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, prospectus addendum 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 March 29, 2016
PRICING SUPPLEMENT No. 2665B
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-206013
Dated April , 2016
$• Deutsche Bank AG Capped Buffered GEARS |
Linked to the MSCI EAFE® Index due on or about
April 30, 2019
Capped Buffered GEARS (the “Securities”)
are unsubordinated and unsecured obligations of Deutsche Bank AG, London Branch (the “Issuer”) with returns
linked to the performance of the MSCI EAFE® Index (the “Underlying”). If the Underlying Return
is positive, the Issuer will repay the Face Amount at maturity plus pay a return on the Face Amount equal to 1.50 (the “Upside
Gearing”) times the Underlying Return, up to the Maximum Gain of between 29.00% and 33.00% (the actual Maximum Gain
will be determined on the Trade Date). If the Underlying Return is zero or negative but the Final Underlying Level is greater
than or equal to the Downside Threshold (80.00% of the Initial Underlying Level), the Issuer will repay the Face Amount per $10.00
Face Amount of Securities at maturity. However, if the Underlying Return is negative and the Final Underlying Level is less than
the Downside Threshold, for each $10.00 Face Amount of Securities, the Issuer will pay you an amount at maturity that is less
than the Face Amount, resulting in a loss of 1.00% of the Face Amount for every 1.00% by which the Final Underlying Level is less
than the Initial Underlying Level in excess of the Buffer of 20.00%. Investing in the Securities involves significant risks.
You may lose up to 80.00% of your initial investment. You will not receive dividends or other distributions paid on any stocks
included in the Underlying. The downside market exposure to the Underlying is buffered only if you hold the Securities to maturity.
Any payment on the Securities, including any payment of the Face Amount at maturity, is subject to the creditworthiness of the
Issuer. If the Issuer were to default on its payment obligations or become subject to a Resolution Measure (as described on page
2), you might not receive any amounts owed to you under the terms of the Securities and you could lose your entire investment.
Features |
q Enhanced Growth Potential, Subject to Maximum Gain: At maturity, the Upside Gearing
feature will provide leveraged exposure to any positive performance of the Underlying up to the Maximum Gain. In this circumstance,
for each $10.00 Face Amount of Securities, the Issuer will repay the Face Amount at maturity plus pay a return on the Face Amount
equal to the Upside Gearing times the Underlying Return, up to the Maximum Gain of between 29.00% and 33.00% (the actual
Maximum Gain will be determined on the Trade Date).
q
Buffered Downside Market Exposure: If the Underlying Return is zero or negative but the Final Underlying Level is greater
than or equal to the Downside Threshold, the Issuer will repay the Face Amount per $10.00 Face Amount of Securities at
maturity. However, if the Final Underlying Level is less than the Downside Threshold, for each $10.00 Face Amount of
Securities, the Issuer will pay you an amount at maturity that is less than the Face Amount, resulting in a loss of 1.00% of
the Face Amount for every 1.00% by which the Final Underlying Level is less than the Initial Underlying Level in excess of
the Buffer. In this circumstance, you may lose up to 80.00% of your initial investment. The downside market exposure to
the Underlying is buffered only if you hold the Securities to maturity. Any payment on the Securities, including any payment
of the Face Amount at maturity, is subject to the creditworthiness of the Issuer. If the Issuer were to default on its
payment obligations or become subject to a Resolution Measure, you might not receive any amounts owed to you under the terms
of the Securities and you could lose your entire investment. |
Key Dates1 |
Trade Date | April 27, 2016 |
Settlement Date | April 29, 2016 |
Final Valuation Date2 | April 25, 2019 |
Maturity Date2 | April 30, 2019 |
1 Expected |
2 See page 4 for additional details
|
NOTICE TO INVESTORS: THE SECURITIES
ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT SECURITIES. THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY THE FULL FACE AMOUNT
OF SECURITIES AT MATURITY AND THE SECURITIES HAVE DOWNSIDE MARKET RISK SIMILAR TO THE UNDERLYING BUT SUBJECT TO THE BUFFER. FOR
MORE INFORMATION ABOUT THE UNDERLYING, SEE PAGE 12 OF THIS PRICING SUPPLEMENT AND THE ACCOMPANYING UNDERLYING SUPPLEMENT NO. 1
DATED AUGUST 17, 2015. THIS MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING AN OBLIGATION OF DEUTSCHE BANK
AG. YOU SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED
IN INVESTING IN THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY SECURITIES EXCHANGE.
