Pricing Supplement
No. 3072B
To underlying
supplement No
.
1 dated August 17
,
2015
,
product supplement
B dated July 31
,
2015
,
prospectus
supplement dated July 31
,
2015
and
prospectus dated April
27
,
2016
|
Registration Statement No
.
333
–
206013
Rule 424
(
b
)(
2
)
|
The
information in this preliminary pricing supplement is not complete and may be changed
.
This preliminary pricing supplement
and the accompanying underlying supplement
,
product supplement
,
prospectus supplement and prospectus do not constitute
an offer to sell nor do they seek an offer to buy the securities in any jurisdiction where the offer or sale is not permitted
.
Subject
to Completion. Dated April 11, 2018
|
Deutsche Bank AG
$ Capped Buffered Underlying Securities
(
BUyS
)
Linked to the Nikkei 225 Index due March 17, 2020
General
|
·
|
The Capped Buffered Underlying Securities
(BUyS) Linked to the Nikkei 225 Index due March 17, 2020 (the “
securities
”) are designed for investors who seek
a return at maturity of 140.00% of any increase in the level of the Nikkei 225 Index (the “
Underlying
”), up
to the Maximum Return of 61.60%. If the Final Level is
less than
the Initial Level by an amount
not greater than
the Buffer Amount of 10.00%, investors will receive a cash payment at maturity equal to the Face Amount per $1,000 Face Amount
of securities. 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 securities, investors will lose 1.1111% 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. The securities do not pay any coupons or dividends
and investors should be willing to lose some or all of their investment if the Final Level is less than the Initial Level by an
amount greater than the Buffer Amount. Any payment on the securities is subject to the credit of the Issuer.
|
|
·
|
Senior unsecured obligations of Deutsche
Bank AG due March 17, 2020
|
|
·
|
Minimum purchase of $1,000. Minimum denominations
of $1,000 (the “
Face Amount
”) and integral multiples thereof.
|
|
·
|
The securities are expected to price on
or about April 12, 2018 (the “
Trade Date
”) and are expected to settle on or about April 17, 2018 (the “
Settlement
Date
”).
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Underlying:
|
Nikkei 225 Index (Ticker: NKY)
|
Issue Price:
|
100% of the Face Amount
|
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 securities calculated as follows:
$1,000 + [$1,000 x
(the
lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)]
·
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 securities.
·
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 securities 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
,
for each $1
,
000 Face Amount of
securities
,
you will lose 1.1111% 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 securities involves
a number of risks
.
See
“
Risk Factors
”
beginning on page 7 of the accompanying product supplement
,
page PS
–
5 of the accompanying prospectus supplement and page 13 of the accompanying prospectus and
“
Selected
Risk Considerations
”
beginning on page PS
–
9 of this pricing supplement
.
The Issuer
’
s estimated value
of the securities on the Trade Date is approximately $963.10 to $983.10 per $1
,
000 Face Amount of securities
,
which
is less than the Issue Price
.
Please see
“
Issuer
’
s Estimated Value of the Securities
”
on page PS
–
3 of this pricing supplement for additional information
.
By acquiring the securities
,
you
will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure
(
as defined below
)
by
the competent resolution authority
,
which may include the write down of all
,
or a portion
,
of any payment
on the securities or the conversion of the securities into ordinary shares or other instruments of ownership
.
If any Resolution
Measure becomes applicable to us
,
you may lose some or all of your investment in the securities
.
Please see
“
Resolution
Measures and Deemed Agreement
”
on page PS
–
4 of this pricing supplement for more information
.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this pricing supplement or the accompanying underlying supplement, product supplement, prospectus supplement or prospectus. Any
representation to the contrary is a criminal offense.
|
Price to Public
|
Discounts and Commissions
(1)
|
Proceeds to Us
|
Per Security
|
$1,000.00
|
$10.00
|
$990.00
|
Total
|
$
|
$
|
$
|
|
(1)
|
For more detailed information about discounts and commissions, please see “Supplemental Plan
of Distribution (Conflicts of Interest)” in this pricing supplement. The securities will be sold with varying underwriting
discounts and commissions in an amount not to exceed $10.00 per $1,000 Face Amount of securities..
|
The agent for this offering is our affiliate.
For more information, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.
The securities are not deposits or savings
accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other U
.
S
.
or foreign
governmental agency or instrumentality
.
