Pricing Supplement
To prospectus supplement dated July 31
,
2015 and
prospectus dated April
27
,
2016
|
Pricing
Supplement No
.
2896
Registration
Statement No
.
333
-
206013
Rule
424(b)(2)
|
Structured
Investments
|
Deutsche Bank AG
$8,383,000 Digital Return Notes Linked to the Performance of the 10-Year British Pounds Sterling ICE Swap Rate due September
5, 2018
|
General
|
·
|
The notes are designed for investors who seek a return at maturity
linked to the performance of the 10-Year British Pounds Sterling ICE Swap Rate (the “
Underlying Rate
”). If the
Final Level is greater than or equal to the Buffer Level, which is equal to 70.00% of the Initial Level, investors will receive
at maturity a return on the notes equal to the Digital Return of 9.75%. However, if the Final Level is less than the Buffer Level,
for each $1,000 Face Amount of notes, investors will lose 1.4286% of the Face Amount for every 1.00% by which the Final Level is
less than the Initial Level by an amount greater than the Buffer Amount of 30.00%.
Furthermore, because the return on the notes
is based on the percentage change of the Underlying Rate from the Initial Level to the Final Level, rather than the absolute change
in the level of the Underlying Rate, a very small decline in the level of the Underlying Rate can result in a significant loss
on the notes.
For example, if the Underlying Rate were to decline from the Initial Level of 1.181% to a hypothetical Final
Level of 0.591%, while the absolute change in the Underlying Rate would be only 0.590%, that move actually represents an approximately
50.00% decline from the Initial Level to the Final Level, and investors would lose 28.51% of their initial investment at maturity.
The notes do not pay any coupons and investors should be willing to lose some or all of their investment at maturity if the Final
Level is less than the Buffer Level. Any payment on the notes is subject to the credit of the Issuer.
|
|
·
|
The notes are not traditional fixed income securities.
Traditional
fixed income securities linked to an interest rate, commonly referred to as floating rate notes, typically provide for the return
of an investor’s initial investment at maturity and the payment of periodic coupons that depend on the performance of the
interest rate to which such securities are linked to. Thus, any decline in such interest rate would potentially result in a reduction
in the amount of any periodic coupons paid on such securities, but would not adversely affect the return of the investor’s
initial investment at maturity. However, the notes offered in this pricing supplement do not pay periodic coupons and the amount
an investor receives at maturity will depend on the performance of the Underlying Rate. A decline in the Underlying Rate below
the Buffer Level on the Final Valuation Date will result in an investor losing some or all of its initial investment at maturity.
|
|
·
|
Senior unsecured obligations of Deutsche Bank AG due September 5, 2018
|
|
·
|
Minimum purchase of $10,000. Minimum denominations of $1,000 (the “
Face
Amount
”) and integral multiples thereof.
|
|
·
|
The notes priced on August 17, 2017 (the “
Trade Date
”)
and are expected to settle on August 22, 2017 (the “
Settlement Date
”).
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Issue Price:
|
100% of the Face Amount
|
Underlying Rate:
|
10-Year British Pounds Sterling
ICE Swap Rate (“
10-Year ICE Swap Rate
”)
The 10-Year ICE Swap Rate, at any given time,
generally indicates the fixed rate of interest (paid semi-annually) that a counterparty in the swaps market would have to pay for
a fixed-for-floating British Pounds Sterling interest rate swap transaction with a 10-year maturity in order to receive a floating
rate (paid semi-annually) equal to six-month British Pounds Sterling London Interbank Offered Rate for that same maturity.
|
(
Key Terms continued on next page
)
Investing in the notes involves a number of risks. See “Risk
Factors” beginning on page PS-5 of the accompanying prospectus supplement and page 13 of the accompanying prospectus and
“Selected Risk Considerations” beginning on page 7 of this pricing supplement.
The Issuer’s estimated value of the notes on the Trade
Date is $963.00 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 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
|
$8,383,000.00
|
$83,830.00
|
$8,299,170.00
|
|
(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.
|
|
(2)
|
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
August 17, 2017
(
Key Terms continued from previous page
)
Buffer Amount:
|
30.00%
|
Buffer Level:
|
0.8267, equal to 70.00% of the Initial Level
|
Downside Participation Factor:
|
142.86%
|
Digital Return:
|
9.75%, which reflects the maximum return on the notes. Accordingly, the maximum Payment at Maturity is $1,097.50 per $1,000 Face Amount of notes.
|
Payment at Maturity:
|
·
If the Final Level is greater than or equal to the Buffer Level,
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 Level is less than the Buffer Level,
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 + Buffer Amount) x Downside Participation Factor]
|
|
|
|
Because the return on the notes is based on the percentage change of the Underlying Rate from the Initial Level to the Final Level
,
rather than the absolute change in the level of the Underlying Rate
,
a very small decline in the level of the Underlying Rate can result in a significant loss on the notes
.