YOU SHOULD CAREFULLY CONSIDER
THE RISKS DESCRIBED UNDER “KEY RISKS” BEGINNING ON PAGE 5 OF THIS PRICING SUPPLEMENT AND UNDER “RISK FACTORS”
BEGINNING ON PAGE 7 OF THE ACCOMPANYING PRODUCT SUPPLEMENT, PAGE PS-5 OF THE ACCOMPANYING PROSPECTUS SUPPLEMENT, PAGE 2 OF THE
ACCOMPANYING PROSPECTUS ADDENDUM AND PAGE 12 OF THE ACCOMPANYING PROSPECTUS BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING
TO ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR SECURITIES.
YOU MAY LOSE UP TO 80.00% OF YOUR INITIAL INVESTMENT IN THE SECURITIES.
We are offering Capped Buffered
GEARS linked to the performance of the MSCI EAFE® Index. The return on the Securities is subject to, and limited
by, the Maximum Gain. The Initial Underlying Level and Maximum Gain will be determined on the Trade Date. The Securities are our
unsubordinated and unsecured obligations and are offered for a minimum investment of 100 Securities at the price to public described
below.
Underlying |
Initial Underlying
Level |
Maximum Gain |
Upside Gearing |
Downside
Threshold |
Buffer |
CUSIP / ISIN |
MSCI EAFE® Index
(Ticker: MXEA) |
|
29.00% to 33.00% |
1.50 |
80.00% of the
Initial Underlying Level |
20.00% |
25190F681 /
US25190F6815 |
See “Additional Terms
Specific to the Securities” in this pricing supplement. The Securities will have the terms specified in 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, the prospectus addendum dated January 1, 2016, the prospectus
dated July 31, 2015 and this pricing supplement.
The Issuer’s estimated
value of the Securities on the Trade Date is approximately $9.45 to $9.65 per $10.00 Face Amount of Securities, which is less
than the Issue Price. Please see “Issuer’s Estimated Value of the Securities” on the following page of this
pricing supplement for additional 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 No. 1, product supplement B, prospectus supplement,
prospectus addendum or prospectus. Any representation to the contrary is a criminal offense. 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.
Offering
of Securities |
Price
to Public |
Discounts
and Commissions(1) |
Proceeds
to Us |
Capped Buffered GEARS linked to the MSCI EAFE®
Index |
|
|
|
Per Security |
$10.00 |
$0.25 |
$9.75 |
Total |
$ |
$ |
$ |
| (1) | For more information
about discounts and commissions, please see “Supplemental Plan of Distribution
(Conflicts of Interest)” in this pricing supplement. |
Deutsche Bank Securities Inc. (“DBSI”)
is our affiliate. For more information, please see “Supplemental Plan of Distribution (Conflicts of Interest)”in this
pricing supplement.
UBS Financial Services Inc. |
Deutsche Bank Securities |
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 eight 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 |
Under German and European laws,
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. A “Resolution Measure”
may include: (i) a write down, including to zero, of any payment (or delivery obligations) on the Securities; (ii) a conversion
of 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) 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. By acquiring the Securities, you will be bound by and will be deemed
irrevocably to consent to the imposition of any Resolution Measure by the competent resolution authority as set forth in the accompanying
prospectus addendum dated January 1, 2016. Please read the risk factor “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” in this pricing supplement and see the accompanying prospectus
addendum for further information.
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, the prospectus addendum dated January
1, 2016 and the prospectus dated July 31, 2015. 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 addendum dated January 1, 2016: |
http://www.sec.gov/Archives/edgar/data/1159508/000095010316009887/crt-dp62226_424b3.pdf
| ¨ | Prospectus dated July 31, 2015: |
http://www.sec.gov/Archives/edgar/data/1159508/000119312515273165/d40464d424b2.htm
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 the Securities. You may
also choose to reject such changes, in which case we may reject your offer to purchase the Securities.
References to “Deutsche Bank AG,” “we,”
“our” and “us” refer to Deutsche Bank AG, including, as the context requires, acting through one of its
branches. In this pricing supplement, “Securities” refers to the Capped Buffered GEARS that are offered hereby, unless
the context otherwise requires.
All references to “Initial Underlying Level” and
“Final Underlying Level” in this pricing supplement shall be deemed to refer to “Initial Level” and “Final
Level,” respectively, as used in the accompanying product supplement.
If the terms described in this pricing supplement are inconsistent
with those described in the accompanying underlying supplement, product supplement, prospectus supplement, prospectus addendum
or prospectus, the terms described in this pricing supplement shall control.
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 “Key Risks” in this pricing supplement and “Risk Factors” in the accompanying product supplement,
prospectus supplement, prospectus addendum 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.
The suitability considerations identified below are not exhaustive.
Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should reach
an investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered
the suitability of an investment in the Securities in light of your particular circumstances. You should also review “Key
Risks” on page 5 of this pricing supplement and “Risk Factors” on page 7 of the accompanying product supplement,
page PS-5 of the accompanying prospectus supplement, page 2 of the accompanying prospectus addendum and page 12 of the accompanying
prospectus. For more information about the Underlying, please see the section titled “MSCI EAFE® Index”
below.
