Deutsche
Bank AG
$
Phoenix Autocallable Securities Linked to the Least Performing of Six Equity Stocks due December 24
,
2020
General
|
·
|
The
Phoenix Autocallable Securities (the “
securities
”) are linked to the
least performing
of six equity
stocks – the class C capital stock of Alphabet Inc., the common stock of Apple Inc., the class A common stock of Facebook,
Inc., the class A common stock of Snap Inc., the common stock of Starbucks Corporation and the common stock of Twitter, Inc. (each,
an “
Underlying
,” and collectively, the “
Underlyings
”) – and may pay a Contingent Coupon
of $37.50 per $1,000 Face Amount of securities on the relevant quarterly Coupon Payment Dates. Investors will receive a Contingent
Coupon on a Coupon Payment Date
only if
the Closing Prices of
all
the Underlyings on the applicable
quarterly Observation Date are greater than or equal to their respective Coupon Barriers (equal to 55.00% of their respective
Initial Prices). Otherwise, no Contingent Coupon will be payable with respect to that Observation Date. The securities may not
pay Contingent Coupons on some or all of the Coupon Payment Dates and, therefore, should
not
be viewed as conventional
debt securities with periodic coupon payments.
|
|
·
|
The
securities will
not
be automatically called during the first six months after the Trade Date. The securities will be
automatically called if the Closing Prices of
all
the Underlyings on any quarterly Observation Date (starting from
the second Observation Date and ending on the Observation Date immediately preceding the Final Valuation Date) are greater than
or equal to their respective Call Prices (equal to 80.00% of their respective Initial Prices). If the securities are automatically
called, investors will receive a cash payment per $1,000 Face Amount of securities on the Call Settlement Date equal to the Face
Amount
plus
the Contingent Coupon otherwise due on such date. The securities will cease to be outstanding following an
Automatic Call and no Contingent Coupon will accrue or be payable following the Call Settlement Date.
|
|
·
|
If
the securities are not automatically called and the Final Price of the
least performing
Underlying, which we refer to as
the “
Laggard Underlying
,” is
greater than
or
equal to
its Trigger Price (equal to 55.00% of its
Initial Price), investors will receive a cash payment per $1,000 Face Amount of securities at maturity equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date. However, if the securities are not automatically called and the
Final Price of the Laggard Underlying is
less than
its Trigger Price, for each $1,000 Face Amount of securities, investors
will lose 1.00% of the Face Amount for every 1.00% by which the Final Price of the Laggard Underlying is less than its Initial
Price. The securities do not pay any dividends and investors should be willing to lose a significant portion or all of their investment
if the securities are not automatically called and the Final Price of
any
of the Underlyings is less than its Trigger
Price.
Any payment on the securities is subject to the credit of the Issuer
.
|
|
·
|
The
second Observation Date, and therefore the earliest date on which an Automatic Call may be initiated, is June 21, 2018.
|
|
·
|
Senior
unsecured obligations of Deutsche Bank AG due December 24, 2020
|
|
·
|
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 December 21, 2017 (the “
Trade Date
”) and are expected to settle
on or about December 27, 2017 (the “
Settlement Date
”).
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Issue Price
(1)
:
|
100% of the Face Amount
|
Underlyings:
|
Underlying
|
Ticker Symbol
|
Initial Price
‡
|
Call Price
‡
|
Coupon Barrier
/
Trigger Price
‡
|
|
Class C capital stock of Alphabet Inc.
|
GOOG
|
$
|
$
|
$
|
|
Common stock of Apple Inc.
|
AAPL
|
$
|
$
|
$
|
|
Class A common stock of Facebook, Inc.
|
FB
|
$
|
$
|
$
|
|
Class A common stock of Snap Inc.
|
SNAP
|
$
|
$
|
$
|
|
Common stock of Starbucks Corporation
|
SBUX
|
$
|
$
|
$
|
|
Common stock of Twitter, Inc.
|
TWTR
|
$
|
$
|
$
|
|
|
|
|
|
|
|
‡
|
The
Initial Price, Coupon Barrier, Trigger Price and Call Price for each Underlying will
be determined on the Trade Date.
|
(
Key Terms continued on next page
)
|
†
|
This amended and restated preliminary pricing supplement
amends and restates preliminary pricing supplement No. 2987B in its entirety. We refer to this amended and restated preliminary
pricing supplement as “pricing supplement.”
|
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
–
11 of this pricing supplement
.
The Issuer
’
s estimated value
of the securities on the Trade Date is approximately $894
.
20 to $914
.
20 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 product supplement, prospectus supplement or prospectus. Any representation to the
contrary is a criminal offense.
|
Price to Public
(1)
|
Discounts and Commissions
(2)
|
Proceeds to Us
|
Per Security
|
$1,000.00
|
$40.00
|
$960.00
|
Total
|
$
|
$
|
$
|
|
(1)
|
The
Issue Price will be as low as 97.00% of the Face Amount for certain investors that purchase and hold the securities in level-fee
based accounts.
|
|
(2)
|
The securities will be sold with varying underwriting discounts and commissions in an amount up
to $40.00 per $1,000 Face Amount of securities. Certain dealers who purchase the securities for sale to level-fee based accounts
will forgo some or all of the discounts and commissions as compensation. For more detailed information about discounts and commissions,
please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.
|
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
December , 2017
|
(
Key Terms continued from previous page
)
|
|
|
Contingent Coupon Feature:
|
·
If
the Closing Prices of
all
the Underlyings on any Observation Date are
greater than
or
equal to
their respective
Coupon Barriers
, Deutsche Bank AG will pay you the Contingent Coupon per $1,000 Face Amount of securities applicable to such
Observation Date on the related Coupon Payment Date.
·
If
the Closing Price of
any
Underlying on any Observation Date is
less than
its Coupon Barrier
, the Contingent Coupon
per $1,000 Face Amount of securities applicable to such Observation Date will not be payable and Deutsche Bank AG will not make
any payment to you on the related Coupon Payment Date.
