Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Underlying:
|
EURO STOXX 50
®
Index (Ticker: SX5E)
|
Issue Price:
|
100% of the Face Amount
|
Upside Leverage Factor:
|
1.3834
|
Buffer Amount:
|
15.00%
|
Downside Participation Factor:
|
117.647%
|
Payment at Maturity:
|
·
If the Final Level is
greater than
or
equal to
the Initial 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 x Upside Leverage Factor)
|
|
|
|
·
If the Final Level is
less than
the Initial Level by an amount
not greater than
the Buffer Amount
,
you will receive a cash payment at maturity equal to the Face Amount per $1,000 Face Amount of notes.
|
|
|
|
·
If the Final Level is
less than
the Initial Level by an amount
greater than
the Buffer Amount
,
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]
|
|
|
|
If the Final Level is less than the Initial Level by an amount greater than the Buffer Amount
,
you will be fully exposed to the negative Underlying Return and, for each $1
,
000 Face Amount of notes, you will lose 1.17647% 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
.
In this circumstance
,
you will lose some or all of your investment at maturity
.
Any payment at maturity is subject to the credit of the Issuer
.
|
|
|
|
(
Key Terms continued on next page
)
|
Investing in the notes involves a number of risks
.
See
“
Risk Factors
”
beginning on page 7 of the accompanying product supplement
,
page
PS
–
5 of the accompanying prospectus supplement and
page 13 of the accompanying prospectus and
“
Selected
Risk Considerations
”
beginning on page 9 of this pricing
supplement
.
The Issuer
’
s estimated value of the notes on
the Trade Date is approximately $957.20 to $977.20 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 underlying supplement, product
supplement, prospectus supplement or prospectus. Any representation to the contrary is a criminal offense.
|
Price
to Public
(1)
|
Fees
(1)(2)
|
Proceeds
to Issuer
|
Per
Note
|
$1,000.00
|
$15.00
|
$985.00
|
Total
|
$
|
$
|
$
|
|
(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
forgo fees for sales to fiduciary accounts. The total fees represent the amount that
the placement agents receive from sales to accounts other than such fiduciary accounts.
The placement agents will receive a fee from the Issuer that will not exceed $15.00 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
November , 2017
|
(
Key Terms continued from previous page
)
|
|
|
Underlying Return:
|
The performance of the Underlying from the Initial Level to the Final Level, calculated as follows:
|
|
|
|
Final Level – Initial Level
|
|
Initial Level
|
|
|
|
The Underlying Return may be positive
,
zero or negative
.
|
Initial Level:
|
The closing level of the Underlying on the Trade Date
|
Final Level:
|
The arithmetic average of the closing levels of the Underlying on each of the five Averaging Dates
|
Trade Date
2
:
|
November 10, 2017
|
Settlement Date
2
:
|
November 15, 2017
|
Averaging Dates
1, 2
:
|
November 4, 2019, November 5, 2019, November 6, 2019, November 7, 2019 and November 8, 2019
|
Maturity Date
1, 2
:
|
November 13, 2019
|
Listing:
|
The notes will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MFH9 / US25155MFH97
|
|
1
|
Subject
to adjustment as described under “Description of Securities — Adjustments
to Valuation Dates and Payment Dates” in the accompanying product supplement.
|
|
2
|
In
the event that we make any changes to the expected Trade Date or Settlement Date, the
Averaging Dates and Maturity Date may be changed so that the stated term of the notes
remains the same.
|
Issuer
’
s
Estimated Value of the Notes
The Issuer’s estimated value of the notes is equal to the
sum of our valuations of the following two components of the notes: (i) a bond and (ii) an embedded derivative(s). The value of
the bond component of the notes is calculated based on the present value of the stream of cash payments associated with a conventional
bond with a principal amount equal to the Face Amount of notes, discounted at an internal funding rate, which is determined primarily
based on our market-based yield curve, adjusted to account for our funding needs and objectives for the period matching the term
of the notes. The internal funding rate is typically lower than the rate we would pay when we issue conventional debt securities
on equivalent terms. This difference in funding rate, as well as the agent’s commissions, if any, and the estimated cost
of hedging our obligations under the notes, reduces the economic terms of the notes to you and is expected to adversely affect
the price at which you may be able to sell the notes in any secondary market. The value of the embedded derivative(s) is calculated
based on our internal pricing models using relevant parameter inputs such as expected interest and dividend rates and mid-market
levels of price and volatility of the assets underlying the notes or any futures, options or swaps related to such underlying assets.
Our internal pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be
incorrect.
The Issuer’s estimated value of the notes on the Trade
Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the notes. The difference between the
Issue Price and the Issuer’s estimated value of the notes on the Trade Date is due to the inclusion in the Issue Price of
the agent’s commissions, if any, and the cost of hedging our obligations under the notes through one or more of our affiliates.
Such hedging cost includes our or our affiliates’ expected cost of providing such hedge, as well as the profit we or our
affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.
