Pricing Supplement No.
2809B
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 AG
$4,500,000
Capped Buffered Underlying Securities
(
BUyS
)
Linked to the Russell 2000
®
Index due August 24
,
2018
General
|
·
|
The
Capped Buffered Underlying Securities (BUyS) Linked to the Russell 2000
®
Index due August 24, 2018 (the “
securities
”) are designed for investors
who seek a return at maturity of 150.00% of any increase in the level of the Russell
2000
®
Index (the “
Underlying
”), up to the Maximum Return
of 14.70%. If the Final Level is
less than
the Initial Level by an amount
not
greater than
the Buffer Amount of 20.00%, investors will receive at maturity a payment
equal to the Face Amount per $1,000 Face Amount of securities. However, if the Final
Level is
less than
the Initial Level by an amount
greater than
the Buffer
Amount of 20.00%, for each $1,000 Face Amount of securities, investors will lose 1.25%
of the Face Amount for every 1.00% by which the Final Level is less than the Initial
Level by an amount greater than the Buffer Amount. The securities do not pay any coupons
or dividends and investors should be willing to lose some or all of their investment
if the Final Level is less than the Initial Level by an amount greater than the Buffer
Amount. Any payment on the securities is subject to the credit of the Issuer.
|
|
·
|
Senior
unsecured obligations of Deutsche Bank AG due August 24, 2018
|
|
·
|
Minimum
purchase of $1,000. Minimum denominations of $1,000 (the “
Face Amount
”)
and integral multiples thereof.
|
|
·
|
The
securities priced on March 21, 2017 (the “
Trade Date
”) and are expected
to settle on March 24, 2017 (the “
Settlement Date
”).
|
Key Terms
Issuer:
|
Deutsche
Bank AG, London Branch
|
Underlying:
|
Russell 2000
®
Index (Ticker: RTY)
|
Issue
Price:
|
100% of the Face Amount
|
Payment
at Maturity:
|
·
If
the Final Level is
greater than
or
equal to
the Initial Level
, you will receive a cash payment at maturity
per $1,000 Face Amount of securities, calculated as follows:
|
|
|
|
$1,000 +
($1,000 x the
lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)
|
|
|
|
·
If
the Final Level is
less than
the Initial Level by an amount
not greater than
the Buffer Amount
, you will
receive a cash payment at maturity equal to the Face Amount per $1,000 Face Amount of securities.
|
|
|
|
·
If
the Final Level is
less than
the Initial Level by an amount
greater than
the Buffer Amount
, you will receive
a cash payment at maturity per $1,000 Face Amount of securities, calculated as follows:
$1,000 + [$1,000 × (Underlying
Return + Buffer Amount) x Downside Participation Factor]
|
|
If
the Final Level is less than the Initial Level by an amount greater than the Buffer Amount
,
for each $1
,
000
Face Amount of securities
,
you will lose 1.25% of the Face Amount for every 1
.
00% by which the Final Level is
less than the Initial Level 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
.
|
(
Key Terms
continued on next page
)
Investing
in the securities involves a number of risks
.
See
“
Risk Factors
”
beginning on page 7 of the accompanying
product supplement
,
page PS
–
5 of the accompanying prospectus supplement and page 13 of the accompanying prospectus
and
“
Selected Risk Considerations
”
beginning on page PS
–
8 of this pricing supplement
.
The Issuer
’
s
estimated value of the securities on the Trade Date is $994
.
00 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
|
$4,500,000.00
|
$0.00
|
$4,500,000.00
|
(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, please 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
.
March 21, 2017
(
Key Terms
continued from previous page
)
Underlying
Return:
|
The Underlying
Return, expressed as a percentage, will equal:
Final Level
– Initial Level
Initial
Level
The Underlying
Return may be positive
,
zero or negative
.
|
Initial Level:
|
1,384.096, the closing level of the Underlying
on March 20, 2017.
