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
.
2865B
Registration
Statement No
.
333
–
206013
Rule
424
(
b
)(
2)
|
Structured
Investments
|
Deutsche
Bank AG
$2,370,000 Phoenix Autocallable Securities Linked to the Common Stock of Bank of America Corporation due August 1
,
2018
|
General
|
·
|
The
Phoenix Autocallable Securities (the “
securities
”) are linked to the performance of the common stock of Bank
of America Corporation (the “
Underlying
”). Investors will receive a quarterly Contingent Coupon of $25.00 per
$1,000 Face Amount of securities
plus
any previously unpaid Contingent Coupon on a Coupon Payment Date
only if
the
Stock Price of the Underlying on the applicable Observation Date is greater than or equal to the Coupon Barrier, which is equal
to 75.49% of the Initial Price. The Stock Price refers to (i) the Closing Price of the Underlying in the case of any Observation
Date other than the final Observation Date and (ii) the Final Price (calculated in reference to the Averaging Dates as set forth
below) in the case of the final Observation Date. Investors may not receive any Contingent Coupon on some or all of the Coupon
Payment Dates and, therefore, the securities should
not
be viewed as conventional debt securities with periodic coupon
payments.
|
|
·
|
The
securities will be automatically called if the Stock Price of the Underlying on any Observation Date is greater than or equal
to the Initial Price. If the securities are automatically called, investors will receive a cash payment per $1,000 Face Amount
of securities on the applicable Call Settlement Date equal to the Face Amount
plus
the Contingent Coupon otherwise due
on such date
and
any previously unpaid Contingent Coupon. 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 is greater than or equal to the Trigger Price (75.49% of the 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
and
any previously unpaid Contingent Coupon. However, if the securities are not automatically called and
the Final Price is less than the 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 is less than the Initial Price. 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 is less than the Trigger
Price. Any payment on the securities is subject to the credit of the Issuer.
|
|
·
|
Senior
unsecured obligations of Deutsche Bank AG due August 1, 2018
|
|
·
|
Minimum
purchase of $10,000. Minimum denominations of $1,000 (the “
Face Amount
”) and integral multiples thereof.
|
|
·
|
The
securities priced on July 14, 2017 (the “
Trade Date
”) and are expected to settle on July 19, 2017 (the “
Settlement
Date
”).
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Issue Price:
|
100% of the Face Amount
|
Underlying:
|
Common stock of Bank of America Corporation (Ticker: BAC)
|
Contingent Coupon Feature:
|
·
If
the Stock Price of the Underlying on any Observation Date is
greater than
or
equal to
the Coupon Barrier,
Deutsche Bank AG will pay you the Contingent Coupon per $1,000 Face Amount of securities applicable to such Observation
Date
plus
any previously unpaid Contingent Coupon on the related Coupon Payment Date.
·
If
the Stock Price of the Underlying on any Observation Date is
less than
the 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 a Contingent Coupon is not paid on the related Coupon Payment Date because
the Stock Price of the Underlying on the applicable Observation Date is less than the Coupon Barrier, such unpaid Contingent Coupon
will be paid on a later Coupon Payment Date if the Stock Price of the Underlying on a later Observation Date is greater than or
equal to the Coupon Barrier.
If the Stock Price of the Underlying on each Observation Date is less than the Coupon Barrier
,
you will not receive any Contingent Coupon for the entire term of the securities
.
If the securities are automatically called prior to
the last Averaging Date, the Contingent Coupon for the relevant Observation Date
plus
any previously unpaid Contingent
Coupon will be paid on the related Call Settlement Date and no further amounts will be owed to you under the securities.
|
(
Key Terms continued
on next page
)
Investing in the securities involves a number of risks
.
See
“
Risk Factors
”
beginning on page 7 of the accompanying product supplement
,
page PS
-
5
of the
accompanying
prospectus supplement and page 13 of the accompanying prospectus and
“
Selected
Risk Considerations
”
beginning on page 9 of this pricing
supplement
.
The Issuer
’
s
estimated value of the securities on the Trade Date is $985.50 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 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 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
|
Fees
(1)
|
Proceeds
to Issuer
|
Per
Security
|
$1,000.00
|
$10.00
|
$990.00
|
Total
|
$2,370,000.00
|
$23,700.00
|
$2,346,300.00
|
|
(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 securities. The placement agents
will receive a fee from the Issuer of $10.00 per $1,000 Face Amount of securities. Please see “Supplemental Plan of Distribution”
in this pricing supplement for more information about fees.
|
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
.
