note that, notwithstanding anything to the contrary in the section of the accompanying product supplement entitled “U.S.
Federal Income Tax Consequences,” recently promulgated Treasury regulations imposing a withholding tax on certain “dividend
equivalents” under certain “equity linked instruments” will not apply to the securities.
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You should review carefully the section of the accompanying product supplement entitled “U.S.
Federal Income Tax Consequences.” The preceding discussion, when read in combination with that section, constitutes the full
opinion of our special tax counsel regarding the material U.S. federal income tax consequences of owning and disposing of the securities.
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Under
current law, the United Kingdom will not impose withholding tax on payments made with respect to the securities.
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For a discussion of certain German tax considerations relating to the securities, you should refer
to the section in the accompanying prospectus supplement entitled “Taxation by Germany of Non-Resident Holders.”
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You should
consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities (including possible alternative
treatments, the potential application of the “constructive ownership” regime and the issues presented by the 2007 notice),
as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Selected Risk Considerations
An investment in the securities
involves significant risks. Investing in the securities is not equivalent to investing directly in the shares of the Underlying
or 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 SECURITIES MAY RESULT IN A LOSS
— The securities do not pay any coupons or dividends and do not guarantee
the return of more than 45.00% of your initial investment. The return on the securities 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 Initial Price, for each $1,000 Face Amount of securities, you will lose 0.55% of the Face Amount
for every 1.00% by which the Final Price is less than the Initial Price. In this circumstance, you will lose up to 55.00% of your
investment in the securities if the Underlying Return is negative.
Any payment on the securities is subject to our ability
to satisfy our obligations as they become due
.
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THE
SECURITIES DO NOT PAY ANY COUPONS
— Unlike ordinary debt securities, the securities do not pay any coupons and do not
guarantee the return of more than 45.00% of your investment at maturity.
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THE SECURITIES
ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK AG
— The securities are senior unsecured obligations of Deutsche Bank AG and
are not, either directly or indirectly, an obligation of any third party. Any payment(s) to be made on the securities depends on
the ability of Deutsche Bank AG to satisfy its obligations as they
become
due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating or increase in the credit spreads charged by
the market for taking Deutsche Bank AG’s credit risk will likely have
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an
adverse effect on the value of the securities. As a result, the actual and perceived creditworthiness of Deutsche Bank AG will
affect the value of the securities and, in the event Deutsche Bank AG were to default on its obligations or become subject to a
Resolution Measure, you might not receive any amount(s) owed to you under the terms of the securities and you could lose your entire
investment.
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THE SECURITIES
MAY BE WRITTEN DOWN, BE CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION
MEASURES
.
YOU MAY LOSE SOME OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— Pursuant
to the SRM Regulation, the Resolution Act and other applicable rules and regulations described above under “Resolution Measures
and Deemed Agreement,” the securities are subject to the powers exercised by the competent resolution authority to impose
Resolution Measures on us, which may include: writing down, including to zero, any claim for payment on the securities; converting
the securities into ordinary shares of (i) the Issuer, (ii) any group entity or (iii) any bridge bank or other instruments of ownership
of such entities qualifying as common equity tier 1 capital; or applying any other resolution measure including, but not limited
to, transferring the securities to another entity, amending, modifying or varying the terms and conditions of the securities or
cancelling the securities. The competent resolution authority may apply Resolution Measures individually or in any combination.
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The
German law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
, or the “
Resolution
Mechanism Act
”) provides that, in a German insolvency proceeding of the Issuer, certain specifically defined senior unsecured
debt instruments would rank junior to, without constituting subordinated debt, all other outstanding unsecured unsubordinated obligations
of the Issuer and would be satisfied only if all such other senior unsecured obligations of the Issuer have been paid in full.