The Initial Level is
not
the closing level of the Underlying on the Trade Date
.
|
Final Level:
|
The closing level of the Underlying on the Final
Valuation Date
|
Buffer Amount:
|
20.00%
|
Upside Leverage Factor:
|
150.00%
|
Downside Participation Factor:
|
125.00%
|
Maximum Return:
|
14.70%
|
Trade Date:
|
March 21, 2017
|
Settlement Date:
|
March 24, 2017
|
Final Valuation Date
1
:
|
August 21, 2018
|
Maturity Date
1
:
|
August 24, 2018
|
Listing:
|
The securities will not be listed on any
securities exchange.
|
CUSIP/ ISIN:
|
25155MAJ0 / US25155MAJ09
|
|
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 deemed irrevocably to consent to the imposition of any Resolution Measure by the competent
resolution authority. Under the relevant resolution laws and regulations as applicable to us from time to time, the securities
may be subject to the powers exercised by the competent resolution authority to: (i) write down, including to zero, any payment
(or delivery obligations) on the securities; (ii) convert the securities into ordinary shares of (a) the Issuer, (b) any group
entity or (c) any bridge bank or other instruments of ownership of such entities qualifying as common equity tier 1 capital; and/or
(iii) apply any other resolution measure including, but not limited to, any transfer of the securities to another entity, the
amendment, modification or variation of the terms and conditions of the securities or the cancellation of the securities. We refer
to each of these measures as a “
Resolution Measure
.” A “group entity” refers to an entity that
is included in the corporate group subject to a Resolution Measure. A “bridge bank” refers to a newly chartered German
bank that would receive some or all of our assets, liabilities and material contracts, including those attributable to our branches
and subsidiaries, in a resolution proceeding.
Furthermore,
by acquiring the securities, you:
|
·
|
are
deemed irrevocably to have agreed, and you will agree: (i) to be bound by, to acknowledge
and to accept any Resolution Measure and any amendment, modification or variation of
the terms and conditions of the securities to give effect to any Resolution Measure;
(ii) that you will have no claim or other right against us arising out of any Resolution
Measure; and (iii) that the imposition of any Resolution Measure will not constitute
a default or an event of default under the securities, under the senior indenture dated
November 22, 2006 among us, Law Debenture Trust Company of New York, as trustee, and
Deutsche Bank Trust Company Americas, as issuing agent, paying agent, authenticating
agent and registrar, as amended and supplemented from time to time (the “
Indenture
”),
or for the purposes of, but only to the fullest extent permitted by, the Trust Indenture
Act of 1939, as amended (the “
Trust Indenture Act
”);
|
|
·
|
waive,
to the fullest extent permitted by the Trust Indenture Act and applicable law, any and
all claims against the trustee and the paying agent, the issuing agent and the registrar
(each, an “
indenture agent
”) for, agree not to initiate a suit against
the trustee or the indenture agents in respect of, and agree that the trustee and the
indenture agents will not be liable for, any action that the trustee or the indenture
agents take, or abstain from taking, in either case in accordance with the imposition
of a Resolution Measure by the competent resolution authority with respect to the securities;
and
|
|
·
|
will
be deemed irrevocably to have: (i) consented to the imposition of any Resolution Measure
as it may be imposed without any prior notice by the competent resolution authority of
its decision to exercise such power with respect to the securities; (ii) authorized,
directed and requested The Depository Trust Company (“
DTC
”) and any
direct participant in DTC or other intermediary through which you hold such securities
to take any and all necessary action, if required, to implement the imposition of any
Resolution Measure with respect to the securities as it may be imposed, without any further
action or direction on your part or on the part of the trustee or the indenture agents;
and (iii) acknowledged and accepted that the Resolution Measure provisions described
herein and in the “Resolution Measures” section of the accompanying prospectus
are exhaustive on the matters described herein and therein to the exclusion of any other
agreements, arrangements or understandings between you and the Issuer relating to the
terms and conditions of the securities.
|
This is
only a summary
,
for more information please see the accompanying prospectus dated April 27
,
2016, including the
risk factors beginning on page 13 of such prospectus
.