Deutsche Bank Securities
April , 2018
(
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 closing level of the Underlying on the Final Valuation Date
|
Buffer Amount:
|
10.00%
|
Upside Leverage Factor:
|
140.00%
|
Downside Participation Factor:
|
111.11%
|
Maximum Return:
|
61.60%. Accordingly, the maximum Payment at Maturity will be $1,616.00 per $1,000 Face Amount of securities.
|
Trade Date
2
:
|
April 12, 2018
|
Settlement Date
2
:
|
April 17, 2018
|
Final Valuation Date
1, 2
:
|
March 12, 2020
|
Maturity Date
1, 2
:
|
March 17, 2020
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MKT7 / US25155MKT70
|
|
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 Final
Valuation Date and Maturity Date may be changed so that the stated term of the securities remains the same.
|
Issuer
’
s
Estimated Value of the Securities
The
Issuer’s estimated value of the securities is equal to the sum of our valuations of the following two components of the
securities: (i) a bond and (ii) an embedded derivative(s). The value of the bond component of the securities is calculated based
on the present value of the stream of cash payments associated with a conventional bond with a principal amount equal to the Face
Amount of securities, discounted at an internal funding rate, which is determined primarily based on our market-based yield curve,
adjusted to account for our funding needs and objectives for the period matching the term of the securities. The internal funding
rate is typically lower than the rate we would pay when we issue conventional debt securities on equivalent terms. This difference
in funding rate, as well as the agent’s commissions, if any, and the estimated cost of hedging our obligations under the
securities, reduces the economic terms of the securities to you and is expected to adversely affect the price at which you may
be able to sell the securities in any secondary market. The value of the embedded derivative(s) is calculated based on our internal
pricing models using relevant parameter inputs such as expected interest and dividend rates and mid-market levels of price and
volatility of the assets underlying the securities or any futures, options or swaps related to such underlying assets. Our internal
pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect.
The
Issuer’s estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less
than the Issue Price of the securities. The difference between the Issue Price and the Issuer’s estimated value of the securities
on the Trade Date is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging
our obligations under the securities through one or more of our affiliates. Such hedging cost includes our or our affiliates’
expected cost of providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming
the risks inherent in providing such hedge.
The
Issuer’s estimated value of the securities on the Trade Date does not represent the price at which we or any of our affiliates
would be willing to purchase your securities in the secondary market at any time. Assuming no changes in market conditions or
our creditworthiness and other relevant factors, the price, if any, at which we or our affiliates would be willing to purchase
the securities from you in secondary market transactions, if at all, would generally be lower than both the Issue Price and the
Issuer’s estimated value of the securities on the Trade Date. Our purchase price, if any, in secondary market transactions
will be based on the estimated value of the securities determined by reference to (i) the then-prevailing internal funding rate
(adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our pricing models at that time, less a bid
spread determined after taking into account the size of the repurchase, the nature of the assets underlying the securities and
then-prevailing market conditions. The price we report to financial reporting services and to distributors of our securities for
use on customer account statements would generally be determined on the same basis. However, during the period of approximately
six months beginning from the Trade Date, we or our affiliates may, in our sole discretion, increase the purchase price determined
as described above by an amount equal to the declining differential between the Issue Price and the Issuer’s estimated value
of the securities on the Trade Date, prorated over such period on a straight-line basis, for transactions that are individually
and in the aggregate of the expected size for ordinary secondary market repurchases.
Resolution Measures
and Deemed Agreement
On May 15, 2014, the European Parliament
and the Council of the European Union adopted a directive establishing a framework for the recovery and resolution of credit institutions
and investment firms (commonly referred to as the “
Bank Recovery and Resolution Directive
”). The Bank Recovery
and Resolution Directive required each member state of the European Union to adopt and publish by December 31, 2014 the laws, regulations
and administrative provisions necessary to comply with the Bank Recovery and Resolution Directive. Germany adopted the Recovery
and Resolution Act (
Sanierungs
-
und Abwicklungsgesetz
, or the “
Resolution Act
”), which became
effective on January 1, 2015. The Bank Recovery and Resolution Directive and the Resolution Act provided national resolution authorities
with a set of resolution powers to intervene in the event that a bank is failing or likely to fail and certain other conditions
are met. From January 1, 2016, the power to initiate resolution measures applicable to significant banking groups (such as Deutsche
Bank Group) in the European Banking Union has been transferred to the European Single Resolution Board which, based on the European
Union regulation establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment
firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund (the “
SRM Regulation
”),
works in close cooperation with the European Central Bank, the European Commission and the national resolution authorities. Pursuant
to the SRM Regulation, the Resolution Act and other applicable rules and regulations, the securities may be subject to any Resolution
Measure by the competent resolution authority if we become, or are deemed by the competent supervisory authority to have become,
“non-viable” (as defined under the then applicable law) and are unable to continue our regulated banking activities
without a Resolution Measure becoming applicable to us. By acquiring the securities, you will be bound by and deemed irrevocably
to consent to the provisions set forth in the accompanying prospectus, which we have summarized below.