The Contingent Coupon will be
a fixed amount as set forth in the table under “Contingent Coupon” below. If the securities are automatically called
prior to the Final Valuation Date, the applicable Contingent Coupon will be paid on the corresponding Call Settlement Date and
no further amounts will be paid on the securities.
|
Coupon Barrier:
|
For each Underlying, 55.00% of the Initial Price of such Underlying, as set forth in the table under “Underlyings” above
|
Observation Dates
1, 2
:
|
Quarterly on the dates set forth in the table under “Contingent Coupon” below
|
Coupon Payment Dates
1, 2
:
|
As set forth in the table under “Contingent Coupon” below. For the final Observation Date, the related Coupon Payment Date will be the Maturity Date.
|
Contingent Coupon:
|
The table below sets forth each Observation Date, Coupon Payment Date, Call Settlement Date and Contingent Coupon applicable to such Observation Date.
|
|
|
|
Observation Date
|
Coupon
Payment Date / Call Settlement Date
|
Contingent Coupon
(per $1,000 Face Amount of Securities)
|
|
March 21, 2018*
|
March 26, 2018*
|
$37.50
|
|
June 21, 2018
|
June 26, 2018
|
$37.50
|
|
September 21, 2018
|
September 26, 2018
|
$37.50
|
|
December 21, 2018
|
December 27, 2018
|
$37.50
|
|
March 21, 2019
|
March 26, 2019
|
$37.50
|
|
June 21, 2019
|
June 26, 2019
|
$37.50
|
|
September 23, 2019
|
September 26, 2019
|
$37.50
|
|
December 23, 2019
|
December 27, 2019
|
$37.50
|
|
March 23, 2020
|
March 26, 2020
|
$37.50
|
|
June 22, 2020
|
June 25, 2020
|
$37.50
|
|
September 21, 2020
|
September 24, 2020
|
$37.50
|
|
December 21, 2020*
(
Final Valuation Date
)
|
December 24, 2020*
(
Maturity Date
)
|
$37.50
|
|
* The securities will be automatically called starting from the second Observation Date, which is June 21, 2018, and ending on the Observation Date immediately preceding the Final Valuation Date, which is September 21, 2020. Thus, the earliest expected first Call Settlement Date is June 26, 2018 and the last Call Settlement Date is September 24, 2020.
|
|
|
Automatic Call:
|
The securities will be automatically called by the Issuer if, on any of the Observation Dates (starting from the Second Observation Date and ending on the Observation Date immediately preceding the Final Valuation Date), the Closing Prices of
all
the Underlyings are greater than or equal to their respective Call Prices. If the securities are automatically called, you will receive a cash payment per $1,000 Face Amount of securities on the Call Settlement Date, equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date. The securities will cease to be outstanding following an Automatic Call and no Contingent Coupon will accrue or be payable following the Call Settlement Date.
|
|
|
Call Price:
|
For each Underlying, 80.00% of the Initial Price of such Underlying, as set forth in the table under “Underlyings” above
|
|
|
Call Settlement Date:
|
As set forth in the table under “Contingent Coupon” above.
|
|
|
Payment at Maturity:
|
If the securities are not
automatically called, the payment you will receive at maturity will depend on the Final Price of the Laggard Underlying on the
Final Valuation Date.
·
If
the Final Price of the Laggard Underlying is
greater than
or
equal to
its Trigger Price
, you will receive a cash
payment at maturity equal to the Face Amount per $1,000 Face Amount of securities
plus
the Contingent Coupon otherwise due
on such date.
·
If
the Final Price of the Laggard Underlying is
less than
its Trigger Price
, you will receive a cash payment at maturity
per $1,000 Face Amount of securities calculated as follows:
$1,000 + ($1,000 x Underlying Return
of the Laggard Underlying)
If the securities are
not automatically called and the Final Price of the Laggard Underlying is less than its Trigger Price
,
you will be fully
exposed to the negative Underlying Return of the Laggard Underlying and
,
for each $1
,
000 Face Amount of securities
,
you will lose 1
.
00% of the Face Amount for every 1
.
00% by which the Final Price of the Laggard Underlying is less
than its Initial Price
.
In this circumstance
,
you will lose a significant portion 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 lowest Underlying Return. If the
calculation
agent determines that any two or all six of the Underlyings have equal lowest Underlying Returns, then the calculation agent will, in its sole discretion, designate one of such Underlyings as the Laggard Underlying.
|
|
|
Underlying Return:
|
For each Underlying, the
performance of such Underlying from its Initial Price to its Final Price, calculated as follows:
Final Price – Initial
Price
Initial Price
The Underlying Return for
each Underlying may be positive
,
zero or negative
.
|
Trigger Price:
|
For each Underlying, 55.00% of the Initial Price of such Underlying, as set forth in the table under “Underlyings” above
|
|
|
Initial Price:
|
For each Underlying, the Closing Price of such Underlying on the Trade Date, as set forth in the table under “Underlyings” above
(
Key Terms continued on next page
)
|
|
(
Key Terms continued from previous page
)
|
|
Final Price:
|
For each Underlying, the Closing Price of such Underlying on the Final Valuation Date
|
|
|
Closing Price:
|
For each Underlying, on any trading day, the last reported sale price of one share of such Underlying on the relevant exchange
multiplied by
the then-current Stock Adjustment Factor for such Underlying, as determined by the calculation agent
|
|
|
Stock Adjustment Factor:
|
For each Underlying, initially 1.0, subject to adjustment upon the occurrence of certain corporate events affecting such Underlying. See “Description of Securities — Anti-Dilution Adjustments for Reference Stock” in the accompanying product supplement.
|
|
|
Trade Date
2
:
|
December 21, 2017
|
|
|
Settlement Date
2
:
|
December 27, 2017
|
|
|
Final Valuation Date
1, 2
:
|
December 21, 2020
|
|
|
Maturity Date
1, 2
:
|
December 24, 2020
|
|
|
Listing:
|
The securities will not be listed on any securities exchange.
|
|
|
CUSIP / ISIN:
|
25155MGL9 / US25155MGL90
|
|
|
|
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
Coupon Payment Date and Call Settlement Date, as applicable, 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 (including the Final Valuation Date), Coupon Payment Dates, Call Settlement 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 six 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 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 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):
|
•
|
Product
supplement B dated July 31, 2015:
|
https://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
•
|
Prospectus
supplement dated July 31, 2015:
|
https://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 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 return applicable to a purchaser of the securities will depend on the
Closing Prices of the Underlyings on each Observation Date (including the Final Valuation Date). 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
and it has been assumed that no event affecting any Underlying has occurred during the term of the securities that would cause
the calculation agent to adjust its Stock Adjustment Factor.
If the securities
are
called
:
The following table illustrates the hypothetical
payment due upon an Automatic Call (excluding any Contingent Coupon payment) per $1,000 Face Amount of securities on each of the
Observation Dates (starting from the second Observation Date and ending on the Observation Date immediately preceding the Final
Valuation Date).
