Pricing Supplement No
.
2854B
To underlying supplement No
.
1 dated August 17
,
2015
,
product supplement B
dated July 31
,
2015
,
prospectus supplement
dated July 31
,
2015 and
prospectus dated April
27
,
2016
|
Registration
Statement No
.
333
-
206013
Rule
424(b)(2)
|
|
|
The
information in this preliminary pricing supplement is not complete and may be changed
.
This preliminary pricing
supplement and the accompanying underlying supplement
,
product supplement
,
prospectus supplement and prospectus
do not constitute an offer to sell nor do they seek an offer to buy the securities in any jurisdiction where the offer
or sale is not permitted
.
Subject
to Completion. Dated June 22, 2017
|
Deutsche Bank AG
$ Autocallable
Securities Linked to the Lesser Performing of the iShares
®
MSCI EAFE ETF and the Russell 2000
®
Index due December 27
,
2018
General
|
·
|
The
securities are designed for investors who seek a return linked to the lesser performing of the iShares
®
MSCI EAFE ETF (the “
Fund
”) and the Russell 2000
®
Index (the “
Index
,” and
each of the Fund and the Index, an “
Underlying
”). The securities will be automatically called if, on any of
the semi-annual Observation Dates, the Closing Levels of
both
Underlyings are greater than or equal to their respective
Initial Levels. If the securities are automatically called, investors will receive on the applicable Call Settlement Date a cash
payment per $1,000 Face Amount of securities equal to the Face Amount
multiplied by
the applicable Call Return based on
a rate of 9.00% per annum. The securities will cease to be outstanding following an Automatic Call and no further payments will
be made following the Call Settlement Date.
|
|
·
|
If
the securities are not automatically called and the Final Level of the
lesser performing
Underlying, which we refer to
as the “
Laggard Underlying
,” is greater than or equal to its Buffer Level (equal to 80.00% of its Initial Level),
investors will receive at maturity a positive return on the securities equal to the Digital Return of 5.00%. However, if the securities
are not automatically called and the Final Level of the Laggard Underlying is less than its Buffer Level, 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 of the Laggard Underlying
is less than its Initial Level by an amount greater than the Buffer Amount of 20.00%. The securities do not pay coupons or dividends
and investors should be willing to lose some or all of their investment if the securities are not automatically called and the
Final Level of
either
Underlying is less than its Buffer Level. Any payment on the securities is subject to the
credit of the Issuer.
|
|
·
|
The
first Observation Date, and therefore the earliest date on which an Automatic Call may be initiated, is December 22, 2017.
|
|
·
|
Senior
unsecured obligations of Deutsche Bank AG due December 27, 2018
|
|
·
|
Minimum
purchase of $1,000. Minimum denominations of $1,000 (the “
Face Amount
”) and integral multiples thereof.
|
|
·
|
The
securities are expected to price on or about June 22, 2017 (the “
Trade Date
”) and are expected to settle on
or about June 27, 2017 (the “
Settlement Date
”).
|
Key Terms
Issuer:
|
Deutsche
Bank AG, London Branch
|
Issue
Price:
|
100%
of the Face Amount
|
Underlyings:
|
Underlying
|
Ticker
Symbol
|
Initial
Level
|
Buffer
Level
|
|
iShares
®
MSCI EAFE ETF
|
EFA
|
$64.99
|
$51.99
|
|
Russell
2000
®
Index
|
RTY
|
1,399.255
|
1,119.404
|
Automatic Call:
|
The securities
will be automatically called by the Issuer if, on any of the Observation Dates, the Closing Levels of
both
Underlyings
are greater than or equal to their respective Initial Levels.
|
|
|
|
(
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
-
10 of this pricing supplement
.
The Issuer
’
s
estimated value of the securities on the Trade Date is approximately $970
.
80 to $990
.
80 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
|
$5.00
|
$995.00
|
Total
|
$
|
$
|
$
|
|
(1)
|
For
more detailed information about discounts and commissions, please see “Supplemental Plan of Distribution (Conflicts of Interest)”
in this pricing supplement. The securities will be sold with underwriting discounts and commissions in an amount of $5.00 per
$1,000 Face Amount of 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
.