This prioritization would also be given effect if Resolution Measures are imposed on the Issuer, so that obligations under debt
instruments that rank junior in insolvency as described above would be written down or converted into common equity tier 1 instruments
before any other senior unsecured obligations of the Issuer are written down or converted. A large portion of our liabilities consist
of senior unsecured obligations that either fall outside the statutory definition of debt instruments that rank junior to other
senior unsecured obligations according to the Resolution Mechanism Act or are expressly exempted from such definition.
Among
those unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt instruments
whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event
which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than
by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence
of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of
interest or the amount of the interest payments solely depends on a fixed or floating reference interest rate and is settled by
monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency proceedings
instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of the Issuer
outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect
to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued under the
prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the “
Structured Debt Securities
,”
and which do not, referred to herein as the “
Non-Structured Debt Securities
.” We expect the securities offered
herein to be classified as Structured Debt Securities, but the competent regulatory authority or court may classify the securities
differently. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect to the Issuer,
the Structured Debt Securities are expected to be among the unsecured unsubordinated obligations that would bear losses after the
Non-Structured Debt Securities as described above.
Nevertheless
,
you may lose some or all of your investment in the securities
if a Resolution Measure becomes applicable to us
. Imposition of a Resolution Measure would likely occur if we become, or are
deemed by the competent supervisory authority to have become, “non-viable” (as defined under the then applicable law)
and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable to us. The Bank Recovery
and Resolution Directive and the Resolution Act are intended to eliminate the need for public support of troubled banks, and you
should be aware that public support, if any, would only potentially be used by the competent supervisory authority as a last resort
after having assessed and exploited, to the maximum extent practicable, the resolution tools, including the bail-in tool.
By
acquiring the securities, you would have no claim or other right against us arising out of any Resolution Measure and we would
have no obligation to make payments under the securities following the imposition of a Resolution Measure. In particular, the imposition
of any Resolution Measure will not constitute a default or an event of default under the securities, under the Indenture or for
the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act. Furthermore, because the securities are
subject to any Resolution Measure, secondary market trading in the securities may not follow the trading behavior associated with
similar types of securities issued by other financial institutions which may be or have been subject to a Resolution Measure.
In
addition, by your acquisition of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable
law, any and all claims against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or the
indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that the
trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution
Measure by the competent resolution authority with respect to the securities.
Accordingly
,
you may have limited or circumscribed
rights to challenge any decision of the competent resolution authority to impose any Resolution Measure
.
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THE
ISSUER
’
S ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE SECURITIES
—
The Issuer’s estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing
supplement) is less than the Issue Price of the securities. The difference between the Issue Price and the Issuer’s estimated
value of the securities on the Trade Date is due to the inclusion in the Issue Price of the agent’s commissions, if any,
and the cost of hedging our obligations under the securities through one or more of our
affiliates
.
Such hedging cost includes our or our affiliates’ expected cost of providing such hedge, as well as the profit we or our
affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. The Issuer’s estimated
value of the securities is determined by reference to an internal funding rate and our pricing models. The internal funding rate
is typically lower than the rate we would pay when we issue conventional debt securities on equivalent terms. This difference
in funding rate, as well as the agent’s commissions, if any, and the estimated cost of hedging our obligations under the
securities, reduces the economic terms of the securities to you and is expected to adversely affect the price at which you may
be able to sell the securities in any secondary market. In addition, our internal pricing models are proprietary and rely in part
on certain assumptions about future events, which may prove to be incorrect. If at any time a third party dealer were to
quote a price to purchase your securities or otherwise value your securities, that price or value may differ materially from the
estimated value of the securities determined by reference to our internal funding rate and pricing models. This difference
is due to, among other things, any difference in funding rates, pricing models or assumptions used by any dealer who may purchase
the securities in the secondary market.
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INVESTING IN THE SECURITIES IS NOT THE
SAME AS INVESTING IN THE SHARES OF THE UNDERLYING OR THE COMPONENT SECURITIES HELD BY THE UNDERLYING
— The
return
on your securities 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.
