Pricing
Supplement
To product supplement B dated July 31
,
2015
,
prospectus supplement
dated July 31
,
2015 and
prospectus dated April
27
,
2016
|
Pricing
Supplement No
.
2964B
Registration
Statement No. 333–206013
Rule
424
(
b
)(
2
)
|
|
|
Deutsche Bank
|
Structured
Investments
|
Deutsche Bank AG
$1,000,000 Digital Return Notes Linked to the American Depositary Shares of JD
.
com
,
Inc
.
due November 28
,
2018
|
|
|
|
General
|
·
|
The notes are designed for investors who seek a return at maturity linked to the performance of the American depositary shares
of JD.com, Inc. (the “
Underlying
”). If the Final Price is greater than or equal to the Trigger Price (80.00%
of the Initial Price), investors will receive at maturity a positive return on the notes equal to the Digital Return of 14.50%.
However, if the Final Price is less than the Trigger Price, for each $1,000 Face Amount of notes, investors will lose 1.00% of
the Face Amount for every 1.00% by which the Final Price is less than the Initial Price. The notes do not pay any coupons or dividends
and investors should be willing to lose a significant portion or all of their investment if the Final Price is less than the Trigger
Price. Any payment on the notes is subject to the credit of the Issuer.
|
|
·
|
Senior unsecured obligations of Deutsche Bank AG due November 28, 2018
|
|
·
|
Minimum purchase of $10,000. Minimum denominations of $1,000 (the “
Face Amount
”) and integral multiples thereof.
|
|
·
|
The notes priced on November 10, 2017 (the “
Trade Date
”) and are expected to settle on November 15, 2017 (the
“
Settlement Date
”).
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Underlying:
|
American depositary shares of JD.com, Inc. (Ticker: JD)
|
Issue Price:
|
100% of the Face Amount
|
Digital Return:
|
14.50%, which reflects the maximum return on the notes. Accordingly, the maximum Payment at Maturity will be $1,145.00 per $1,000 Face Amount of notes.
|
|
|
|
(
Key Terms continued on next page
)
|
Investing in the notes 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 9 of this pricing supplement.
The Issuer
’
s estimated value of the
notes on the Trade Date is $967.50 per $1,000 Face Amount of notes, which is less than the Issue Price. Please see
“
Issuer
’
s
Estimated Value of the Notes
”
on page 3 of this pricing supplement for additional information.
By acquiring the notes, 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 notes or the conversion of the notes 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 notes. Please see
“
Resolution Measures and Deemed Agreement
”
on page 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 notes 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
|
Fees
(1)
|
Proceeds
to Issuer
|
Per Note
|
$1,000.00
|
$10.00
|
$990.00
|
Total
|
$1,000,000.00
|
$10,000.00
|
$990,000.00
|
|
(1)
|
JPMorgan Chase Bank, N.A. and J.P. Morgan
Securities LLC, which we refer to as JPMS LLC, or one of its affiliates will act as placement agents for the notes. The placement
agents will receive a fee from the Issuer of $10.00 per $1,000 Face Amount of notes. Please see “Supplemental Plan of Distribution”
in this pricing supplement for more information about fees.
|
The notes
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
.
JPMorgan
Placement Agent
November 10, 2017
|
(
Key Terms continued from previous page
)
|
Payment at Maturity:
|
·
If
the Final Price is
greater than
or
equal to
the Trigger Price
,
you will receive a cash payment at maturity per $1,000 Face Amount of notes equal to the Face Amount
plus
the
product of
the Face Amount and the Digital Return, calculated as follows:
|
$1,000 + ($1,000 x Digital Return)
|
·
If
the Final Price is
less than
the Trigger Price
,
you
will receive a cash payment at maturity per $1,000 Face Amount of notes calculated as follows:
|
|
$1,000 + ($1,000 x Underlying Return)
|
|
If the Final Price is less than the Trigger Price
,
for each $1
,
000 Face Amount of notes
,
you will lose 1
.
00% of the Face Amount for every 1
.
00% by which the Final Price is less than the Initial Price
.
In this circumstance
,
you will lose a significant portion or all of your investment at maturity
.