If the Final Level is less than the Buffer Level
,
you will lose some or all of your initial investment
.
In no case will the Payment at Maturity be less than zero
.
Any payment at maturity is subject to the credit of the Issuer
.
|
Underlying Return:
|
The Underlying Return will be calculated as follows:
|
|
|
|
Final Level – Initial Level
|
|
Initial Level
|
|
|
|
The Underlying Return may be positive
,
zero or negative
.
|
Initial Level:
|
1.181, equal to the level of the Underlying Rate on the Trade Date
|
Final Level:
|
The level of the Underlying Rate on the Final Valuation Date
|
Trade Date:
|
August 17, 2017
|
Settlement Date:
|
August 22, 2017
|
Final Valuation Date:
|
August 30, 2018
|
Maturity Date:
|
September 5, 2018. If the scheduled Maturity Date is not a business day, the Maturity Date will be the first following day that is a business day.
|
Listing:
|
The notes will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25152R7H0 / US25152R7H09
|
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 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 two 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 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 prospectus supplement, please note that all references in the prospectus
supplement 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):
|
·
|
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 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 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.
What Are the Possible Payments at Maturity
on the Notes, Assuming a Range of Hypothetical Performances for the Underlying Rate?
The following table illustrates a range of hypothetical payments
at maturity on the notes. The table and the hypothetical examples below reflect the Buffer Level equal to 70.00% of the Initial
Level, the Buffer Amount of 30.00%, the Downside Participation Factor of 142.86% and the Digital Return of 9.75% and assume an
Initial Level of 1.00%. The actual Initial Level and Buffer Level are set forth on the cover of this pricing supplement. The table
and hypothetical examples set forth below are for illustrative purposes only.
Because the return on the notes is based on the
percentage change of the Underlying Rate from the Initial Level to the Final Level
,
rather than the absolute change in the
level of the Underlying Rate
,
a very small decline in the level of the Underlying Rate can result in a significant loss
on the notes
. The numbers appearing in the table and examples below may have been rounded for ease of analysis. You should
consider carefully whether the notes are suitable to your investment goals.
Final Level of the 10-Year British Pounds Sterling ICE Swap Rate
|
Hypothetical
Underlying Return (%)
|
Hypothetical
Return on the Notes (%)
|
Hypothetical
Payment at Maturity ($)
|
2.0000%
|
100.00%
|
9.75%
|
$1,097.50
|
1.7000%
|
70.00%
|
9.75%
|
$1,097.50
|
1.5000%
|
50.00%
|
9.75%
|
$1,097.50
|
1.4000%
|
40.00%
|
9.75%
|
$1,097.50
|
1.3000%
|
30.00%
|
9.75%
|
$1,097.50
|
1.2000%
|
20.00%
|
9.75%
|
$1,097.50
|
1.1000%
|
10.00%
|
9.75%
|
$1,097.50
|
1.0000%
|
0
.
00%
|
9.75%
|
$1,097.50
|
0.9000%
|
-10.00%
|
9.75%
|
$1,097.50
|
0.8000%
|
-20.00%
|
9.75%
|
$1,097.50
|
0.7000%
|
-
30.00%
|
9.75%
|
$1,097.50
|
0.6900%
|
-31.00%
|
-1.43%
|
$985.71
|
0.6000%
|
-40.00%
|
-14.29%
|
$857.14
|
0.5000%
|
-50.00%
|
-28.57%
|
$714.29
|
0.4000%
|
-60.00%
|
-42.86%
|
$571.43
|
0.3000%
|
-70.00%
|
-57.14%
|
$428.57
|
0.2000%
|
-80.00%
|
-71.43%
|
$285.71
|
0.1000%
|
-90.00%
|
-85.71%
|
$142.86
|
0.0000%
|
-100.00%
|
-100.00%
|
$0.00
|
-0.1000%
|
-110.00%
|
-100.00%
|
$0.00
|
Hypothetical Examples of Amounts Payable
at Maturity
The following hypothetical examples illustrate how the Payments
at Maturity on the notes set forth in the table above are calculated.
Example 1: The Final Level is greater than both the Initial
Level and the Buffer Level, resulting in an Underlying Return of 30.00%.
Because the Final Level is greater than the Buffer
Level, even though the Underlying Return is 30.00%, the investor receives a return on the notes equal to the Digital Return of
9.75% and a Payment at Maturity of $1,097.50 per $1,000 Face Amount of notes, calculated as follows:
$1,000 + ($1,000 x Digital Return)
$1,000 + ($1,000 x 9.75%) = $1,097.50
Example 2: The Final Level is less than the Initial Level
but greater than the Buffer Level, resulting in an Underlying Return of -10.00%.