Additional
Terms Specific to the Securities
You
should read this pricing supplement together with underlying supplement No. 1 dated August 17, 2015, product supplement B dated
July 31, 2015, the prospectus supplement dated July 31, 2015 relating to our Series A global notes of which these securities are
a part and the prospectus dated April 27, 2016. Delaware Trust Company, which acquired the corporate trust business of Law Debenture
Trust Company of New York, is the successor trustee of the securities. When you read the accompanying underlying supplement, product
supplement and prospectus supplement, please note that all references in such supplements to the prospectus dated July 31, 2015,
or to any sections therein, should refer instead to the accompanying prospectus dated April 27, 2016 or to the corresponding sections
of such prospectus, as applicable, unless otherwise specified or the context otherwise requires. You may access these documents
on the website of the Securities and Exchange Commission (the “
SEC
”) at
.
www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
|
·
|
Underlying
supplement No. 1 dated August 17, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006546/crt_dp58829-424b2.pdf
|
·
|
Product
supplement B dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
·
|
Prospectus
supplement dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
|
·
|
Prospectus
dated April 27, 2016:
|
https://www.sec.gov/Archives/edgar/data/1159508/000119312516559607/d181910d424b21.pdf
Our
Central Index Key, or CIK, on the SEC website is 0001159508. As used in this pricing supplement, “
we
,” “
us
”
or “
our
” refers to Deutsche Bank AG, including, as the context requires, acting through one of its branches.
This
pricing supplement, together with the documents listed above, contains the terms of the securities and supersedes all other prior
or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in this pricing supplement and in “Risk Factors” in the accompanying
product supplement, prospectus supplement and prospectus, as the securities involve risks not associated with conventional debt
securities. We urge you to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the
securities.
You
may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the
applicable agent
.
We reserve the right to change the terms of
,
or reject any offer to purchase
,
the securities
prior to their issuance
.
We will notify you in the event of any changes to the terms of the securities and you will be
asked to accept such changes in connection with your purchase of any securities
.
You may also choose to reject such changes
,
in which case we may reject your offer to purchase the securities
.
Hypothetical
Examples
The table
below illustrates the Payment at Maturity per $1,000 Face Amount of securities for a hypothetical range of performances for the
Underlying from -100.00% to +100.00%. The table below reflects the Maximum Return of 14.70%, the Upside Leverage Factor of 150.00%,
the Downside Participation Factor of 125% and the Buffer Amount of 20.00%. The following results are based
solely
on the
hypothetical examples cited. You should consider carefully whether the securities are suitable to your investment goals. The numbers
appearing in the table and hypothetical examples below may have been rounded for ease of analysis.
Hypothetical
Underlying Return
(%)
|
Hypothetical
Payment at Maturity
($)
|
Hypothetical
Return on Securities
(%)
|
100.00%
|
$1,147.00
|
14.70%
|
75.00%
|
$1,147.00
|
14.70%
|
50.00%
|
$1,147.00
|
14.70%
|
40.00%
|
$1,147.00
|
14.70%
|
30.00%
|
$1,147.00
|
14.70%
|
20.00%
|
$1,147.00
|
14.70%
|
10.00%
|
$1,147.00
|
14.70%
|
9.80%
|
$1,147.00
|
14.70%
|
5.00%
|
$1,075.00
|
7.50%
|
0.00%
|
$1,000.00
|
0.00%
|
-5.00%
|
$1,000.00
|
0.00%
|
-10.00%
|
$1.000.00
|
0.00%
|
-20.00%
|
$1,000.00
|
0.00%
|
-21.00%
|
$998.75
|
-1.25%
|
-30.00%
|
$875.00
|
-12.50%
|
-40.00%
|
$750.00
|
-25.00%
|
-50.00%
|
$625.00
|
-37.50%
|
-75.00%
|
$312.00
|
-68.75%
|
-100.00%
|
$0.00
|
-100.00%
|
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 Level is
greater than
the Initial Level
,
resulting in an Underlying Return of 30
.
00%
.
Because the Final Level is greater than the Initial Level and the Underlying Return multiplied by the Upside Leverage Factor exceeds
the Maximum Return, the investor receives a Payment at Maturity of $1,147.00 per $1,000 Face Amount of securities, the maximum
payment on the securities, calculated as follows:
$1,000 + ($1,000
x the
lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)
$1,000 + ($1,000
x 14.70%) = $1,147.00
Example
2
:
The Final Level is
greater than
the Initial Level
,
resulting in an Underlying Return of 5
.