Deutsche Bank Securities
June , 2017
(
Key
Terms continued from previous page
)
Payment upon an Automatic Call:
|
If the
securities are automatically called, you will receive a cash payment per $1,000 Face Amount of securities on the related Call
Settlement Date equal to the Face Amount
multiplied by
the Call Return for the applicable Observation Date. The Call
Returns are based on a rate of 9.00% per annum. The securities will cease to be outstanding following an Automatic Call and
no further payments will be made following the Call Settlement Date. The Observation Dates, Call Settlement Dates, Call Returns
and the payment due upon an Automatic Call applicable to each Observation Date are set forth in the table below.
|
|
|
|
Observation
Date
|
Call
Settlement Date
|
Call
Return
|
Payment
upon an Automatic Call
(
per $1
,
000 Face Amount of securities
)
|
|
December 22, 2017
|
December 28, 2017
|
4.50%
|
$1,045.00
|
|
June 22, 2018
|
June 27, 2018
|
9.00%
|
$1,090.00
|
|
December
21, 2018
(
Final Valuation Date
)
|
December
27, 2018 (
Maturity Date
)
|
13.50%
|
$1,135.00
|
|
|
|
|
|
Observation Dates
1, 2
:
|
Semi-annually,
on the dates set forth in the table under “Payment upon an Automatic Call” above
|
Call Settlement Date
1, 2
:
|
As set
forth in the table under “Payment upon an Automatic Call” above. The Call Settlement Date for the final Observation
Date will be the Maturity Date.
|
Payment at Maturity:
|
If the
securities are not automatically called, you will receive a cash payment at maturity that will depend
solely
on the
Final Level of the Laggard Underlying, calculated as follows:
|
|
|
|
·
If
the Final Level of the Laggard Underlying is
greater than
or
equal to
its Buffer Level
, you will receive
a cash payment at maturity per $1,000 Face Amount of securities calculated as follows:
$1,000
+ ($1,000 x Digital Return)
|
|
·
If
the Final Level of the Laggard Underlying is
less than
its Buffer Level
, 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 of the Laggard Underlying + Buffer Amount) x Downside Participation Factor]
|
|
|
|
If
the securities are not automatically called and the Final Level of the Laggard Underlying is less than its Buffer Level
,
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 of the Laggard Underlying is less than its 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
.
|
Laggard Underlying:
|
The Underlying
with the lower Underlying Return on the Final Valuation Date. If the calculation agent determines that the two Underlyings
have equal Underlying Returns, then the calculation agent will, in its sole discretion, designate either of the Underlyings
as the Laggard Underlying.
|
Digital Return:
|
5.00%
|
Downside Participation Factor:
|
125.00%
|
Buffer Level:
|
For each
Underlying, 80.00% of the Initial Level of such Underlying, as set forth in the table under “Underlyings” above
|
Buffer Amount:
|
20.00%
|
Underlying Return:
|
For each
Underlying, the performance of such Underlying from its Initial Level to its Final Level, calculated as follows:
|
|
|
|
Final
Level – Initial Level
|
|
Initial
Level
|
|
|
|
The
Underlying Return for each Underlying may be positive
,
zero or negative
.
|
Initial Level:
|
For each
Underlying, the Closing Level of such Underlying on June 21, 2017, as set forth in the table under “Underlyings”
above.
The Initial Level for each Underlying is
not
the Closing Level of such Underlying on the Trade Date
.
|
Final Level:
|
For each
Underlying, the Closing Level of such Underlying on the Final Valuation Date
|
Closing Level:
|
For
the Fund, the closing price of one share of the Fund on the relevant date of calculation
multiplied by
the then-current
Share Adjustment Factor, as determined by the calculation agent.
For
the Index, the closing level of the Index on the relevant date of calculation.
|
Share Adjustment Factor:
|
Initially
1.0, subject to adjustment for certain actions affecting the Fund. See “Description of Securities — Anti-Dilution
Adjustments for Funds” in the accompanying product supplement.
|
Trade Date
2
:
|
June
22, 2017
|
Settlement Date
2
:
|
June
27, 2017
|
Final Valuation Date
1, 2
:
|
December
21, 2018
|
Maturity Date
1, 2
:
|
December
27, 2018
|
Listing:
|
The securities
will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MBY6
/ US25155MBY66
|
|
1
|
Subject to adjustment as
described under “Description of Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying
product supplement. If an Observation Date is postponed, the related Call Settlement Date will be postponed as described under
“Description of Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement.
|
|
2
|
In the event that we make
any changes to the expected Trade Date or Settlement Date, the Observation Dates, Call Settlement Dates, Final Valuation Date
and Maturity Date may be changed so that the stated term of the securities remains the same.
|
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
tables and hypothetical examples set forth below are for illustrative purposes only.
The
actual returns applicable to a purchaser of the securities will be determined on the relevant Observation Date or on the Final
Valuation Date, as applicable.
The following results are based
solely
on the hypothetical
examples cited below. You should consider carefully whether the securities are suitable to your investment goals. The numbers
appearing in the tables and hypothetical examples below may have been rounded for ease of analysis.