The Securities may be suitable for you if, among other considerations: |
|
The Securities may not be suitable for you if, among other
considerations: |
¨ You fully understand the risks inherent in an investment in the Securities, including the
risk of loss of up to 80.00% of your initial investment at maturity.
¨ You can tolerate the loss of up to 80.00% of your initial investment at maturity and you
are willing to make an investment that has similar downside market risk as a hypothetical investment in the Underlying or in the
stocks included in the Underlying, subject to the Buffer at maturity.
¨ You believe that the level of the Underlying will increase over the term of the Securities
and you are willing to give up any increase in excess of the Maximum Gain.
¨ You understand and accept that your potential return is limited by the Maximum Gain and you
would be willing to invest in the Securities if the Maximum Gain was set equal to the bottom of the range indicated on the cover
of this pricing supplement.
¨ You can tolerate fluctuations in the value of the Securities prior to maturity that may be
similar to or exceed the downside fluctuations in the level of the Underlying.
¨ You do not seek current income from this investment and you are willing to forgo any dividends
and any other distributions paid on the stocks included in the Underlying.
¨ You are willing and able to hold the Securities to the Maturity Date, as set forth on the
cover of this pricing supplement, and you accept that there may be little or no secondary market for the Securities.
¨ You understand and are willing to accept the risks associated with the Underlying.
¨ You are willing and able to assume the credit risk of Deutsche Bank AG for all payments under
the Securities and you understand that, if Deutsche Bank AG defaults on its obligations or becomes subject to a Resolution Measure,
you might not receive any amounts due to you, including any payment of the Face Amount at maturity.
|
|
¨ You do not fully understand the risks inherent in an investment in the Securities, including
the risk of loss of up to 80.00% of your initial investment at maturity.
¨ You require an investment designed to guarantee a full return of the Face Amount at maturity.
¨ You cannot tolerate the loss of up to 80.00% of your initial investment at maturity or you
are unwilling to make an investment that has similar downside market risk as a hypothetical investment in the Underlying or in
the stocks included in the Underlying, subject to the Buffer at maturity.
¨ You believe that the level of the Underlying will decline during the term of the Securities
and the Final Underlying Level will be less than the Downside Threshold or you believe that the level of the Underlying will increase
over the term of the Securities by more than the Maximum Gain.
¨ You seek an investment that participates in the full increase in the level of the Underlying
or that has unlimited return potential.
¨ You would be unwilling to invest in the Securities if the Maximum Gain was set equal to the
bottom of the range indicated on the cover of this pricing supplement.
¨ You cannot tolerate fluctuations in the value of the Securities prior to maturity that may
be similar to or exceed the downside fluctuations in the level of the Underlying.
¨ You seek current income from this investment or you prefer to receive any dividends or any
other distributions paid on the stocks included in the Underlying.
¨ You are unwilling or unable to hold the Securities to the Maturity Date, as set forth on
the cover of this pricing supplement, or you seek an investment for which there will be an active secondary market.
¨ You do not understand or are unwilling to accept the risks associated with the Underlying.
¨ You are unwilling or unable to assume the credit risk of Deutsche Bank AG for all payments
under the Securities, including any payment of the Face Amount at maturity. |
Issuer |
Deutsche Bank AG, London Branch |
Issue Price |
100% of the Face Amount of Securities |
Face Amount |
$10.00 |
Term |
Approximately 3 years |
Trade Date1 |
April 27, 2016 |
Settlement Date1 |
April 29, 2016 |
Final Valuation Date1, 2 |
April 25, 2019 |
Maturity Date1, 2 |
April 30, 2019 |
Underlying |
MSCI EAFE® Index (Ticker: RTY) |
Upside Gearing |
1.50 |
Maximum Gain |
29.00% to 33.00%. The actual Maximum Gain will
be determined on the Trade Date. |
Buffer |
20.00% |
Downside Threshold |
80.00% of the Initial Underlying Level |
Payment at Maturity (per $10.00 Face Amount of
Securities) |
If the Underlying Return
is positive, Deutsche Bank AG will pay you a cash payment per $10.00 Face Amount of Securities at maturity equal to
the Face Amount plus a return on the Face Amount equal to the Underlying Return multiplied by 1.50, subject
to the Maximum Gain, calculated as follows:
$10.00 + ($10.00 x the
lesser of (i) Underlying Return x Upside Gearing and (ii) Maximum Gain)
If the Underlying Return
is zero or negative but the Final Underlying Level is greater than the Downside Threshold, Deutsche Bank AG will pay
you a cash payment per $10.00 Face Amount of Securities at maturity equal to the Face Amount.