00%
.
Because the Final Level is greater than the Initial Level and the Underlying Return multiplied by the Upside Leverage Factor is
less than the Maximum Return, the investor receives a Payment at Maturity of $1,075.00 per $1,000 Face Amount of securities, calculated
as follows:
$1,000 + ($1,000
x the
lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)
$1,000 + ($1,000 x 5.00%
x 150.00%) = $1,075.00
Example
3
:
The Final Level is
less than
the Initial Level by an amount
not greater than
the Buffer Amount
,
resulting
in an Underlying Return of
-
5
.
00%
. Because the Final Level is less than the Initial Level by an amount not greater
than the Buffer Amount, the investor receives a Payment at Maturity of $1,000.00 per $1,000 Face Amount of securities.
Example
4
:
The Final Level is
less than
the Initial Level by an amount
greater than
the Buffer Amount
,
resulting
in an Underlying Return of
-
50
.
00%
. Because the Final Level is less than the Initial Level by an
amount greater
than the Buffer Amount, the investor receives a Payment at Maturity of $625.00 per $1,000 Face Amount of securities, calculated
as follows:
$1,000 + [$1,000 x (Underlying
Return + Buffer Amount) x Downside Participation Factor]
$1,000 + [$1,000 x (-50.00% + 20.00%)
x 125.00%] = $625.00
Selected Purchase Considerations
|
·
|
CAPPED
APPRECIATION POTENTIAL
— The securities provide upside leveraged exposure to
any increase in the level of the Underlying up to the Maximum Return of 14.70%. Consequently,
the maximum Payment at Maturity is $1,147.00 for each $1,000 Face Amount of securities
you hold.
Any payment on the securities is subject to our ability to satisfy our obligations
as they become due
.
|
|
·
|
LIMITED
PROTECTION AGAINST LOSS
— Payment at maturity of the Face Amount per $1,000
Face Amount of securities is protected against a percentage decline in the Final Level,
as compared to the Initial Level, of up to the Buffer Amount. If such percentage decline
is greater than the Buffer Amount of 20.00%, for each $1,000 Face Amount of securities,
you will lose 1.25% of the Face Amount for every 1.00% by which the Final Level is less
than the Initial Level by an amount greater than the Buffer Amount. In this circumstance,
you will lose some or all of your investment in the securities.
|
|
·
|
RETURN
LINKED TO THE PERFORMANCE OF THE RUSSELL 2000
®
INDEX
—
The return on the securities, which may be positive, zero or negative, is linked to the
performance of the Russell 2000
®
Index as described herein. The Russell
2000
®
Index is designed to track the performance of the small capitalization
segment of the U.S. equity market. The Russell 2000
®
Index measures the
composite price performance of stocks of approximately 2,000 companies domiciled in the
U.S. and its territories and consists of the smallest 2,000 companies included in the
Russell 3000
®
Index. The Russell 2000
®
Index represents
approximately 10% of the total market capitalization of the Russell 3000
®
Index.
This is only a summary of the Russell 2000
®
Index
.
For more information on the Russell 2000
®
Index
,
including
information concerning its composition
,
calculation methodology and adjustment
policy
,
please see the section entitled “The Russell Indices
—
The Russell 2000
®
Index
”
in the accompanying underlying
supplement No
.
1 dated August 17
,
2015
.
|
|
·
|
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 securities 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 securities and (ii) 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. 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 securities could be materially and adversely affected.
|
In
2007, the U.S. Treasury
Department
and the IRS released a notice requesting comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether beneficial owners of these instruments should be required to accrue income over the
term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with
respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. persons should be subject
to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest
charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other
guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the 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.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“
Section 871
(
m
)”) generally
impose
a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to non-U.S. holders with
respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides
certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements
set forth in the applicable Treasury regulations (such an index, a “
Qualified Index
”). Additionally, the applicable
regulations exclude from the scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “
Underlying
Security
”). Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m)
should not apply to the securities with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may
disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. You should consult your tax adviser regarding
the potential application of Section 871(m) to the securities.
You
should review carefully the section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.”