Although the Final Level is less than the
Initial Level, because the Final Level is greater than the Buffer Level (equal to 70.00% of the Final Level), the investor receives
a return on the notes equal to the Digital Return of 9.75% and a Payment at Maturity of $1,097.50 per $1,000 Face Amount of notes,
calculated as follows:
$1,000 + ($1,000 x Digital Return)
$1,000 + ($1,000 x 9.75%) = $1,097.50
Example 3: The Final Level is less than the Buffer Level,
resulting in an Underlying Return of -70.00%.
Because the Final Level is less than the Buffer Level, the investor receives
a Payment at Maturity of $428.57 per $1,000 Face Amount of notes, calculated as follows:
$1,000 + [$1,000 x (Underlying Return +
Buffer Amount) x Downside Participation Factor]
$1,000 + [$1,000 x (-70.00% + 30.00%) x 142.86%]
= $428.57
Selected Purchase Considerations
|
·
|
THE
NOTES ARE NOT TRADITIONAL FIXED INCOME SECURITIES
— Traditional fixed income securities linked to an interest rate,
commonly referred to as floating rate notes, typically provide for the return of an investor’s initial investment at maturity
and the payment of periodic coupons that depend on the performance of the interest rate to which such securities are linked to.
Thus, any decline in such interest rate would potentially result in a reduction in the amount of any periodic coupons paid on
such securities, but would not adversely affect the return of the investor’s initial investment at maturity. However, the
notes offered in this pricing supplement do not pay periodic coupons and the amount an investor receives at maturity will depend
on the performance of the Underlying Rate. A decline in the Underlying Rate below the Buffer Level on the Final Valuation Date
will result in an investor losing some or all of its initial investment at maturity.
Furthermore, because the return on the
notes is based on the percentage change of the Underlying Rate from the Initial Level to the Final Level, rather than the absolute
change in the level of the Underlying Rate, a very small decline in the level of the Underlying Rate can result in a significant
loss on the notes.
|
|
·
|
POTENTIAL POSITIVE RETURN ON THE NOTES IS FIXED AND LIMITED
— If the Final Level is greater than or equal to the Buffer Level, your return on the notes will be limited to the Digital
Return of 9.75%, resulting in a maximum Payment at Maturity of $1,097.50 per $1,000 Face Amount of notes, regardless of any increase
in the level of the Underlying Rate, 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 Level is less than the Initial Level but greater than or equal to the Buffer
Level, you will receive a return on the notes reflecting the Digital Return. However, if the Final Level is less than the Buffer
Level, for each $1,000 Face Amount of notes, you will lose 1.4286% of the Face Amount for every 1.00% by which the Final Level
is less than the Initial Level by an amount greater than the Buffer Amount of 30.00%.
In this circumstance
,
you will
lose some or all of your investment at maturity
.
|
|
·
|
RETURN
LINKED TO THE PERFORMANCE OF THE 10-YEAR BRITISH POUNDS STERLING ICE SWAP RATE
— The return on the notes, which may
be positive, zero or negative, is linked to the performance of the 10-Year British Pounds Sterling ICE Swap Rate.
This is only
a summary of the 10-Year British Pounds Sterling ICE Swap Rate
.
For more information on the 10-Year British Pounds Sterling
ICE Swap Rate
,
please see “Description of the Notes
—
Additional Definitions
”
in this pricing
supplement
.
|
Selected Risk Considerations
An investment in the notes involves significant risks. In addition
to these selected risk considerations, you should review the “Risk Factors” sections of the accompanying prospectus
supplement and prospectus.
|
·
|
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 Rate and will depend on whether, and the extent to which,
the Underlying Return is positive, zero or negative. If the Final Level is less than the Buffer Level, your investment will be
fully exposed to any decline in the level of the Underlying Rate as measured on the Final Valuation Date and, for each $1,000
Face Amount of notes, you will lose 1.4286% of the Face Amount for every 1.00% by which the Final Level is less than the Initial
Level by an amount greater than the Buffer Amount.
Because the return on the notes is based on the percentage change of the
Underlying Rate from the Initial Level to the Final Level, rather than the absolute change in the level of the Underlying Rate,
a very small decline in the level of the Underlying Rate can result in a significant loss on the notes.
For example, if the
Underlying Rate were to decline from the Initial Level of 1.181% to a hypothetical Final Level of 0.591%, while the absolute change
in the Underlying Rate would be only 0.590%, that move actually represents an approximately 50.00% decline from the Initial Level
to the Final Level, and you would lose 28.51% of your initial 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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THE NOTES ARE NOT TRADITIONAL FIXED INCOME SECURITIES
—
Traditional fixed income securities linked to an interest rate, commonly referred to as floating rate notes, typically provide
for the return of an investor’s initial investment at maturity and the payment of periodic coupons that depend on the performance
of the interest rate to which such securities are linked to. Thus, any decline in such interest rate would potentially result in
a reduction in the amount of any periodic coupons paid on such securities, but would not adversely affect the return of the investor’s
initial investment at maturity. However, the notes offered in this pricing supplement do not pay periodic coupons and the amount
an investor receives at maturity will depend on the performance of the Underlying Rate. A decline in the Underlying Rate below
the Buffer Level on the Final Valuation Date will result in an investor losing some or all of its initial investment at maturity.