If the Underlying Return
is negative and the Final Underlying Level is less than the Downside Threshold, Deutsche Bank AG will pay you a cash
payment per $10.00 Face Amount of Securities at maturity that is less than the Face Amount, calculated as follows:
$10.00
+[$10.00 x (Underlying Return + Buffer)]
In this circumstance, you
will lose 1.00% of the Face Amount of Securities for every 1.00% by which the Final Underlying Level in excess of the
Buffer, and you will lose up to 80.00% of your initial investment. |
Underlying Return |
Final
Underlying Level – Initial Underlying Level
Initial Underlying Level |
Initial Underlying Level |
The closing level of the Underlying on the Trade
Date |
Final Underlying Level |
The closing level of the Underlying on the Final
Valuation Date |
|
Trade Date: |
|
The Initial Underlying Level is observed and the Maximum Gain is set. |
|
|
|
|
|
Maturity Date: |
|
The Final Underlying Level is determined and the Underlying Return
is calculated on the Final Valuation Date.
If the Underlying Return is
positive, Deutsche Bank AG will pay you a cash payment per $10.00 Face Amount of Securities at
maturity equal to the Face Amount plus a return on the Face Amount equal to the Underlying Return multiplied by 1.50,
subject to the Maximum Gain, calculated as follows:
$10.00 + ($10.00 x the
lesser of (i) Underlying Return x Upside Gearing and (ii) Maximum Gain)
If the Underlying Return is zero or negative but the Final
Underlying Level is greater than the Downside Threshold, Deutsche Bank AG will pay you a cash payment per $10.00 Face Amount
of Securities at maturity equal to the Face Amount.
If the Underlying Return is negative and the Final Underlying
Level is less than the Downside Threshold, Deutsche Bank AG will pay you a cash payment per $10.00 Face Amount of Securities
at maturity that is less than the Face Amount, calculated as follows:
$10.00 +[$10.00 x (Underlying Return + Buffer)]
In this circumstance, you will lose 1.00% of the Face
Amount of Securities for every 1.00% by which the Final Underlying Level is less than the Initial Underlying Level in
excess of the Buffer, and you will lose up to 80.00% of your initial investment.
|
INVESTING IN THE SECURITIES
INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE UP TO 80.00% OF YOUR INITIAL INVESTMENT AT MATURITY. ANY PAYMENT ON THE SECURITIES, INCLUDING
ANY PAYMENT OF THE FACE AMOUNT AT MATURITY, IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER. IF DEUTSCHE BANK AG WERE TO DEFAULT
ON ITS PAYMENT OBLIGATIONS OR BECOME SUBJECT TO A RESOLUTION MEASURE, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE
SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.
| 1 | In the event that we make any changes to the expected Trade Date or Settlement Date, the Final Valuation Date and Maturity
Date may be changed to ensure that the stated term of the Securities remains the same. |
| 2 | Subject to adjustment as described under “Description of Securities — Adjustments to Valuation Dates and Payment
Dates” in the accompanying product supplement. |
An investment in the Securities involves significant risks. Investing
in the Securities is not equivalent to investing directly in the Underlying or in any of the stocks composing the Underlying. Some
of the risks that apply to an investment in the Securities are summarized below, but we urge you to read the more detailed explanation
of risks relating to the Securities generally in the “Risk Factors” sections of the accompanying product supplement,
prospectus supplement, prospectus addendum and prospectus. We also urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the Securities offered hereby.
| ¨ | Your Investment in
the Securities May Result in a Loss of Your Initial Investment — The Securities differ from ordinary debt securities in that Deutsche Bank AG will not necessarily pay
you your initial investment in the Securities at maturity. 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 and,
if the Underlying Return is negative, whether the Final Underlying Level is less than the Downside Threshold. If the Underlying
Return is negative and the Final Underlying Level is less than the Downside Threshold, for each $10.00 Face Amount of Securities,
Deutsche Bank AG will pay you an amount at maturity that is less than the Face Amount, resulting in a loss of 1.00% of the Face
Amount for every 1.00% by which the Final Underlying Level is less than the Initial Underlying Level in excess of the Buffer. In
this circumstance, you will lose up to 80.00% of your initial investment at maturity.
|
| ¨ | Capped Appreciation Potential — If the Underlying Return is positive, you will receive at maturity only the Face
Amount plus an amount equal to the lesser of (i) the Underlying Return times the Upside Gearing and (ii) the Maximum Gain.