By acquiring the securities, you will be
bound by and deemed irrevocably to consent to the imposition of any Resolution Measure by the competent resolution authority. Under
the relevant resolution laws and regulations as applicable to us from time to time, the securities may be subject to the powers
exercised by the competent resolution authority to: (i) write down, including to zero, any payment (or delivery obligations) on
the securities; (ii) convert the securities into ordinary shares of (a) the Issuer, (b) any group entity or (c) any bridge bank
or other instruments of ownership of such entities qualifying as common equity tier 1 capital; and/or (iii) apply any other resolution
measure including, but not limited to, any transfer of the securities to another entity, the amendment, modification or variation
of the terms and conditions of the securities or the cancellation of the securities. We refer to each of these measures as a “
Resolution
Measure
.” A “group entity” refers to an entity that is included in the corporate group subject to a Resolution
Measure. A “bridge bank” refers to a newly chartered German bank that would receive some or all of our assets, liabilities
and material contracts, including those attributable to our branches and subsidiaries, in a resolution proceeding.
Furthermore, by acquiring the securities,
you:
|
•
|
are deemed irrevocably to have agreed, and you will agree: (i) to be bound by, to acknowledge and
to accept any Resolution Measure and any amendment, modification or variation of the terms and conditions of the securities to
give effect to any Resolution Measure; (ii) that you will have no claim or other right against us arising out of any Resolution
Measure; and (iii) that the imposition of any Resolution Measure will not constitute a default or an event of default under the
securities, under the senior indenture dated November 22, 2006 among us, Law Debenture Trust Company of New York, as trustee, and
Deutsche Bank Trust Company Americas, as issuing agent, paying agent, authenticating agent and registrar, as amended and supplemented
from time to time (the “
Indenture
”), or for the purposes of, but only to the fullest extent permitted by, the
Trust Indenture Act of 1939, as amended (the “
Trust Indenture Act
”);
|
|
•
|
waive, to the fullest extent permitted by the Trust Indenture
Act and applicable law, any and all claims against the trustee and the paying agent, the issuing agent and the registrar (each,
an “
indenture agent
”) for, agree not to initiate a suit against the trustee or the indenture agents in respect
of, and agree that the trustee and the indenture agents will not be liable for, any action that the trustee or the indenture agents
take, or abstain from taking, in either case in accordance with the imposition of a Resolution Measure by the competent resolution
authority with respect to the securities; and
|
|
•
|
will
be deemed irrevocably to have: (i) consented to the imposition of any Resolution Measure as it may be imposed without any prior
notice by the competent resolution authority of its decision to exercise such
|
power with respect
to the securities; (ii) authorized, directed and requested The Depository Trust Company (“
DTC
”) and any direct
participant in DTC or other intermediary through which you hold such securities to take any and all necessary action, if required,
to implement the imposition of any Resolution Measure with respect to the securities as it may be imposed, without any further
action or direction on your part or on the part of the trustee or the indenture agents; and (iii) acknowledged and accepted that
the Resolution Measure provisions described herein and in the “Resolution Measures” section of the accompanying prospectus
are exhaustive on the matters described herein and therein to the exclusion of any other agreements, arrangements or understandings
between you and the Issuer relating to the terms and conditions of the securities.
This is only a summary
,
for more
information please see the accompanying prospectus dated April 27
,
2016, including the risk factors beginning on page 13
of such prospectus
.
Additional Terms Specific
to the Securities
You
should read this pricing supplement together with 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 securities are
a part and the prospectus dated April 27, 2016. Delaware Trust Company, which acquired the corporate trust business of Law Debenture
Trust Company of New York, is the successor trustee of the securities. When you read the accompanying 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 securities and supersedes all other prior
or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in this pricing supplement and in “Risk Factors” in the accompanying
product supplement, prospectus supplement and prospectus, as the securities involve risks not associated with conventional debt
securities. We urge you to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the
securities.
You
may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the applicable
agent
.
We reserve the right to change the terms of
,
or reject any offer to purchase
,
the securities prior
to their issuance
.
We will notify you in the event of any changes to the terms of the securities and you will be asked to
accept such changes in connection with your purchase of any securities
.
You may choose to reject such changes
,
in
which case we may reject your offer to purchase the securities
.
Hypothetical Examples
The following table illustrates a range
of hypothetical payments at maturity on the securities. The table and the hypothetical examples below reflect the Maximum Return
of 61.60%, the Upside Leverage Factor of 140.00%, the Downside Participation Factor of 111.11% and the Buffer Amount of 10.00%.
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 securities will be based on the Underlying Return, determined
using the closing level of the Underlying on the Final Valuation Date. The numbers appearing in the table and hypothetical examples
below may have been rounded for ease of analysis. You should consider carefully whether the securities are suitable to your investment
goals.