The Issuer’s estimated value of the notes on the Trade
Date does not represent the price at which we or any of our affiliates would be willing to purchase your notes in the secondary
market at any time. Assuming no changes in market conditions or our creditworthiness and other relevant factors, the price, if
any, at which we or our affiliates would be willing to purchase the notes from you in secondary market transactions, if at all,
would generally be lower than both the Issue Price and the Issuer’s estimated value of the notes on the Trade Date. Our purchase
price, if any, in secondary market transactions will be based on the estimated value of the notes determined by reference to (i)
the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our
pricing models at that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the
assets underlying the notes and then-prevailing market conditions. The price we report to financial reporting services and to distributors
of our notes for use on customer account statements would generally be determined on the same basis. However, during the period
of approximately six months beginning from the Trade Date, we or our affiliates may, in our sole discretion, increase the purchase
price determined as described above by an amount equal to the declining differential between the Issue Price and the Issuer’s
estimated value of the notes on the Trade Date, prorated over such period on a straight-line basis, for transactions that are individually
and in the aggregate of the expected size for ordinary secondary market repurchases.
Resolution Measures and Deemed Agreement
On May 15, 2014, the European Parliament and the Council
of the European Union adopted a directive establishing a framework for the recovery and resolution of credit institutions and investment
firms (commonly referred to as the
“
Bank Recovery and Resolution
Directive
”
). The Bank Recovery and Resolution Directive
required each member state of the European Union to adopt and publish by December 31, 2014 the laws, regulations and administrative
provisions necessary to comply with the Bank Recovery and Resolution Directive. Germany adopted the Recovery and Resolution Act
(
Sanierungs
-
und Abwicklungsgesetz
, or the
“
Resolution
Act
”
), which became effective on January 1, 2015. The
Bank Recovery and Resolution Directive and the Resolution Act provided national resolution authorities with a set of resolution
powers to intervene in the event that a bank is failing or likely to fail and certain other conditions are met. From January 1,
2016, the power to initiate resolution measures applicable to significant banking groups (such as Deutsche Bank Group) in the European
Banking Union has been transferred to the European Single Resolution Board which, based on the European Union regulation establishing
uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of
a Single Resolution Mechanism and a Single Resolution Fund (the
“
SRM
Regulation
”
), works in close cooperation with the European
Central Bank, the European Commission and the national resolution authorities. Pursuant to the SRM Regulation, the Resolution Act
and other applicable rules and regulations, the notes may be subject to any Resolution Measure by the competent resolution authority
if we become, or are deemed by the competent supervisory authority to have become, “non-viable” (as defined under the
then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable
to us. By acquiring the notes, you will be bound by and deemed irrevocably to consent to the provisions set forth in the accompanying
prospectus, which we have summarized below.
By acquiring the notes, you will be bound by and deemed
irrevocably to consent to the imposition of any Resolution Measure by the competent resolution authority. Under the relevant resolution
laws and regulations as applicable to us from time to time, the notes may be subject to the powers exercised by the competent resolution
authority to: (i) write down, including to zero, any payment (or delivery obligations) on the notes; (ii) convert the notes into
ordinary shares of (a) the Issuer, (b) any group entity or (c) any bridge bank or other instruments of ownership of such entities
qualifying as common equity tier 1 capital; and/or (iii) apply any other resolution measure including, but not limited to, any
transfer of the notes to another entity, the amendment, modification or variation of the terms and conditions of the notes or the
cancellation of the notes. We refer to each of these measures as a
“
Resolution
Measure
.
”
A “group entity” refers to an entity
that is included in the corporate group subject to a Resolution Measure. A “bridge bank” refers to a newly chartered
German bank that would receive some or all of our assets, liabilities and material contracts, including those attributable to our
branches and subsidiaries, in a resolution proceeding.
Furthermore, by acquiring the notes, you:
|
·
|
are deemed irrevocably to have agreed, and you will agree: (i) to be bound by, to acknowledge
and to accept any Resolution Measure and any amendment, modification or variation of the terms and conditions of the notes to give
effect to any Resolution Measure; (ii) that you will have no claim or other right against us arising out of any Resolution Measure;
and (iii) that the imposition of any Resolution Measure will not constitute a default or an event of default under the notes, under
the senior indenture dated November 22, 2006 among us, Law Debenture Trust Company of New York, as trustee, and Deutsche Bank Trust
Company Americas, as issuing agent, paying agent, authenticating agent and registrar, as amended and supplemented from time to
time (the
“
Indenture
”
),
or for the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act of 1939, as amended (the
“
Trust
Indenture Act
”
);
|
|
·
|
waive, to the fullest extent permitted by the Trust Indenture Act and applicable law, any and
all claims against the trustee and the paying agent, the issuing agent and the registrar (each, an
“
indenture
agent
”
) for, agree not to initiate a suit against the
trustee or the indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any
action that the trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition
of a Resolution Measure by the competent resolution authority with respect to the notes; and
|
|
·
|
will be deemed irrevocably to have: (i) consented to the imposition of any Resolution Measure
as it may be imposed without any prior notice by the competent resolution authority of its decision to exercise such power with
respect to the notes; (ii) authorized, directed and requested The Depository Trust Company (
“
DTC
”
)
and any direct participant in DTC or other intermediary through which you hold such notes to take any and all necessary action,
if required, to implement the imposition of any Resolution Measure with respect to the notes as it may be imposed, without any
further action or direction on your part or on the part
|
of
the trustee or the indenture agents; and (iii) acknowledged and accepted that the Resolution Measure provisions described herein
and in the “Resolution Measures” section of the accompanying prospectus are exhaustive on the matters described herein
and therein to the exclusion of any other agreements, arrangements or understandings between you and the Issuer relating to the
terms and conditions of the notes.