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IF
THE PRICE OF THE UNDERLYING CHANGES
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME MANNER
— Your securities
may trade quite differently from the shares of the Underlying and the prices of the component securities held by the Underlying.
Changes in the shares of the Underlying and the prices of the component securities held by the Underlying may not result in comparable
changes in the value of your securities.
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or rights to receive
c
ash
dividends or other distributions or other rights that holders of the component securities held by the Underlying or holders of
shares of the Underlying would have.
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The Policies
of the UNDERLYING ADVISOR and Changes that Affect the Underlying or THE Tracked Index Could Adversely Affect the Value of the securities
— The policies of 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 securities.
The value of, and your return on, the securities could also be adversely affected if the Underlying Advisor changes these policies,
for example, by changing the manner in which it calculates the Underlying’s NAV, or if the Underlying Advisor discontinues
or suspends
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calculation
or publication of the Underlying’s NAV, in which case it may become difficult to determine the value of the securities. 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 on the Final Valuation Date 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 securities may be determined
based on the price 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 securities 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 such an event occurs that does not
require the calculation agent to make an adjustment, the value of the securities may be materially and adversely affected. In addition,
you should be aware that the calculation agent may, at its sole discretion, make adjustments to the Share Adjustment Factor or
any other terms of the securities that are in addition to, or that differ from, those described in the accompanying product supplement
to reflect changes occurring in relation to the Underlying 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 securities. 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 securities.
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THE
SECURITIES ARE SUBJECT TO CURRENCY EXCHANGE RATE RISK
— Because the Underlying invests in stocks denominated in foreign
currencies but its shares are denominated in U.S. dollars, changes in currency exchange rates may negatively impact the Underlying
Return. Of particular importance to currency exchange rate risk are:
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existing
and expected rates of inflation;
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existing
and expected interest rates;
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political,
civil or military unrest;
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the
balance of payments between the countries represented in the Underlying and the U.S.; and
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the
extent of governmental surpluses or deficits in the countries represented in the Underlying and the U.S.
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All of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by
the governments of the countries represented in the Underlying, the U.S. and other countries important to international trade
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and finance.
An investor’s net exposure to currency exchange rate risk will depend on the extent to which the currencies represented in
the Underlying strengthen or w.eaken against the U.S. dollar and the relative weight of each currency represented in the Underlying.
If, taking into account such weighting, the U.S. dollar strengthens against the component currencies as a whole, the price of the
Underlying will be adversely affected and the value of the securities may be reduced. Additionally, the volatility and/or correlation
(including the direction and extent of such correlation) of the exchange rates between the U.S. dollar and the currencies represented
in the Underlying could adversely affect the value of the securities.
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THERE
ARE RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES LINKED TO THE VALUES OF EQUITY SECURITIES ISSUED BY NON
-
U
.
S
.
COMPANIES
— The Underlying holds component stocks that are issued by companies incorporated outside of the U.S. Because
the component stocks also trade outside the U.S., the securities are subject to the risks associated with non-U.S. securities
markets. Generally, non-U.S. securities markets may be less liquid and more volatile than U.S. securities markets and market developments
may affect non-U.S. securities markets differently than U.S. securities markets, which may adversely affect the price of the Underlying
and the value of your securities. Furthermore, there are risks associated with investments in securities linked to the values
of equity securities issued by non-U.S. companies. There is generally less publicly available information about non-U.S. companies
than about those U.S. companies that are subject to the reporting requirements of the SEC, and non-U.S. companies are subject
to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting
companies. In addition, the prices of equity securities issued by non-U.S. companies may be adversely affected by political, economic,
financial and social factors that may be unique to the particular countries in which the non-U.S. companies are incorporated.