Hypothetical
Underlying Return
(%)
|
Hypothetical
Payment at Maturity
($)
|
Hypothetical
Return on the Securities
(%)
|
100.00%
|
$1,616.00
|
61.60%
|
75.00%
|
$1,616.00
|
61.60%
|
50.00%
|
$1,616.00
|
61.60%
|
44.00%
|
$
1,616.00
|
61.60%
|
40.00%
|
$1,560.00
|
56.00%
|
30.00%
|
$1,420.00
|
42.00%
|
20.00%
|
$1,280.00
|
28.00%
|
10.00%
|
$1,140.00
|
14.00%
|
5.00%
|
$1,070.00
|
7.00%
|
0
.
00%
|
$
1
,
000
.
00
|
0
.
00%
|
-5.00%
|
$1,000.00
|
0.00%
|
-
10.00%
|
$
1
,
000
.
00
|
0
.
00%
|
-11.00%
|
$988.89
|
-1.11%
|
-20.00%
|
$888.89
|
-11.11%
|
-30.00%
|
$777.78
|
-22.22%
|
-40.00%
|
$666.67
|
-33.33%
|
-50.00%
|
$555.56
|
-44.44%
|
-75.00%
|
$277.78
|
-72.22%
|
-100.00%
|
$0.00
|
-100.00%
|
Hypothetical Examples of Amounts Payable at Maturity
The following hypothetical examples illustrate
how the payments on the securities 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 50
.
00%
. Because the Final Level is
greater than the Initial Level and the Underlying Return multiplied by the Upside Leverage Factor is greater than the Maximum Return,
the investor receives a Payment at Maturity of $1,616.00 per $1,000 Face Amount of securities, the maximum payment on the securities,
calculated as follows:
$1,000 + [$1,000 x (the
lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)]
$1,000 + ($1,000 x 61.60%) = $1,616.00
Example 2
:
The Final Level is
greater than
the Initial Level
,
resulting in an Underlying Return of 5
.
00%
. Because the Final Level is
greater than the Initial Level and the Underlying Return multiplied by the Upside Leverage Factor is less than the Maximum Return,
the investor receives a Payment at Maturity of $1,070.00 per $1,000 Face Amount of securities, calculated as follows:
$1,000 + [$1,000 x (the
lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)]
$1,000 + ($1,000 x 5.00%
x 140.00%) = $1,070.00
Example 3
:
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 securities.
Example 4
:
The Final Level is
less than
the Initial Level by an amount
greater than
the Buffer Amount
,
resulting in an Underlying Return
of
-
50
.
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 $555.56 per $1,000 Face Amount of securities, calculated as follows:
$1,000 + [$1,000 x (Underlying
Return + Buffer Amount) x Downside Participation Factor]
$1,000 + [$1,000 x (-50.00% + 10.00%)
x 111.11%] = $555.56
Selected Purchase Considerations
|
·
|
CAPPED APPRECIATION POTENTIAL
—
The securities are linked to the performance of the Underlying and provide upside leveraged exposure to any increase in the level
of the Underlying up to the Maximum Return of 61.60%, resulting in a maximum Payment at Maturity of $1,616.00 per $1,000 Face Amount
of securities.
Any payment on the securities 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, you will receive a cash
payment at maturity equal to the Face Amount per $1,000 Face Amount of securities. 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 securities, you will lose 1.1111% 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 securities.
|
|
·
|
RETURN LINKED TO THE PERFORMANCE OF
THE NIKKEI 225 INDEX
— The Nikkei 225 Index is composed of 225 component stocks trading on the Tokyo Stock Exchange representing
a broad cross-section of Japanese industries. All the stocks composing the Nikkei 225 Index are listed in the First Section of
the Tokyo Stock Exchange. Stocks listed in the First Section of the Tokyo Stock Exchange are among the most actively traded stocks
on the Tokyo Stock Exchange. Nikkei Inc. rules require that the 75 most liquid issues (one-third of the component count of the
Nikkei 225 Index) be included in the Nikkei 225 Index.
This is only a summary of the Nikkei 225 Index. For more information
on the Nikkei 225 Index, including information concerning its composition, calculation methodology and adjustment policy, please
see the section entitled “Indices — The Nikkei 225 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 securities 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 securities and (ii) the gain or loss on your securities should be capital gain or loss and should be long-term
capital gain or loss if you have held the securities 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 securities
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 securities, possibly with retroactive effect.
Withholding under legislation
commonly referred to as “FATCA” might (if the securities were recharacterized as debt instruments) apply to amounts
treated as interest paid with respect to the securities, as well as to the payment of gross proceeds of a taxable disposition,
including redemption at maturity, of a security. 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 securities.