JPMorgan
Placement Agent
July 14, 2017
(
Key Terms continued
from previous page
)
Coupon Barrier:
|
$18.28, equal to 75.49% of the Initial Price
|
Observation Dates
1
:
|
As set forth in the table under “Contingent Coupon” below
|
Coupon Payment Dates
1
:
|
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)
|
|
October 26, 2017
|
October 31, 2017
|
$25.00
|
|
January 25, 2018
|
January 30, 2018
|
$25.00
|
|
April 26, 2018
|
May 1, 2018
|
$25.00
|
|
July 27, 2018 (
last Averaging Date
)
|
August 1, 2018 (
Maturity Date
)
|
$25.00
|
|
|
|
|
Automatic Call:
|
The securities will be automatically called if the Stock Price of the Underlying on any Observation Date is greater than or equal to the Initial Price. If the securities are automatically called, you will receive a cash payment per $1,000 Face Amount of securities on the related Call Settlement Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date
and
any previously unpaid Contingent Coupon. The securities will cease to be outstanding following an Automatic Call and no Contingent Coupon will accrue or be payable following the related Call Settlement Date.
|
Call Settlement Date
1, 2
:
|
As set forth in the table under “Contingent Coupon” above. For the final Observation Date, the related Call Settlement Date will be the Maturity Date.
|
Payment at Maturity:
|
If the securities are not automatically called, the payment you will receive at maturity will depend on the performance of the Underlying on the Averaging Dates.
|
|
|
|
•
If
the Final Price is
greater than
or
equal to
the Trigger Price,
you will receive a cash payment per $1,000
Face Amount of securities on the Maturity Date equal to the Face Amount
plus
the Contingent Coupon otherwise due
on such date
and
any previously unpaid Contingent Coupon.
•
If
the Final Price is
less than
the Trigger Price,
you will receive a cash payment per $1,000 Face Amount of securities
calculated as follows:
$1,000 +
($1,000 x Underlying Return)
If the securities are not automatically called and the Final
Price is less than the Trigger Price
,
the Underlying Return will be negative 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 is less than the
Initial Price
.
In this circumstance
,
you will lose a significant portion or all of your initial investment
.
Any
payment at maturity is subject to the credit of the Issuer
.
|
Underlying Return:
|
The Underlying Return will be calculated as follows:
|
|
|
|
Final Price – Initial Price
|
|
Initial Price
|
|
|
|
The Underlying Return may be positive
,
zero or negative
.
|
Trigger Price:
|
$18.28, equal to 75.49% of the Initial Price
|
Initial Price:
|
$24.21, 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
|
Stock Price:
|
For any Observation Date other than the final Observation Date,
the Closing Price of the Underlying on such Observation Date.
For the final Observation Date, the Final Price.
|
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:
|
July 14, 2017
|
Settlement Date:
|
July 19, 2017
|
Averaging Dates
1
:
|
July 23, 2018, July 24, 2018, July 25, 2018, July 26, 2018 and July 27, 2018
|
Maturity Date
1
:
|
August 1, 2018
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MCK5 / US25155MCK53
|
|
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 accordingly as described under “Description of Securities — Adjustments to Valuation Dates and Payment
Dates” in the accompanying product supplement.
|
Issuer
’
s
Estimated Value of the Securities
The Issuer’s estimated value of the securities is equal
to the sum of our valuations of the following two components of the securities: (i) a bond and (ii) an embedded derivative(s).
The value of the bond component of the securities is calculated based on the present value of the stream of cash payments associated
with a conventional bond with a principal amount equal to the Face Amount of securities, discounted at an internal funding rate,
which is determined primarily based on our market-based yield curve, adjusted to account for our funding needs and objectives for
the period matching the term of the securities. The internal funding rate is typically lower than the rate we would pay when we
issue conventional debt securities on equivalent terms. This difference in funding rate, as well as the agent’s commissions,
if any, and the estimated cost of hedging our obligations under the securities, reduces the economic terms of the securities to
you and is expected to adversely affect the price at which you may be able to sell the securities in any secondary market. The
value of the embedded derivative(s) is calculated based on our internal pricing models using relevant parameter inputs such as
expected interest and dividend rates and mid-market levels of price and volatility of the assets underlying the securities or any
futures, options or swaps related to such underlying assets. Our internal pricing models are proprietary and rely in part on certain
assumptions about future events, which may prove to be incorrect.