Any payment at maturity is subject to the credit of the Issuer
.
|
Trigger Price:
|
$31.97, equal to 80.00% of the Initial Price
|
Underlying Return:
|
The performance of the Underlying from the Initial Price to the Final Price, calculated as follows:
|
Final Price – Initial Price
|
Initial Price
|
|
The Underlying Return may be positive
,
zero or negative
.
|
Initial Price:
|
$39.96, equal to the Closing Price of the Underlying on the Trade Date
|
Final Price:
|
The arithmetic average of the Closing Prices of the Underlying on each of the five Averaging Dates
|
Closing Price:
|
On any trading day, the last reported sale price of one share of the Underlying on the relevant exchange
multiplied by
the then-current Stock Adjustment Factor, as determined by the calculation agent
|
Stock Adjustment Factor:
|
Initially 1.0, subject to adjustment upon the occurrence of certain corporate events affecting the Underlying. See “Description of Securities — Anti-Dilution Adjustments for Reference Stock” in the accompanying product supplement.
|
Trade Date:
|
November 10, 2017
|
Settlement Date:
|
November 15, 2017
|
Averaging Dates
1
:
|
November 16, 2018, November 19, 2018, November 20, 2018, November 21, 2018 and November 23, 2018
|
Maturity Date
1
:
|
November 28, 2018
|
Listing:
|
The notes will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MFR7 / US25155MFR79
|
|
1
|
Subject to adjustment as described under “Description of
Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement.
|
Issuer
’
s Estimated Value of the
Notes
The Issuer’s estimated value of the notes is equal to the
sum of our valuations of the following two components of the notes: (i) a bond and (ii) an embedded derivative(s). The value of
the bond component of the notes 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 notes, 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 notes. 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 notes, reduces the economic terms of the notes to you and is expected to adversely affect
the price at which you may be able to sell the notes 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 notes 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 notes on the Trade
Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the notes. The difference between the
Issue Price and the Issuer’s estimated value of the notes 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 notes 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 notes on the Trade
Date does not represent the price at which we or any of our affiliates would be willing to purchase your notes 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 notes 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 notes on the Trade Date. Our purchase
price, if any, in secondary market transactions will be based on the estimated value of the notes 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 notes and then-prevailing market conditions. The price we report to financial reporting services and to distributors
of our notes 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 notes 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 notes 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 notes, 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 notes, 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 notes 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 notes; (ii) convert the notes 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 notes to another entity, the amendment, modification or variation of the terms and conditions of the notes or the
cancellation of the notes. 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 notes, 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 notes 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 notes, 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 notes; 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 notes; (ii) authorized,
directed and requested The Depository Trust Company (
“
DTC
”
)
and any direct participant in DTC or other intermediary through which you hold such notes to take any and all necessary action,
if required, to implement the imposition of any Resolution Measure with respect to the notes 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 notes.
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 Notes
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 notes 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 notes. 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 notes 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 notes 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 notes.
You may revoke your offer to purchase the notes 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 notes prior to their issuance. We will notify you in the event of any changes to the terms
of the notes and you will be asked to accept such changes in connection with your purchase of any notes. You may choose to reject
such changes, in which case we may reject your offer to purchase the notes.
Hypothetical Examples
The following table illustrates a range of hypothetical Payments
at Maturity on the notes. The table and the hypothetical examples below reflect the Digital Return of 14.50% and the Trigger Price
of 80.00% of the Initial Price. The actual Initial Price and Trigger Price are set forth on the cover of this pricing supplement.
The table and hypothetical examples set forth below are for illustrative purposes only. The actual return applicable to a purchaser
of the notes will be based on whether or not the Final Price is greater than or equal to the Trigger Price and, if the Final Price
is less than the Trigger Price, the Underlying Return, which will be based on the performance of the Underlying as measured on
the Averaging Dates. The numbers appearing in the table and examples below may have been rounded for ease of analysis and it has
been assumed that no event affecting the Underlying has occurred during the term of the notes that would cause the calculation
agent to adjust the Stock Adjustment Factor. You should consider carefully whether the notes are suitable to your investment goals.
Hypothetical
Underlying Return
(%)
|
Hypothetical
Payment at Maturity
($)
|
Hypothetical
Return on the Notes
(%)
|
100.00%
|
$1,145.00
|
14.50%
|
90.00%
|
$1,145.00
|
14.50%
|
80.00%
|
$1,145.00
|
14.50%
|
70.00%
|
$1,145.00
|
14.50%
|
60.00%
|
$1,145.00
|
14.50%
|
50.00%
|
$1,145.00
|
14.50%
|
40.00%
|
$1,145.00
|
14.50%
|
30.00%
|
$1,145.00
|
14.50%
|
20.00%
|
$1,145.00
|
14.50%
|
10.00%
|
$1,145.00
|
14.50%
|
5.00%
|
$1,145.00
|
14.50%
|
0.00%
|
$1,145.00
|
14.50%
|
-5.00%
|
$1,145.00
|
14.50%
|
-10.00%
|
$1,145.00
|
14.50%
|
-
20
.
00%
|
$1
,
145
.
00
|
14
.