Section 871(m) of the Code and
Treasury regulations promulgated thereunder (“
Section 871
(
m
)”) generally impose a 30% withholding tax
(unless an income tax treaty applies) on dividend equivalents paid or deemed paid to non-U.S. holders with respect to certain financial
instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding
regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury
regulations (such an index, a “
Qualified Index
”). Additionally, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2019 that do not have a delta of one with respect to underlying securities
that could pay U.S.-source dividends for U.S. federal income tax purposes (each, an “
Underlying Security
”).
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the securities with regard to non-U.S.
holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex
and its application may depend on your particular circumstances, including whether you enter into other transactions with respect
to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided
in the pricing supplement for the securities. You should consult your tax adviser regarding the potential application of Section
871(m) to the securities.
You should review carefully the
section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel regarding the material U.S.
federal income tax consequences of owning and disposing of the securities.
Under current law, the United
Kingdom will not impose withholding tax on payments made with respect to the securities.
For a discussion of certain German
tax considerations relating to the securities, you should refer to the section in the accompanying prospectus supplement entitled
“Taxation by Germany of Non-Resident Holders.”
You should consult your tax
adviser regarding the U
.
S
.
federal tax consequences of an investment in the securities
(
including possible
alternative treatments and the issues presented by the 2007 notice
),
as well as tax consequences arising under the laws
of any state
,
local or non
-
U
.
S
.
taxing jurisdiction
.
Selected Risk Considerations
An investment in the securities involves
significant risks. Investing in the securities is not equivalent to investing directly in 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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YOUR INVESTMENT IN THE SECURITIES MAY
RESULT IN A LOSS
— The securities do not guarantee any return of your investment. The return on the securities 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 securities, you will lose 1.1111% 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 securities is subject to our ability to satisfy our obligations as they become due
.
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·
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THE RETURN ON THE SECURITIES IS LIMITED
BY THE MAXIMUM RETURN
— If the Final Level is greater than or equal to the Initial Level, for each $1,000 Face Amount
of securities, you will receive at maturity $1,000
plus
an amount equal to $1,000
multiplied by
the lesser of (i)
the Underlying Return times the Upside Leverage Factor and (ii) the Maximum Return of 61.60%. Consequently, assuming the
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Maximum
Return is 61.60%, the maximum Payment at Maturity will be $1,616.00 per $1,000 Face Amount of securities, regardless of any further
increase in the level of the Underlying, which may be significant.
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THE SECURITIES DO NOT PAY ANY COUPONS
— Unlike ordinary debt securities, the securities 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 SECURITIES
ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK AG
— The securities are senior unsecured obligations of Deutsche Bank AG and
are not, either directly or indirectly, an obligation of any third party. Any payment(s) to be made on the securities depends on
the ability of Deutsche Bank AG to satisfy its obligations as they
become
due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating or increase
in the credit spreads charged by the market for taking Deutsche Bank AG’s credit risk will likely have an adverse effect
on the value of the securities. As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the value
of the securities and, in the event Deutsche Bank AG were to default on its obligations or become subject to a Resolution Measure,
you might not receive any amount(s) owed to you under the terms of the securities and you could lose your entire investment.
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THE SECURITIES
MAY BE WRITTEN DOWN
,
BE CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION
MEASURES
.
YOU MAY LOSE SOME OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— Pursuant
to the SRM Regulation, the Resolution Act and other applicable rules and regulations described above under “Resolution Measures
and Deemed Agreement,” the securities are subject to the powers exercised by the competent resolution authority to impose
Resolution Measures on us, which may include: writing down, including to zero, any claim for payment on the securities; converting
the securities into ordinary shares of (i) the Issuer, (ii) any group entity or (iii) any bridge bank or other instruments of ownership
of such entities qualifying as common equity tier 1 capital; or applying any other resolution measure including, but not limited
to, transferring the securities to another entity, amending, modifying or varying the terms and conditions of the securities or
cancelling the securities. The competent resolution authority may apply Resolution Measures individually or in any combination.
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The
German law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
, or the “
Resolution
Mechanism Act
”) provides that, in a German insolvency proceeding of the Issuer, certain specifically defined senior unsecured
debt instruments would rank junior to, without constituting subordinated debt, all other outstanding unsecured unsubordinated obligations
of the Issuer and be satisfied
only if
all such other senior unsecured obligations of the Issuer have been paid in full.
This prioritization would also be given effect if Resolution Measures are imposed on the Issuer, so that obligations under debt
instruments that rank junior in insolvency as described above would be written down or converted into common equity tier 1 instruments
before any other senior unsecured obligations of the Issuer are written down or converted. A large portion of our liabilities consist
of senior unsecured obligations that either fall outside the statutory definition of debt instruments that rank junior to other
senior unsecured obligations according to the Resolution Mechanism Act or are expressly exempted from such definition.