These factors include the possibility of recent or future changes in a non-U.S. government’s economic and fiscal policies
(including any direct or indirect intervention to stabilize the economy and/or securities market of the country of such non-U.S.
government), the presence, and extent, of cross shareholdings in non-U.S. companies, the possible imposition of, or changes in,
currency exchange laws or other non-U.S. laws or restrictions applicable to non-U.S. companies or investments in non-U.S. securities
and the possibility of fluctuations in the rate of exchange between currencies. Moreover, certain aspects of a particular non-U.S.
economy may differ favorably or unfavorably from the U.S. economy in important respects, such as growth of gross national product,
rate of inflation, capital reinvestment, resources and self-sufficiency.
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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 DISCLOSURE BY THE UNDERLYING STOCK ISSUERS
— We are not affiliated with the Underlying or the issuers of the component
stocks held by the Underlying or underlying the Tracked Index (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 securities, 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 securities. 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 securities.
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PAST PERFORMANCE OF THE UNDERLYING IS
NO GUIDE TO FUTURE PERFORMANCE
—
The actual performance of the Underlying over the term of the securities may
bear little relation to the historical closing prices of the Underlying and/or the hypothetical return 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 more than 45.00% of your investment.
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ASSUMING NO CHANGES IN MARKET CONDITIONS
AND OTHER RELEVANT FACTORS
,
THE PRICE YOU MAY RECEIVE FOR YOUR SECURITIES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY
BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER
’
S ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE
—
While the payment(s) on the securities described in this pricing supplement is based on the full Face Amount of securities,
the Issuer’s estimated value of the securities on
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the Trade Date
(as disclosed on the cover of this pricing supplement) is less than the Issue Price of the securities. The Issuer’s estimated
value of the securities on the Trade Date does not represent the price at which we or any of our affiliates would be willing to
purchase your securities in the secondary market at any time. Assuming no changes in market conditions or our creditworthiness
and other relevant factors, the price, if any, at which we or our affiliates would be willing to purchase the securities from you
in secondary market transactions, if at all, would generally be lower than both the Issue Price and the Issuer’s estimated
value of the securities on the Trade Date. Our purchase price, if any, in secondary market transactions would be based on the estimated
value of the securities determined by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another
appropriate measure of our cost of funds and (ii) our pricing models at that time, less a bid spread determined after taking into
account the size of the repurchase, the nature of the assets underlying the securities and then-prevailing market conditions. The
price we report to financial reporting services and to distributors of our securities for use on customer account statements would
generally be determined on the same basis. However, during the period of approximately three months beginning from the Trade Date,
we or our affiliates may, in our sole discretion, increase the purchase price determined as described above by an amount equal
to the declining differential between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date,
prorated over such period on a straight-line basis, for transactions that are individually and in the aggregate of the expected
size for ordinary secondary market repurchases.
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In addition to the factors discussed above, the value of the securities and our purchase price
in secondary market transactions after the Trade Date, if any, will vary based on many economic and market factors, including our
creditworthiness, and cannot be predicted with accuracy. These changes may adversely affect the value of your securities, including
the price you may receive in any secondary market transactions. Any sale prior to the Maturity Date could result in a substantial
loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing
to hold your securities to maturity.
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THE SECURITIES WILL NOT BE LISTED AND
THERE WILL LIKELY BE LIMITED LIQUIDITY
— The securities will not be listed on any securities exchange. There may be little
or no secondary market for the securities. We or our affiliates intend to act as market makers for the securities but are
not required to do so and may cease such market making activities at any time. Even if there is a secondary market, it may
not provide enough liquidity to allow you to sell the securities when you wish to do so or at a price advantageous to you. Because
we do not expect other dealers to make a secondary market for the securities, the price at which you may be able to sell your securities
is likely to depend on the price, if any, at which we or our affiliates are willing to buy the securities. If, at any time,
we or our affiliates do not act as market makers, it is likely that there would be little or no secondary market in the securities. If
you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial
loss, even in cases where the price of the Underlying has increased since the Trade Date.