This is only a summary
,
for more information
please see the accompanying prospectus dated April 27
,
2016
,
including the risk factors beginning on page 13 of such
prospectus
.
Additional Terms Specific to the Notes
You should read this pricing supplement together with underlying
supplement No. 1 dated August 17, 2015, product supplement B dated July 31, 2015, the prospectus supplement dated July 31, 2015
relating to our Series A global notes of which these 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 underlying supplement, 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):
|
·
|
Underlying supplement No. 1 dated August 17, 2015:
|
https://www.sec.gov/Archives/edgar/data/1159508/000095010315006546/crt_dp58829-424b2.pdf
|
·
|
Product supplement B dated July 31, 2015:
|
https://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
·
|
Prospectus supplement dated July 31, 2015:
|
https://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
|
·
|
Prospectus dated April 27, 2016:
|
https://www.sec.gov/Archives/edgar/data/1159508/000119312516559607/d181910d424b21.pdf
Our Central Index Key, or CIK, on the SEC website is 0001159508.
As used in this pricing supplement,
“
we
,
”
“
us
”
or
“
our
”
refers to Deutsche Bank AG, including, as the context requires, acting through one of its branches. This pricing supplement, together
with the documents listed above, contains the terms of the notes and supersedes all other prior or contemporaneous oral statements
as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures
for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other
things, the matters set forth in this pricing supplement and in “Risk Factors” in the accompanying product supplement,
prospectus supplement and prospectus, as the notes involve risks not associated with conventional debt securities. We urge you
to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the notes.
You may revoke your offer to purchase the notes at any time
prior to the time at which we accept such offer by notifying the applicable agent
.
We reserve the right to change the terms of
,
or reject
any offer to purchase
,
the notes prior to their issuance
.
We will notify you in the event of any changes to the terms of the notes and you will be asked to accept such changes in connection
with your purchase of any notes
.
You may choose to reject
such changes
,
in which case we may reject your offer to purchase
the notes
.
Hypothetical Examples
The following table illustrates a range of hypothetical payments
at maturity on the notes. The table and the hypothetical examples below reflect the Upside Leverage Factor of 1.3834, the Buffer
Amount of 15.00% and the Downside Participation Factor of 117.647%. The actual Initial Level will be determined on the Trade Date.
The table and hypothetical examples set forth below are for illustrative purposes only. The actual return applicable to a purchaser
of the notes will be based on the Underlying Return, determined using the closing levels of the Underlying on the specified Averaging
Dates. 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.
Hypothetical
Underlying Return
(%)
|
Hypothetical
Payment at Maturity
($)
|
Hypothetical
Return on the Notes
(%)
|
100.00%
|
$2,383.40
|
138.34%
|
90.00%
|
$2,245.06
|
124.51%
|
80.00%
|
$2,106.72
|
110.67%
|
70.00%
|
$1,968.38
|
96.84%
|
60.00%
|
$1,830.04
|
83.00%
|
50.00%
|
$1,691.70
|
69.17%
|
40.00%
|
$1,553.36
|
55.34%
|
30.00%
|
$1,415.02
|
41.50%
|
20.00%
|
$1,276.68
|
27.67%
|
10.00%
|
$1,138.34
|
13.83%
|
5.00%
|
$1,069.17
|
6.92%
|
0
.
00%
|
$1
,
000
.
00
|
0
.
00%
|
-5.00%
|
$1,000.00
|
0.00%
|
-10.00%
|
$1,000.00
|
0.00%
|
-
15
.
00%
|
$1
,
000
.
00
|
0
.
00%
|
-16.00%
|
$988.24
|
-1.18%
|
-20.00%
|
$941.18
|
-5.88%
|
-30.00%
|
$823.53
|
-17.65%
|
-40.00%
|
$705.88
|
-29.41%
|
-50.00%
|
$588.24
|
-41.18%
|
-60.00%
|
$470.59
|
-52.94%
|
-70.00%
|
$352.94
|
-64.71%
|
-80.00%
|
$235.29
|
-76.47%
|
-90.00%
|
$117.65
|
-88.24%
|
-100.00%
|
$0.00
|
-100.00%
|
Hypothetical
Examples of Amounts Payable at Maturity
The following hypothetical examples illustrate how the payments
on the notes at maturity set forth in the table above are calculated.