The preceding discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel
regarding the material U.S. federal income tax consequences of owning and disposing of the securities.
Under
current law, the United Kingdom will not impose withholding tax on payments made with respect to the securities.
For
a discussion of certain German tax considerations relating to the securities, you should refer to the section in the accompanying
prospectus supplement entitled “Taxation by Germany of Non-Resident Holders.”
You
should consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities (including possible
alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
Selected
Risk Considerations
An investment
in the securities involves significant risks. Investing in the securities is not equivalent to investing directly in the stocks
composing the 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 any return of your investment beyond the
Buffer Amount of 20.00%. 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 Level is less than the Initial Level
by an amount greater than the Buffer Amount, for each $1,000 Face Amount of securities,
you will lose 1.25% of the Face Amount for every 1.00% by which the Final Level is less
than the Initial Level by an amount greater than the Buffer Amount.
In this circumstance
,
you will lose some or all of your investment in the securities
.
Any payment
on the securities is subject to our ability to satisfy our obligations as they become
due
.
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|
·
|
THE
RETURN ON YOUR SECURITIES IS LIMITED BY THE MAXIMUM RETURN
— If the Final Level
is greater than or equal to the Initial Level, for each $1,000 Face Amount of securities,
you will receive at maturity $1,000 plus an amount equal to $1,000
multiplied by
the lesser of (i) the Underlying Return times the Upside Leverage Factor and (ii) the
Maximum Return of 14.70%. Consequently, the maximum Payment at Maturity will be $1,147.00
for each $1,000 Face Amount of securities you hold, regardless of any further increase
in the level of the Underlying, which may be significant.
|
|
·
|
THE
SECURITIES DO NOT PAY ANY COUPONS
— Unlike ordinary debt securities, the securities
do not pay any coupons and do not guarantee any return of your investment at maturity.
|
|
·
|
THE
SECURITIES ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK AG
— The securities are
senior unsecured obligations of Deutsche Bank AG and are not, either directly or indirectly,
an obligation of any third party. Any payment(s) to be made on the securities depends
on the ability of Deutsche Bank AG to satisfy its obligations as they
become
due. An actual or anticipated downgrade in Deutsche
Bank AG’s credit rating or increase in the credit spreads charged by the market
for taking Deutsche Bank AG’s credit risk will likely have an adverse effect on
the value of the securities. As a result, the actual and perceived creditworthiness of
|
Deutsche Bank AG will affect the value of the securities and, in the event
Deutsche Bank AG were to default on its obligations or become subject to a Resolution Measure, you might not receive any amount(s)
owed to you under the terms of the securities and you could lose your entire investment.
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·
|
THE
SECURITIES MAY BE WRITTEN DOWN
,
BE CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS
OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION MEASURES
.
YOU MAY LOSE SOME
OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— Pursuant
to the SRM Regulation, the Resolution Act and other applicable rules and regulations
described above under “Resolution Measures and Deemed Agreement,” the securities
are subject to the powers exercised by the competent resolution authority to impose Resolution
Measures on us, which may include: writing down, including to zero, any claim for payment
on the securities; converting the securities into ordinary shares of (i) the Issuer,
(ii) any group entity or (iii) any bridge bank or other instruments of ownership of such
entities qualifying as common equity tier 1 capital; or applying any other resolution
measure including, but not limited to, transferring the securities to another entity,
amending, modifying or varying the terms and conditions of the securities or cancelling
the securities. The competent resolution authority may apply Resolution Measures individually
or in any combination.
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The
German law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
, or the “
Resolution
Mechanism Act
”) provides that, in a German insolvency proceeding of the Issuer, certain specifically defined senior
unsecured debt instruments would rank junior to, without constituting subordinated debt, all other outstanding unsecured unsubordinated
obligations of the Issuer and be satisfied only if all such other senior unsecured obligations of the Issuer have been paid in
full. This prioritization would also be given effect if Resolution Measures are imposed on the Issuer, so that obligations under
debt instruments that rank junior in insolvency as described above would be written down or converted into common equity tier
1 instruments before any other senior unsecured obligations of the Issuer are written down or converted. A large portion of our
liabilities consist of senior unsecured obligations that either fall outside the statutory definition of debt instruments that
rank junior to other senior unsecured obligations according to the Resolution Mechanism Act or are expressly exempted from such
definition.