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YOUR MAXIMUM GAIN ON THE NOTES IS LIMITED TO THE DIGITAL RETURN
— If the Final Level is greater than or equal to the Buffer Level, 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 9.75%, regardless
of any increase in the level of the Underlying Rate, which may be significant. Accordingly, the maximum Payment at Maturity is
$1,097.50 for each $1,000 Face Amount of notes. You will receive a return on the notes reflecting the Digital Return only if the
Final Level is greater than or equal to the Buffer Level. The level of the Underlying Rate at various times during the term of
the notes could be higher than the Final Level of the Underlying Rate.
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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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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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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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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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PAST PERFORMANCE OF THE UNDERLYING RATE IS NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the Underlying Rate over the term of the notes may bear little relation to the historical
levels of the Underlying Rate and/or the hypothetical examples set forth elsewhere in this pricing supplement. We cannot predict
the future performance of the Underlying Rate or whether the performance of the Underlying Rate 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 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
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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 two 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.
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 notes 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 level of the Underlying Rate has increased since the Trade Date.
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MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE NOTES
— While we expect that, generally, the level of the Underlying Rate will affect the value of the notes more than any other
single factor, the 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:
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the expected volatility of the Underlying Rate;
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changes in the 10-Year ICE Swap Rate yield curve;
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the time remaining to the maturity of the notes;
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trends relating to inflation;
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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 Rate or the markets generally;
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supply and demand for the notes; 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 notes, it is possible that their
value may decline significantly due to the factors described above even if the level of the Underlying Rate remains unchanged from
the Initial Level, 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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TRADING AND OTHER TRANSACTIONS BY US, JPMORGAN CHASE & CO. OR
OUR OR ITS AFFILIATES IN THE DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE NOTES
— We or our affiliates expect to hedge
our exposure from the notes by entering into 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 Rate 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 level of the Underlying Rate 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 Rate. To the
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extent 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 level
of the Underlying Rate 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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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 LEVEL OF THE UNDERLYING RATE 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 level of the Underlying Rate 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 Rate.
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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 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. Any determination by the calculation agent could adversely affect the return on the notes.
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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 Internal Revenue
Service (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 below under “U.S.
Federal Income 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 this pricing 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.
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DESCRIPTION OF THE NOTES
The following description of the terms of the notes supplements
the description of the general terms of the debt securities set forth under the headings “Description of Notes
”
in the accompanying prospectus supplement and “Description of Debt Securities
”
in the accompanying prospectus
.
Capitalized terms used but not defined in this pricing supplement have the meanings assigned to them in the accompanying prospectus
supplement and prospectus
.
The term “
security
”
refers to each $1
,
000 Face Amount of our
Digital Return Notes Linked to the Performance of the 10-Year British Pounds Sterling ICE Swap Rate due September 5, 2018
.
General
The notes are senior unsecured obligations
of Deutsche Bank AG that are linked to the performance of the 10-Year British Pounds Sterling ICE Swap Rate (the “
Underlying
Rate
”). The notes are our Series A global notes referred to in the accompanying prospectus supplement and prospectus.
The notes will be issued by Deutsche Bank AG, London Branch under an indenture among us, Law Debenture Trust Company of New York,
as trustee, and Deutsche Bank Trust Company Americas, as issuing agent, paying agent and registrar. In addition, the trustee has
appointed Deutsche Bank Trust Company Americas as its authenticating agent with respect to our Series A global notes.
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.
The notes are our direct, unconditional,
unsecured and unsubordinated obligations and rank equally and
pari passu
with the claims of all our other unsecured and
unsubordinated creditors, subject to any statutory priority regime of the jurisdiction of our incorporation (or the jurisdiction
where our London branch is established) that provides certain claims will be satisfied first in a resolution or German insolvency
proceeding with respect to the Issuer. For more information, see “Resolution Measures and Deemed Agreement” on page
4 of this pricing supplement.
The notes will be issued in denominations
of $1,000 and integral multiples of $1,000 in excess thereof. The face amount of the notes is $1,000 (the “
Face Amount
”)
and the issue price of the notes is 100% of the Face Amount (the “
Issue Price
”). The notes will be issued in
registered form and represented by one or more permanent global notes registered in the name of The Depository Trust Company (“
DTC
”)
or its nominee, as described under “Description of Notes — Form, Legal Ownership and Denomination of Notes” in
the accompanying prospectus supplement and “Forms of Securities — Legal Ownership — Global Securities”
in the accompanying prospectus.