Example 1
:
The Final Level is greater than the Initial Level
,
resulting in
an Underlying Return of 30
.
00%
.
Because the Final Level is greater than the Initial Level, the investor receives a Payment at Maturity of $1,415.02 per $1,000
Face Amount of notes, calculated as follows:
$1,000 + ($1,000 x Underlying Return x Upside
Leverage Factor)
$1,000 + ($1,000 x 30.00% x 1.3834) = $1,415.02
Example 2
:
The Final Level is less than the Initial Level by an amount not greater than the Buffer Amount
,
resulting in an Underlying Return of
-
5
.
00%
.
Because the Final Level is less than the Initial Level by an amount not greater than the Buffer Amount, the investor receives a
Payment at Maturity of $1,000.00 per $1,000 Face Amount of notes.
Example 3
:
The Final Level is less than the Initial Level by an amount greater than the Buffer Amount
,
resulting in an Underlying Return of
-
40
.
00%
.
Because the Final Level is less than the Initial Level by an amount greater than the Buffer Amount, the investor receives a Payment
at Maturity of $705.88 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 (-40.00% + 15.00%) x 117.647%]
= $705.88
Selected Purchase Considerations
|
·
|
UNCAPPED APPRECIATION POTENTIAL
— The notes provide the opportunity to enhance returns by
multiplying
a
positive Underlying Return by the Upside Leverage Factor of 1.3834.
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 by an amount not greater than
the Buffer Amount of 15.00%, you will receive a payment at maturity equal to the Face Amount per $1,000 Face Amount of notes. However,
if the Final Level is less than the Initial Level by an amount greater than the Buffer Amount, for each $1,000 Face Amount of notes,
you will lose 1.17647% 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. In this circumstance, you will lose some or all of your investment in the notes.
|
|
·
|
RETURN LINKED TO THE PERFORMANCE OF THE EURO STOXX 50
®
Index
—
The return on the notes, which may be positive, zero or negative,
is linked to the performance of the EURO STOXX 50
®
Index as described herein. The EURO STOXX 50
®
Index is composed of the stocks of 50 major companies in the Eurozone. These companies include market sector leaders from within
the 19 EURO STOXX
®
Supersector indices, which represent the Eurozone portion of the STOXX Europe 600
®
Supersector indices. The STOXX Europe 600
®
Supersector indices
contain
the
600 largest stocks traded on the major exchanges of 18 European countries.
This is only a summary of the EURO STOXX 50
®
Index
.
For more information on the EURO STOXX 50
®
Index
,
including information concerning
its composition
,
calculation methodology and adjustment policy
,
please see the section entitled “The STOXX
Indices — The EURO STOXX 50
®
Index” in the accompanying underlying supplement No
.
1 dated
August 17
,
2015
.
|
|
·
|
TAX CONSEQUENCES
— In the opinion of our special tax counsel, Davis Polk & Wardwell LLP, which is based on
prevailing market conditions, it is more likely than not that the notes will be treated for U.S. federal income tax purposes as
prepaid financial
contracts
that are not debt. Generally, if this treatment is respected,
(i) you should not recognize taxable income or loss prior to the maturity or other taxable disposition of your notes and (ii) the
gain or loss on your notes should be capital gain or loss and should be long-term capital gain or loss if you have held the notes
for more than one year. The Internal Revenue Service (the
“
IRS
”
)
or a court might not agree with this treatment, however, in which case the timing and character of income or loss on your notes
could be materially and adversely affected.
|
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether
beneficial
owners of these instruments should be required to accrue income over the term of their investment. It also asks for comments
on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors
such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. persons should be subject to withholding tax; and whether these instruments are or
should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the notes, possibly with retroactive effect.
Withholding under legislation
commonly referred to as “FATCA” might (if the notes were recharacterized as debt instruments) apply to amounts treated
as interest paid with respect to the notes, as well as to the payment of gross proceeds of a taxable disposition, including redemption
at maturity, of a note. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than
any amount treated as interest) with respect to dispositions occurring before January 1, 2019. You should consult your
tax adviser regarding the potential
application of FATCA to the notes.
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,
we expect that Section 871(m) will not apply to the notes with regard to non-U.S. holders. Our determination is not binding on
the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further
information regarding the potential application of Section 871(m) will be provided in the pricing supplement for the notes. You
should consult your tax adviser regarding the potential application of Section 871(m) to the notes.
You should review carefully the
section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel regarding the material U.S.
federal income tax consequences of owning and disposing of the notes.
Under current law, the United Kingdom
will not impose withholding tax on payments made with respect to the notes.
For a discussion of certain German
tax considerations relating to the notes, you should refer to the section in the accompanying prospectus supplement entitled “Taxation
by Germany of Non-Resident Holders.”
You should consult your tax
adviser regarding the U
.
S
.
federal tax consequences of an investment in the notes
(
including
possible alternative treatments and the issues presented by the 2007 notice
),
as well as tax consequences arising under the laws of any state
,
local or non
-
U
.