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MANY
ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES
— While we expect that, generally, the price of
the Underlying will affect the value of the securities more than any other single factor, the value of the securities prior to
maturity will also be affected by a number of other factors that may either offset or magnify each other, including:
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the
expected volatility of the Underlying;
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the
time remaining to the maturity of the securities;
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the
market prices and dividend rates of the shares of the Underlying and of 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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the
exchange rates between the U.S. dollar and the non-U.S. currencies that the component securities held by the Underlying are traded
in;
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interest
rates and yields in the market 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 securities; and
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our
creditworthiness, including actual or anticipated downgrades in our credit ratings.
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During the
term of the securities, it is possible that their value may decline significantly due to the factors described above even if the
price of the Underlying remains unchanged from the Initial Price, and any sale prior to the Maturity Date could result in a substantial
loss to you. You must hold the securities to maturity to receive the stated payout from the Issuer.
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TRADING
AND OTHER TRANSACTIONS BY US OR OUR AFFILIATES IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE SECURITIES
— We or our affiliates expect to hedge our exposure from the securities by entering into equity and equity derivative
transactions, such as over-the-counter options,
futures
or exchange-traded instruments. We or our affiliates may also engage in trading in instruments linked or related to the Underlying
on a regular basis as part of our or their general broker-dealer and other businesses, for proprietary accounts, for other accounts
under management or to facilitate transactions for customers, including block transactions. Such trading and hedging activities
may adversely affect the price of the Underlying and, therefore, make it less likely that you will receive a positive return on
your investment in the securities. It is possible that we or our affiliates could receive substantial returns from these hedging
and trading activities while the value of the securities declines. We or our affiliates may also issue or underwrite other securities
or financial or derivative instruments with returns linked or related to the Underlying. To the extent we or our affiliates serve
as issuer, agent or underwriter for such securities or financial or derivative instruments, our or our affiliates’ interests
with respect to such products may be adverse to those of the holders of the securities. Introducing competing products into the
marketplace in this manner could adversely affect the price of the Underlying and the value of the securities. Any of the
foregoing activities described in this paragraph may reflect trading strategies that differ from, or are in direct opposition
to, investors’ trading and investment strategies related to the securities. Furthermore, because DBSI or one of its affiliates
is expected to conduct trading and hedging activities for us in connection with the securities, DBSI or such affiliate may profit
in connection with such trading and hedging activities and such profit, if any, will be in addition to any compensation that DBSI
receives for the sale of the securities to you. You should be aware that the potential to earn a profit in connection with hedging
activities may create a further incentive for DBSI to sell the securities to you in addition to any compensation they would receive
for the sale of the securities.
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WE
OR OUR AFFILIATES MAY PUBLISH RESEARCH
,
EXPRESS OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING
IN OR HOLDING THE SECURITIES
.
ANY SUCH RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE PRICE OF
THE UNDERLYING AND THE VALUE OF THE SECURITIES
— We or our affiliates may publish research from time to time on financial
markets and other matters that could adversely affect the price of the Underlying and the value of the securities or express opinions
or provide recommendations that are inconsistent with purchasing or holding the securities. Any research, opinions or recommendations
expressed by us or our affiliates may not be consistent with each other and may be modified from time to time without notice.
You should make your own independent investigation of the merits of investing in the securities and the Underlying.
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POTENTIAL CONFLICTS
OF INTEREST
— We and our affiliates play a variety of roles in connection with the issuance of the securities, including
acting as calculation agent, hedging our obligations under the securities and determining the Issuer’s estimated value of
the securities on the Trade Date and the price, if any, at which we or our affiliates would be willing to purchase the securities
from you in secondary market transactions. In performing these roles, our economic interests and those of our affiliates are potentially
adverse to your interests as an investor in the
securities
.
The calculation agent will determine, among other things, all values, prices and levels required to be determined for the purposes
of the securities on any relevant date or time. The calculation agent also has some discretion about certain adjustments to the
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 securities.