50%
|
-21.00%
|
$790.00
|
-21.00%
|
-30.00%
|
$700.00
|
-30.00%
|
-40.00%
|
$600.00
|
-40.00%
|
-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
at Maturity
The following hypothetical examples illustrate how the payments
on the notes at maturity set forth in the table above are calculated.
Example 1
:
The Final Price is
greater than
the Initial Price
,
resulting
in an Underlying Return of 40
.
00%
.
Because the Final Price is greater than the Trigger Price, even though the Underlying Return is 40.00%, the investor receives a
return on the notes equal to the Digital Return of 14.50% and a Payment at Maturity of $1,145.00 per $1,000 Face Amount of notes,
calculated as follows:
$1,000 + ($1,000 x Digital Return)
$1,000 + ($1,000 x 14.50%) = $1,145.00
Example 2
:
The Final Price is
less than
the Initial Price but is
greater than
the Trigger Price
,
resulting in an Underlying Return of
-
10
.
00%
.
Although the Final Price is less than the Initial Price, because the Final Price is greater than the
Trigger Price, the investor receives a return on the notes
equal to the Digital Return of 14.50% and a Payment at Maturity of $1,145.00 per $1,000 Face Amount of notes, calculated as follows:
$1,000 + ($1,000 x Digital Return)
$1,000 + ($1,000 x 14.50%) = $1,145.00
Example 3
:
The Final Price is
less than
the Trigger Price
,
resulting
in an Underlying Return of
-
50
.
00%
.
Because the Final Price is less than the Trigger Price, the investor receives a Payment at Maturity of $500.00 per $1,000 Face
Amount of notes, calculated as follows:
$1,000 + ($1,000 x Underlying Return)
$1,000 + ($1,000 x -50.00%) = $500.00
Selected Purchase Considerations
|
·
|
POTENTIAL POSITIVE RETURN ON THE NOTES IS FIXED AND LIMITED
— If the Final Price
is
greater than
or
equal to
the Trigger Price, your return on the notes will be limited to the Digital Return of
14.50%, resulting in a maximum Payment at Maturity of $1,145.00 per $1,000 Face Amount of notes, regardless of any increase in
the price of the Underlying, which may be significant.
Any payment on the notes is subject to our ability to satisfy our obligations
as they become due
.
|
|
·
|
LIMITED PROTECTION AGAINST LOSS
— If the Final Price is
less than
the Initial
Price but
greater than
or
equal to
the Trigger Price, you will receive at maturity a positive return on the notes
equal to the Digital Return. However, if the Final Price is
less than
the Trigger Price, for each $1,000 Face Amount of
notes, you will lose 1.00% of the Face Amount for every 1.00% by which the Final Price is less than the Initial Price. In this
circumstance, you will lose a significant portion or all of your investment in the notes.
|
|
·
|
RETURN LINKED TO THE PERFORMANCE OF THE
UNDERLYING
—
The return on the notes, which may be positive, zero or negative, is linked to
the performance of the American depositary shares of JD.com, Inc. as described herein. In this pricing supplement, we refer to
JD.com, Inc. as the “issuer” of the Underlying.
For more information on the Underlying
,
please see
“The Underlying
”
in this pricing supplement
.
|
|
·
|
TAX CONSEQUENCES
— In the opinion of our special tax counsel, Davis Polk & Wardwell
LLP, which is based on prevailing market conditions, it is more likely than not that the notes will be treated for U.S. federal
income tax purposes as prepaid financial
contracts
that are not debt. Generally, if
this treatment is respected, (i) you should not recognize taxable income or loss prior to the maturity or other taxable disposition
of your notes and (ii) the gain or loss on your notes should be capital gain or loss and should be long-term capital gain or loss
if you have held the notes for more than one year. The Internal Revenue Service (the
“
IRS
”
)
or a court might not agree with this treatment, however, in which case the timing and character of income or loss on your notes
could be materially and adversely affected.
|
In 2007, the U.S. Treasury Department and the IRS
released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. The notice focuses in particular on whether
beneficial
owners of these instruments should be required to accrue income over the term of their investment. It also asks for comments on
a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors
such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. persons should be subject to withholding tax; and whether these instruments are or
should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.
Withholding under legislation commonly referred
to as “FATCA” might (if the notes were recharacterized as debt instruments) apply to amounts treated as interest paid
with respect to the notes. Notwithstanding anything to the contrary in the section of the accompanying product supplement entitled
“U.S. Federal Income Tax Consequences,” under a recent IRS notice, withholding under FATCA will not apply to payments
of gross proceeds (other than any amount treated as interest) of a taxable disposition, including redemption at maturity, of the
notes. You should consult your tax adviser regarding the potential application of FATCA to the notes.
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 notes.