S
.
taxing jurisdiction
.
Selected Risk Considerations
An investment in the notes involves significant risks. Investing
in the notes is not equivalent to investing directly in the stocks composing the Underlying. In addition to these selected risk
considerations, you should review the “Risk Factors” sections of the accompanying product supplement, prospectus supplement
and prospectus.
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·
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YOUR INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any return of your investment.
The return on the notes at maturity is linked to the performance of the Underlying and will depend on whether, and the extent to
which, the Underlying Return is positive, zero or negative. If the Final Level is less than the Initial Level by an amount greater
than the Buffer Amount, for each $1,000 Face Amount of notes, you will lose 1.17647% 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. In this circumstance, you will lose
some or all of your investment at maturity.
Any payment on the notes is subject to our ability to satisfy our obligations as
they become due
.
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·
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THE NOTES DO NOT PAY ANY COUPONS
— Unlike ordinary debt securities, the notes do not pay any coupons and do not
guarantee any return of your investment at maturity.
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·
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THE NOTES ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK
AG
— The notes are senior unsecured obligations of Deutsche Bank AG and are not, either directly or indirectly, an obligation
of any third party. Any payment(s) to be made on the notes depends on the ability of Deutsche Bank AG to satisfy its obligations
as they become due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating or increase in the credit spreads
charged by the market for taking Deutsche Bank AG’s credit risk will likely have an adverse effect on the value of the notes.
As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the value of the notes and, in the event
Deutsche Bank AG were to default on its obligations or become subject to a Resolution Measure, you might not receive any amount(s)
owed to you under the terms of the notes and you could lose your entire investment.
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·
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The Notes May Be Written Down
,
Be Converted Into Ordinary Shares or Other Instruments of Ownership or Become Subject to Other Resolution Measures
.
You May Lose Some or All of Your Investment If Any Such Measure Becomes Applicable to US
— Pursuant to the
SRM Regulation, the Resolution Act and other applicable rules and regulations described above under “Resolution Measures
and Deemed Agreement,” the notes are subject to the powers exercised by the competent resolution authority to impose Resolution
Measures on us, which may include: writing down, including to zero, any claim for payment on the notes; converting the notes into
ordinary shares of (i) the Issuer, (ii) any group entity or (iii) any bridge bank or other instruments of ownership of such entities
qualifying as common equity tier 1 capital; or applying any other resolution measure including, but not limited to, transferring
the notes to another entity, amending, modifying or varying the terms and conditions of the notes or cancelling the notes. The
competent resolution authority may apply Resolution Measures individually or in any combination.
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The German law on the mechanism
for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
,
or the
“
Resolution
Mechanism Act
”
) provides that, in a German insolvency
proceeding of the Issuer, certain specifically defined senior unsecured debt instruments would rank junior to, without constituting
subordinated debt, all other outstanding unsecured unsubordinated obligations of the Issuer and be satisfied only if all such other
senior unsecured obligations of the Issuer have been paid in full. This prioritization would also be given effect if Resolution
Measures are imposed on the Issuer, so that obligations under debt instruments that rank junior in insolvency as described above
would be written down or converted into common equity tier 1 instruments
before
any other senior unsecured obligations of
the Issuer are written down or converted. A large portion of our liabilities consist of senior unsecured obligations that either
fall outside the statutory definition of debt instruments that rank junior to other senior unsecured obligations according to the
Resolution Mechanism Act or are expressly exempted from such definition.
Among those unsecured unsubordinated
obligations that are expressly exempted are money market instruments and senior unsecured debt instruments whose terms provide
that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event which is uncertain
at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than by monetary payment,
or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence of an event
which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of interest or
the amount of the interest payments solely depends on a fixed or floating reference interest rate and is settled by monetary payment.
This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency proceedings instituted, or when
Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of the Issuer outstanding at that
time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect to the Issuer, the
competent regulatory authority or court would determine which of our senior debt securities issued under the prospectus have the
terms described in clauses (i) or (ii) above, referred to herein as the
“
Structured
Debt Securities
,”
and which do not, referred to
herein as the
“
Non
-
Structured
Debt Securities
.
”
We expect the notes offered herein
to be classified as Structured Debt Securities, but the competent regulatory authority or court may classify the notes differently.
In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect to the Issuer, the Structured
Debt Securities are expected to be among the unsecured unsubordinated obligations that would bear losses after the Non-Structured
Debt Securities as described above.
Nevertheless
,
you may lose some or all of your investment in the
notes
if a Resolution
Measure becomes applicable to us
.
Imposition of
a Resolution Measure would likely occur if we become, or are deemed by the competent supervisory authority to have become, “non-viable”
(as defined under the then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure
becoming applicable to us. The Bank Recovery and Resolution Directive and the Resolution Act are intended to eliminate the need
for public support of troubled banks, and you should be aware that public support, if any, would only potentially be used by the
competent supervisory authority as a last resort after having assessed and exploited, to the maximum extent practicable, the resolution
tools, including the bail-in tool.