Among
those unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt
instruments whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence
of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way
other than by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence
or non-occurrence of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless
the payment of interest or the amount of the interest payments solely depends on a fixed or floating reference interest rate and
is settled by monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency
proceedings instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments
of the Issuer outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures
with respect to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued
under the prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the “
Structured Debt
Securities
,” and which do not, referred to herein as the “
Non
-
Structured Debt Securities
.”
We expect the securities offered herein to be classified as Structured Debt Securities, but the competent regulatory authority
or court may classify the securities differently. In a German insolvency proceeding or in the event of the imposition of Resolution
Measures with respect to the Issuer, the Structured Debt Securities are expected to be among the unsecured unsubordinated obligations
that would bear losses after the Non-Structured Debt Securities as described above.
Nevertheless
,
you may lose some
or all of your investment in the securities if a Resolution Measure becomes applicable to us
. Imposition of a Resolution Measure
would likely occur if we become, or are deemed by the competent supervisory authority to have become, “non-viable”
(as defined under the then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure
becoming applicable to us. The Bank Recovery and Resolution Directive and the Resolution Act are intended to eliminate the need
for public support of troubled banks, and you should be aware that public support, if any, would only potentially be used by the
competent supervisory authority as a last resort after having assessed and exploited, to the maximum extent practicable, the resolution
tools, including the bail-in tool.
By
acquiring the securities, you would have no claim or other right against us arising out of any Resolution Measure and we would
have no obligation to make payments under the securities following the imposition of
a
Resolution Measure. In particular, the imposition of any Resolution Measure will not constitute a default or an event of default
under the securities, under the Indenture or for the purposes of, but only to the fullest extent permitted by, the Trust Indenture
Act. Furthermore, because the securities are subject to any Resolution Measure, secondary market trading in the securities may
not follow the trading behavior associated with similar types of securities issued by other financial institutions which may be
or have been subject to a Resolution Measure.
In
addition, by your acquisition of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable
law, any and all claims against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or
the indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that
the trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution
Measure by the competent resolution authority with respect to the securities.
Accordingly
,
you may have limited or circumscribed
rights to challenge any decision of the competent resolution authority to impose any Resolution Measure
.
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·
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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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·
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INVESTING
IN THE SECURITIES IS NOT THE SAME AS INVESTING IN THE STOCKS COMPOSING THE UNDERLYING
— The
return
on the securities
may not reflect the return you would have realized if you had directly invested in the
stocks composing the Underlying. For instance, your return on the securities will be
limited to the Maximum Return, regardless of any increase in the level of the Underlying,
which could be significant.
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·
|
IF
THE LEVEL OF THE UNDERLYING CHANGES
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE
IN THE SAME MANNER
— Your securities may trade quite differently from the level
of the Underlying. Changes in the level of the Underlying may not result in comparable
changes in the value of your securities.
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|
·
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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 stocks composing
the Underlying would have.
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·
|
THE
UNDERLYING REFLECTS THE PRICE RETURN OF THE STOCKS COMPOSING THE UNDERLYING
,
NOT
THEIR TOTAL RETURN INCLUDING ALL DIVIDENDS AND OTHER DISTRIBUTIONS
— The return
on the securities is based on the performance of the Underlying, which reflects the changes
in the market prices of the stocks composing the Underlying. The Underlying is not, however,
a “total return” index, which, in addition to reflecting the price returns
of the stocks composing the Underlying, would also reflect the reinvestment of all dividends
and other distributions paid on such component stocks.