Under current law, the United Kingdom will not
impose withholding tax on payments made with respect to the notes.
For a discussion of certain German tax considerations
relating to the notes, 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 notes
(
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 notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the Underlying. In addition to these selected risk considerations, you
should review the “Risk Factors” sections of the accompanying product supplement, prospectus supplement and prospectus.
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·
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any
return of your investment. The return on the notes at maturity is linked to the performance of the Underlying and will depend on
whether, and the extent to which, the Underlying Return is positive, zero or negative. If the Final Price is less than the Trigger
Price, for each $1,000 Face Amount of notes, you will lose 1.00% of the Face Amount for every 1.00% by which the Final Price is
less than the Initial Price. In this circumstance, you will lose a significant portion or all of your investment at maturity.
Any
payment on the notes is subject to our ability to satisfy our obligations as they become due
.
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·
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE DIGITAL RETURN
— If the Final Price
is greater than or equal to the Trigger Price, for each $1,000 Face Amount of notes, you will receive a cash payment at maturity
equal to the Face Amount
plus
the
product of
the Face Amount and the Digital Return of 14.50%, regardless of any
increase in the price of the Underlying, which may be significant. Accordingly, the maximum Payment at Maturity will be $1,145.00
for each $1,000 Face Amount of notes.
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·
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HIGHER DIGITAL RETURN OR A LOWER TRIGGER PRICE MAY REFLECT A GREATER EXPECTED VOLATILITY OF
THE UNDERLYING
,
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 notes are set on the Trade Date, the greater the expectation is
at that time that the Final Price may be less than the Trigger Price (resulting in a loss of a significant portion or all of your
investment). In addition, the economic terms of the notes, including the Trigger Price and the Digital Return, are based, in part,
on the expected volatility of the Underlying at the time the terms of the notes are set on the Trade Date, where higher expected
volatility will generally lead to a higher Digital Return or a lower Trigger Price. Accordingly, a higher Digital Return as compared
with the expected return on our conventional fixed income notes with a similar maturity or the expected return on our other similarly
structured notes will generally indicate a greater risk of loss, while a lower Trigger Price as compared with otherwise comparable
securities does not necessarily indicate that the notes have a greater likelihood of returning your investment at maturity. You
should be willing to accept the downside market risk of the Underlying and the potential loss of a significant portion or all of
your investment at maturity.
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·
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THE NOTES DO NOT PAY ANY COUPONS
— Unlike ordinary debt securities, the notes do
not pay any coupons and do not guarantee any return of your investment at maturity.
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·
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THE NOTES ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK AG
— The notes 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 notes 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 notes. As a result, the actual and perceived
creditworthiness of Deutsche Bank AG will affect the value of the notes 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 notes and you could lose your entire investment.
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·
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THE NOTES 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 notes 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 notes; converting the notes 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 notes to another entity, amending, modifying or varying the terms and conditions of the notes or cancelling the notes. The
competent resolution authority may apply Resolution Measures individually or in any combination.
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The German
law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
, or the
“
Resolution
Mechanism Act
”
) provides that, in a German insolvency
proceeding of the Issuer, certain specifically defined senior unsecured debt instruments would rank junior to, without constituting
subordinated debt, all other outstanding unsecured unsubordinated obligations of the Issuer and be satisfied only if all such other
senior unsecured obligations of the Issuer have been paid in full. This prioritization would also be given effect if Resolution
Measures are imposed on the Issuer, so that obligations under debt instruments that rank junior in insolvency as described above
would be written down or converted into common equity tier 1 instruments before any other senior unsecured obligations of the Issuer
are written down or converted. A large portion of our liabilities consist of senior unsecured obligations that either fall outside
the statutory definition of debt instruments that rank junior to other senior unsecured obligations according to the Resolution
Mechanism Act or are expressly exempted from such definition.
Among those
unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt instruments
whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event
which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than
by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence
of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of
interest or the amount of the interest payments solely depends on a fixed or floating reference interest rate and is settled by
monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency proceedings
instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of the Issuer
outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect
to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued under the
prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the
“
Structured
Debt Securities
,”
and which do not, referred to herein
as the
“
Non
-
Structured
Debt Securities
.”
We expect the notes offered herein to
be classified as Structured Debt Securities, but the competent regulatory authority or court may classify the notes 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 notes 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 notes, 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 notes 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 notes, under the Indenture or for the purposes of, but only
to the fullest extent permitted by, the Trust Indenture Act. Furthermore, because the notes are subject to any Resolution Measure,
secondary
market trading
in the notes 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 notes, 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 notes.
Accordingly
,
you may have limited or circumscribed rights to challenge any decision of the competent resolution authority to impose any Resolution
Measure
.