By acquiring the notes, you would
have no claim or other right against us arising out of any Resolution Measure and we would have no obligation to make payments
under the notes following the imposition of a Resolution Measure. In particular, the imposition of any Resolution Measure will
not constitute a default or an event of default under the notes, under the Indenture or for the purposes of, but only to the fullest
extent permitted by, the Trust Indenture Act. Furthermore, because the notes are subject to any Resolution Measure, secondary market
trading in the notes may not follow the trading behavior associated with similar types of securities issued by other financial
institutions which may be or have been subject to a Resolution Measure.
In addition, by your acquisition
of the notes, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable law, any and all claims against
the trustee and the indenture agents for, agree not to initiate a suit against the trustee or the indenture agents in respect of,
and agree that the trustee and the indenture agents will not be liable for, any action that the trustee or the indenture agents
take, or abstain from taking, in either case in accordance with the imposition of a Resolution Measure by the competent resolution
authority with respect to the notes.
Accordingly
,
you may have limited or circumscribed rights to challenge any decision of the competent resolution authority to impose any Resolution
Measure
.
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·
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THE ISSUER
’
S ESTIMATED VALUE OF THE NOTES ON
THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE NOTES
— The Issuer’s estimated value of the notes on the
Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the notes. The difference between
the Issue Price and the Issuer’s estimated value of the notes on the Trade Date is due to the inclusion in the Issue Price
of the agent’s commissions, if any, and the cost of hedging our obligations under the notes through one or more of our affiliates.
Such hedging cost includes our or our affiliates’ expected cost of providing such hedge, as well as the profit we or our
affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. The Issuer’s estimated
value of the notes is determined by reference to an internal funding rate and our pricing models. The internal funding rate is
typically lower than the rate we would pay when we issue conventional debt securities on equivalent terms. This difference in funding
rate, as well as the agent’s commissions, if any, and the estimated cost of hedging our obligations under the notes, reduces
the economic terms of the notes to you and is expected to adversely affect the price at which you may be able to sell the notes
in any secondary market. In addition, our internal pricing models are proprietary and rely in part on certain assumptions about
future events, which may prove to be incorrect. If at any time a third party dealer were to quote a price to purchase your notes
or otherwise value your notes, that price or value may differ materially from the estimated value of the notes determined by reference
to our internal funding rate and pricing models. This difference is due to, among other things, any difference in funding rates,
pricing models or assumptions used by any dealer who may purchase the notes in the secondary market.
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INVESTING IN THE NOTES IS NOT THE SAME AS INVESTING IN THE STOCKS COMPOSING THE UNDERLYING
— The return on the
notes may not reflect the return you would have realized if you had directly invested in the stocks composing the Underlying. For
instance, you will not have any voting rights or rights to receive cash dividends or other distributions or other rights that holders
of the stocks composing the Underlying would have.
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·
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IF THE LEVEL OF THE UNDERLYING CHANGES
,
THE VALUE
OF YOUR NOTES MAY NOT CHANGE IN THE SAME MANNER
— Your notes may trade quite differently from the level of the Underlying.
Changes in the level of the Underlying may not result in comparable changes in the value of your notes.
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·
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the notes, you will not have any voting rights or rights
to receive cash dividends or other distributions or other rights that holders of the stocks composing the Underlying would have.
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·
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The UNDERLYING Reflects the Price Return of the Stocks Composing the UNDERLYING
,
Not THEIR Total Return
INCLUDING ALL DIVIDENDS AND OTHER DISTRIBUTIONS
— The Underlying reflects the
changes in the market prices of the stocks composing the Underlying. The Underlying is not, however, a “total return”
index, which, in addition to reflecting those price returns, would also reflect the reinvestment of all dividends and other distributions
paid on the stocks composing the Underlying.
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·
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THERE ARE RISKS ASSOCIATED WITH INVESTMENTS IN NOTES
LINKED TO THE VALUES OF EQUITY SECURITIES ISSUED BY NON
-
U
.
S
.
COMPANIES
— The Underlying includes component stocks that are issued by companies incorporated outside of
the U.S. Because the component stocks also trade outside the U.S., the notes are subject to the risks associated with non-U.S.
securities markets. Generally, non-U.S. securities markets may be less liquid and more volatile than U.S. securities markets and
market developments may affect non-U.S. securities markets differently than U.S. securities markets, which may adversely affect
the level of the Underlying and, thus, the value of your notes. Furthermore, there are risks associated with investments in securities
linked to the values of equity securities issued by non-U.S. companies. There is generally less publicly available information
about non-U.S. companies than about those U.S. companies that are subject to the reporting requirements of the SEC, and non-U.S.
companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable
to U.S. reporting companies. In addition, the prices of equity securities issued by non-U.S. companies may be
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adversely
affected by political, economic, financial and social factors that may be unique to the particular countries in which the non-U.S.
companies are incorporated. These factors include the possibility of recent or future changes in a non-U.S. government’s
economic and fiscal policies (including any direct or indirect intervention to stabilize the economy and/or securities market
of the country of such non-U.S. government), the presence, and extent, of cross shareholdings in non-U.S. companies, the possible
imposition of, or changes in, currency exchange laws or other non-U.S. laws or restrictions applicable to non-U.S. companies or
investments in non-U.S. securities and the possibility of fluctuations in the rate of exchange between currencies. Moreover, certain
aspects of a particular non-U.S. economy may differ favorably or unfavorably from the U.S. economy in important respects, such
as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. Specifically, the
stocks included in the Underlying are issued by companies located in countries within the Eurozone, some of which are and have
been experiencing economic stress.