The Issuer’s estimated value of the securities on the Trade
Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the securities. The difference between
the Issue Price and the Issuer’s estimated value of the securities on the Trade Date is due to the inclusion in the Issue
Price of the agent’s commissions, if any, and the cost of hedging our obligations under the securities through one or more
of our affiliates. Such hedging cost includes our or our affiliates’ expected cost of providing such hedge, as well as the
profit we or our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.
The Issuer’s estimated value of the securities on the Trade
Date does not represent the price at which we or any of our affiliates would be willing to purchase your securities in the secondary
market at any time. Assuming no changes in market conditions or our creditworthiness and other relevant factors, the price, if
any, at which we or our affiliates would be willing to purchase the securities from you in secondary market transactions, if at
all, would generally be lower than both the Issue Price and the Issuer’s estimated value of the securities on the Trade Date.
Our purchase price, if any, in secondary market transactions will be based on the estimated value of the securities determined
by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure of our cost
of funds and (ii) our pricing models at that time, less a bid spread determined after taking into account the size of the repurchase,
the nature of the assets underlying the securities and then-prevailing market conditions. The price we report to financial reporting
services and to distributors of our securities for use on customer account statements would generally be determined on the same
basis. However, during the period of approximately 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:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
·
|
Prospectus supplement dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
|
·
|
Prospectus dated April 27, 2016:
|
https://www.sec.gov/Archives/edgar/data/1159508/000119312516559607/d181910d424b21.pdf
Our Central Index Key, or CIK, on the SEC website is 0001159508.
As used in this pricing supplement, “
we
,” “
us
” or “
our
” refers to Deutsche
Bank AG, including, as the context requires, acting through one of its branches. This pricing supplement, together with the documents
listed above, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as
any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation,
sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters
set forth in this pricing supplement and in “Risk Factors” in the accompanying product supplement, prospectus supplement
and prospectus, as the securities involve risks not associated with conventional debt securities. We urge you to consult your investment,
legal, tax, accounting and other advisers before deciding to invest in the securities.
You may revoke your offer to purchase the securities at any
time prior to the time at which we accept such offer by notifying the applicable agent. We reserve the right to change the terms
of, or reject any offer to purchase, the securities prior to their issuance. We will notify you in the event of any changes to
the terms of the securities and you will be asked to accept such changes in connection with your purchase of any securities. You
may choose to reject such changes, in which case we may reject your offer to purchase the securities.
Hypothetical Examples
The tables and hypothetical examples set forth below
are for illustrative purposes only. The actual returns applicable to a purchaser of the securities will be determined on the Observation
Dates or on the Averaging Dates, as applicable. The following results are based solely on the hypothetical examples cited below.
You should consider carefully whether the securities are suitable to your investment goals.
If the securities are called:
The following table illustrates the hypothetical payments
on the securities (excluding any Contingent Coupons) upon an Automatic Call on each Observation Date.
Observation Date
|
Call Settlement Date
|
Payment upon an Automatic Call
(
per $1
,
000 Face
Amount of Securities
)
|
October 26, 2017
|
October 31, 2017
|
$1,000.00
|
January 25, 2018
|
January 30, 2018
|
$1,000.00
|
April 26, 2018
|
May 1, 2018
|
$1,000.00
|
July 27, 2018 (
last Averaging Date
)
|
August 1, 2018 (
Maturity Date
)
|
$1,000.00
|
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 related Call Settlement Date equal to the
Face Amount
plus
the Contingent Coupon otherwise due on such date
and
any previously unpaid Contingent Coupon. The
securities will cease to be outstanding following an Automatic Call and no Contingent Coupon will accrue or be payable following
the related Call Settlement Date.
If the securities are not called:
The table below illustrates the hypothetical Payments
at Maturity (excluding any Contingent Coupons) per $1,000 Face Amount of securities for a hypothetical range of performances of
the Underlying if the securities are not automatically called
. The hypothetical Payments
at Maturity set forth below reflect the Coupon Barrier and Trigger Price of 75.49% of the Initial Price for the Underlying. The
actual Initial Price, Coupon Barrier and Trigger Price for the Underlying are set forth on the cover of this pricing supplement.
The following results are based
solely
on the hypothetical examples cited. You should consider carefully whether
the securities are suitable to your investment goals. The numbers appearing in the table and examples below may have been rounded
for ease of analysis and it has been assumed that no event affecting the Underlying has occurred during the term of the securities
that would cause the calculation agent to adjust the Stock Adjustment Factor.