Observation Date
|
Potential
Call Settlement Date
|
Hypothetical
Payment
upon an
Automatic Call
($) (per $1,000 Face Amount of securities)
|
June 21, 2018
|
June 26, 2018
|
$1,000.00
|
September 21, 2018
|
September 26, 2018
|
$1,000.00
|
December 21, 2018
|
December 27, 2018
|
$1,000.00
|
March 21, 2019
|
March 26, 2019
|
$1,000.00
|
June 21, 2019
|
June 26, 2019
|
$1,000.00
|
September 23, 2019
|
September 26, 2019
|
$1,000.00
|
December 23, 2019
|
December 27, 2019
|
$1,000.00
|
March 23, 2020
|
March 26, 2020
|
$1,000.00
|
June 22, 2020
|
June 25, 2020
|
$1,000.00
|
September 21, 2020
|
September 24, 2020
|
$1,000.00
|
|
|
|
The securities will not be automatically called during the first six months after the Trade Date. Beginning six months after the
Trade Date, if the securities are called on an Observation Date, the investor will receive a cash payment per $1,000 Face Amount
of securities on the Call Settlement Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date.
The securities will cease to be outstanding following an Automatic Call and no Contingent Coupon will accrue or be payable following
the Call Settlement Date.
If the securities
are not
called
:
The following table illustrates the hypothetical
Payments at Maturity (excluding any Contingent Coupon) per $1,000 Face Amount of securities for a hypothetical range of performances
of the Laggard Underlying if the securities are not automatically called.
The hypothetical Payments at Maturity set
forth in the table below reflect the Coupon Barrier and Trigger Price for each Underlying equal to 55.00%, and the Call Price for
each Underlying equal to 80.00%, of its respective Initial Price. The actual Initial Price, Call Price, Coupon Barrier and Trigger
Price for each Underlying will be determined on the Trade Date.
We make no representation or warranty as to which of the Underlyings
will be the Laggard Underlying for purposes of calculating the Payment at Maturity
.
Hypothetical
Underlying Return of the Laggard Underlying
(%)
|
Hypothetical
Payment at Maturity
($) (excluding any Contingent Coupon)
|
Hypothetical
Return on the Securities
(%) (excluding any Contingent Coupon)
|
100.00%
|
$1,000.00
|
0.00%
|
90.00%
|
$1,000.00
|
0.00%
|
80.00%
|
$1,000.00
|
0.00%
|
70.00%
|
$1,000.00
|
0.00%
|
60.00%
|
$1,000.00
|
0.00%
|
50.00%
|
$1,000.00
|
0.00%
|
40.00%
|
$1,000.00
|
0.00%
|
30.00%
|
$1,000.00
|
0.00%
|
20.00%
|
$1,000.00
|
0.00%
|
10.00%
|
$1,000.00
|
0.00%
|
0
.
00%
|
$1,000.00
|
0.00%
|
-10.00%
|
$1,000.00
|
0.00%
|
-20.00%
|
$1,000.00
|
0.00%
|
-30.00%
|
$1,000.00
|
0.00%
|
-40.00%
|
$1,000.00
|
0.00%
|
-
45
.
00%
|
$
1
,
000
.
00
|
0
.
00%
|
-46.00%
|
$540.00
|
-46.00%
|
-50.00%
|
$500.00
|
-50.00%
|
-60.00%
|
$400.00
|
-60.00%
|
-70.00%
|
$300.00
|
-70.00%
|
-80.00%
|
$200.00
|
-80.00%
|
-90.00%
|
$100.00
|
-90.00%
|
-100.00%
|
$0.00
|
-100.00%
|
Hypothetical Examples of Amounts Payable
on the Securities
The following hypothetical examples illustrate
how the payments on the securities set forth in the tables above are calculated as well as how the payment of any Contingent Coupons
will be determined. The examples below reflect the Contingent Coupon of $37.50 that may be payable on one or more of the Coupon
Payment Dates.
Example 1
:
The Closing Prices
of all the Underlyings are greater than their respective Call Prices on the first and second Observation Dates
. Because the
securities will not be automatically called during the first six months after the Trade Date, the securities will not be called
on the first Observation Date. Because the Closing Prices of
all
the Underlyings on the second Observation Date are
greater than their respective Call Prices (equal to 80.00% of their respective Initial Prices), the securities are automatically
called on the second Observation Date and the investor will receive on the Call Settlement Date a cash payment of $1,000.00 per
$1,000 Face Amount of securities (excluding any Contingent Coupon).
Because the Closing Prices of
all
the Underlyings on the first and second Observation Dates are greater than their respective Coupon Barriers (equal to 55.00% of
their respective Initial Prices), the investor will receive the Contingent Coupon on the first Coupon Payment Date and on the Call
Settlement Date. As a result, the investor will receive a total of $1,075.00 per $1,000 Face Amount of securities over the approximately
six months the securities were outstanding before they were automatically called. There are no further payments on the securities.
Example 2
:
The Closing Prices
of all the Underlyings are less than their respective Call Prices
,
but greater than their respective Coupon Barriers
,
on the first and second Observation Dates and greater than their respective Call Prices on the third Observation Date
. Because
the Closing Prices of
all
the Underlyings on the third Observation Date are greater than their respective Call Prices,
the securities are automatically called on the third Observation Date and the investor will receive on the Call Settlement Date
a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon).
Because the Closing Prices of
all
the Underlyings on the first, second and third Observation Dates are greater than their respective Coupon Barriers, the investor
will receive the Contingent Coupon on the first and second Coupon Payment Dates and on the Call Settlement Date. As a result, the
investor will receive a total of $1,112.50 per $1,000 Face Amount of securities over the approximately nine months the securities
were outstanding before they were automatically called. There are no further payments on the securities.
Example 3
:
The Closing Price of
at least one Underlying is less than its Call Price on each Observation Date prior to the Final Valuation Date and the Final Prices
of all the Underlyings are greater than their respective Trigger Prices on the Final Valuation Date
.
The Closing Prices
of all the Underlyings are greater than their respective Coupon Barriers on the second and final Observation Dates
. Because
the Closing Price of
at least one
Underlying is less than its Call Price on each Observation Date prior to the Final
Valuation Date, the securities are not automatically called prior to the final Observation Date. Because the Final Prices of
all
the Underlyings are greater than their respective
Trigger Prices on the Final Valuation Date,
the investor will receive on the Call Settlement Date a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding
any Contingent Coupon).
Because the Closing Prices of
all
the Underlyings on the second and final Observation Dates are greater than their respective Coupon Barriers, but the Closing Price
of
at least one
Underlying is less than its Coupon Barrier on each of the other Observation Dates, the investor will
receive the Contingent Coupon on the second Coupon Payment Date and on the Maturity Date, but not on the other Coupon Payment Dates.
As a result, the investor will receive a total of $1,075.00 per $1,000 Face Amount of securities over the approximately three year
term of the securities.
Example 4
:
The Closing Price of
at least one Underlying is less than its Call Price and Coupon Barrier on each Observation Date prior to the Final Valuation Date
.
While the Final Prices of five Underlyings are greater than their respective Initial Prices
,
the Final Price of the Laggard
Underlying is less than its Trigger Price
,
resulting in an Underlying Return of the Laggard Underlying of
-
50
.