Among
those unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt instruments
whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event
which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than
by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence
of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of
interest or the amount of the interest payments solely depends on a fixed or floating reference interest rate and is settled by
monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency proceedings
instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of the Issuer
outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect
to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued under the
prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the “
Structured Debt Securities
,”
and which do not, referred to herein as the “
Non
-
Structured Debt Securities
.” We expect the securities
offered herein to be classified as Structured Debt Securities, but the competent regulatory authority or court may
classify
the securities differently. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect
to the Issuer, the Structured Debt Securities are expected to be among the unsecured unsubordinated obligations that would bear
losses after the Non-Structured Debt Securities as described above.
Nevertheless
,
you may lose some or all of your investment
in the securities if a Resolution Measure becomes applicable to us
. Imposition of a Resolution Measure would likely occur if
we become, or are deemed by the competent supervisory authority to have become, “non-viable” (as defined under the
then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable
to us. The Bank Recovery and Resolution Directive and the Resolution Act are intended to eliminate the need for public support
of troubled banks, and you should be aware that public support, if any, would only potentially be used by the competent supervisory
authority as a last resort after having assessed and exploited, to the maximum extent practicable, the resolution tools, including
the bail-in tool.
By
acquiring the securities, you would have no claim or other right against us arising out of any Resolution Measure and we would
have no obligation to make payments under the securities following the imposition of a Resolution Measure. In particular, the imposition
of any Resolution Measure will not constitute a default or an event of default under the securities, under the Indenture or for
the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act. Furthermore, because the securities are
subject to any Resolution Measure, secondary market trading in the securities may not follow the trading behavior associated with
similar types of securities issued by other financial institutions which may be or have been subject to a Resolution Measure.
In
addition, by your acquisition of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable
law, any and all claims against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or the
indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that the
trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution
Measure by the competent resolution authority with respect to the securities.
Accordingly
,
you may have limited or circumscribed
rights to challenge any decision of the competent resolution authority to impose any Resolution Measure
.
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THE ISSUER
’
S ESTIMATED
VALUE OF THE SECURITIES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE SECURITIES
— The Issuer’s estimated
value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of
the securities. The difference between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date
is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations under
the securities through one or more of our
affiliates
. Such hedging cost includes our
or our affiliates’ expected cost of providing such hedge, as well as the profit we or our affiliates expect to realize in
consideration for assuming the risks inherent in providing such hedge. The Issuer’s estimated value of the securities is
determined by reference to an internal funding rate and our pricing models. The internal funding rate is typically lower than the
rate we would pay when we issue conventional debt securities on equivalent terms. This difference in funding rate, as well as the
agent’s commissions, if any, and the estimated cost of hedging our obligations under the securities, reduces the economic
terms of the securities to you and is expected to adversely affect the price at which you may be able to sell the securities in
any secondary market. In addition, our internal pricing models are proprietary and rely in part on certain assumptions about future
events, which may prove to be incorrect. If at any time a third party dealer were to quote a price to purchase your securities
or otherwise value your securities, that price or value may differ materially from the estimated value of the securities determined
by reference to our internal funding rate and pricing models. This difference is due to, among other things, any difference
in funding rates, pricing models or assumptions used by any dealer who may purchase the securities in the secondary market.
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INVESTING IN THE SECURITIES IS NOT THE
SAME AS INVESTING IN THE STOCKS COMPOSING THE UNDERLYING
— The
return
on
the securities may not reflect the return you would have realized if you had directly invested in the stocks composing the Underlying.
For instance, your return on the securities is limited to the Maximum Return, regardless of any potential increase in the level
of the Underlying, which could be significant.
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IF THE LEVEL OF THE UNDERLYING CHANGES
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME MANNER
— Your securities 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 securities.
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·
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or rights to receive
c
ash
dividends or other distributions or other rights that holders of the stocks composing the Underlying would have.
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THERE ARE RISKS ASSOCIATED WITH INVESTMENTS
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 securities 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 securities.
Furthermore, there are risks associated with investments 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 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.
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THE PERFORMANCE OF THE UNDERLYING WILL
NOT BE ADJUSTED FOR CHANGES IN THE JAPANESE YEN RELATIVE TO THE U.S. DOLLAR
— The Underlying is composed of stocks denominated
in Japanese yen. Because the level of the Underlying is also calculated in Japanese yen (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 Japanese yen. Therefore,
if the Japanese yen strengthens or weakens relative to the U.S. dollar over the term of the securities, you will not receive any
additional payment or incur any reduction in your return on the securities.
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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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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
level of the Underlying and, thus, the value of, and your return on, the securities. The Index Sponsor has no obligation to consider
your interests in calculating or revising the Underlying.