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·
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WE ARE ONE OF THE COMPANIES THAT MAKE UP THE UNDERLYING
— We are
one of the companies that make up the Underlying. To our knowledge, we are not currently affiliated with any of the other companies
the equity securities of which are represented in the Underlying. As a result, we will have no ability to control the actions of
such other companies, including actions that could affect the value of the equity securities composing the Underlying or your notes.
None of the other companies represented in the Underlying will be involved in the offering of the notes in any way. Neither they
nor we will have any obligation to consider your interests as a holder of the notes in taking any corporate actions that might
affect the value of your notes.
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·
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THE PERFORMANCE OF THE UNDERLYING WILL NOT BE ADJUSTED FOR CHANGES IN THE EURO RELATIVE TO THE U
.
S
.
DOLLAR
— The Underlying is composed of stocks denominated in euro. Because the level of the Underlying is also calculated
in euro (and not in U.S. dollars), the performance of the Underlying will not be adjusted for exchange rate fluctuations between
the U.S. dollar and the euro. Therefore, if the euro strengthens or weakens relative to the U.S. dollar over the term of the notes,
you will not receive any additional payment or incur any reduction in your return on the notes.
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·
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THE
Sponsor
OF The UNDERLYING may adjust The UNDERLYING in ways that affect the level of The UNDERLYING
and has NO obligation to consider your interests
— The sponsor of
the Underlying (the
“
Index Sponsor
”
)
is responsible for calculating and maintaining the Underlying. The Index Sponsor can add, delete or substitute the components of
the Underlying or make other methodological changes that could change the level of the Underlying. You should realize that the
changing of such Underlying components may affect the Underlying, as a newly added component may perform significantly better or
worse than the component it replaces. Additionally, the Index Sponsor may alter, discontinue or suspend calculation or dissemination
of the Underlying. Any of these actions could adversely affect the value of, and your return on, the notes. The Index Sponsor has
no obligation to consider your interests in calculating or revising the Underlying.
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·
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PAST PERFORMANCE OF THE UNDERLYING IS NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the Underlying
over the term of the notes may bear little relation to the historical closing levels 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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·
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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
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we
report to financial reporting services and to distributors of our notes for use on customer account statements would generally
be determined on the same basis. However, during the period of approximately six months beginning from the Trade Date, we or
our affiliates may, in our sole discretion, increase the purchase price determined as described above by an amount equal to the
declining differential between the Issue Price and the Issuer’s estimated value of the notes on the Trade Date, prorated
over such period on a straight-line basis, for transactions that are individually and in the aggregate of the expected size for
ordinary secondary market repurchases.
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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·
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THE NOTES WILL NOT BE LISTED AND THERE WILL LIKELY BE LIMITED LIQUIDITY
— The notes will not be listed on any
securities exchange. There may be little or no secondary market for the notes. We or our affiliates intend to act as market makers
for the notes but are not required to do so and may cease such market making activities at any time. Even if there is a secondary
market, it may not provide enough liquidity to allow you to sell the notes when you wish to do so or at a price advantageous to
you. Because we do not expect other dealers to make a secondary market for the notes, the price at which you may be able to sell
your notes is likely to depend on the price, if any, at which we or our affiliates are willing to buy the notes. If, at any time,
we or our affiliates do not act as market makers, it is likely that there would be little or no secondary market in the notes.
If you have to sell your notes prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss,
even in cases where the level of the Underlying has increased since the Trade Date.
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·
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MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE NOTES
— While we expect that, generally, the level
of the Underlying 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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o
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the expected volatility of the Underlying;
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|
o
|
the time remaining to the maturity of the notes;
|
|
o
|
the market prices and dividend rates of the stocks composing
the Underlying;
|
|
o
|
the composition of the Underlying;
|
|
o
|
interest rates and yields in the markets generally;
|
|
o
|
geopolitical conditions and economic, financial, political,
regulatory or judicial events that affect the Underlying or the markets generally;
|
|
o
|
supply and demand for the notes; and
|
|
o
|
our creditworthiness, including actual or anticipated
downgrades in our credit ratings.
|
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
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 EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE NOTES
— We or our affiliates expect to hedge
our exposure from the notes by entering into equity and equity derivative transactions, such as over-the-counter options, futures
or exchange-traded instruments. We, JPMorgan Chase & Co. or our or its affiliates may also engage in trading in instruments
linked or related to the Underlying on a regular basis as part of our or their general broker-dealer and other businesses, for
proprietary accounts, for other accounts under management or to facilitate transactions for customers, including block transactions.