The specific terms of the notes are set
forth under the heading “Key Terms” on the cover page of this pricing supplement and in the subsections below.
Payments on the Notes
We will irrevocably deposit with DTC no
later than the opening of business on the Maturity Date funds sufficient to make payments of the amount payable, if any, with respect
to the notes on such date. We will give DTC irrevocable instructions and authority to pay such amount to the holders of the notes
entitled thereto.
Subject to the foregoing and to applicable
law (including, without limitation, United States federal laws), we or our affiliates may, at any time and from time to time, purchase
outstanding notes by tender, in open market transactions or by private agreement.
Additional Definitions
The
“
10-Year ICE Swap Rate
”
for
any London Banking Day is the mid-market semi-annual swap rate expressed as a percentage for a British pounds sterling interest
rate swap transaction with a term equal to 10 years, published on Reuters page ICESWAP4 (or any successor page thereto) at 11:00
a.m., London time. If the 10-Year ICE Swap Rate does not appear on Reuters page ICESWAP4 (or any successor page thereto) on such
day, the 10-Year ICE Swap Rate for such day shall be determined on the basis of the mid-market semi-annual swap rate quotations
provided by five banking institutions selected by the calculation agent at approximately 11:00 a.m., London time, on such day.
For purposes of this definition,
“
semi
-
annual
swap rate
”
means the mean of the bid and offered rates
for the semi-annual fixed leg, calculated on a actual/365 day count basis, of a fixed-for-floating British pounds sterling interest
rate swap transaction with a 10-year maturity commencing on that date and in an amount that is representative for a single transaction
in the relevant market at the relevant time with an acknowledged dealer of good credit in the swap market, where the floating leg,
calculated on an actual/360 day count basis, is equivalent to British Pounds Sterling London Interbank Offered Rate with a designated
maturity of six months. In such an event, the 10-Year ICE Swap Rate for such day will be the arithmetic mean of the quotations,
eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation (or, in the event
of equality, one of the lowest). If
fewer than three quotations are provided as requested, the rate
will be determined by the calculation agent in good faith and in a commercially reasonable manner. The 10-Year ICE Swap Rate for
any day which is not a London Banking Day will be the 10-Year ICE Swap Rate as in effect on the immediately preceding London Banking
Day.
A
“
business day
”
is
any day other than a day that is (i) a Saturday or Sunday, (ii) a day on which banking institutions generally in the City of New
York or London, England are authorized or obligated by law, regulation or executive order to close or (iii) a day on which transactions
in U.S. dollars are not conducted in the City of New York or London, England.
A
“
London Banking Day
”
means
any day on which commercial banks are open for general business (including dealings in foreign exchange and foreign currency deposits)
in London.
Calculation Agent
Deutsche Bank AG, London Branch will act
as the calculation agent for the notes. As calculation agent, Deutsche Bank AG, London Branch 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. Unless otherwise
specified in this pricing supplement, all determinations made by the calculation agent will be at the sole discretion of the calculation
agent and will, in the absence of manifest error, be conclusive for all purposes and binding on you, the trustee and us. We may
appoint a different calculation agent from time to time after the Trade Date without your consent and without notifying you.
The calculation agent will provide written
notice to the trustee at its New York office, on which notice the trustee may conclusively rely, of the amount to be paid on the
Maturity Date on or prior to 11:00 a.m., New York City time, on the business day preceding the Maturity Date.
All calculations with respect to the amount
payable on the notes will be rounded to the nearest one hundred-thousandth, with five one-millionths rounded upward (
e
.
g
.,
0.876545 would be rounded to 0.87655); all U.S. dollar amounts related to determination of the payment per $1,000 Face Amount of
notes at maturity will be rounded to the nearest ten-thousandth, with five one hundred-thousandths rounded upward (
e
.
g
.,
0.76545 would be rounded up to 0.7655); and all U.S. dollar amounts paid on the aggregate Face Amount of notes per holder will
be rounded to the nearest cent, with one-half cent rounded upward.
Events of Default
Under the heading “Description of
Debt Securities — Events of Default” in the accompanying prospectus is a description of events of default relating
to debt securities including the notes.
Payment Upon an Event of Default
In case an event of default with respect
to the notes shall have occurred and be continuing, the amount declared due and payable per $1,000 Face Amount of notes upon any
acceleration of the notes will be determined by the calculation agent and will be an amount in cash equal to the amount payable
at maturity per Face Amount of notes as described herein, calculated as if the date of acceleration were the Final Valuation Date.