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PAST PERFORMANCE OF THE UNDERLYING IS
NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the Underlying over the term of the securities may bear little
relation to the historical closing 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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ASSUMING NO CHANGES IN MARKET CONDITIONS
AND OTHER RELEVANT FACTORS
,
THE PRICE YOU MAY RECEIVE FOR YOUR SECURITIES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY
BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER
’
S ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE
—
While the payment(s) on the securities described in this pricing supplement is based on the full Face Amount of securities, the
Issuer’s estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less
than the Issue Price of the securities. The Issuer’s estimated value of the securities on the Trade Date does not represent
the price at which we or any of our affiliates would be willing to purchase your securities in the secondary market at any time.
Assuming no changes in market conditions or our creditworthiness and other relevant factors, the price, if any, at which we or
our affiliates would be willing to purchase the securities from you in secondary market transactions, if at all, would generally
be lower than both the Issue Price and the Issuer’s estimated value of the securities on the Trade Date. Our purchase price,
if any, in secondary market transactions would be based on the estimated value of the securities determined by reference to (i)
the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our
pricing models at that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the
assets underlying the securities and then-prevailing market conditions. The price we report to financial reporting services and
to distributors of our securities for use on customer account statements would generally be determined on the same basis. However,
during the period of approximately six months beginning from the Trade Date, we or our affiliates may, in our sole discretion,
increase the purchase price determined as described above by an amount equal to the declining differential between the Issue Price
and the Issuer’s estimated value of the securities on the Trade Date, prorated over such period on a straight-line basis,
for transactions that are individually and in the aggregate of the expected size for ordinary secondary market repurchases.
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In addition to the factors discussed
above, the value of the securities and our purchase price in secondary market transactions after the Trade Date, if any, will vary
based on many economic and market factors, including our creditworthiness, and cannot be predicted with accuracy. These changes
may adversely affect the value of your securities, including the price you may receive in any secondary market transactions. Any
sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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THE SECURITIES WILL NOT BE LISTED AND
THERE WILL LIKELY BE LIMITED LIQUIDITY
— The securities will not be listed on any securities exchange. There may be little
or no secondary market for the securities. We or our affiliates intend to act as market makers for the securities but are
not required to do so and may cease such market making activities at any time. Even if there is a secondary market, it may
not provide enough liquidity to allow you to sell the securities when you wish to do so or at a price advantageous to you. Because
we do not expect other dealers to make a secondary market for the securities, the price at which you may be able to sell your securities
is likely to depend on the price, if any, at which we or our affiliates are willing to buy the securities. If, at any time,
we or our affiliates do not act as market makers, it is likely that there would be little or no secondary market in the securities. If
you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial
loss, even in cases where the level of the Underlying has increased since the Trade Date.
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MANY ECONOMIC AND MARKET FACTORS WILL
AFFECT THE VALUE OF THE SECURITIES
— While we expect that, generally, the level of the Underlying will affect the value
of the securities more than any other single factor, the value of the securities prior to maturity will also be affected by a number
of other factors that may either offset or magnify each other, including:
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o
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the expected volatility of the Underlying;
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o
|
the time remaining to the maturity of the securities;
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o
|
the market prices and dividend rates of the stocks composing the Underlying;
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o
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the composition of the Underlying;
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o
|
interest rates and yields in the markets generally;
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o
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geopolitical conditions and economic, financial, political, regulatory or judicial events that
affect the Underlying or the markets generally;
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o
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supply and demand for the securities; and
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o
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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During the term of the securities,
it is possible that their value may decline significantly due to the factors described above even if the 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 securities to maturity to receive the stated payout from the Issuer.
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TRADING AND
OTHER TRANSACTIONS BY US OR OUR AFFILIATES IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE SECURITIES
—
We or our affiliates expect to hedge our exposure from the securities by entering into equity and equity derivative transactions,
such as over-the-counter options,
futures
or
exchange-traded instruments. We or our affiliates may also engage in trading in instruments linked or related to the Underlying
on a regular basis as part of our or their general broker-dealer and other businesses, for proprietary accounts, for other accounts
under management or to facilitate transactions for customers, including block transactions. Such trading and hedging activities
may adversely affect the level of the Underlying and, therefore, make it less likely that you will receive a positive return on
your investment in the securities. It is possible that we or our affiliates could receive substantial returns from these hedging
and trading activities while the value of the securities declines. We or our affiliates may also issue or underwrite other securities
or financial or derivative instruments with returns linked or related to the Underlying. To the extent that we or our affiliates
serve as issuer, agent or underwriter for such securities or financial or derivative instruments, our or our affiliates’
interests with respect to such products may be adverse to those of the holders of the securities. Introducing competing products
into the marketplace in this manner could adversely affect the level of the Underlying and the value of the securities. Any
of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or are in direct opposition
to, investors’ trading and investment strategies related to the securities. Furthermore, because DBSI or one of its affiliates
is expected to conduct trading and hedging activities for us in connection with the securities, DBSI or such affiliate may profit
in connection with such trading and hedging activities and such profit, if any, will be in addition to any compensation that DBSI
receives for the sale of the securities to you. You should be aware that the potential to earn a profit in connection with hedging
activities may create a further incentive for DBSI to sell the securities to you in addition to any compensation they would receive
for the sale of the securities.