If
the securities
are
called
:
The
following table illustrates the payment due upon an Automatic Call per $1,000 Face Amount of securities on each of the Observation
Dates. The Call Returns below are based on a rate of 9.00% per annum.
Observation
Date
|
Call
Settlement Date
|
Call
Return
|
Payment
upon an Automatic Call
(per
$1,000 Face Amount of securities)
|
December 22, 2017
|
December 28, 2017
|
4.50%
|
$1,045.00
|
June 22, 2018
|
June 27, 2018
|
9.00%
|
$1,090.00
|
December
21, 2018
(
Final Valuation Date
)
|
December
27, 2018
(
Maturity Date
)
|
13.50%
|
$1,135.00
|
If the securities
are not
called
:
The
following table illustrates the hypothetical Payments at Maturity per $1,000 Face Amount of securities for a hypothetical range
of performances if the securities are not automatically called. The hypothetical Payments at Maturity set forth below reflect
the Digital Return of 5.00%, the Buffer Amount of 20.00%, the Buffer Level for each Underlying equal to 80.00% of its Initial
Level and the Downside Participation Factor of 125.00%. The actual Initial Level and Buffer Level for each Underlying are set
forth on the cover of this pricing supplement.
We make no representation or warranty as
to which of the Underlyings will be the Laggard Underlying for purposes of calculating the Payment at Maturity
.
Hypothetical
Underlying Return of the Laggard Underlying
(%)
|
Hypothetical
Payment at Maturity
($)
|
Hypothetical
Return on the Securities
(%)
|
100.00%
|
N/A
|
N/A
|
90.00%
|
N/A
|
N/A
|
80.00%
|
N/A
|
N/A
|
70.00%
|
N/A
|
N/A
|
60.00%
|
N/A
|
N/A
|
50.00%
|
N/A
|
N/A
|
40.00%
|
N/A
|
N/A
|
30.00%
|
N/A
|
N/A
|
20.00%
|
N/A
|
N/A
|
10.00%
|
N/A
|
N/A
|
5.00%
|
N/A
|
N/A
|
0
.
00%
|
N
/
A
|
N
/
A
|
-5.00%
|
$1,050.00
|
5.00%
|
-10.00%
|
$1,050.00
|
5.00%
|
-15.00%
|
$1,050.00
|
5.00%
|
-
20
.
00%
|
$1
,
050
.
00
|
5
.
00%
|
-21.00%
|
$987.50
|
-1.25%
|
-30.00%
|
$875.00
|
-12.50%
|
-40.00%
|
$750.00
|
-25.00%
|
-50.00%
|
$625.00
|
-37.50%
|
-60.00%
|
$500.00
|
-50.00%
|
-70.00%
|
$375.00
|
-62.50%
|
-80.00%
|
$250.00
|
-75.00%
|
-90.00%
|
$125.00
|
-87.50%
|
-100.00%
|
$0.00
|
-100.00%
|
N/A: Not applicable because the
securities will be automatically called if the Final Level of the Laggard Underlying is greater than or equal to its Initial Level.
Hypothetical Examples of Amounts Payable at Maturity
The following hypothetical examples
illustrate how the returns set forth in the tables above are calculated.
Example
1
:
The Closing Levels of
both
Underlyings are greater than their respective Initial Levels on the first Observation
Date
. Because the Closing Levels of
both
Underlyings on the first Observation Date are greater than their respective
Initial Levels, the securities are automatically called on the first Observation Date and the investor will receive on the related
Call Settlement Date a cash payment of $1,045.00 per $1,000 Face Amount of securities. There will be no further payments on the
securities.
Example
2
:
The Closing Level of at least one Underlying is less than its Initial Level on the first Observation Date and the Closing
Levels of both Underlyings are greater than their respective Initial Levels on the second Observation Date
. Because the Closing
Level of at least one Underlying is less than its Initial Level on the first Observation Date, the securities are not automatically
called on the first Observation Date. Because the Closing Levels of
both
Underlyings are greater than their respective
Initial Levels on the second Observation Date, the securities are automatically called on the second Observation Date and the
investor will receive on the related Call Settlement Date a cash payment of $1,090.00 per $1,000 Face Amount of securities. There
will be no further payments on the securities.
Example
3
:
The Closing Level of at least one Underlying is less than its Initial Level on the first and second Observation Dates
and the Closing Levels of both Underlyings are greater than their respective Initial Levels on the final Observation Date
.
Because the Closing Level of at least one Underlying is less than its Initial Level on the first and second Observation Dates,
the securities are not automatically called on the first or second Observation Dates. Because the Closing Levels of
both
Underlyings are greater than their respective Initial Levels on the final Observation Date, the securities are automatically called
and the investor will receive on the Maturity Date a cash payment of $1,135.00 per $1,000 Face Amount of securities.