If the maturity of the notes is accelerated
because of an event of default as described above, we will, or will cause the calculation agent to, provide written notice to the
trustee at its New York office, on which notice the trustee may conclusively rely, and to DTC of the cash amount due with respect
to the notes as promptly as possible, and in no event later than two business days after the date of such acceleration.
Modification
Under the heading “Description of
Debt Securities — Modification of an Indenture” in the accompanying prospectus is a description of when the consent
of each affected holder of debt securities is required to modify the indenture.
Defeasance
The provisions described in the accompanying
prospectus under the heading “Description of Debt Securities — Discharge and Defeasance” are not applicable to
the notes.
Listing
The notes will not be listed on any securities
exchange.
Book-Entry Only Issuance
—
The
Depository Trust Company
DTC will act as securities depositary for
the notes. The notes will be issued only as fully registered securities registered in the name of Cede & Co. (DTC’s nominee).
One or more fully registered global notes certificates, representing the total
aggregate Face Amount of notes, will be issued and will be deposited
with DTC. See the descriptions contained in the accompanying prospectus supplement under the headings “Description of Notes
— Form, Legal Ownership and Denomination of Notes.” The notes are offered on a global basis. Investors may elect to
hold interests in the registered global notes held by DTC through Clearstream, Luxembourg or the Euroclear operator if they are
participants in those systems, or indirectly through organizations that are participants in those systems. See “Series A
Notes Offered on a Global Basis — Book Entry, Delivery and Form” in the accompanying prospectus supplement.
Governing Law
The notes will be governed by and interpreted
in accordance with the laws of the State of New York, and for all purposes shall be construed in accordance with the laws of such
state, except as may otherwise be required by mandatory provisions of law.
U.S. FEDERAL INCOME TAX
CONSEQUENCES
The following is a discussion of the material
U.S. federal income tax consequences of ownership and disposition of the notes. It applies to you only if you hold your notes as
capital assets within the meaning of Section 1221 of the Internal Revenue Code (the “
Code
”). It does not address
all aspects of U.S. federal income taxation that may be relevant to you in light of your particular circumstances, including alternative
minimum tax and “Medicare contribution tax” consequences, and different consequences that may apply if you are an investor
subject to special rules, such as a financial institution, a regulated investment company, a tax-exempt entity (including an “individual
retirement account” or a “Roth IRA”), a dealer in securities, a trader in securities that elects to apply a mark-to-market
method of tax accounting, an entity classified as a partnership for U.S. federal income tax purposes, or a person holding a note
as a part of a “straddle.”
If you are a partnership for U.S. federal
income tax purposes, the U.S. federal income tax treatment of a partner will generally depend on the status of the partner and
your activities. If you are a partnership holding the notes or a partner in such a partnership, you should consult your tax adviser
as to your particular U.S. federal tax consequences of holding and disposing of the notes.
This discussion is based on the Code, administrative
pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date of this pricing supplement,
changes to any of which subsequent to the date hereof may affect the tax consequences described below, possibly with retroactive
effect. It does not address the application of any state, local or non-U.S. tax laws.
You should consult your tax adviser concerning
the application of U
.
S
.
federal income tax laws to your particular situation (including the possibility of alternative
treatments of the notes)
,
as well as any tax consequences arising under the laws of any state, local or non
-
U
.
S
.
jurisdictions
.
Tax Treatment of the Notes
There is no direct legal authority as to
the proper U.S. federal income tax treatment of the notes, and we do not plan to request a ruling from the IRS. Consequently, the
tax consequences of an investment in the notes are uncertain. In determining our responsibilities for information reporting and
withholding, if any, we intend to treat the notes as prepaid financial contracts that are not debt. 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 this
treatment will be respected. 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. Unless otherwise indicated, the following discussion
assumes that the treatment of the notes as prepaid financial contracts that are not debt is respected.
Tax Consequences to U.S. Holders
You are a “U.S. holder” if,
for U.S. federal income tax purposes, you are a beneficial owner of a note and are: (i) a citizen or resident of the United States;
(ii) a corporation created or organized in or under the laws of the United States, any State therein or the District of Columbia;
or (iii) an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
Treatment as a Prepaid Financial Contract
That Is Not Debt
You should not recognize taxable income
or loss with respect to a note prior to its taxable disposition. Upon a taxable disposition of a note, you generally will recognize
gain or loss equal to the difference between the amount you realize and your tax basis in the note. Your tax basis in the note
should equal the amount you paid to acquire it. Although not free from doubt, your gain or loss generally should be capital gain
or loss, and should be long-term capital gain or loss if you have held the note for more than one year. The deductibility of capital
losses is subject to limitations.