Hypothetical
Underlying Return
(%)
|
Hypothetical
Payment at Maturity
(excluding any Contingent Coupon) ($)
|
Hypothetical
Return on the Securities at Maturity
(excluding any Contingent Coupon) (%)
|
100.00%
|
N/A
|
N/A
|
90.00%
|
N/A
|
N/A
|
80.00%
|
N/A
|
N/A
|
70.00%
|
N/A
|
N/A
|
60.00%
|
N/A
|
N/A
|
50.00%
|
N/A
|
N/A
|
40.00%
|
N/A
|
N/A
|
30.00%
|
N/A
|
N/A
|
20.00%
|
N/A
|
N/A
|
10.00%
|
N/A
|
N/A
|
0.00%
|
N/A
|
N/A
|
-10.00%
|
$1,000.00
|
0.00%
|
-20.00%
|
$1,000.00
|
0.00%
|
-24.51%
|
$1,000.00
|
0.00%
|
-25.00%
|
$750.00
|
-25.00%
|
-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
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-100.00%
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N/A: Not applicable because the securities will be
automatically called if the Final Price is greater than or equal to the Initial Price.
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 Coupon
plus
any previously unpaid Contingent Coupon will be determined. The examples below reflect the Contingent Coupon of $25.00
that may be payable on one or more of the Coupon Payment Dates.
Example 1: The Closing Price of the Underlying
is greater than the Initial Price on the first Observation Date.
Because the Closing Price of the Underlying on the first Observation
Date is greater than the Initial Price, the securities are automatically called on the first Observation Date and the investor
will receive on the related Call Settlement Date a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any
Contingent Coupon).
Because the Closing Price of the Underlying on the
first Observation Date is greater than the Coupon Barrier (75.49% of the Initial Price), the investor will receive the Contingent
Coupon on the Call Settlement Date. As a result, the investor will receive a total of $1,025.00 per $1,000 Face Amount of securities
over the approximately three months the securities were outstanding before they were automatically called.
Example 2: The Closing Prices of the Underlying
are 90.00%, 50.00% and 140.00% of the Initial Price on the first, second and third Observation Dates.
Because the Closing Price
of the Underlying on the third Observation Date is greater than the Initial Price, the securities are automatically called on the
third Observation Date and the investor will receive on the related Call Settlement Date a cash payment of $1,000.00 per $1,000
Face Amount of securities (excluding any Contingent Coupon).
Because the Closing Price of the Underlying is greater
than the Coupon Barrier on the first Observation Date but less than the Coupon Barrier on the second Observation Date, the investor
will receive the Contingent Coupon on the first Coupon Payment Date but not on the second Coupon Payment Date. However, because
the Closing Price of the Underlying on the third Observation Date is greater than the Coupon Barrier, the investor will receive
on the third Coupon Payment Date (which is also the Call Settlement Date) the Contingent Coupon applicable to the third Observation
Date
plus
the previously unpaid Contingent Coupon related to the second Observation Date. As a result, the investor will
receive a total of $1,075.00 per $1,000 Face Amount of securities over the approximately nine months the securities were outstanding
before they were automatically called.
Example 3: The Closing Prices of the Underlying
are 80.00%, 40.00% and 50.00% of the Initial Price on the first, second and third Observation Dates and the Final Price is 110.00%
of the Initial Price on the final Observation Date.
Because the Final Price on the final Observation Date is greater than the
Initial Price, the securities are automatically called on the final Observation Date and the investor will receive on the Maturity
Date a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon).
Because the Closing Price of the Underlying on the
first Observation Date is greater than the Coupon Barrier but less than the Coupon Barrier on the second and third Observation
Dates, the investor will receive the Contingent Coupon on the first Coupon Payment Date but not on the second and third Coupon
Payment Dates. However, because the Final Price on the final Observation Date is greater than the Coupon Barrier, the investor
will receive on the Maturity Date the Contingent Coupon applicable to the final Observation Date
plus
the previously unpaid
Contingent Coupons related to the second and third Observation Dates. As a result, the investor will receive a total of $1,100.00
per $1,000 Face Amount of securities.
Example 4: The Closing Prices of the Underlying
are 55.00%, 40.00% and 50.00% of the Initial Price on the first, second and third Observation Dates and the Final Price is 90.00%
of the Initial Price on the final Observation Date.
Because the Closing Prices of the Underlying on the first, second and third
Observation Dates and the Final Price on the final Observation Date are less than the Initial Price, the securities are not automatically
called. Because the Final Price is greater than the Trigger Price (75.49% of the Initial Price), the investor will receive on the
Maturity Date a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon).