Example
4
:
The Closing Level of at least one Underlying is less than its Initial Level on each Observation Date (including the
final Observation Date) and the Final Level of the Laggard Underlying is greater than its Buffer Level
,
resulting in an
Underlying Return of the Laggard Underlying of
-
15
.
00%
. Because the Closing Level of at least one Underlying
is less than its Initial Level on each Observation Date (including the final Observation Date), the securities are not automatically
called. Because the Final Level of the Laggard Underlying is greater than its Buffer Level, the investor will receive on the Maturity
Date a cash payment of $1,050.00 per $1,000 Face Amount of securities, calculated as follows:
$1,000 + ($1,000
x Digital Return)
$1,000 + ($1,000
x 5.00%) = $1,050.00
Example
5
:
The Closing Level of at least one Underlying is less than its Initial Level on each Observation Date (including the
final Observation Date) and the Final Level of the Laggard Underlying is less than its Buffer Level
(
while the Final Level
of the other Underlying is greater than its Initial Level
),
resulting in an Underlying Return of the Laggard Underlying
of
-
50
.
00%
. Because the Closing Level of at least one Underlying is less than its Initial Level on each Observation
Date (including the final Observation Date), the securities are not automatically called. Because the Final Level of the Laggard
Underlying is less than its Buffer Level, despite the Final Level of the other Underlying being greater than its Initial Level,
the investor will receive on the Maturity Date a cash payment of $625.00 per $1,000 Face Amount of securities, calculated as follows:
$1,000
+ [$1,000 x (Underlying Return of the Laggard Underlying + Buffer Amount) x Downside Participation Factor]
$1,000 + [$1,000
x (-50.00% + 20.00%) x 125.00%] = $625.00
Example
6
:
The Closing Level of at least one Underlying is less than its Initial Level on each Observation Date (including the
final Observation Date) and the Final Levels of both Underlyings are less than their respective Initial Levels
,
with the
Final Level of the Laggard Underlying being less than its Buffer Level
,
resulting in an Underlying Return of the Laggard
Underlying of
-
70
.
00%
. Because the Closing Level of at least one Underlying is less than its Initial Level on
each Observation Date (including the final Observation Date), the securities are not automatically called. Because the Final Level
of the Laggard Underlying is less than its Buffer Level, the investor will receive on the Maturity Date a cash payment of $375.00
per $1,000 Face Amount of securities, calculated as follows:
$1,000
+ [$1,000 x (Underlying Return of the Laggard Underlying + Buffer Amount) x Downside Participation Factor]
$1,000 + [$1,000
x (-70.00% + 20.00%) x 125.00%] = $375.00
Selected Purchase Considerations
|
·
|
STEP
-
UP
APPRECIATION POTENTIAL
― If the Closing Levels of
both
Underlyings
on any semi-annual Observation Date (including the final Observation Date) are greater
than or equal to their respective Initial Levels, the securities will be automatically
called. If the securities are automatically called, you will receive on the applicable
Call Settlement Date a cash payment per $1,000 Face Amount of securities equal to the
Face Amount
multiplied by
the applicable Call Return based on a rate of 9.00%
per annum. Even if the securities are not automatically called, if the Final Level of
the Laggard Underlying is greater than or equal to its Buffer Level, you will receive
on the Maturity Date a positive return on the securities equal to the Digital Return
of 5.00%. In this circumstance, you will receive a Payment at Maturity of $1,050 per
$1,000 Face Amount of securities, which is less than the payment of $1,350 per $1,000
Face Amount of securities that you would have received if the securities were automatically
called on the Maturity Date.
Any payment on the securities is subject to our ability
to satisfy our obligations as they become due
.
|
|
·
|
LIMITED
PROTECTION AGAINST LOSS
— If the securities are not automatically called and
the Final Level of the Laggard Underlying is greater than or equal to its Buffer Level,
you will receive at maturity a positive return on the securities equal to the Digital
Return. However, if the securities are not automatically called and the Final Level of
the Laggard Underlying is less than its Buffer Level, 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 of the Laggard Underlying is less than its Initial Level by an amount greater than
the Buffer Amount.