00%
.
Because the Closing Price of
at least one
Underlying is less than its Call Price on each Observation Date prior to
the Final Valuation Date, the securities are not automatically called. Even though the Final Prices of five Underlyings are greater
than their respective Initial Prices, because the Payment at Maturity is determined by reference to the Final Price of the Laggard
Underlying and the Final Price of the Laggard Underlying is less than its Trigger Price, the investor will receive on the Maturity
Date a cash payment of $500.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon), calculated as follows:
$1,000 + ($1,000 x Underlying Return of the
Laggard Underlying)
$1,000 + ($1,000 x -50.00%) = $500.00
Because the Closing Price of
at least
one
Underlying is less than its Coupon Barrier on each Observation Date (including the final Observation Date), the investor
will not receive any Contingent Coupon over the entire term of the securities. As a result, the investor will receive only $500.00
per $1,000 Face Amount of securities over the approximately three year term of the securities.
Example 5
:
The Closing Price of
at least one Underlying is less than its Call Price and Coupon Barrier on each Observation Date prior to the Final Valuation Date
.
The Final Prices of all the Underlyings are less than their respective Trigger Prices and the Underlying Return of the Laggard
Underlying is equal to
-
70
.
00%
. Because the Closing Price of
at least one
Underlying is less than
its Call Price on each Observation Date prior to the Final Valuation Date, the securities are not automatically called. Because
the Payment at Maturity is determined by reference to the Final Price of the Laggard Underlying, the Underlying Return of the Laggard
Underlying will be used in determining the Payment at Maturity. In this circumstance, the investor will receive on the Maturity
Date a cash payment of $300.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon), calculated as follows:
$1,000 + ($1,000 x Underlying Return of the
Laggard Underlying)
$1,000 + ($1,000 x -70.00%) = $300.00
Because the Closing Price of
at least
one
Underlying is less than its Coupon Barrier on each Observation Date (including the final Observation Date), the investor
will not receive any Contingent Coupon over the entire term of the securities. As a result, the investor will receive only $300.00
per $1,000 Face Amount of securities over the approximately three year term of the securities.
Selected Purchase Considerations
|
·
|
THE SECURITIES MAY OFFER A HIGHER
,
THOUGH CONTINGENT
,
COUPON THAN THE YIELD ON DEBT SECURITIES OF COMPARABLE MATURITY ISSUED BY US OR AN ISSUER WITH A COMPARABLE
CREDIT RATING
— The securities will pay a Contingent Coupon
only if
the Closing Prices of
all
the Underlyings are greater than or equal to their respective Coupon Barriers on the applicable quarterly Observation Date. Payment
of a Contingent Coupon may result in a higher yield than that received on debt securities of comparable maturity issued by us or
an issuer with a comparable credit rating,
but
is subject to the risk that the Closing Price of
any
Underlying will be less than its Coupon Barrier on an Observation Date and the resulting forfeiture of the Contingent Coupon for
that entire period, as well as the risk of losing a significant portion or all of your investment if the securities are not automatically
called and the Final Price of the Laggard Underlying is less than its Trigger Price.
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 Price of the Laggard Underlying is
greater than
or
equal
to
its Trigger Price, you will receive a cash payment per $1,000 Face Amount of securities at maturity equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date. However, if the securities are not automatically called and the Final
Price of the Laggard Underlying is
|
less than
its Trigger Price,
for each $1,000 Face Amount of securities, you will lose 1.00% of the Face Amount for every 1.00% by which the Final Price of the
Laggard Underlying is less than its Initial Price.
In this circumstance
,
you will lose a significant portion or all of
your investment in the securities at maturity
.
|
·
|
POTENTIAL EARLY EXIT AS A RESULT OF
THE AUTOMATIC CALL FEATURE
— While the original term of the securities is approximately three years, the securities will
be automatically called if the Closing Prices of
all
the Underlyings on any quarterly Observation Date (starting
from the second Observation Date and ending on the Observation Date immediately preceding the Final Valuation Date) are greater
than or equal to their respective Call Prices, and you will receive a cash payment per $1,000 Face Amount of securities on the
Call Settlement Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date. Therefore, the term
of the securities could be as short as approximately six months. No Contingent Coupon will accrue or be payable following the Call
Settlement Date. For the avoidance of doubt, the discounts and commissions described on the cover of this pricing supplement will
not be rebated or subject to amortization if the securities are automatically called.
|
|
·
|
CONTINGENT COUPONS
— Unless
the securities are previously automatically called, the Contingent Coupon, if any, will be paid in arrears on the relevant Coupon
Payment Date
only if
the Closing Prices of
all
the Underlyings on the applicable quarterly Observation
Date are greater than or equal to their respective Coupon Barriers.
If the Closing Price of at least one Underlying on each
Observation Date is less than its Coupon Barrier
,
you will not receive any Contingent Coupons for the entire term of the
securities
.
|
|
·
|
RETURN LINKED TO THE LEAST PERFORMING
OF THE SIX EQUITY STOCKS
— The return on the securities, which may be positive, zero or negative, is linked to the least
performing of six equity stocks – the class C capital stock of Alphabet Inc., the common stock of Apple Inc., the class A
common stock of Facebook, Inc., the class A common stock of Snap Inc., the common stock of Starbucks Corporation and the common
stock of Twitter, Inc. – 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. For more information
on the Underlyings, please see “The Underlyings” in this pricing supplement.
|
|
·
|
TAX CONSEQUENCES
— Due to
the lack of direct legal authority, there is substantial uncertainty regarding the U.S. federal income tax consequences of an investment
in the securities. In determining our responsibilities for information reporting and withholding, if any, we intend to treat
the securities as prepaid financial contracts that are not debt, with associated contingent coupons that constitute ordinary income
and that, when paid to a non-U.S. holder, are generally subject to 30% (or lower treaty rate) withholding. Our special tax
counsel, Davis Polk & Wardwell LLP, has advised that while it believes this treatment to be reasonable, it is unable to conclude
that it is more likely than not that this treatment will be upheld, and that other reasonable treatments are possible that could
materially affect the timing and character of income or loss on your securities. If this treatment is respected, you generally
should recognize short-term capital gain or loss on the taxable disposition of your securities (including retirement), unless you
have held the securities for more than one year, in which case your gain or loss should be long-term capital gain or loss. However,
it is likely that any sales proceeds that are attributable to the next succeeding contingent coupon after it has been fixed will
be treated as ordinary income and also possible that any sales proceeds attributable to the next succeeding contingent coupon prior
to the time it has been fixed will be treated as ordinary income.
|
In 2007, the U.S. Treasury Department
and the Internal Revenue Service (the “
IRS
”) released a notice requesting comments on various issues regarding
the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in
particular on whether beneficial owners of these instruments should be required to accrue income over the term of their investment.