Your return on the Securities is subject to, and limited by, the Maximum Gain, regardless of any further increase in the level
of the Underlying, which may be significant. As a result, the return on an investment in the Securities may be less than the return
on a hypothetical direct investment in the Underlying. |
| ¨ | The Upside Gearing Only Applies If You Hold the Securities to Maturity — You should be willing to hold your Securities
to maturity. If you are able to sell your Securities prior to maturity in the secondary market, the return you realize may not
reflect the full economic effect of the Upside Gearing or the Securities themselves and may be less than the Upside Gearing times
the Underlying’s return, even if such return is positive and does not exceed the Maximum Gain. You can receive the full benefit
of the Upside Gearing, subject to the Maximum Gain, only if you hold your Securities to maturity. |
| ¨ | The
Probability That the Final Underlying Level Will Be Less Than the Downside Threshold
Will Depend on the Volatility of the Underlying — Volatility is a measure of
the degree of variation in the level of the Underlying over a period of time. The greater
the expected volatility of the Underlying is on the Trade Date, the greater the expectation
is at that time that the Final Underlying Level will be less than the Downside Threshold,
which would result in a loss of up to 80.00% of your investment at maturity. However,
the Underlying’s volatility can change significantly over the term of the Securities.
The level of the Underlying could fall sharply, which could result in a significant loss
of your investment at maturity. You should be willing to accept the downside market risk
of the Underlying and the potential loss of up to 80.00% of your investment at maturity. |
| ¨ | Downside Market Exposure to the Underlying is Buffered Only if You Hold the Securities to Maturity — You should
be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market,
you may have to sell them at a substantial loss relative to your initial investment, even if the percentage decline in the level
of the Underlying from the Initial Underlying Level to the time of such sale has not exceeded the Buffer. |
| ¨ | No Coupon Payments — Deutsche Bank AG will not pay any coupon payments with respect to the Securities. |
| ¨ | The Securities Are Subject to the Credit of Deutsche Bank AG — The Securities
are unsubordinated and unsecured obligations of Deutsche Bank AG and are not, either directly or indirectly, an obligation of any
third party. Any payment to be made on the Securities, including any payment of the Face Amount per $10.00 Face Amount of Securities
at maturity, 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 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 |
| ¨ | A
Resolution Measure could be imposed on us. German and European laws provide German
and European resolution authorities with a set of powers to intervene in the event that
a bank is failing or likely to fail and certain other conditions are met. Specifically,
the competent resolution authority could impose a Resolution Measure on us under German
and European laws 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. |
| ¨ | If a Resolution Measure is imposed on us, you may lose some or all of your investment in the Securities. A Resolution
Measure may include: a write down, including to zero, of any claim for payment on the Securities; a conversion of the Securities
into ordinary shares of us, any group entity or any bridge bank or other instruments of ownership of such entities qualifying as
common equity tier 1 capital; or the application of any other resolution measure including, but not limited to, any transfer of
the Securities to another entity, an amendment, modification or variation of the terms and conditions of the Securities or the
cancellation of the Securities. The competent resolution authority may apply Resolution Measures individually or in any combination.
You may lose some or all of your investment in the Securities if a Resolution Measure becomes applicable to us. |
| ¨ | If a Resolution Measure is imposed on us, we expect that other "debt instruments" may be affected by the Resolution
Measure before the Securities would be. The imposition of a Resolution Measure would have to be conducted in accordance with
a set order of priority derived from the order of priority that would apply in a German insolvency proceeding with respect to the
Issuer. Under the applicable German law, among the unsecured unsubordinated obligations of the Issuer, those obligations that are
excluded from the statutory definition of “debt instruments” (referred to herein as Structured Debt Securities) would
be satisfied first in a German insolvency proceeding with respect to the Issuer. Therefore, if a Resolution Measure were imposed
on us, Structured Debt Securities would be written down or converted into common equity tier 1 instruments only after eligible
liabilities that are debt instruments (referred to herein as Non-Structured Debt Securities) have been written down or so converted.
This order of priorities would apply to resolution and German insolvency proceedings commenced on or after January 1, 2017 with
retroactive effect for outstanding debt instruments of |
the issuer. While we expect the Securities offered herein to be classified
as Structured Debt Securities, the competent regulatory authority or court may classify the Securities differently. Even if the
Securities are classified as Structured Debt Securities, you may lose some or all of your investment in the Securities if a Resolution
Measure becomes applicable to us.
| ¨ | If a Resolution Measure is imposed on us, the secondary market for the Securities may be affected. Because the Securities
are subject to Resolution Measures, the 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. |
By acquiring the
Securities, you will be bound by and will be deemed irrevocably to consent to the imposition of any Resolution Measure by the
competent resolution authority. As a result, you would have no claim or other right against us arising out of any Resolution Measure
and the imposition of any Resolution Measure will not constitute a default or an event of default under the Securities, under
the senior indenture or for the purpose of, but only to the fullest extent permitted by, the U.S. Trust Indenture Act of 1939,
as amended. In addition, the trustee, the paying agent, issuing agent, registrar and The Depository Trust Company (“DTC”)
and any participant in DTC or other intermediary through which you hold such Securities may take any and all necessary action,
or abstain from taking any action, if required, to implement the imposition of any Resolution Measure 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. For more information, including details on the particular German and European laws referenced
above and the definition of “debt instruments,” please see the accompanying prospectus addendum dated January 1, 2016,
including the risk factors beginning on page 2 of the accompanying prospectus addendum.