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·
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THE ISSUER
’
S ESTIMATED
VALUE OF THE NOTES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE NOTES
— The Issuer’s estimated value
of the notes on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the notes.
The difference between the Issue Price and the Issuer’s estimated value of the notes 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 notes 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 notes 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 notes, reduces the economic terms of the notes to you and is expected to adversely affect the price at which
you may be able to sell the notes in any secondary market. In addition, our internal pricing models are proprietary and rely in
part on certain assumptions about future events, which may prove to be incorrect. If at any time a third party dealer were to quote
a price to purchase your notes or otherwise value your notes, that price or value may differ materially from the estimated value
of the notes 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 notes in the secondary market.
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INVESTING IN THE NOTES IS NOT THE SAME AS INVESTING IN THE UNDERLYING
— The return
on the notes may not reflect the return you would have realized if you had directly invested in the Underlying. For instance, your
return on the notes will be limited to the Digital Return regardless of any increase in the price of the Underlying, which could
be significant.
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·
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IF THE PRICE OF THE UNDERLYING CHANGES
,
THE VALUE OF YOUR NOTES MAY NOT CHANGE IN THE SAME MANNER
— Your notes may trade quite differently from the price of
the Underlying. Changes in the price of the Underlying may not result in comparable changes in the value of your notes.
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·
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the notes, you will not have
any voting rights or rights to receive cash dividends or other distributions or other rights that holders of the Underlying would
have.
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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
— The calculation agent will make adjustments to the Stock Adjustment Factor, which will initially be set
at 1.0, for certain events affecting the Underlying. The calculation agent is not required, however, to make such adjustments in
response to all corporate actions, including if the issuer of the Underlying or another party makes a partial tender or partial
exchange offer for the Underlying. If such an event occurs that does not require the calculation agent to make an adjustment, the
value of the notes may be materially and adversely affected. In addition, you should be aware that the calculation agent may, at
its sole discretion, make adjustments to the Stock Adjustment Factor or any other terms of the notes that are in addition to, or
that differ from, those described in the accompanying product supplement to reflect changes occurring in relation to the Underlying
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 the Underlying
or any other security received in a reorganization event described in the accompanying product supplement may be materially adverse
to investors in the notes. You should read “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 notes.
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SINGLE STOCK RISK
— The price of the Underlying can rise or fall sharply due to factors
specific to the Underlying and its issuer, such as stock price volatility, earnings, financial conditions, corporate, industry
and
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regulatory developments, management changes and
decisions and other events, as well as general market factors, such as general stock market volatility and levels, interest rates
and economic and political conditions. For additional information about the Underlying and its issuer, please see “The Underlying”
in this pricing supplement and such issuer’s SEC filings referred to in that section.
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THERE IS NO AFFILIATION BETWEEN THE ISSUER OF THE UNDERLYING AND US AND WE HAVE NOT PARTICIPATED
IN THE PREPARATION OF
,
OR VERIFIED
,
ANY INFORMATION ABOUT THE UNDERLYING OR THE ISSUER OF THE UNDERLYING
— We are not affiliated with the issuer of the Underlying.
However, we or our affiliates may currently, or from time to time in the future, engage in business with the issuer of the Underlying,
including extending loans to, making equity investments in, acting as underwriter in connection with future offerings of the Underlying
by, or providing advisory services (including merger and acquisition advisory services) to, such issuer. In the course of this
business, we or our affiliates may acquire non-public information about the issuer of the Underlying and we will not disclose any
such information to you. Nevertheless, neither we nor any of our affiliates have participated in the preparation of, or verified,
any information about the Underlying or the issuer of the Underlying. You, as an investor in the notes, should make your own investigation
into the Underlying and the issuer of the Underlying. The issuer of the Underlying is not involved in this offering in any way
and has no obligation of any sort with respect to your notes. The issuer of the Underlying has no 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, which may adversely affect the value of your notes.
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THE VALUE OF THE NOTES MAY BE SUBJECT TO EMERGING MARKETS RISK
— The value of the
notes is subject to the political and economic risks of an emerging market country. In recent years, some emerging markets have
undergone significant political, economic and social upheaval. Such far-reaching changes have resulted in constitutional and social
tensions and, in some cases, instability and reaction against market reforms has occurred. With respect to any emerging market
nation, there is the possibility of nationalization, expropriation or confiscation, political changes, government regulation and
social instability. Future political changes may adversely affect the economic conditions of an emerging market nation. Political
or economic instability could affect the value of the notes and the amount payable to you at maturity.