It also asks for comments 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; and the degree, if
any, to which income (including any mandated accruals) realized by non-U.S. persons should be subject to withholding tax. 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 affect the tax consequences of an investment in the securities, possibly with
retroactive effect.
As discussed in the section of
the accompanying product supplement entitled “U.S. Federal Income Tax Consequences — ‘FATCA’ Legislation,”
it would be prudent to assume that an applicable withholding agent will treat payments in respect of the securities and gross proceeds
from any taxable disposition of a security (including retirement) as subject to withholding under FATCA. However, under a recent
IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated as interest) from
the taxable disposition of a security occurring before January 1, 2019. 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, a recent IRS notice excludes from the scope of Section 871(m) instruments issued prior to January
1, 2019 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 any or all 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 Payment at Maturity is linked to
the performance of the Laggard Underlying and will depend on whether the securities are automatically called and whether the Final
Price of the Laggard Underlying is less than its Trigger Price, as applicable. If the securities are not automatically called and
the Final Price of the Laggard Underlying is less than its Trigger Price, for each $1,000 Face Amount of securities, you will lose
1.00% of the Face Amount for every 1.00% by which the Final Price of the Laggard Underlying is less than its Initial Price.
In
this circumstance
,
you will lose a significant portion 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
.
|
|
·
|
YOUR RETURN ON THE SECURITIES IS LIMITED
TO THE FACE AMOUNT PLUS CONTINGENT COUPONS
(
IF ANY
)
AND YOU WILL NOT PARTICIPATE IN ANY INCREASE IN THE PRICES OF
THE UNDERLYINGS
— The securities will not pay more than the Face Amount
plus
any Contingent Coupons that may be
due for each $1,000 Face Amount of securities. You will not participate in any increase in the prices of any Underlyings even if
the Final Prices of all the Underlyings are greater than their respective Initial Prices. The maximum payment upon an Automatic
Call or at maturity, as applicable, will be the Face Amount per $1,000 Face Amount of securities (excluding any Contingent Coupons),
regardless of any increase in the prices of any Underlyings, which may be significant.
|
|
·
|
YOU MAY NOT RECEIVE ANY CONTINGENT COUPONS
— The securities may not pay Contingent Coupons on some or all of the Coupon Payment Dates and, therefore, should
not
be viewed as conventional debt securities with periodic coupon payments. If the Closing Price of any Underlying on any Observation
Date is less than its respective Coupon Barrier, you will not receive the Contingent Coupon applicable to such Observation Date.
If the Closing Price of any Underlying is less than its respective Coupon Barrier on each of the Observation Dates, you will not
receive any Contingent Coupons during the entire term of the securities and, therefore, you will not receive a positive return
on your investment. Generally, non-payment of Contingent Coupons coincides with a
|
greater risk of loss of your investment
in the securities, because the price(s) of one or more of the Underlyings tend to be lower than their respective Trigger Prices,
which are equal to their respective Coupon Barriers.
|
·
|
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 BY THE FINAL PRICE OF THE LAGGARD UNDERLYING
— If the securities
are not automatically called, the Payment at Maturity will be determined by reference to the Final Price of the Laggard Underlying,
without taking into consideration the performance of the other Underlyings.
|
|
·
|
A HIGHER CONTINGENT COUPON OR A LOWER
COUPON BARRIER OR TRIGGER PRICE FOR EACH UNDERLYING MAY REFLECT A GREATER EXPECTED VOLATILITY OF ONE OR MORE OF THE 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
Underlying may close below its Coupon Barrier on an Observation Date (resulting in a missed Contingent Coupon) or below its Trigger
Price on the Final Valuation Date (resulting in a loss of a significant portion or all of your investment). In addition, the economic
terms of the securities, including the Contingent Coupon, the Coupon Barriers and the Trigger Prices, 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 Contingent Coupon or a lower Coupon Barrier or Trigger Price for each Underlying. Accordingly,
a higher Contingent Coupon as compared with the coupon on our conventional fixed income securities with a similar maturity or the
coupon on our other similarly structured securities will generally indicate a greater risk of loss, while a lower Coupon Barrier
or Trigger Price for each Underlying as compared with otherwise comparable securities does not necessarily indicate that the securities
have a greater likelihood of paying Contingent Coupons or returning your investment at maturity. You should be willing to accept
the downside market risk of each Underlying and the potential loss of a significant portion or all 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
.
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THE ISSUER
’
S ESTIMATED
VALUE OF THE SECURITIES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE SECURITIES
— The Issuer’s estimated
value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of
the securities. The difference between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date
is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations under
the securities through one or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost of
providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent
in providing such hedge. The Issuer’s estimated value of the securities is determined by reference to an internal funding
rate and our pricing models. The internal funding rate is typically lower than the rate we would pay when we issue conventional
debt securities on equivalent terms. This difference in funding rate, as well as the agent’s commissions, if any, and the
estimated cost of hedging our obligations under the securities, reduces the economic terms of the securities to you and is expected
to adversely affect the price at which you may be able to sell the securities in any secondary market. In addition, our internal
pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. If
at any time a third
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party dealer were to quote a price
to purchase your securities or otherwise value your securities, that price or value may differ materially from the estimated value
of the securities determined by reference to our internal funding rate and pricing models. This difference is due to, among other
things, any difference in funding rates, pricing models or assumptions used by any dealer who may purchase the securities in the
secondary market.
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·
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INVESTING IN THE SECURITIES IS NOT THE
SAME AS INVESTING IN THE UNDERLYINGS
— The return on the securities may not reflect the return you would have realized
if you had directly invested in the Underlyings. For instance, any Payment at Maturity on the securities is dependent on the performance
of the Laggard Underlying, and you will not participate in any potential increase in the prices of any Underlyings, which could
be significant.
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·
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IF THE PRICES 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 of the Underlyings. Changes in the prices of the Underlyings may not result in comparable changes in the value of your
securities.
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·
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or rights to receive cash dividends or other distributions
or other rights that holders of the Underlyings would have.
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YOUR INVESTMENT IS EXPOSED TO A DECLINE
IN THE PRICE 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 by reference to the performance of
each
individual
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 Underlying. Poor performance by
any
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 any other Underlying.