| ¨ | 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 Underlying or the Stocks Composing the Underlying —
The return on your Securities may not reflect the return you would realize on a hypothetical direct investment in the Underlying
or the stocks composing the Underlying. For instance, your return on the Securities is limited to the Maximum Gain regardless of
any further increase in the level of the Underlying, which could be significant. |
| ¨ | If the Level of the Underlying Changes, the Value of the Securities May Not Change in the Same Manner — The 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 the 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 the stocks composing the Underlying would
have. |
| ¨ | 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. It is not, however,
linked to a “total return” version of the Underlying, which, in addition to reflecting those price returns, would also
reflect the reinvestment of all dividends and other distributions paid on the stocks composing the Underlying. |
| ¨ | 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 sponsor of the Underlying (the “Underlying
Sponsor”) is responsible for calculating and maintaining the Underlying. The Underlying Sponsor can add, delete or substitute
the Underlying components or make other methodological changes that could change the level of the Underlying. You should realize
that the changing of Underlying components may affect the Underlying, as a newly added component may perform significantly better
or worse than the component it replaces. Additionally, the Underlying Sponsor may alter, discontinue or suspend calculation or
dissemination of the Underlying. Any of these actions could adversely affect the value of, and your return on, the Securities.
The Underlying Sponsor has no obligation to consider your interests in calculating or revising the Underlying. |
| ¨ | The Securities Are Subject to Currency Exchange Rate Risk — Because the
MXEA EAFE® Index consists of securities denominated in foreign currencies that are converted into U.S. dollars for
purposes of calculating the level of the MXEA EAFE® Index, holders of the Securities will be exposed to currency
exchange rate risk with respect to each of the currencies represented in the MXEA EAFE® Index. Of particular importance
to currency exchange rate risk are: |
| ¨ | existing and expected rates of inflation; |
| ¨ | existing and expected interest rates; |
| ¨ | political, civil or military unrest; |
| ¨ | the balance of payments between the countries represented in the MXEA EAFE®
Index and the U.S.; and |
| ¨ | the extent of governmental surpluses or deficits in the countries represented in the MXEA
EAFE® Index 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 MXEA EAFE® Index, 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 MXEA EAFE®
Index strengthen or weaken against the U.S. dollar and the relative weight of each currency represented in the MXEA EAFE®
Index. If, taking into account such weighting, the U.S. dollar strengthens against the component currencies as a whole, the level
of the MXEA EAFE® Index will be adversely affected and the value of the Securities may be reduced. Additionally,
the volatility and/or the correlation (including the direction and the extent of such correlation) of the exchange rates between
the U.S. dollar and the currencies represented in the MXEA EAFE® Index could 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 MXEA EAFE® Index includes 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 level of the MXEA EAFE® Index 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. |
| ¨ | Past Performance of the Underlying Is No Guide to Future Performance — The
actual performance of the Underlying may bear little relation to the historical closing levels of the Underlying and/or the hypothetical
return examples set forth elsewhere in this pricing supplement. We cannot predict the future performance of the Underlying or whether
the performance of the Underlying will result in the return of 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 eight 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 level of the Underlying has increased
since the Trade Date. |
| ¨ | Many Economic and Market Factors Will Affect the Value of the Securities — Because the Securities can be thought
of as securities that combine two components, a bond and an embedded derivative(s), the terms and features of the Securities at
issuance and the value of the Securities prior to maturity will be influenced by factors that impact the value of bonds and embedded
derivatives generally. While we expect that, generally, the level of the Underlying will affect the value of the Securities more
than any other single factor, the terms of the Securities at issuance and 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: |
| ¨ | 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 market generally; |
| ¨ | geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the Underlying or the
markets generally; |
| ¨ | supply and demand for the Securities; and |
| ¨ | our creditworthiness, including actual or anticipated downgrades in our credit ratings. |
During the term of the Securities, their value may
decline significantly due to the factors described above even if the level of the Underlying remains unchanged from the Initial
Underlying 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.