In this circumstance
,
you will lose some or all of your
investment
.
|
|
·
|
POTENTIAL
EARLY EXIT WITH APPRECIATION AS A RESULT OF THE AUTOMATIC CALL FEATURE
― While
the original term of the securities is approximately eighteen months, the
securities
will be automatically called if the Closing Levels of
both
Underlyings
on any semi-annual Observation Date (including the final Observation Date) are greater
than or equal to their respective Initial Levels, and you will receive the applicable
payment corresponding to that Observation Date, as set forth on the cover of this pricing
supplement.
|
|
·
|
RETURN
LINKED TO THE LESSER PERFORMING OF THE TWO UNDERLYINGS
— The return on the
securities, which may be positive, zero or negative, is linked to the
lesser
performing of the iShares
®
MSCI EAFE ETF and the Russell 2000
®
Index as described herein
. If the securities
are not automatically called, the Payment at Maturity you receive, if any, will be determined
solely
by reference to the performance of the Laggard Underlying.
|
iShares
®
MSCI EAFE ETF
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 “
Fund Advisor
”) to the iShares
®
MSCI
EAFE ETF is Blackrock Fund Advisors.
This is only a summary of the iShares
®
MSCI EAFE ETF
.
For
more information on the iShares
®
MSCI EAFE ETF
,
including information concerning its composition
,
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
.
Russell
2000
®
Index
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
short-term capital gain or loss unless you have held the securities for more than one
year, in which case the gain or loss should be long-term capital gain or loss. 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 upon an Automatic Call or 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, we expect that Section 871(m) will 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. If necessary, further information regarding the potential application of
Section 871(m) will be provided in the pricing supplement for the securities. 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 Underlyings
or in any of the components of the Underlyings. In addition to these selected risk considerations, you should review the “Risk
Factors” sections of the accompanying product supplement, prospectus supplement and prospectus.
|
·
|
YOUR
INVESTMENT IN THE SECURITIES MAY RESULT IN A LOSS
— The securities do not guarantee
any return of your investment. The return on the securities is linked
solely
to
the performance of the Laggard Underlying and will depend on whether the securities are
automatically called and whether the Final Level of the Laggard Underlying is less than
its Buffer Level, as applicable. If the securities are not automatically called and the
Final Level of the Laggard Underlying is less than its Buffer Level, 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 of the Laggard Underlying is less than its 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 on the securities is subject to our ability
to satisfy our obligations as they become due
.
|
|
·
|
THE
RETURN ON THE SECURITIES IS LIMITED
— If the securities are automatically called,
the return on the securities will be limited by the pre-specified Call Return on the
relevant Observation Date, regardless of the performance of the Underlyings. In addition,
since the securities could be called as early as the first Observation Date, the term
of your investment could be as short as approximately six months and your return on the
securities would be less than what you would have received if the securities were called
on a later Observation Date. If the securities are not automatically called and the Final
Level of the Laggard Underlying is greater than or equal to its Buffer Level, you will
receive a positive return on the securities equal to the Digital Return. In this circumstance,
your positive return on the securities will be limited to 5.00%, and you will receive
a Payment at Maturity of $1,050 per $1,000 Face Amount of securities, which is less than
the payment of $1,350 per $1,000 Face Amount of securities that you would have received
if the securities were automatically called on the Maturity Date. However, if the securities
are not automatically called and the Final Level of the Laggard Underlying is less than
its Buffer Level, 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 of the Laggard Underlying is less
than its Initial Level by an amount greater than the Buffer Amount. Therefore, the return
on the securities is limited regardless of whether the securities are automatically called
or not.
|
|
·
|
REINVESTMENT
RISK
— If the securities are automatically called, the term of the securities
may be reduced to as short as approximately six months. There is no guarantee that you
would be able to reinvest the proceeds from an investment in the securities at a comparable
return for a similar level of risk in the event the securities are automatically called
prior to the Maturity Date.
|
|
·
|
IF
THE SECURITIES ARE NOT AUTOMATICALLY CALLED
,
YOUR PAYMENT AT MATURITY WILL BE
DETERMINED SOLELY BY THE PERFORMANCE OF THE LAGGARD UNDERLYING
— If the securities
are not automatically called, the Payment at Maturity will be determined
solely
by reference to the performance of the Laggard Underlying, without taking into consideration
the performance of the other Underlying.
|
|
·
|
A
HIGHER DIGITAL
/
CALL RETURN OR A LOWER BUFFER LEVEL FOR EACH UNDERLYING MAY REFLECT
A GREATER EXPECTED VOLATILITY OF ONE OR BOTH UNDERLYINGS
,
WHICH IS GENERALLY ASSOCIATED
WITH A GREATER RISK OF LOSS
— Volatility is a measure of the degree of variation
in the trading prices of an asset over a period of time. The greater the expected volatility
at the time the terms of the securities are set on the Trade Date, the greater the expectation
is at that time that at least one of the Underlyings may close below its Buffer Level
on the Final Valuation Date (resulting in a loss of some or all of your investment).