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·
|
THE
SPONSOR OF THE UNDERLYING MAY ADJUST THE UNDERLYING IN WAYS THAT AFFECT THE LEVEL OF
THE UNDERLYING AND HAS NO OBLIGATION TO CONSIDER YOUR INTERESTS
— The
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sponsor
of the Underlying (the “
Index Sponsor
”) is responsible for calculating and maintaining the Underlying. The
Index Sponsor can add, delete or substitute the components of the Underlying or make other methodological changes that could change
the level of the Underlying. You should realize that the changing of such Underlying components may affect the Underlying, as
a newly added component may perform significantly better or worse than the component it replaces. Additionally, the Index Sponsor
may alter, discontinue or suspend calculation or dissemination of the Underlying. Any of these actions could adversely affect
the level of the Underlying and, thus, the value of, and your return on, the securities. The Index Sponsor has no obligation to
consider your interests in calculating or revising the Underlying.
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·
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THE
SECURITIES ARE SUBJECT TO RISKS ASSOCIATED WITH SMALL
-
CAPITALIZATION COMPANIES
— The stocks composing the Russell 2000
®
Index are issued by
companies with relatively small market capitalization. These companies often have greater
stock price volatility, lower trading volume and less liquidity than large-capitalization
companies and, therefore, the level of the Russell 2000
®
Index may be
more volatile than the levels of indices that consist of large-capitalization stocks.
Stock prices of small-capitalization companies are also generally more vulnerable than
those of large-capitalization companies to adverse business and economic developments,
and the stocks of small-capitalization companies may be thinly traded. In addition, small-capitalization
companies are typically less well-established and less stable financially than large-capitalization
companies and may depend on a small number of key personnel, making them more vulnerable
to loss of personnel. Such small-capitalization companies tend to have lower revenues,
less diverse product lines, smaller shares of their product or service markets, fewer
financial resources and less competitive strengths than large-capitalization companies
and are more susceptible to adverse developments related to their products. These companies
may also be more susceptible to adverse developments related to their products or services.
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·
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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 levels 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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·
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ASSUMING
NO CHANGES IN MARKET CONDITIONS AND OTHER RELEVANT FACTORS
,
THE PRICE YOU MAY
RECEIVE FOR YOUR SECURITIES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY BE LOWER
THAN BOTH THE ISSUE PRICE AND THE ISSUER
’
S ESTIMATED VALUE OF THE SECURITIES
ON THE TRADE DATE
— While the payment(s) on the securities described in this
pricing supplement is based on the full Face Amount of securities, the Issuer’s
estimated value of the securities on the Trade Date (as disclosed on the cover of this
pricing supplement) is less than the Issue Price of the securities. The Issuer’s
estimated value of the securities on the Trade Date does not represent the price at which
we or any of our affiliates would be willing to purchase your securities in the secondary
market at any time. Assuming no changes in market conditions or our creditworthiness
and other relevant factors, the price, if any, at which we or our affiliates would be
willing to purchase the securities from you in secondary market transactions, if at all,
would generally be lower than both the Issue Price and the Issuer’s estimated value
of the securities on the Trade Date. Our purchase price, if any, in secondary market
transactions would be based on the estimated value of the securities determined by reference
to (i) the then-prevailing internal funding rate (adjusted by a spread) or another appropriate
measure of our cost of funds and (ii) our pricing models at that time, less a bid spread
determined after taking into account the size of the repurchase, the nature of the assets
underlying the securities and then-prevailing market conditions. The price we report
to financial reporting services and to distributors of our securities for use on customer
account statements would generally be determined on the same basis. However, during the
period of approximately 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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·
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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 level of the Underlying
has increased since the Trade Date.
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|
·
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MANY
ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES
— While
we expect that, generally, the level 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;
|
|
·
|
the time remaining to
the maturity of the securities;
|
|
·
|
the market prices and
dividend rates of the stocks composing the Underlying;
|
|
·
|
the composition of the
Underlying;
|
|
·
|
interest rates and yields
in the markets generally;
|
|
·
|
geopolitical conditions
and economic, financial, political, regulatory or judicial events that affect the Underlying or the markets generally;
|
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·
|
supply and demand for
the securities; and
|
|
·
|
our creditworthiness,
including actual or anticipated downgrades in our credit ratings.
|
During
the term of the securities, it is possible that their value may decline significantly due to the factors described above even
if the level of the Underlying remains unchanged from the Initial Level, 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 level 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 that we or our affiliates serve as issuer, agent or
underwriter for such securities or financial or derivative instruments, our or our affiliates’
interests with respect to such products may be adverse to those of the holders of the
securities. Introducing competing products into the marketplace in this manner could
adversely affect the level 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 LEVEL 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 level
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 will also 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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|
·
|
THE
U
.