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·
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BECAUSE THE SECURITIES ARE LINKED TO
THE LEAST PERFORMING OF THE SIX UNDERLYINGS
,
YOU ARE EXPOSED TO A GREATER RISK OF RECEIVING NO CONTINGENT COUPONS OR LOSING
A SIGNIFICANT PORTION OR ALL OF YOUR INVESTMENT THAN IF THE SECURITIES WERE LINKED TO JUST ONE UNDERLYING
— The risk
that you will not receive any Contingent Coupons and/or lose a significant portion 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 six
Underlyings, it is significantly more likely that the Closing Price of at least one Underlying will be less than its Coupon Barrier
on each Observation Date, and that the Final Price of at least one Underlying will be less than its Trigger Price, than if the
securities were linked to only one Underlying, and therefore, it is more likely that you will not receive any Contingent Coupons
and will receive a Payment at Maturity that is significantly less than your 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 Closing Price of at least one Underlying to be less than its Coupon Barrier on any Observation Date, or the Final Price of
at least one Underlying to be less than its Trigger Price, is even greater. Although the correlation of the Underlyings’
performance may change over the term of the securities, the Contingent Coupon, Coupon Barriers and Trigger Prices are determined,
in part, based on the correlation of the Underlyings’ performance at the time when the terms of the securities are finalized.
A higher Contingent Coupon or lower Coupon Barriers or Trigger Prices for each Underlying is generally associated with a lower
correlation of the Underlyings, which reflects a greater potential for loss on your investment at maturity.
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·
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ANTI
-
DILUTION PROTECTION IS LIMITED
AND THE CALCULATION AGENT MAY MAKE ADJUSTMENTS IN ADDITION TO
,
OR THAT DIFFER FROM
,
THOSE SET FORTH IN THE ACCOMPANYING
PRODUCT SUPPLEMENT
— For each Underlying, the calculation agent will make adjustments to the relevant Stock Adjustment
Factor, which will initially be set at 1.0, for certain corporate events affecting such Underlying. The calculation agent is not
required, however, to make such adjustments in response to all corporate events that could affect the Underlyings, including if
the issuer of an Underlying or another party makes a partial tender or partial exchange offer for such Underlying. If such an event
occurs that does not require the calculation agent to make an adjustment, the value of the securities may be materially and adversely
affected. In addition, you should be aware that the calculation agent may, at its sole discretion, make adjustments to each Stock
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 relevant Underlying or any other security received in a reorganization
event 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 for an Underlying or any other security received in a reorganization
event described in the accompanying product supplement may be materially adverse to investors in the securities. You should read
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“Description of Securities
— Anti-Dilution Adjustments for Reference Stock” in the accompanying product supplement in order to understand the
adjustments that may be made to the securities.
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THERE IS NO AFFILIATION BETWEEN THE
ISSUERS OF THE UNDERLYINGS AND US AND WE HAVE NOT PARTICIPATED IN THE PREPARATION OF
,
OR VERIFIED
,
ANY INFORMATION
ABOUT THE UNDERLYINGS OR THE ISSUERS OF THE UNDERLYINGS
— We are not affiliated with the issuers of the Underlyings.
However, we or our affiliates may currently, or from time to time in the future, engage in business with the issuers of the Underlyings,
including extending loans to, making equity investments in, acting as underwriter in connection with future offerings of the Underlyings
by, or providing advisory services (including merger and acquisition advisory services) to, such issuers. In the course of this
business, we or our affiliates may acquire non-public information about the issuers of the Underlyings, 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 Underlyings or the issuers of the Underlyings. You, as an investor in the securities, should make your
own investigation into the Underlyings and the issuers of the Underlyings. The issuers of the Underlyings are not involved in this
offering in any way and none of them has any obligation of any sort with respect to your securities. The issuers of the Underlyings
do not have any obligation to take your interests into consideration for any reason, including when taking any corporate actions
that would require the calculation agent to adjust the Stock Adjustment Factor for any Underlying, which may adversely affect the
value of your securities.
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·
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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 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. The class A common stock of Snap Inc. commenced trading on March 2, 2017 and the
common stock of Twitter, Inc. commenced trading on November 7, 2013. Therefore, the class A common stock of Snap Inc. and the common
stock of Twitter, Inc. each have a limited performance history.
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ASSUMING NO CHANGES IN MARKET CONDITIONS
AND OTHER RELEVANT FACTORS
,
THE PRICE YOU MAY RECEIVE FOR YOUR SECURITIES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY
BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER
’
S ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE
—
While the payment(s) on the securities described in this pricing supplement is based on the full Face Amount of securities, the
Issuer’s estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less
than the Issue Price of the securities. The Issuer’s estimated value of the securities on the Trade Date does not represent
the price at which we or any of our affiliates would be willing to purchase your securities in the secondary market at any time.
Assuming no changes in market conditions or our creditworthiness and other relevant factors, the price, if any, at which we or
our affiliates would be willing to purchase the securities from you in secondary market transactions, if at all, would generally
be lower than both the Issue Price and the Issuer’s estimated value of the securities on the Trade Date. Our purchase price,
if any, in secondary market transactions would be based on the estimated value of the securities determined by reference to (i)
the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our
pricing models at that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the
assets underlying the securities and then-prevailing market conditions. The price we report to financial reporting services and
to distributors of our securities for use on customer account statements would generally be determined on the same basis. However,
during the period of approximately six months beginning from the Trade Date, we or our affiliates may, in our sole discretion,
increase the purchase price determined as described above by an amount equal to the declining differential between the Issue Price
and the Issuer’s estimated value of the securities on the Trade Date, prorated over such period on a straight-line basis,
for transactions that are individually and in the aggregate of the expected size for ordinary secondary market repurchases.
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In addition to the factors discussed
above, the value of the securities and our purchase price in secondary market transactions after the Trade Date, if any, will vary
based on many economic and market factors, including our creditworthiness, and cannot be predicted with accuracy. These changes
may adversely affect the value of your securities, including the price you may receive in any secondary market transactions. Any
sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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·
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THE SECURITIES WILL NOT BE LISTED AND
THERE WILL LIKELY BE LIMITED LIQUIDITY
— The securities will not be listed on any securities exchange. There may be little
or no secondary market for the securities. We or our affiliates intend to act as market makers for the securities but are not required
to do so and may cease such market making activities at any time. Even if there is a secondary market, it may not provide enough
liquidity to allow you to sell the securities when you wish to do so or at a price advantageous to you.
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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 of the Underlyings have increased since the Trade Date.
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MANY ECONOMIC AND MARKET FACTORS WILL
AFFECT THE VALUE OF THE SECURITIES
— While we expect that, generally, the prices 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:
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o
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whether the Closing Price of any Underlying on any Observation Date is less than its Coupon Barrier;
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o
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the expected volatility of the Underlyings;
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o
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the time remaining to the maturity of the securities;
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o
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the dividend rates of the Underlyings;
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o
|
the real and anticipated results of operations of the issuers of the Underlyings;
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o
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actual or anticipated corporate reorganization events, such as mergers or takeovers, which may
affect any of the Underlyings;
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o
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interest rates and yields in the markets generally;
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o
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geopolitical conditions and economic, financial, political, regulatory or judicial events that
affect any Underlying or the markets generally;
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o
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supply and demand for the securities; and
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o
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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During
the term of the securities, it is possible that their value may decline significantly due to the factors described above even if
the prices of the Underlyings remain unchanged from their respective Initial Prices, and any sale prior to the Maturity Date could
result in a substantial loss to you. You must hold the securities to maturity to receive the stated payout from the Issuer.