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THERE IS SUBSTANTIAL
UNCERTAINTY REGARDING THE U.S. FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES
— There is no direct
legal authority regarding the proper U.S. federal income tax treatment of the securities, and we do not plan to request a ruling
from the IRS.
Consequently
, significant aspects of the tax treatment of the securities
are uncertain, and the IRS or a court might not agree with the treatment of the securities as prepaid financial contracts that
are not debt, as described above under “Tax Consequences.” If the IRS were successful in asserting an alternative treatment
for the securities, the tax consequences of ownership and disposition of the securities could be materially and adversely affected.
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Even if the
treatment of the securities as prepaid financial contracts is respected, purchasing a security could be treated
as
entering into a “constructive ownership transaction.” In that case, all or a portion of any long-
term capital
gain you would otherwise recognize on the taxable disposition of the security would be recharacterized as ordinary income to the
extent such gain exceeded the “net underlying long-term capital gain,” and a notional interest charge would apply with
respect to the deemed tax liability that would have been incurred if such income had accrued at a constant rate over the period
you held the security.
In addition,
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 securities, possibly with retroactive effect. You should review carefully the section of the accompanying product supplement
entitled “U.S. Federal Income Tax Consequences,” and consult your tax adviser regarding the U.S. federal tax consequences
of an investment in the securities (including possible alternative treatments, the potential application of the “constructive
ownership” regime and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
Historical Information
The following graph sets
forth the historical performance of the Underlying based on its daily closing prices from April 26, 2011 through April 26, 2016.
The Initial Price is $59.45, equal to the Closing Price of the iShares
®
MSCI EAFE ETF on April 26, 2016. We obtained
the historical closing prices 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 more than 45.00% of your initial investment
.
Supplemental Plan of Distribution (Conflicts
of Interest)
DBSI, acting as agent
for Deutsche Bank AG, will not receive a selling concession in connection with the sale of the securities.
DBSI, the agent for this
offering, is our affiliate. Because DBSI is both our affiliate and a member of the Financial Industry Regulatory Authority, Inc.
(“
FINRA
”), the underwriting arrangement for this offering must comply with the requirements of FINRA Rule 5121
regarding a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. In accordance
with FINRA Rule 5121, DBSI may not make sales in offerings of the securities to any of its discretionary accounts without the prior
written approval of the customer. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
Settlement
We expect to deliver the
securities against payment for the securities on the Settlement Date indicated above, which will be the third business day following
the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally
are required to settle in three business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement
Date is more than three business days after the Trade Date, purchasers who wish to transact in the securities more than three business
days prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
Validity of the Securities
In the opinion of Davis
Polk & Wardwell LLP, as special United States products counsel to the Issuer, when the securities offered by this pricing supplement
have been executed and issued by the Issuer and authenticated by the authenticating agent, acting on behalf of the trustee pursuant
to the Indenture, and delivered against payment as contemplated herein, such securities will be valid and binding obligations of
the Issuer, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting
creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without
limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions giving
effect to governmental actions or foreign laws affecting creditors’ rights, provided that such counsel expresses no opinion
as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed
above. This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion
involves matters governed by German law, Davis Polk & Wardwell LLP has relied, without independent investigation, on the opinion
of Group Legal Services of Deutsche Bank AG, dated as of January 1, 2016, filed as an exhibit to the opinion of Davis Polk &
Wardwell LLP, and this opinion is subject to the same assumptions, qualifications and limitations with respect to such matters
as are contained in such opinion of Group Legal Services of Deutsche Bank AG. In addition, this opinion is subject to customary
assumptions about the trustee’s authorization, execution and delivery of the Indenture and the authentication of the securities
by the authenticating agent and the validity, binding nature and enforceability of the Indenture with respect to the trustee, all
as stated in the opinion of Davis Polk & Wardwell LLP dated as of January 1, 2016, which has been filed by the Issuer on Form
6-K dated January 4, 2016.
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