Because the Closing Prices of the Underlying on the
first, second and third Observation Dates are less than the Coupon Barrier, the investor will not receive any Contingent Coupon
on the first, second and third Coupon Payment Dates. However, because the Final Price on the final Observation Date is greater
than the Coupon Barrier, the investor will receive on the Maturity Date the Contingent Coupon applicable to the final Observation
Date
plus
the previously unpaid Contingent Coupons related to the first, second and third Observation Dates. As a result,
the investor will receive a total of $1,100.00 per $1,000 Face Amount of securities.
Example 5: The Closing Prices of the Underlying
are 55.00%, 40.00% and 50.00% of the Initial Price on the first, second and third Observation Dates and the Final Price is 40.00%
of the Initial Price on the final Observation Date, resulting in an Underlying Return of -60.00%.
Because the Closing Prices
of the Underlying on the first, second and third Observation Dates and the Final Price on the final Observation Date are less than
the Initial Price, the securities are not automatically called. Because the Final Price is less than the Trigger Price, the investor
will receive on the Maturity Date a cash payment of $400.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon),
calculated as follows:
$1,000 + ($1,000 x Underlying
Return)
$1,000 + ($1,000 x -60.00%) =
$400.00
Because the Closing Prices of the Underlying on the first, second
and third Observation Dates and the Final Price on the final Observation Date are less than the Coupon Barrier, the investor will
not receive any Contingent Coupon over the entire term of the securities. As a result, the investor will receive only $400.00 per
$1,000 Face Amount of securities, resulting in a loss of 60.00% on the securities.
Selected Purchase Considerations
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THE SECURITIES MAY OFFER A HIGHER,
THOUGH CONTINGENT, COUPON THAN THE YIELD ON DEBT SECURITIES OF COMPARABLE MATURITY ISSUED BY US OR BY AN ISSUER WITH A COMPARABLE
CREDIT RATING
— The securities will pay Contingent Coupons
only if
the Stock Price of the Underlying is greater
than or equal to the Coupon Barrier on the relevant 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 by an issuer with a comparable credit rating,
but
is subject to the risk that the Stock Price of the Underlying will be less than the Coupon Barrier on each of the Observation Dates
and the resulting forfeiture of the Contingent Coupon for the entire term of the securities, 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 is less than the Trigger Price.
Any payment on the securities is subject to our ability to satisfy our obligations as they become due.
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POTENTIAL EARLY EXIT AS A RESULT OF
AUTOMATIC CALL FEATURE
— While the original term of the securities is approximately 12 months and two weeks, the securities
will be automatically called before maturity if the Stock Price of the Underlying on any Observation Date is greater than or equal
to the Initial Price, and you will receive a cash payment per $1,000 Face Amount of securities on the related Call Settlement Date
equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date
and
any previously unpaid Contingent
Coupon. Therefore, the term of the securities could be as short as approximately three months and two weeks. No Contingent Coupon
will accrue or be payable following the Call Settlement Date. For the avoidance of doubt, the fees and commissions described on
the cover of this pricing supplement will not be rebated or subject to amortization if the securities are automatically called.
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CONTINGENT COUPON PAYMENTS
—
Unless the securities are previously automatically called, Contingent Coupon payments, if any, will be paid in arrears on the relevant
Coupon Payment Dates
only if
the Stock Price of the Underlying on the relevant Observation Date is greater than or equal
to the Coupon Barrier. If a Contingent Coupon is not paid on the related Coupon Payment Date because the Stock Price of the Underlying
on the applicable Observation Date is less than the Coupon Barrier, such unpaid Contingent Coupon will be paid on a later Coupon
Payment Date if the Stock Price of the Underlying on a later Observation Date is greater than or equal to the Coupon Barrier. If
the Stock Price of the Underlying on each Observation Date is less than the Coupon Barrier, you will not receive any Contingent
Coupon for the entire term of the securities
.
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LIMITED PROTECTION AGAINST LOSS
— If the securities are not automatically called but the Final Price is greater than or equal to the Trigger Price, for each
$1,000 Face Amount of securities, you will receive a cash payment at maturity equal to the Face Amount
plus
the Contingent
Coupon otherwise due on such date
and
any previously unpaid Contingent Coupon. However, if the securities are not automatically
called and the Final Price is less than the 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 is less than the Initial Price.
In this circumstance, you will lose a significant
portion or all of your investment in the securities.