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·
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THERE ARE RISKS ASSOCIATED WITH INVESTMENTS IN NOTES LINKED TO THE VALUE OF EQUITY SECURITIES
ISSUED BY A NON
-
U
.
S
.
COMPANY
— The issuer of the Underlying is incorporated in the Cayman Islands and its business operations are located
mainly in the People’s Republic of China. There are risks associated with investments in notes linked to the value of equity
securities issued by a non-U.S. company. There is generally less publicly available information about non-U.S. companies than about
those U.S. companies that are subject to the reporting requirements of the Securities and Exchange Commission, and non-U.S. companies
are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S.
reporting companies. In addition, the price of equity securities issued by a non-U.S. company may be adversely affected by political,
economic, financial and social factors that may be unique to the particular country in which the non-U.S. company is incorporated
and/or primarily conducts its business. These factors include the possibility of recent or future changes in the non-U.S. government’s
economic and fiscal policies (including any direct or indirect intervention to stabilize the economy and/or securities market of
the country of such non-U.S. government), the presence, and extent, of cross shareholdings in non-U.S. companies, the possible
imposition of, or changes in, currency exchange laws or other non-U.S. laws or restrictions applicable to non-U.S. companies or
investments in non-U.S. securities and the possibility of fluctuations in the rate of exchange between currencies. Moreover, certain
aspects of a particular non-U.S. economy may differ favorably or unfavorably from the U.S. economy in important respects, such
as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
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·
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FLUCTUATIONS IN EXCHANGE RATES MAY AFFECT YOUR INVESTMENT
— The Underlying is the
American depositary shares of JD.com, Inc. There are significant risks related to an investment linked to American depositary shares
(
“
ADSs
”
)
(as evidenced by American depositary receipts), which are quoted and traded in U.S. dollars, representing an equity security issued
by a company with a significant portion of its revenue and financial assets denominated in a foreign currency. In recent years,
the rates of exchange between the U.S. dollar and some other currencies have been highly volatile, and this volatility may continue
in the future. These risks generally depend on economic and political events over which we have no control. Fluctuations in any
particular exchange rate that have occurred in the past are not necessarily indicative, however, of fluctuations that may occur
during the term of the notes. Changes in the exchange rate between the U.S. dollar and the foreign currency in which a significant
portion of JD.com, Inc.’s revenue and financial assets are denominated may affect the market price of the ADSs to which the
notes are linked, which may consequently affect the value of the notes.
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·
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THERE ARE IMPORTANT DIFFERENCES BETWEEN THE RIGHTS OF HOLDERS OF ADSs AND THE RIGHTS OF HOLDERS
OF THE ORDINARY SHARES OF A FOREIGN COMPANY
— You should be aware that the Underlying is the ADSs of JD.com, Inc. and
not the equity securities represented by such ADSs, and there exist important differences between the rights of holders of ADSs
and the rights of holders of the corresponding equity securities. Each ADS is a security evidenced by American depositary receipts
that represents a certain number of equity securities of a foreign company. Generally, ADSs are issued under a deposit agreement
which sets forth the rights and responsibilities of the depositary, the foreign issuer and holders of the ADSs, which may be different
from the rights of holders of equity securities of the foreign issuer. For example, the foreign issuer may make distributions in
respect of its equity securities that are not passed on to the holders of its ADSs. Any such differences between the rights of
holders of ADSs and holders of the corresponding equity securities may be significant and may materially and adversely affect the
price of the ADSs, and thus, the value of the notes.
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·
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PAST PERFORMANCE OF THE UNDERLYING IS NO GUIDE TO FUTURE PERFORMANCE
— The actual
performance of the Underlying over the term of the notes may bear little relation to the historical closing prices of the Underlying
and/or the hypothetical examples set forth elsewhere in this pricing supplement. We cannot predict the future performance of the
Underlying or whether the performance of the Underlying will result in the return of any of your investment. The American depositary
shares of JD.com, Inc. commenced trading on May 21, 2014 and, therefore, 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 NOTES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY BE LOWER THAN BOTH THE ISSUE PRICE AND
THE ISSUER
’
S ESTIMATED VALUE OF THE NOTES ON THE TRADE
DATE
— While the payment(s) on the notes described in this pricing supplement is based on the full Face Amount of notes,
the Issuer’s estimated value of the notes on the Trade Date (as disclosed on the cover of this pricing supplement) is less
than the Issue Price of the notes. The Issuer’s estimated value of the notes on the Trade Date does not represent the price
at which we or any of our affiliates would be willing to purchase your notes 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 notes 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 notes on the Trade Date. Our purchase price, if any, in secondary market transactions
would be based on the estimated value of the notes 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 notes and then-prevailing market
conditions. The price we report to financial reporting services and to distributors of our notes 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 notes 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 notes 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 notes, 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 notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your notes to maturity.