S
.
FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES
ARE UNCERTAIN
— 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. 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. 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 securities,
possibly with retroactive effect. You should review carefully the section of the accompanying
product supplement entitled “U.S. Federal Income Tax Consequences,” and consult
your tax adviser regarding the U.S. federal tax consequences of an investment in the
securities (including possible alternative treatments and the issues presented by the
2007 notice), as well as tax consequences arising under the laws of any state, local
or non-U.S. taxing jurisdiction.
|
The securities
may
be suitable for you if:
|
·
|
You seek an investment
with a return linked to the performance of the Underlying as described herein;
|
|
·
|
You are willing to invest
in the securities based on the Upside Leverage Factor, the Downside Participation Factor, the Maximum Return and the Buffer Amount;
|
|
·
|
You are willing to lose
some or all of your initial investment;
|
|
·
|
You are willing and able
to hold the securities to maturity;
|
|
·
|
You are willing to accept
our credit risk;
|
|
·
|
You do not seek current
income from this investment; and
|
|
·
|
You do not seek an investment
for which there will be an active secondary market.
|
The securities
may
not
be suitable for you if:
|
·
|
You do not seek an investment
with a return linked to the performance of the Underlying as described herein;
|
|
·
|
You are unwilling to
invest in the securities based on the Upside Leverage Factor, the Downside Participation Factor, the Maximum Return and the Buffer
Amount;
|
|
·
|
You seek an investment
that is protected against the loss of some or all of your initial investment;
|
|
·
|
You seek an investment
with uncapped upside returns;
|
|
·
|
You are unwilling or
unable to hold the securities to maturity;
|
|
·
|
You are unwilling to
be exposed to our credit risk;
|
|
·
|
You seek current income
from your investments; or
|
|
·
|
You seek an investment
for which there will be an active secondary market.
|
Historical Information
The following
graph sets forth the historical performance of the Underlying based on its daily closing levels from March 20, 2012 through March
20, 2017. The Initial Level is 1,384.096, equal to the closing level of the Russell 2000
®
Index on March 20, 2017.
The graph below also indicates by a broken line the closing level that would result in a percentage decline from the Initial Level
that is equal to the Buffer Amount of 20.00%. We obtained the historical closing levels below from Bloomberg L.P. and we have
not participated in the preparation of, or verified, such information.
The historical closing levels of the Underlying should
not be taken as an indication of future performance and no assurance can be given as to the closing level 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 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 is the third business
day following the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market
generally are required to settle in three business days, unless the parties to a trade expressly agree otherwise. Accordingly,
if the Settlement Date is more than three business days after the Trade Date, purchasers who wish to transact in the securities
more than three business days prior
to the Settlement
Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
Validity
of the Securities
In the opinion
of Davis Polk & Wardwell LLP, as special United States products counsel to the Issuer, when the securities offered by this
pricing supplement have been executed and issued by the Issuer and authenticated by the authenticating agent, acting on behalf
of the trustee pursuant to the Indenture, and delivered against payment as contemplated herein, such securities will be valid
and binding obligations of the Issuer, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory
actions giving effect to governmental actions or foreign laws affecting creditors’ rights, provided that such counsel expresses
no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions
expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this
opinion involves matters governed by German law, Davis Polk & Wardwell LLP has relied, without independent investigation,
on the opinion of Group Legal Services of Deutsche Bank AG, dated as of January 1, 2016, filed as an exhibit to the opinion of
Davis Polk & Wardwell LLP, and this opinion is subject to the same assumptions, qualifications and limitations with respect
to such matters as are contained in such opinion of Group Legal Services of Deutsche Bank AG. In addition, this opinion is subject
to customary assumptions about the trustee’s authorization, execution and delivery of the Indenture and the authentication
of the securities by the authenticating agent and the validity, binding nature and enforceability of the Indenture with respect
to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP dated as of January 1, 2016, which has been filed
by the Issuer on Form 6-K dated January 4, 2016.
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