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RETURN LINKED TO THE PERFORMANCE OF
THE UNDERLYING
— The return on the securities, which may be positive, zero or negative, is linked to the performance
of the common stock of Bank of America Corporation as described herein. For more information on the Underlying, please see “The
Underlying” in this pricing supplement.
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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
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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 as subject to withholding
under FATCA. Notwithstanding anything to the contrary in that section of the accompanying product supplement, under a recent
IRS notice, withholding under FATCA generally will not apply to payments of gross proceeds (other than any amount treated as interest)
from the taxable disposition (including retirement) of the securities. You should consult your tax adviser regarding the
potential application of FATCA to the securities.
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“
Section 871(m)
”) generally impose a 30% withholding tax (unless an income tax treaty
applies) on dividend equivalents paid or deemed paid to non-U.S. holders with respect to certain financial instruments linked to
U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including
for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such
an index, a “
Qualified Index
”). Additionally, the applicable regulations exclude from the scope of Section 871(m)
instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends
for U.S. federal income tax purposes (each an “
Underlying Security
”). Based on certain determinations made by
us, our special tax counsel is of the opinion that Section 871(m) should not apply to the securities with regard to non-U.S. holders.
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its
application may depend on your particular circumstances, including whether you enter into other transactions with respect to an
Underlying Security. You should consult your tax adviser regarding the potential application of Section 871(m) to the securities.
You should review carefully the section of the
accompanying product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion, when read
in combination with that section, constitutes the full opinion of our special tax counsel regarding the material U.S. federal income
tax consequences of owning and disposing of the securities.
Under current law, the United Kingdom will not
impose withholding tax on payments made with respect to the securities.
For a discussion of certain German tax considerations
relating to the securities, you should refer to the section in the accompanying prospectus supplement entitled “Taxation
by Germany of Non-Resident Holders.”
You should consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the securities (including possible alternative treatments and the issues
presented by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Selected
Risk Considerations
An investment in the securities involves significant
risks. Investing in the securities is not equivalent to investing directly in the Underlying. In addition to these selected risk
considerations, you should review the “Risk Factors” sections of the accompanying product supplement, prospectus supplement
and prospectus.
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YOUR INVESTMENT IN THE SECURITIES
MAY RESULT IN A LOSS
— If the securities are not automatically called, you will receive a cash payment per $1,000 Face
Amount of securities on the Maturity Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date
and
any previously unpaid Contingent Coupon
only if
the Final Price is greater than or equal to the Trigger Price.
However, if the Final Price is less than the 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 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 securities is subject to our ability to satisfy our obligations
as they become due.
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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 PRICE OF THE UNDERLYING
— The securities will not pay more than the Face Amount
plus
any Contingent Coupons
that may be due. You will not participate in any increase in
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the
price of the Underlying even if the Final Price of the Underlying is greater than or equal to the Initial Price. The maximum payment
upon an Automatic Call or Payment 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 price of the Underlying, which may be significant.
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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 Stock Price of the Underlying on any
Observation Date is less than the Coupon Barrier, you will receive neither the Contingent Coupon for such Observation Date nor
any previously unpaid Contingent Coupon on the related Coupon Payment Date. If the Stock Price of the Underlying is less than the
Coupon Barrier on each of the Observation Dates, Deutsche Bank AG will not pay you any Contingent Coupons during the 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 initial investment in the securities, because the price of the Underlying tends to
be lower than the Trigger Price.
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A HIGHER CONTINGENT COUPON OR A LOWER
COUPON BARRIER AND TRIGGER PRICE FOR THE UNDERLYING 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 securities are set on the Trade
Date, the greater the expectation is at that time that the Underlying may close below the Coupon Barrier on an Observation Date
(resulting in a missed Contingent Coupon and non-payment of any previously unpaid Contingent Coupons on the related Coupon Payment
Date) or the Final Price will 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 securities, including the Contingent Coupon, the Coupon Barrier and the Trigger Price, are
based, in part, on the expected volatility of the Underlying 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 and Trigger Price
for the 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 and Trigger Price for the 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 the Underlying and the potential loss of a significant portion or all of
your initial investment at maturity.
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REINVESTMENT RISK
— If
your securities are automatically called, the term of the securities may be reduced to as short as approximately three months and
two weeks. 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.