In addition, the economic terms of the securities, including the Buffer Levels and the
Digital/Call Return, are based, in part, on the expected volatility of the Underlyings
at the time the terms of the securities are set on the Trade Date, where higher expected
volatility will generally lead to a higher Digital/Call Return or a lower Buffer Level
for each Underlying. Accordingly, a higher Digital/Call Return as compared with the expected
return on our conventional fixed income securities with a similar maturity or the expected
return on our other similarly structured securities will generally indicate a greater
risk of loss, while a lower Buffer Level for each Underlying as compared with otherwise
comparable securities does not necessarily indicate that the securities have a greater
likelihood of returning your investment at maturity. You should be willing to accept
the downside market risk of each Underlying and the potential loss of some or all of
your investment at maturity.
|
|
·
|
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.
|
|
·
|
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.
|
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
.
|
·
|
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.
|
|
·
|
INVESTING
IN THE SECURITIES IS NOT THE SAME AS INVESTING IN THE UNDERLYINGS OR THE SECURITIES COMPOSING
THE UNDERLYINGS
— The return on the securities may not reflect the return you
would have realized if you had directly invested in the Underlyings or the securities
composing the Underlyings. For instance, your return on the securities is
solely
dependent upon the performance of the Laggard Underlying, and you will not participate
in any potential increase in the price or level, as applicable, of either Underlying,
which could be significant.
|
|
·
|
IF
THE PRICES OR LEVELS
,
AS APPLICABLE
,
OF THE UNDERLYINGS CHANGE
,
THE
VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME MANNER
— Your securities
may trade quite differently from the prices or levels, as applicable, of the Underlyings.
Changes in the prices or levels, as applicable, of the Underlyings may not result in
comparable changes in the value of your securities
.
|
|
·
|
NO
DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will
not have any voting rights or rights to receive cash dividends or other distributions
or other rights that holders of shares of the Fund or the securities composing the Underlyings
would have.
|
|
·
|
YOUR
INVESTMENT IS EXPOSED TO A DECLINE IN THE PRICE OR LEVEL
,
AS APPLICABLE
,
OF
EACH UNDERLYING
— Your return on the securities, if any, is not linked to a
basket consisting of the Underlyings. Rather, any payment on the securities will be determined
solely
by reference to the performance of the Laggard Underlying without taking
into consideration the performance of the other Underlying. Unlike an instrument with
a return linked to a basket, in which risk is mitigated and diversified among all of
the basket components, you will be exposed equally to the risks related to each of the
Underlyings and your return will be based
solely
on the performance of the Laggard
Underlying, as measured on each Observation Date (including the Final Valuation Date).
Poor performance by either Underlying over the term of the securities may adversely affect
your return on the securities and will not be offset or mitigated by a positive performance
by the other Underlying.
|
|
·
|
BECAUSE
THE SECURITIES ARE LINKED TO THE LESSER PERFORMING OF THE TWO UNDERLYINGS
,
YOU
ARE EXPOSED TO A GREATER RISK OF LOSING SOME OR ALL OF YOUR INVESTMENT THAN IF THE SECURITIES
WERE LINKED TO JUST ONE UNDERLYING
— The risk that you will lose some or all
of your
investment
in the securities is
greater than in substantially
similar
securities
that are linked to the performance of just one of the Underlyings. With two Underlyings,
it is more likely that the Final Level of at least one Underlying will be less than its
Buffer Level than if the securities were linked to only one Underlying, and therefore,
it is more likely that you will receive a Payment at Maturity that is less than your
initial investment. In addition, the performance of the Underlyings may not be correlated.
If the performance of the Underlyings is not correlated, or is negatively correlated,
the potential for the level of at least one Underlying to be less than its Buffer Level
on the Final Valuation Date is even greater. Although the correlation of the Underlyings’
performance may change over the term of the securities, the Buffer Level is determined,
in part, based on the correlation of the Underlyings’ performance at the time
when the terms of the securities are finalized. A lower Buffer Level is generally associated
with a lower correlation of the Underlyings, which reflects a greater potential
for loss on your investment at maturity.
|
|
·
|
THE
INDEX REFLECTS THE PRICE RETURN OF THE STOCKS COMPOSING THE INDEX
,
NOT THEIR TOTAL
RETURN INCLUDING ALL DIVIDENDS AND OTHER DISTRIBUTIONS
— The Index reflects
the changes in the market prices of the stocks composing the Index. The Index is not,
however, a “total return” index, which, in addition to reflecting the price
returns of the stocks composing the Index, would also reflect the reinvestment of all
dividends and other distributions paid on such component stocks.