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TRADING AND OTHER TRANSACTIONS BY US
OR OUR AFFILIATES IN THE EQUITY AND EQUITY
DERIVATIVE
MARKETS MAY IMPAIR THE VALUE
OF THE SECURITIES
— We or our affiliates expect to hedge our exposure from the
securities by entering into equity and equity derivative transactions, such as over-the-counter options, futures or exchange-traded
instruments. We or our affiliates may also engage in trading in instruments linked or related to the 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 of one or more 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 of one or more 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.
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WE OR OUR AFFILIATES
MAY PUBLISH RESEARCH
,
EXPRESS OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE
SECURITIES
.
ANY SUCH RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE PRICES 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 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.
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·
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POTENTIAL CONFLICTS
OF INTEREST
— We and our affiliates play a variety of roles in connection with the issuance of the securities, including
acting as calculation agent, hedging our obligations under the securities and determining the Issuer’s estimated value of
the securities on the Trade Date and the price, if any, at which we or our affiliates would be willing to purchase the securities
from you in secondary market transactions. In performing these roles, our economic interests and those of our affiliates are potentially
adverse to your interests as an investor in the securities. The calculation agent will determine, among other things, all values,
prices and levels required to be determined for the purposes of the securities on any relevant date or time. The calculation agent
also has some discretion about certain adjustments to the Stock Adjustment Factors and will be responsible for determining whether
a market disruption event has occurred as well as, in some circumstances, the prices or levels related to the Underlyings that
affect whether Contingent Coupons are paid and whether the securities are automatically called. Any determination by the calculation
agent could adversely affect the return on the securities.
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THERE IS SUBSTANTIAL UNCERTAINTY REGARDING
THE U
.
S
.
FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES
— There is no direct legal
authority regarding the proper U.S. federal income tax treatment of the securities, and we do not plan to request a ruling from
the IRS. Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not
agree with the treatment of the securities as prepaid financial contracts that are not debt, with associated contingent coupons,
as described above under “Tax Consequences.” If the IRS were successful in asserting an alternative treatment for the
securities, the tax consequences of ownership and disposition of the securities could be materially 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 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.
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The Underlyings
All
disclosures contained in this pricing supplement regarding the Underlyings are derived from publicly available information. Neither
Deutsche Bank AG nor any of its affiliates has participated in the preparation of, or verified, such information about the Underlyings
contained in this pricing supplement. You should make your own investigation into the Underlyings.
Included
below is a brief description of the issuer of each Underlying. Each Underlying is registered under the Securities Exchange Act
of 1934, as amended (the “
Exchange Act
”). Companies with securities registered under the Exchange Act are required
to file certain financial and other information specified by the SEC periodically. Information filed by the issuer of each Underlying
with the SEC can be reviewed electronically through a web site maintained by the SEC. The address of the SEC’s web site is
.
http://www.sec.gov.
Information filed with the SEC by the issuers of the Underlyings under the Exchange Act can be located by reference to its SEC
file number provided below.
In
addition, information filed with the SEC can be inspected and copied at the Public Reference Section of the SEC, 100 F Street,
N.E., Room 1580, Washington, D.C. 20549. Copies of this material can also be obtained from the Public Reference Section, at prescribed
rates.
We
obtained the historical closing prices 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 of the Underlyings should not be taken as an indication of
future performance and no assurance can be given as to the Closing Prices 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 investment
.
Alphabet
Inc
.
According
to publicly available information, Alphabet Inc. is a holding company that, through its subsidiaries (which include Google Inc.),
provides web-based search, advertisements, maps, software applications, mobile operating systems, consumer consent, enterprise
solutions, commerce and hardware products. Alphabet Inc. became the successor SEC registrant to, and parent holding company of,
Google Inc. on October 2, 2015, in connection with a holding company reorganization. Alphabet Inc.’s class C capital stock
began trading on October 5, 2015 under the ticker symbol “GOOG,” the same symbol under which Google Inc.’s class
C capital stock previously traded. Google Inc.’s class C capital stock began trading on March 27, 2014. Information filed
by Alphabet Inc. with the SEC under the Exchange Act can be located by reference to its SEC file number: 001–37580,
or its CIK code: 0001652044. The class C capital stock of Alphabet Inc. is traded on the NASDAQ Stock Market under the ticker symbol
“GOOG.”
Historical
Information
The
following graph sets forth the historical performance of the class A common stock of Google Inc. from December 7, 2012 through
March 26, 2014, the class C capital stock of Google Inc. from March 27, 2014 through October 4, 2015 and the class C capital stock
of Alphabet Inc. from October 5, 2015 through December 7, 2017, based on their daily closing prices. The closing price of the class
C capital stock of Alphabet Inc. on December 7, 2017 was $1,030.93. The graph below also indicates by a broken line a hypothetical
Coupon Barrier and Trigger Price equal to 55.00%, and a hypothetical Call Price equal to 80.00%, of the closing price of the class
C capital stock of Alphabet Inc. on December 7, 2017.
Apple Inc
.
According
to publicly available information, Apple Inc. designs, manufactures and markets mobile communication and media devices and personal
computers, and sells a variety of related software, services, accessories, networking solutions and third-party digital content
and applications. Information filed by Apple Inc. with the SEC under the Exchange Act can be located by reference to its SEC file
number: 001–36743, or its CIK code: 0000320193. The common stock of Apple Inc. is traded on the NASDAQ Stock Market under
the ticker symbol “AAPL.”
Historical
Information
The
following graph sets forth the historical performance of the common stock Apple Inc. based on its daily closing prices from December
7, 2012 through December 7, 2017. The closing price of the common stock of Apple Inc. on December 7, 2017 was $169.32. The graph
below also indicates by a broken line a hypothetical Coupon Barrier and Trigger Price equal to 55.00%, and a hypothetical Call
Price equal to 80.00%, of the closing price of the common stock Apple Inc. on December 7, 2017.
Facebook,
Inc
.
According
to publicly available information, Facebook, Inc. builds products that enable people to connect and share through mobile
devices, personal computers and other surfaces. Information filed by Facebook, Inc. with the SEC under the Exchange Act can be
located by reference to its SEC file number: 001–35551, or its CIK code: 0001326801. The class A common stock of Facebook,
Inc. is traded on the NASDAQ Stock Market under the ticker symbol “FB.”