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THE SECURITIES
ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK AG
— The securities are senior unsecured obligations of Deutsche Bank AG and
are not, either directly or indirectly, an obligation of any third party. Any payment(s) to be made on the securities depends on
the ability of Deutsche Bank AG to satisfy its obligations as they become due. An actual or anticipated downgrade in Deutsche Bank
AG’s credit rating or increase in the credit spreads charged by the market for taking Deutsche Bank AG’s credit risk
will likely have an adverse effect on the value of the securities. As a result, the actual and perceived creditworthiness of Deutsche
Bank AG will affect the value of the securities and, in the event Deutsche Bank AG were to default on its obligations or become
subject to a Resolution Measure, you might not receive any amount(s) owed to you under the terms of the securities and you could
lose your entire investment.
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The SECURITIES
May Be Written Down, Be Converted Into Ordinary Shares or Other Instruments of Ownership or Become Subject to Other Resolution
Measures. You May Lose Some or All of Your Investment If Any Such Measure Becomes Applicable to US
—
Pursuant to the SRM Regulation, the Resolution Act and other applicable rules and regulations described above under “Resolution
Measures and Deemed Agreement,” the securities are subject to the powers exercised by the competent resolution authority
to impose Resolution Measures on us, which may include: writing down, including to zero, any claim for payment on the securities;
converting the securities into ordinary shares of (i) the Issuer, (ii) any group entity or (iii) any bridge bank or other instruments
of ownership of such entities qualifying as common equity tier 1 capital; or applying any other resolution measure including, but
not limited to, transferring the securities to another entity, amending, modifying or varying the terms and conditions of the securities
or cancelling the securities. The competent resolution authority may apply Resolution Measures individually or in any combination.
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The German law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
,
or the “
Resolution Mechanism Act
”) provides that, in a German insolvency
proceeding of the Issuer, certain specifically defined senior unsecured debt instruments would rank junior to,
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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.
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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.
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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.
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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
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economic
terms of the securities to you and is expected to adversely affect the price at which you may be able to sell the securities in
any secondary market. In addition, our internal pricing models are proprietary and rely in part on certain assumptions about future
events, which may prove to be incorrect. If at any time a third party dealer were to quote a price to purchase your securities
or otherwise value your securities, that price or value may differ materially from the estimated value of the securities determined
by reference to our internal funding rate and pricing models. This difference is due to, among other things, any difference
in funding rates, pricing models or assumptions used by any dealer who may purchase the securities in the secondary market.
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INVESTING IN THE SECURITIES IS NOT
THE SAME AS INVESTING IN THE UNDERLYING
— The return on the securities may not reflect the return you would have realized
if you had directly invested in the Underlying. For instance, you will not participate in any potential increase in the price of
the Underlying, which could be significant.
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IF THE PRICE OF THE UNDERLYING CHANGES,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME MANNER
— Your securities 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 securities.
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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 Underlying would have.
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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 securities may be materially and adversely affected. In addition, you should be aware that the calculation agent may,
at its sole discretion, make adjustments to the 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
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 securities. 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
securities.
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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 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 securities, should make your own investigation
into the Underlying and the issuer of the Underlying. The issuer of the Underlying is not involved in the securities offered hereby
in any way and has no obligation of any sort with respect to your securities. 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 securities.
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PAST
PERFORMANCE OF THE UNDERLYING IS NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the Underlying over the
term of the securities may bear little relation to the historical closing 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.
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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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THE SECURITIES WILL NOT BE LISTED
AND THERE WILL LIKELY BE LIMITED LIQUIDITY
— The securities will not be listed on any securities exchange. There may
be little or no secondary market for the securities. We or our affiliates intend to act as market makers for the securities but
are not required to do so and may cease such market making activities at any time. Even if there is a secondary market, it may
not provide enough liquidity to allow you to sell the securities when you wish to do so or at a price advantageous to you. Because
we do not expect other dealers to make a secondary market for the securities, the price at which you may be able to sell your securities
is likely to depend on the price, if any, at which we or our affiliates are willing to buy the securities. If, at any time, we
or our affiliates do not act as market makers, it is likely that there would be little or no secondary market in the securities.
If you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial
loss, even in cases where the price of the Underlying has 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 price of the Underlying will affect the value
of the securities more than any other single factor, the value of the securities prior to maturity will also be affected by a number
of other factors that may either offset or magnify each other, including:
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whether the Stock Price of the Underlying on any Observation Date is
less than the Coupon Barrier;
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the expected volatility of the Underlying;
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the time remaining to the maturity of the securities;
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the dividend rate of the Underlying;
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the real and anticipated results of operations of the issuer of the
Underlying;
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actual or anticipated corporate reorganization events, such as mergers
or takeovers, which may affect the Underlying;
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interest rates and yields in the markets generally;
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geopolitical conditions and economic, financial, political, regulatory
or judicial events that affect the Underlying or the markets generally;
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supply and demand for the securities; and
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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 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 securities
to maturity to receive the stated payout from the Issuer.