Such trading
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and
hedging activities may adversely affect the level of the Underlying and, therefore, make it less likely that you will receive
a positive return on your investment in the notes. It is possible that we, JPMorgan Chase & Co. or our or its affiliates could
receive substantial returns from these hedging and trading activities while the value of the notes declines. We, JPMorgan Chase
& Co. or our or its affiliates may also issue or underwrite other securities or financial or derivative instruments with returns
linked or related to the Underlying. To the extent that we, JPMorgan Chase & Co. or our or its affiliates serve as issuer,
agent or underwriter for such securities or financial or derivative instruments, our, JPMorgan Chase & Co.’s or our
or its affiliates’ interests with respect to such products may be adverse to those of the holders of the notes. Introducing
competing products into the marketplace in this manner could adversely affect the level of the Underlying and the value of the
notes. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or are in
direct opposition to, investors’ trading and investment strategies related to the notes.
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·
|
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 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 and the value of the notes, or express opinions or provide recommendations that are
inconsistent with purchasing or holding the notes. Any research, opinions or recommendations expressed by us, JPMorgan Chase &
Co. or our or its affiliates may not be consistent with each other and may be modified from time to time without notice. You should
make your own independent investigation of the merits of investing in the notes and the Underlying.
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·
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POTENTIAL CONFLICTS OF INTEREST
— We and our affiliates play a variety of roles in connection with the issuance
of the notes, including acting as calculation agent, hedging our obligations under the notes and determining the Issuer’s
estimated value of the notes on the Trade Date and the price, if any, at which we or our affiliates would be willing to purchase
the notes from you in secondary market transactions. In performing these roles, our economic interests and those of our affiliates
are potentially adverse to your interests as an investor in the notes. The calculation agent will determine, among other things,
all values, prices and levels required to be determined for the purposes of the notes on any relevant date or time. The calculation
agent will also be responsible for determining whether a market disruption event has occurred. Any determination by the calculation
agent could adversely affect the return on the notes.
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|
·
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THE U
.
S
.
FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES ARE UNCERTAIN
— There is no direct legal authority regarding
the proper U.S. federal income tax treatment of the notes, and we do not plan to request a ruling from the IRS. Consequently, significant
aspects of the tax treatment of the notes are uncertain, and the IRS or a court might not agree with the treatment of the notes
as prepaid financial contracts that are not debt. If the IRS were successful in asserting an alternative treatment for the notes,
the tax consequences of ownership and disposition of the notes could be materially and adversely affected. In addition, as described
above under “Tax Consequences,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the notes, possibly with retroactive effect. You should review carefully the section of
the accompanying product supplement entitled “U.S. Federal Income Tax Consequences,” and consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the notes (including possible alternative treatments and the issues presented
by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
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Use of Proceeds and Hedging
Part of the net proceeds we receive from the sale of the notes
will be used in connection with hedging our obligations under the notes through one or more of our affiliates. The hedging or trading
activities of our affiliates on or prior to the Trade Date or an Averaging Date could adversely affect the level of the Underlying
and, as a result, could decrease the amount you may receive on the notes at maturity.
Historical Information
The following graph sets forth the historical performance of
the EURO STOXX 50
®
Index based on its daily closing levels from November 3, 2012 through November 3, 2017. The closing
level of the Underlying on November 3, 2017 was 3,689.96. The graph below also indicates by a broken line a hypothetical closing
level that would result in a percentage decline from the closing level of the Underlying on November 3, 2017 that is equal to the
Buffer Amount of 15.00%. We obtained the historical closing levels of the Underlying below from Bloomberg L.P. and we have not
participated in the preparation of, or verified, such information.
The historical closing levels of the Underlying should not
be taken as an indication of future performance and no assurance can be given as to the closing level of the Underlying on any
of the Averaging Dates
.
We cannot give you assurance that
the performance of the Underlying will result in the return of any of your investment
.
Supplemental Plan of Distribution
JPMorgan Chase Bank, N.A. and JPMS LLC or one of its affiliates
will act as placement agents for the notes. The placement agents will receive a fee from the Issuer that will not exceed $15.00
per $1,000 Face Amount of notes, but will forgo any fees for sales to certain fiduciary accounts. See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement.
Settlement
We expect to deliver the notes against payment for the notes
on the Settlement Date indicated above, which is expected to be a day that is greater than two business days following the Trade
Date. Under Rule 15c6–1 of the Securities Exchange Act of 1934, as amended, trades in the secondary market generally will
be required to settle in two business days, unless the parties to a trade expressly agree otherwise. Accordingly, if the Settlement
Date is more than two business days after the Trade Date, purchasers who wish to transact in the notes more than two business days
prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent a failed settlement.
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