|
|
·
|
THE
SPONSOR OF THE INDEX MAY ADJUST THE INDEX IN WAYS THAT AFFECT THE LEVEL OF THE INDEX
AND HAS NO OBLIGATION TO CONSIDER YOUR INTERESTS
— The sponsor of the Index
(the “
Index Sponsor
”) is responsible for calculating and maintaining
the Index. The Index Sponsor can add, delete or substitute the components of the Index
or make other methodological changes that could change the level of the Index. You should
realize that the changing of such Index components may affect such Index, 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 Index. Any of these actions could adversely affect the level of the Index 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 Index.
|
|
·
|
THE
SECURITIES ARE SUBJECT TO RISKS ASSOCIATED WITH SMALL
-
CAPITALIZATION COMPANIES
— The stocks composing the 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 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.
|
|
·
|
The
Policies of the FUND ADVISOR and Changes that Affect the fund or THe Tracked Index Could
Adversely Affect the Value of the securities
—
The policies of the Fund Advisor concerning the calculation of the Fund’s net asset
value (“
NAV
”), additions, deletions or substitutions of securities
or other assets or financial measures held by the Fund, substitution of the Tracked Index
and the manner in which changes affecting how the Tracked Index is calculated are reflected
in the Fund could adversely affect the price of the shares of the Fund 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 Fund Advisor changes these policies,
for example, by changing the manner in which it calculates the Fund’s NAV, or if
the Fund Advisor discontinues or suspends calculation or publication of the Fund’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 Level of the Fund 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 Level of the
Fund and the Payment at Maturity in a manner it considers appropriate in its sole discretion.
|
|
·
|
The
Performance of the fund
,
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 Fund may not match the performance of the Tracked Index due to
a number of factors.
|
For
instance, the Fund may not hold all or substantially all of the securities included in the Tracked Index and the Fund Advisor
may invest a portion of the Fund’s assets in securities not included in the Tracked Index. Therefore, the performance of
the Fund is generally linked, in part, to assets other than the securities included in the Tracked Index. Additionally, the performance
of the Fund will reflect transaction costs and fees that are not included in the calculation of the Tracked Index.
In
addition, because the shares of the Fund are traded on a securities exchange and are subject to supply and demand, the performance
of one share of the Fund may differ from the performance of the Tracked Index or the Fund’s NAV per share. Furthermore,
during periods of market volatility, securities or other assets held by the Fund 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 Fund and/or create, redeem or hedge shares of the Fund. In such circumstances, the prices at
which market participants are willing to buy and sell shares of the Fund may be significantly lower than the Fund’s NAV
and the liquidity of the shares of the Fund may be materially and adversely affected. Consequently, the performance of the Fund
may deviate significantly from the performance of the Tracked Index or the Fund’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 Fund when it deviates significantly from the performance of the Tracked Index or the Fund’s NAV per share.
If this occurs, the value of, and your return on, the securities may be materially and adversely affected.
|
·
|
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 Fund.
The calculation agent is not required, however, to make such adjustments in response
to all events that could affect the shares of the Fund. 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 Fund 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.
|
|
·
|
THE
SECURITIES ARE SUBJECT TO CURRENCY EXCHANGE RATE RISK
— Because the Fund 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 Fund’s return. Of
particular importance to currency exchange rate risk are:
|
|
o
|
existing
and expected rates of inflation;
|
|
o
|
existing
and expected interest rates;
|
|
o
|
political,
civil or military unrest;
|
|
o
|
the
balance of payments between the countries represented in the Fund and the U.S.; and
|
|
o
|
the
extent of governmental surpluses or deficits in the countries represented in the Fund
and the U.S.
|
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 Fund, the U.S. and other countries important to international trade and finance. An investor’s net exposure
to currency exchange rate risk will depend on the extent to which the currencies represented in the Fund strengthen or weaken
against the U.S. dollar and the relative weight of each currency represented in the Fund. If, taking into account such weighting,
the U.S. dollar strengthens against the component currencies as a whole, the price of the Fund 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 Fund could adversely
affect the value of the securities.
|
·
|
THERE
ARE RISKS ASSOCIATED WITH INVESTMENTS IN SECURITIES LINKED TO THE VALUES OF EQUITY SECURITIES
ISSUED BY NON
-
U
.
S
.
COMPANIES
— The Fund 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 Fund 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.
|
·
|
THERE
IS NO AFFILIATION BETWEEN THE FUND OR THE UNDERLYING STOCK ISSUERS AND US AND WE HAVE
NOT PARTICIPATED IN THE PREPARATION OF
,
OR VERIFIED
,
ANY INFORMATION ABOUT
THE FUND OR THE UNDERLYING STOCK ISSUERS
— We are not affiliated with the Fund
or the other issuers of the component stocks held by the Fund or underlying the Index
or 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 Fund 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 Fund 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.
|
|
·
|
PAST
PERFORMANCE OF THE UNDERLYINGS IS NO GUIDE TO FUTURE PERFORMANCE
— The
actual performance of the Underlyings over the term of the securities may bear little
relation to the historical closing prices or levels, as applicable, of the Underlyings
and/or the hypothetical examples set forth elsewhere in this pricing supplement. We cannot
predict the future performance of the Underlyings or whether the performance of the Underlyings
will result in the return of any of your investment.
|
|
·
|
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.