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THE NOTES WILL NOT BE LISTED AND THERE WILL LIKELY BE LIMITED LIQUIDITY
— The notes
will not be listed on any securities exchange. There may be little or no secondary market for the notes. We or our affiliates intend
to act as market makers for the notes 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 notes when you wish to do so or at
a price advantageous to you. Because we do not expect other dealers to make a secondary market for the notes, the price at which
you may be able to sell your notes is likely to depend on the price, if any, at which we or our affiliates are willing to buy the
notes. 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 notes. If you have to sell your notes prior to maturity, you may not be able to do so or you may have to sell them
at a substantial loss, even in cases where the price of the Underlying has increased since the Trade Date.
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·
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MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE NOTES
— While we expect
that, generally, the price of the Underlying will affect the value of the notes more than any other single factor, the
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value of the notes prior to maturity will also
be affected by a number of other factors that may either offset or magnify each other, including:
|
o
|
the expected volatility of the Underlying;
|
|
o
|
the time remaining to the maturity of the notes;
|
|
o
|
the dividend rate of the Underlying;
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|
o
|
the real and anticipated results of operations of the issuer of the Underlying;
|
|
o
|
actual or anticipated corporate reorganization events, such as mergers or takeovers, which may
affect the Underlying;
|
|
o
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interest rates and yields in the markets generally;
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|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that
affect the Underlying or the markets generally;
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|
o
|
supply and demand for the notes; 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 notes, it is possible that
their value may decline significantly due to the factors described above even if the price of the Underlying remains unchanged
from the Initial Price, and any sale prior to the Maturity Date could result in a substantial loss to you. You must hold the notes
to maturity to receive the stated payout from the Issuer.
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·
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TRADING AND OTHER TRANSACTIONS BY US
,
JPMORGAN CHASE & CO
.
OR OUR OR ITS AFFILIATES IN THE EQUITY
AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE NOTES
— We or our affiliates expect to hedge our exposure from
the notes by entering into equity and equity derivative transactions, such as over-the-counter options, futures or exchange-traded
instruments. We, JPMorgan Chase & Co. or our or its affiliates may also engage in trading in instruments linked or related
to the Underlying on a regular basis as part of our or their general broker-dealer and other businesses, for proprietary accounts,
for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and
hedging activities may adversely affect the price of the Underlying and, therefore, make it less likely that you will receive a
positive return on your investment in the notes. It is possible that we, JPMorgan Chase & Co. or our or its affiliates could
receive substantial returns from these hedging and trading activities while the value of the notes declines. We, JPMorgan Chase
& Co. or our or its affiliates may also issue or underwrite other securities or financial or derivative instruments with returns
linked or related to the Underlying. To the extent that we, JPMorgan Chase & Co. or our or its affiliates serve as issuer,
agent or underwriter for such securities or financial or derivative instruments, our, JPMorgan Chase & Co.’s or our or
its affiliates’ interests with respect to such products may be adverse to those of the holders of the notes. Introducing
competing products into the marketplace in this manner could adversely affect the price of the Underlying and the value of the
notes. 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 notes.
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·
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WE
,
JPMORGAN CHASE & CO
.
OR OUR OR ITS AFFILIATES MAY PUBLISH RESEARCH
,
EXPRESS OPINIONS
OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE NOTES
.
ANY SUCH RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT
THE PRICE OF THE UNDERLYING AND THE VALUE OF THE NOTES
— We, JPMorgan Chase & Co. or our or its affiliates may publish
research from time to time on financial markets and other matters that could adversely affect the price of the Underlying and the
value of the notes, or express opinions or provide recommendations that are inconsistent with purchasing or holding the notes.
Any research, opinions or recommendations expressed by us, JPMorgan Chase & Co. or our or its affiliates may not be consistent
with each other and may be modified from time to time without notice. You should make your own independent investigation of the
merits of investing in the notes and the Underlying.
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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 notes, including acting as calculation agent, hedging our obligations under the notes and determining
the Issuer’s estimated value of the notes on the Trade Date and the price, if any, at which we or our affiliates would be
willing to purchase the notes 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
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in the notes. The calculation agent will determine,
among other things, all values, prices and levels required to be determined for the purposes of the notes on any relevant date
or time. The calculation agent also has some discretion about certain adjustments to the Stock Adjustment Factor and will be responsible
for determining whether a market disruption event has occurred. Any determination by the calculation agent could adversely affect
the return on the notes.
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·
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THE U
.
S
.
FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES ARE UNCERTAIN
— There is no direct legal authority regarding
the proper U.S. federal income tax treatment of the notes, and we do not plan to request a ruling from the IRS. Consequently, significant
aspects of the tax treatment of the notes are uncertain, and the IRS or a court might not agree with the treatment of the notes
as prepaid financial contracts that are not debt. If the IRS were successful in asserting an alternative treatment for the notes,
the tax consequences of ownership and disposition of the notes could be materially and adversely affected. In addition, as described
above under “Tax Consequences,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, 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 notes (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.
|
Use of Proceeds and Hedging
Part of the net proceeds we receive from the sale of the
notes will be used in connection with hedging our obligations under the notes through one or more of our affiliates. The hedging
or trading activities of our affiliates on or prior to the Trade Date or an Averaging Date could adversely affect the price of
the Underlying and, as a result, could decrease the amount you may receive on the notes at maturity.
The Underlying
All disclosures contained in this pricing supplement regarding
the Underlying 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 Underlying contained in this pricing supplement. You should make
your own investigation into the Underlying.
Included
in the following section is a brief description of the issuer of the Underlying. We obtained the historical closing price information
set forth below from Bloomberg L.P. and we have not participated in the preparation of, or verified, such information. You should
not take the historical closing prices of the Underlying as an indication of future performance. The 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 the 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 issuer of the Underlying 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.
JD
.
com
,
Inc
.
According to publicly
available information, JD.com, Inc. is an e-commerce company and retailer in China. Information filed by JD.com, Inc. with the
SEC under the Exchange Act can be located by reference to its SEC file number: 001–36450, or its CIK code: 0001549802.
The American depositary shares of JD.com, Inc. are traded on the NASDAQ Stock Market under the ticker symbol “JD.”
Two Class A ordinary shares, par value $0.00002 per share, of JD.com, Inc. are represented by one ADS.
Historical Information
The following graph sets forth the historical performance
of the American depositary shares of JD.com, Inc. based on their daily closing prices from May 21, 2014 through November 10, 2017.
The closing price of the Underlying on November 10, 2017 was $39.96. The graph below also indicates by a broken line the Trigger
Price equal to 80.00% of the closing price of the Underlying on November 10, 2017. The American depositary shares of JD.com, Inc.
commenced trading on May 21, 2014 and, therefore, have a limited performance history. We obtained the historical closing prices
of the Underlying below from Bloomberg L.P. and we have not participated in the preparation of, or verified, such information.
The historical closing prices of the Underlying should
not be taken as an indication of future performance and no assurance can be given as to the Closing Price of the Underlying on
any of the Averaging Dates
.
We cannot give you assurance that the
performance of the Underlying will result in the return of any of your investment
.
Supplemental
Plan of Distribution
JPMorgan Chase Bank,
N.A. and JPMS LLC or one of its affiliates, acting as placement agents for the notes, will receive a fee from the Issuer of $10.00
per $1,000 Face Amount of notes. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
Settlement
We expect to deliver
the notes against payment for the notes on the Settlement Date indicated above, which is expected to be a day that is greater than
two business days following the Trade Date. Under Rule 15c6–1 of the Securities Exchange Act of 1934, as amended, trades
in the secondary market generally will be required to settle in two business days, unless the parties to a trade expressly agree
otherwise. Accordingly, if the Settlement Date is more than two business days after the Trade Date, purchasers who wish to transact
in the notes more than two business days prior to the Settlement Date will be required to specify alternative settlement arrangements
to prevent a failed settlement.
Validity
of the Notes
In the opinion of Davis
Polk & Wardwell LLP, as special United States products counsel to the Issuer, when the notes offered by this pricing supplement
have been executed and issued by the Issuer and authenticated by the authenticating agent, acting on behalf of the trustee pursuant
to the Indenture, and delivered against payment as contemplated herein, such notes will be valid and binding obligations of the
Issuer, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation,
concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions giving effect to governmental
actions or foreign laws affecting creditors’ rights, provided that such counsel expresses no opinion as to the effect of
fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion
is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves matters governed
by German law, Davis Polk & Wardwell LLP has relied, without independent investigation, on the opinion of Group Legal Services
of Deutsche Bank AG, dated as of January 1, 2016, filed as an exhibit to the opinion of Davis Polk & Wardwell LLP, and this
opinion is subject to the same assumptions, qualifications and limitations with respect to such matters as are contained in such
opinion of Group Legal Services of Deutsche Bank AG. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Indenture and the authentication of the notes by the authenticating agent and the
validity, binding nature and enforceability of the
Indenture with respect
to the trustee, all as stated in the opinion of Davis Polk & Wardwell LLP dated as of January 1, 2016, which has been filed
by the Issuer on Form 6-K dated January 4, 2016.
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