Historical
Information
The
following graph sets forth the historical performance of the class A common stock of Facebook, Inc. based on its daily closing
prices from December 7, 2012 through December 7, 2017. The closing price of the class A common stock of Facebook, Inc. on December
7, 2017 was $180.14. The graph below also indicates by a broken line a hypothetical Coupon Barrier and Trigger Price equal to 55.00%,
and a hypothetical Call Price equal to 80.00%, of the closing price of the class A common stock of Facebook, Inc. on December 7,
2017.
Snap Inc
.
According
to publicly available information, Snap Inc. operates Snapchat, a camera application that helps people communicate through short
videos and images. Information filed by Snap Inc. with the SEC under the Exchange Act can be located by reference to its SEC file
number: 001–38017, or its CIK code: 0001564408. The class A common stock of Snap Inc. is traded on the New York Stock Exchange
under the ticker symbol “SNAP.”
Historical
Information
The
following graph sets forth the historical performance of the class A common stock of Snap Inc. based on its daily closing prices
from March 2, 2017 through December 7, 2017. The closing price of the class A common stock of Snap Inc. on December 7, 2017 was
$14.70. The graph below also indicates by a broken line a hypothetical Coupon Barrier and Trigger Price equal to 55.00%, and a
hypothetical Call Price equal to 80.00%, of the closing price of the class A common stock of Snap Inc. on December 7, 2017.
The
class A common stock of Snap Inc. commenced trading on March 2, 2017 and, therefore, has a limited performance history.
Starbucks Corporation
According
to publicly available information, Starbucks Corporation is a roaster, marketer and retailer of specialty coffee. Information filed
by Starbucks Corporation with the SEC under the Exchange Act can be located by reference to its SEC file number: 000–20322,
or its CIK code: 0000829224. The common stock of Starbucks Corporation is traded on the NASDAQ Stock Market under the ticker symbol
“SBUX.”
Historical
Information
The
following graph sets forth the historical performance of the common stock of Starbucks Corporation based on its daily closing prices
from December 7, 2012 through December 7, 2017. The closing price of the common stock of Starbucks Corporation on December 7, 2017
was $59.14. The graph below also indicates by a broken line a hypothetical Coupon Barrier and Trigger Price equal to 55.00%, and
a hypothetical Call Price equal to 80.00%, of the closing price of the common stock of Starbucks Corporation on December 7, 2017.
Twitter,
Inc
.
According
to publicly available information, Twitter, Inc. operates Twitter, a platform that allows people to consume, create, distribute
and discover content, as well as Periscope, a mobile application used to broadcast and watch live videos. Information filed by
Twitter, Inc. with the SEC under the Exchange Act can be located by reference to its SEC file number: 001–36164, or
its CIK code: 0001418091. The common stock of Twitter, Inc. is traded on the New York Stock Exchange under the ticker symbol “TWTR.”
Historical
Information
The
following graph sets forth the historical performance of the common stock of Twitter, Inc. based on its daily closing prices from
November 7, 2013 through December 7, 2017. The closing price of the common stock of Twitter, Inc. on December 7, 2017 was $21.01.
The graph below also indicates by a broken line a hypothetical Coupon Barrier and Trigger Price equal to 55.00%, and a hypothetical
Call Price equal to 80.00%, of the closing price of the common stock of Twitter, Inc. on December 7, 2017.
The common stock
of Twitter, Inc. commenced trading on November 7, 2013 and, therefore, has a limited performance history.
Correlation of the Underlyings
The following two graphs set forth, respectively,
(i) the historical performances of
four
of the Underlyings – namely, the class C capital stock of Alphabet Inc., the
common stock of Apple Inc., the class A common stock of Facebook, Inc. and the common stock of Starbucks Corporation – from
December 7, 2012 through December 7, 2017 and (ii) the historical performances of
all six
Underlyings – including
those with a limited performance history as described in “The Underlyings” in this pricing supplement, namely, the
class A common stock of Snap Inc. and the common stock of Twitter, Inc. – from March 2, 2017 through December 7, 2017. Each
graph is based on the daily closing prices of the relevant Underlyings during the relevant period. For comparison purposes, each
Underlying has been normalized to have a closing level of 100.00 on December 7, 2012 or March 2, 2017, as applicable, by (1)
dividing
the
closing price of that Underlying on each day by the closing price of that Underlying on December 7, 2012 or March 2, 2017, as applicable,
and (2)
multiplying
by 100.00.
We obtained the closing prices used to determine
the normalized closing levels set forth below from Bloomberg, without verification. Historical performance of the Underlyings should
not be taken as an indication of future performance. Future performance of the Underlyings may differ significantly from historical
performance and no assurance can be given as to the Closing Prices of the Underlyings on any of the Observation Dates (including
the Final Valuation Date). We cannot give you assurance that the performances of the Underlyings will result in the return of any
of your investment.
The closer the relationship of the daily
returns of a pair of Underlyings over a given period, the more positively correlated those Underlyings are. The graph above illustrates
the historical performance of each Underlying relative to the other Underlyings over the time period shown and provides an indication
of how close the relative performance of the daily returns of one Underlying has historically been to the others. For additional
information, please see “Key Risks — Because The Securities Are Linked To The Least Performing Of The Six Underlyings,
You Are Exposed To A Greater Risk Of Receiving No Contingent Coupons Or Losing A Significant Portion Or All Of Your Investment
Than If The Securities Were Linked To Just One Underlying” in this pricing supplement. The lower (or more negative) the correlation
between two Underlyings, the less likely it is that those Underlyings will move in the same direction and, therefore, the greater
the potential that the Final Price of at least one of the Underlyings may be less than its Trigger Price. This is because the less
positively correlated a pair of Underlyings are, the greater the likelihood that the price of at least one of the Underlyings will
decrease. This results in a greater potential for a loss of a significant portion or all of your investment at maturity. However,
even if two Underlyings have a higher positive correlation, the Final Price of any of those Underlyings may be less than its Trigger
Price as the prices of any of those Underlyings may decrease together.
In addition, for each additional Underlying
to which the securities are linked, there is a greater potential for one pair of Underlyings to have low or negative correlation.
Therefore, the greater the number of Underlyings, the greater the potential for a loss of a significant portion or all of your
investment at maturity. Deutsche Bank AG determined the Contingent Coupon, Trigger Prices and Coupon Barriers for the securities
based, in part, on the correlation among the Underlyings, calculated using internal models at the time the terms of the securities
were set. As discussed above, increased risk resulting from lower correlation or from a greater number of underlyings is reflected
in a higher Contingent Coupon than would be payable on, or lower Trigger Prices or Coupon Barriers for each Underlying than would
be offered for, securities linked to fewer underlyings that have a higher degree of correlation.