Uncertainties Regarding Treatment as a Prepaid
Financial Contract That Is Not Debt
Due to the lack of direct legal authority,
even if a note is treated as a prepaid financial contract that is not debt, there remain substantial uncertainties regarding the
tax consequences of owning and disposing of it. For instance, you might be required to include amounts in income during the term
of the note and/or to treat all or a portion of your gain or loss on its taxable disposition as ordinary income or loss or as short-term
capital gain or loss, without regard to how long you have held it.
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 and the relevance of factors such as the nature of
the underlying property to which the instruments are linked. 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 your investment in a note, possibly with retroactive effect.
Consequences if a Note Was Treated as
a Debt Instrument
If a note was treated as a debt instrument,
your tax consequences would be governed by Treasury regulations relating to the taxation of contingent payment debt instruments.
In that event, even if you are a cash-method taxpayer, in each year that you hold the note you would be required to accrue into
income “original issue discount” based on our “comparable yield” for a similar non-contingent debt instrument,
determined as of the time of issuance of the note, even though we will not be required to make any payment with respect to the
note prior to its maturity. In addition, any income you recognize upon the taxable disposition of the note would be treated as
ordinary in character. If you recognize a loss above certain thresholds, you could be required to file a disclosure statement with
the IRS.
Tax Consequences to Non-U.S. Holders
You generally are a “non-U.S. holder”
if, for U.S. federal income tax purposes, you are a beneficial owner of a note and are: (i) a nonresident alien individual; (ii)
an entity treated as a foreign corporation; or (iii) a foreign estate or trust.
You are not a “non-U.S. holder,”
as used herein, if you are a beneficial owner of a note who is (i) an individual present in the United States for 183 days or more
in the taxable year of disposition of the note or (ii) a former citizen or resident of the United States, if certain conditions
apply. If you are a potential investor to whom such considerations might be relevant, you should consult your tax adviser.
Subject to the discussion below under “—
‘FATCA’ Legislation,” if the treatment as prepaid financial contracts that are not debt described above is respected
for U.S. federal income tax purposes, any gain you realize with respect to a note generally should not be subject to U.S. federal
withholding or income tax, unless the gain is effectively connected with your conduct of a trade or business in the United States.
In addition, as described above under “— Tax Consequences to U.S. Holders — Uncertainties Regarding Treatment
as a Prepaid Financial Contract That Is Not Debt,” 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, among other things, on the degree, if any, to which income (including any mandated accruals) realized
with respect to such instruments by non-U.S. persons should be subject to withholding tax. It is possible that any Treasury regulations
or other guidance promulgated after consideration of these issues could affect the withholding tax consequences of an investment
in the notes, possibly with retroactive effect. We will not pay additional amounts on account of any such withholding tax.
Subject to the discussion below under “—
FATCA Legislation,” if a note is treated as a debt instrument, any income or gain you realize with respect to the note generally
will not be subject to U.S. federal withholding or income tax if (i) you provide a properly completed Form W-8 appropriate to your
circumstances and (ii) these amounts are not effectively connected with your conduct of a trade or business in the United States.
If you are engaged in a trade or business
in the United States, and income or gain from a note is effectively connected with your conduct of that trade or business (and,
if an applicable treaty so requires, is attributable to a permanent establishment in the United States), you generally will be
taxed in the same manner as a U.S. holder. If this paragraph applies to you, you should consult your tax adviser with respect to
other U.S. tax consequences of the ownership and disposition of the note, including the possible imposition of a 30% branch profits
tax if you are a corporation.
Information Reporting and Backup Withholding
Cash proceeds received from a disposition
of a note may be subject to information reporting unless you qualify for an exemption, and may also be subject to backup withholding
at the rate specified in the Code unless you provide certain identifying information and otherwise satisfy the requirements to
establish that you are not subject to backup withholding. If you are a non-U.S. holder and you provide a properly completed Form
W-8 appropriate to your circumstances, you will generally establish an exemption from backup withholding. Amounts withheld under
the backup withholding rules are not additional taxes and may be refunded or credited against your U.S. federal income tax liability,
provided the required information is timely furnished to the IRS.
FATCA Legislation
Legislation commonly referred to as “FATCA”
and regulations promulgated thereunder generally impose a withholding tax of 30% on payments to certain non-U.S. entities (including
financial intermediaries) with respect to certain financial instruments unless various U.S. information reporting and due diligence
requirements have been satisfied. An intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction
may modify these requirements. This regime generally applies to financial instruments that are treated as paying U.S.-source interest
or other U.S.-source “fixed or determinable annual or periodical” income. The application of these rules to the notes
is not entirely clear because the U.S.
federal income tax treatment of the notes is
uncertain. If you (or any person through which you hold the notes) were to fail to establish an exemption from the FATCA regime,
it would be prudent to expect an applicable withholding agent to withhold some portion of the proceeds of a sale or disposition
of your notes, including redemption at maturity, under this regime. We will not pay additional amounts on account of any such withholding
tax. Non-U.S. holders, and U.S. holders holding notes through a non-U.S. intermediary, should consult their tax advisers regarding
the potential application of FATCA to the notes, including the possibility of obtaining a refund of any tax withheld thereunder
from payments that would otherwise be exempt from U.S. withholding tax.