| ¨ | Potential Deutsche Bank AG Impact on Price — Trading or transactions by Deutsche Bank AG or its affiliates in
the stocks composing the Underlying and/or in futures, over-the-counter options, exchange-traded funds or other instruments with
returns linked to the performance of the Underlying or the stocks composing the Underlying may adversely affect the price of the
stocks composing the Underlying, the level of the Underlying, and therefore the value of the Securities. |
| ¨ | Trading and Other Transactions by Us, UBS AG or Our or Its 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, UBS AG or our or its affiliates may also engage in trading in instruments linked or related to the Underlying
on a regular basis as part of our or its 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, UBS AG or our or its affiliates could receive substantial returns from
these hedging and trading activities while the value of the Securities declines. We, UBS AG or our or its 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, UBS AG or our or its affiliates serve as issuer, agent or underwriter
for such securities or financial or derivative instruments, our, UBS AG’s or our or its 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. |
| ¨ | We, UBS AG or Our or Its 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, UBS AG or our or its 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, UBS AG or our or its 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. |
| ¨ | Potential Conflicts of Interest — Deutsche Bank AG or its affiliates may
engage in business with the issuers of the stocks composing the Underlying, which may present a conflict between Deutsche Bank
AG and you, as a holder of the Securities. 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. |
| ¨ | 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 Internal Revenue Service (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 below under “What
Are the Tax Consequences of an Investment in the Securities?”, 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.
Scenario Analysis and Examples at Maturity |
The following table and hypothetical examples below illustrate
the Payment at Maturity per $10.00 Face Amount of Securities for a hypothetical range of performances for the Underlying from -100.00%
to +100.00%, reflect the Upside Gearing of 1.50 and the Buffer of 20.00%, and assume an Initial Underlying Level of 1,000.00, a
Downside Threshold of 800.00 (80.00% of the hypothetical Initial Underlying Level) and a Maximum Gain of 29.00% (the bottom of
the Maximum Gain range of 29.00% to 33.00%). The actual Initial Underlying Level, Downside Threshold and Maximum Gain will be determined
on the Trade Date. The hypothetical Payment at Maturity examples set forth below are for illustrative purposes only and may not
be the actual returns applicable to a purchaser of the Securities. The actual Payment at Maturity will be determined based on the
Final Underlying Level on the Final Valuation Date. You should consider carefully whether the Securities are suitable to your investment
goals. The numbers appearing in the table and in the examples below may have been rounded for ease of analysis.
Final
Underlying Level |
Underlying
Return
(%)
|
Payment
at Maturity ($) |
Return
on Securities (%) |
2,000.00 |
100.00% |
$12.90 |
29.00% |
1,900.00 |
90.00% |
$12.90 |
29.00% |
1,800.00 |
80.00% |
$12.90 |
29.00% |
1,700.00 |
70.00% |
$12.90 |
29.00% |
1,600.00 |
60.00% |
$12.90 |
29.00% |
1,500.00 |
50.00% |
$12.90 |
29.00% |
1,400.00 |
40.00% |
$12.90 |
29.00% |
1,300.00 |
30.00% |
$12.90 |
29.00% |
1,250.00 |
25.00% |
$12.90 |
29.00% |
1,200.00 |
20.00% |
$12.90 |
29.00% |
1,193.33 |
19.33% |
$12.90 |
29.00% |
1,150.00 |
15.00% |
$12.25 |
22.50% |
1,100.00 |
10.00% |
$11.50 |
15.00% |
1,050.00 |
5.00% |
$10.75 |
7.50% |
1,000.00 |
0.00% |
$10.00 |
0.00% |
900.00 |
-10.00% |
$10.00 |
0.00% |
800.00 |
-20.00% |
$10.00 |
0.00% |
700.00 |
-30.00% |
$9.00 |
-10.00% |
600.00 |
-40.00% |
$8.00 |
-20.00% |
500.00 |
-50.00% |
$7.00 |
-30.00% |
400.00 |
-60.00% |
$6.00 |
-40.00% |
300.00 |
-70.00% |
$5.00 |
-50.00% |
200.00 |
-80.00% |
$4.00 |
-60.00% |
100.00 |
-90.00% |
$3.00 |
-70.00% |
0.00 |
-100.00% |
$2.00 |
-80.00% |
Example 1 — The
Final Underlying Level of 1,050.00 is greater than the Initial Underlying Level of 1,000.00, resulting in an Underlying Return
of 5.00%. Because the Underlying Return is positive and 1.50 times the Underlying Return is less than the Maximum Gain of
29.00%, Deutsche Bank AG will pay you 1.50 times the Underlying Return for a Payment at Maturity of $10.75 per $10.00 Face Amount
of Securities, calculated as follows:
$10.00 + ($10.00 x the
lesser of (i) Underlying Return x Upside Gearing and (ii) Maximum Gain)
$10.00 + ($10.00
× (5.00% × 1.50)) = $10.00 + $0.75 = $10.75
Example 2 — The
Final Underlying Level of 1,250.00 is greater than the Initial Underlying Level of 1,000.00, resulting in an Underlying Return
of 25.00%. Because the Underlying Return is positive and 1.50 times the Underlying Return is greater than the Maximum Gain
of 29.00%, Deutsche Bank AG will pay you a Payment at Maturity of $12.90 per $10.00 Face Amount of Securities, calculated as follows:
$10.00 + ($10.00 x the
lesser of (i) Underlying Return x Upside Gearing and (ii) Maximum Gain)
$10.00 + ($10.00
× 29.00%) = $10.00 + $2.90 = $12.90
Example 3 — The
Final Underlying Level of 900.00 is less than the Initial Underlying Level of 1,000.00, resulting in an Underlying Return of -10.00%.