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WE OR OUR AFFILIATES
MAY PUBLISH RESEARCH
,
EXPRESS OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE
SECURITIES
.
ANY SUCH RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE LEVEL OF THE UNDERLYING AND
THE VALUE OF THE SECURITIES
— We or our affiliates may publish research from time to time on financial markets and other
matters that could adversely affect the level of the Underlying and the value of the securities, or express opinions or provide
recommendations that are inconsistent with purchasing or holding the securities. Any research, opinions or recommendations expressed
by us or our affiliates may not be consistent with each other and may be modified from time to time without notice. You should
make your own independent investigation of the merits of investing in the securities and the Underlying.
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POTENTIAL CONFLICTS
OF INTEREST
— We and our affiliates play a variety of roles in connection with the issuance of the securities, including
acting as calculation agent, hedging our obligations under the securities and determining the Issuer’s estimated value of
the securities on the Trade Date and the price, if any, at which we or our affiliates would be willing to purchase the securities
from you in secondary market transactions. In performing these roles, our economic interests and those of our affiliates are potentially
adverse to your interests as an investor in the
securities
.
The calculation agent will determine, among other things, all values, prices and levels required to be determined for the purposes
of the securities on any relevant date or time. The calculation agent will also be responsible for determining whether a market
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disruption
event has occurred. Any determination by the calculation agent could adversely affect the return on the securities.
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THE U
.
S
.
FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES ARE UNCERTAIN
— There is no direct legal authority
regarding the proper U.S. federal income tax treatment of the securities, and we do not plan to request a ruling from the IRS.
Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not agree
with the treatment of the securities as prepaid financial contracts that are not debt. If the IRS were successful in asserting
an alternative treatment for the securities, the tax consequences of ownership and disposition of the securities could be materially
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 securities, possibly with retroactive
effect. You should review carefully the section of the accompanying product supplement entitled “U.S. Federal Income Tax
Consequences,” and consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities
(including possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
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Historical Information
The following graph sets forth the historical
performance of the Nikkei 225 Index based on its daily closing levels from April 10, 2013 through April 10, 2018. The closing level
of the Underlying on April 10, 2018 was 21,794.32. The graph below also indicates by a broken line a hypothetical closing level
of the Underlying that would result in a percentage decline from the closing level of the Underlying on April 10, 2018 that is
equal to the Buffer Amount of 10.00%. The actual Initial Level will be determined on the Trade Date. 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 the Final Valuation Date
.
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
(
Conflicts of Interest
)
DBSI, acting as agent for Deutsche Bank
AG, will not receive a discount or commission but will allow as a concession or reallowance to other dealers discounts and commissions
of 1.00% or $10.00 per $1,000 Face Amount of securities.
DBSI, the agent for this offering, is our
affiliate. Because DBSI is both our affiliate and a member of the Financial Industry Regulatory Authority, Inc. (“
FINRA
”),
the underwriting arrangement for this offering must comply with the requirements of FINRA Rule 5121 regarding a FINRA member firm’s
distribution of the securities of an affiliate and related conflicts of interest. In accordance with FINRA Rule 5121, DBSI may
not make sales in offerings of the securities to any of its discretionary accounts without the prior written approval of the customer.
See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
The securities are not intended to be offered,
sold or otherwise made available to and should not be offered, sold or otherwise made available to any retail investor in the European
Economic Area. For these purposes, (a) a retail investor means a person who is one (or more) of: (i) a retail client as defined
in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “
MiFID II
”); (ii) a customer within the meaning
of Directive 2002/92/EC, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1)
of MiFID II; or (iii)
not a qualified investor as defined in the
Directive 2003/71/EC; and (b) the expression “offer” includes the communication in any form and by any means of sufficient
information on the terms of the offer and the securities to be offered so as to enable an investor to decide to purchase or subscribe
the securities. Consequently no key information document required by Regulation (EU) No 1286/2014 (as amended, the “
PRIIPs
Regulation
”) for offering or selling the securities or otherwise making them available to retail investors in the European
Economic Area has been prepared and therefore offering or selling the securities or otherwise making them available to any retail
investor in the European Economic Area may may be unlawful under the PRIIPs Regulation.
Settlement
We expect to deliver the securities against
payment for the securities 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 are 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 securities 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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