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.
|
·
|
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 prices or levels, as applicable, of the Underlyings have
increased since the Trade Date.
|
|
·
|
MANY
ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES
— While
we expect that, generally, the prices or levels, as applicable, of the Underlyings 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:
|
|
o
|
the
expected volatility of the Underlyings;
|
|
o
|
the
time remaining to the maturity of the securities;
|
|
o
|
the
market prices and dividend rates of the shares of the Fund and of the securities composing
the Underlyings;
|
|
o
|
the
composition of the Underlyings;
|
|
o
|
the
occurrence of certain events affecting the Fund that may or may not require an anti-dilution
adjustment;
|
|
o
|
the
exchange rates between the U.S. dollar and the non-U.S. currencies that the stocks held
by the Fund are traded in;
|
|
o
|
interest
rates and yields in the markets generally;
|
|
o
|
geopolitical
conditions and economic, financial, political, regulatory or judicial events that affect
either Underlying, the Tracked Index or the markets generally;
|
|
o
|
supply
and demand for the securities; and
|
|
o
|
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 prices or levels, as applicable, of the Underlyings remain unchanged from their respective Initial Levels, 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.
|
·
|
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 Underlyings on a regular
basis as part of our or their general broker-dealer and other businesses, for proprietary
accounts, for other accounts under management or to facilitate transactions
|
for
customers, including block transactions. Such trading and hedging activities may adversely affect the prices or levels, as applicable,
of the Underlyings 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 Underlyings. To the extent that we or our affiliates serve as issuer, agent
or underwriter for such securities or financial or derivative instruments, our or our affiliates’ interests with respect
to such products may be adverse to those of the holders of the securities. Introducing competing products into the marketplace
in this manner could adversely affect the prices or levels, as applicable, of the Underlyings 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 Deutsche Bank
Securities Inc. (“
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.
|
·
|
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 PRICES OR LEVELS
,
AS
APPLICABLE
,
OF THE UNDERLYINGS 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 prices or levels, as applicable, of the
Underlyings 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 Underlyings.
|
|
·
|
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 as well as, in some circumstances, the prices or levels,
as applicable, related to the Underlyings that affect whether the securities are automatically
called. Any determination by the calculation agent could adversely affect the return
on the securities.
|
|
·
|
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.
|
Historical Information
The following
graphs set forth the historical performances of the iShares
®
MSCI EAFE ETF and the Russell 2000
®
Index based on their daily closing prices or levels, as applicable, from June 21, 2012 through June 21, 2017. The closing price
of the iShares
®
MSCI EAFE ETF on June 21, 2017 was $64.99. The closing level of the Russell 2000
®
Index on June 21, 2017 was 1,399.255. The graphs below also indicate by a broken line the Buffer Level equal to, (i) with respect
to the iShares
®
MSCI EAFE ETF, $51.99, which is equal to 80.00% of its Initial Level and, (ii) with respect to
the Russell 2000
®
Index, 1,119.404, which is equal to 80.00% of its Initial Level. We obtained the historical closing
prices and levels of the Underlyings below from Bloomberg L.P. and we have not participated in the preparation of, or verified,
such information.
The historical closing prices and levels of the Underlyings should not be taken as an indication of future
performance and no assurance can be given as to the closing prices or levels
,
as applicable
,
of the Underlyings
on any of the Observation Dates
(
including the Final Valuation Date
).
We cannot give you assurance that the performance
of the Underlyings 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 receive a selling concession in connection with the sale of the securities in an amount equal
to 0.50% or $5.00 per $1,000 Face Amount of 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 may be a date that
is greater than three business days following the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, as amended,
trades in the secondary market generally are required to settle in three business days, unless the parties to a trade expressly
agree otherwise. Accordingly, if the Settlement Date is more than three business days after the Trade Date, purchasers who wish
to transact in the securities more than three business days prior to the Settlement Date will be required to specify alternative
settlement arrangements to prevent a failed settlement.
Deutsche Bank Aktiengese... (NYSE:DB)
Historical Stock Chart
From Aug 2024 to Sep 2024
Deutsche Bank Aktiengese... (NYSE:DB)
Historical Stock Chart
From Sep 2023 to Sep 2024