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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 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, 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 securities. 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 securities 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 securities. Introducing competing products into the marketplace in this manner could
adversely affect the price of the Underlying and the value of the securities. Any of the foregoing activities described in this
paragraph may reflect trading strategies that differ from, or are in direct opposition to, investors’ trading and investment
strategies related to the securities.
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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 SECURITIES. ANY SUCH RESEARCH, OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE PRICE OF THE UNDERLYING AND THE
VALUE OF THE SECURITIES
— 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 securities,
or express opinions or provide recommendations that are inconsistent with purchasing or holding the securities. 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 securities and the Underlying.
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POTENTIAL CONFLICTS OF INTEREST
— We and our affiliates
play a variety of roles in connection with the issuance of the securities, including acting as calculation agent, hedging our obligations
under the securities and determining the Issuer’s estimated value of the securities on the Trade Date and the price, if any,
at which we or our affiliates would be willing to purchase the securities from you in secondary market transactions. In performing
these roles, our economic interests and those of our affiliates are potentially adverse to your interests as an investor in the
securities. The calculation agent will determine, among other things, all values, prices and levels required to be determined for
the purposes of the securities on any relevant date or time. The calculation agent 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 as well as,
in some circumstances, the prices or levels related to the Underlying 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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Use of Proceeds and Hedging
Part of the net proceeds we receive from the sale
of the securities will be used in connection with hedging our obligations under the securities through one or more of our affiliates.
The hedging or trading activities of our affiliates on or prior to the Trade Date, an Observation Date or an Averaging Date could
adversely affect the price of the Underlying and, as a result, could decrease the possibility of your securities being automatically
called or the amount you may receive on the securities 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.
Bank of America Corporation
According to publicly available
information, Bank of America Corporation is a financial institution that serves individual consumers, small- and middle-market
businesses, institutional investors, large corporations and governments with a range of banking, investing, asset management and
other financial and risk management products and services. Information filed by Bank of America Corporation with the SEC under
the Exchange Act can be located by reference to its SEC file number: 001–06523, or its CIK Code: 0000070858. The common
stock of Bank of America Corporation is traded on the New York Stock Exchange under the symbol “BAC.”
Historical Information
The following
graph sets forth the historical performance of the common stock of Bank of America Corporation based on its daily closing prices
from July 14, 2012 through July 14, 2017. The closing price of the Underlying on July 14, 2017 was $24.21. The graph below also
indicates by a broken line the Coupon Barrier and Trigger Price of $18.28, equal to 75.49% of $24.21, which was the closing price
of the Underlying on July 14, 2017.
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 Observation Dates or Averaging Dates. We cannot give you assurance that the performance of the Underlying will result
in the return of any of your initial investment.
Supplemental Plan of Distribution
JPMorgan Chase Bank, N.A. and JPMS LLC or one of its
affiliates, acting as placement agents for the securities, will receive a fee from the Issuer of $10.00 per $1,000 Face Amount
of securities. See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
Validity of the Securities
In the opinion of Davis Polk & Wardwell LLP, as
special United States products counsel to the Issuer, when the securities offered by this pricing supplement have been executed
and issued by the Issuer and authenticated by the authenticating agent, acting on behalf of the trustee pursuant to the Indenture,
and delivered against payment as contemplated herein, such securities will be valid and binding obligations of the Issuer, enforceable
in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights
generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts
of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions giving effect to governmental
actions or foreign laws affecting creditors’ rights, provided that such counsel expresses no opinion as to the effect of
fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion
is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves matters governed
by German law, Davis Polk & Wardwell LLP has relied, without independent investigation, on the opinion of Group Legal Services
of Deutsche Bank AG, dated as of January 1, 2016, filed as an exhibit to the opinion of Davis Polk & Wardwell LLP, and this
opinion is subject to the same assumptions, qualifications and limitations with respect to such matters as are contained in such
opinion of Group Legal Services of Deutsche Bank AG. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Indenture and the authentication of the securities by the authenticating agent and
the validity, binding nature and enforceability of the Indenture with respect to the trustee, all as stated in the opinion of Davis
Polk & Wardwell LLP dated as of January 1, 2016, which has been filed by the Issuer on Form 6-K dated January 4, 2016.
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