USE OF PROCEEDS
;
HEDGING
The net proceeds we receive from the sale
of the notes will be used for general corporate purposes and, in part, by us or by one or more of our affiliates in connection
with hedging our obligations under the notes as more particularly described in “Use of Proceeds” in the accompanying
prospectus.
We or our affiliates may acquire a long
or short position in securities similar to the notes from time to time and may, in our or their sole discretion, hold or resell
those securities. Although we have no reason to believe that any of these activities will have a material impact on the value of
the notes, we cannot assure you that these activities will not have such an effect. We have no obligation to engage in any manner
of hedging activity and will do so solely at our discretion and for our own account. No security holder shall have any rights or
interest in our hedging activity or any positions we may take in connection with our hedging activity.
HISTORICAL INFORMATION
The following graph sets forth the historical performance of
the 10-Year ICE Swap Rate from August 17, 2007 through August 17, 2017. The level of the Underlying Rate on August 17, 2017 was
1.181%. The graph below also indicates by broken line the Buffer Level of 0.8267%, equal to 70.00% of 1.181%, which was the level
of the 10-Year ICE Swap Rate on August 17, 2017. We obtained the historical levels of the 10-Year ICE Swap Rate from Bloomberg
L.P. and we have not participated in the preparation of, or verified, such information.
The historical levels of the
Underlying Rate should not be taken as an indication of future performance and no assurance can be given as to the level of the
Underlying Rate on the Final Valuation Date. We cannot give you assurance that the performance of the Underlying Rate will result
in the return of any of your initial investment.
SUPPLEMENTAL PLAN OF DISTRIBUTION
Under the terms and subject to the conditions
contained in the Distribution Agreement entered into between Deutsche Bank AG and each of JPMorgan Chase Bank, N.A. and JPMS LLC,
as agents (each, an “
Agent
,” and collectively, the “
Agents
”), the Agents have agreed to purchase,
and we have agreed to sell, the Face Amount of notes set forth on the cover page.
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.
The Agents may act as principal or agent
in connection with offers and sales of the notes in the secondary market. Secondary market offers and sales will be made at prices
related to market prices at the time of such offer or sale; accordingly, the Agents or a dealer may change the public offering
price, concession and/or discount after the offering has been completed.
In order to facilitate the offering of the
notes, the Agents may engage in transactions that stabilize, maintain or otherwise affect the price of the notes. Specifically,
the Agents may sell more notes than they are obligated to purchase in connection with the offering, creating a naked short position
in the notes for their own account. The Agents must close out any naked short position by purchasing the notes in the open market.
A naked short position is more likely to be created if the Agents are concerned that there may be downward pressure on the price
of the notes in the open market after pricing that could adversely affect investors who purchase in the offering. As an additional
means of facilitating the offering, the Agents may bid for, and purchase, notes in the open market to stabilize the price of the
notes. Any of these activities may raise or maintain the market price of the notes above independent market levels or prevent or
slow a decline in the market price of the notes. The Agents are not required to engage in these activities and may end any of these
activities at any time.
No action has been or will be taken by us,
the Agents or any dealer that would permit a public offering of the notes or possession or distribution of this pricing supplement,
the accompanying prospectus supplement or prospectus other than in the United States, where action for that purpose is required.
No offers, sales or deliveries of the notes, or distribution of this pricing supplement, the accompanying prospectus supplement,
prospectus or any other offering material relating to the notes, may be made in or from any jurisdiction except in circumstances
which will result in compliance with any applicable laws and regulations and will not impose any obligations on us, the Agents
or any dealer.
Each Agent has represented and agreed, and
any other Agent through which we may offer the notes will represent and agree, that (i) if any notes are to be offered outside
the United States, it will not offer or sell any such notes in any jurisdiction if such offer or sale would not be in compliance
with any applicable law or regulation or if any consent, approval or permission is needed for such offer or sale by it or for or
on behalf of the Issuer, unless such consent, approval or permission has been previously obtained, and (ii) it will obtain any
consent, approval or permission required by it for the subscription, offer, sale or delivery of the notes, or for the distribution
of any offering materials, under the laws and regulations in force in any jurisdiction to which it is subject or in or from which
it makes any subscription, offer, sale or delivery.
Settlement
We expect to deliver the notes against payment
for the notes on the Settlement Date indicated above, which is the third business day following the Trade Date. Under Rule 15c6-1
of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in three business
days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement Date is more than three business
days after the Trade Date, purchasers who wish to transact in the notes more than three 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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