Because the Underlying Return is negative but the Final Underlying Level is greater than the Downside Threshold, Deutsche
Bank AG will pay you a Payment at Maturity of $10.00 per $10.00 Face Amount of Securities.
Example 4 — The
Final Underlying Level of 300.00 is less than the Initial Underlying Level of 1,000.00, resulting in an Underlying Return of -70.00%.
Because the Underlying Return is negative and the Final Underlying Level is less than the Downside Threshold, Deutsche Bank
AG will pay you less than the Face Amount per $10.00 Face Amount of Securities, resulting in a loss of 1.00% of the Face Amount
for every 1.00% by which the Final Underlying Level is less than the Initial Underlying Level in excess of the Buffer. In this
circumstance, the Payment at Maturity would be $5.00 per $10.00 Face Amount of Securities, calculated as follows:
$10.00 + [$10.00 x (Underlying Return +
Buffer)]
$10.00 + [$10.00 × (-70.00% + 20.00%)]
= $5.00
If
the Final Underlying Level is less than the Downside Threshold, for each $10.00 Face Amount of Securities, the Issuer will pay
you less than the Face Amount, resulting in a loss of 1.00% of the Face Amount for every 1.00% by which the Final Underlying Level
is less than the Initial Underlying Level in excess of the Buffer. In this circumstance, you will lose up to 80.00% of your initial
investment at maturity. Any payment on the Securities is subject to the creditworthiness of the Issuer, and if the Issuer were
to default on its payment obligations or become subject to a Resolution Measure, you could lose your entire investment.
The MSCI EAFE® Index is calculated, maintained
and published daily by MSCI Inc. (“MSCI”), through numerous data vendors, on the MSCI website and every 60 seconds
during market trading hours on Bloomberg Financial Markets and Reuters Limited. The MSCI EAFE® Index is intended
to provide performance benchmarks for 21 developed equity markets in Europe, Australasia and the Far East, namely those of Australia,
Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. This is only a summary of the MSCI EAFE®
Index. For more information on the MSCI EAFE® Index, including information concerning its composition, calculation
methodology and adjustment policy, please see the section entitled “Indices — MSCI EAFE® Index”
in the accompanying underlying supplement No. 1 dated August 17, 2015.
The graph below illustrates
the performance of the MSCI EAFE® Index from January 2, 2008 to March 21, 2016. The closing level of the MSCI EAFE®
Index on March 21, 2016 was 1,652.93. The graph below also indicates by a broken line a hypothetical Downside Threshold equal to
80.00% of 1,652.93, which was the closing level of 1,652.93 on March 21, 2016 (the actual Initial Underlying Level and Downside
Threshold will be set on the Trade Date. We obtained the historical closing levels of the MSCI EAFE® Index from
Bloomberg L.P. and we have not participated in the preparation of, or verified, such information. The historical closing levels
of the MSCI EAFE® Index should not be taken as an indication of future performance and no assurance can be given
as to the Final Underlying Level or any future closing level of the MSCI EAFE® Index. We cannot give you assurance
that the performance of the MSCI EAFE® Index will result in a positive return on your initial investment and you
could lose up to 80.00% of your initial investment at maturity.
What Are the Tax Consequences of an Investment in the Securities? |
In the opinion of our special tax counsel, Davis Polk & Wardwell
LLP, which is based on prevailing market conditions, the Securities should 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
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, as well as to the payment of gross proceeds of a taxable disposition, including redemption at maturity, of a Security.
However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as
interest) with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential
application of FATCA to the 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.
Supplemental Plan of Distribution (Conflicts of Interest) |
UBS Financial Services Inc. and its affiliates, and Deutsche
Bank Securities Inc., acting as agents for Deutsche Bank AG, will receive or allow as a concession or reallowance to other dealers
discounts and commissions of $0.25 per $10.00 Face Amount of Securities. We will agree that UBS Financial Services Inc. may sell
all or part of the Securities that it purchases from us to investors at the price to public indicated on the cover of the pricing
supplement, the document that will be filed pursuant to Rule 424(b)(2) containing the final pricing terms of the Securities, or
to its affiliates at the price to public indicated on the cover of the pricing supplement minus a concession not to exceed
the discounts and commissions indicated on the cover. DBSI, one of the agents 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 this offering 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.