Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Issue Price:
|
100% of the Face Amount
|
|
Underlying
|
Ticker Symbol
|
Initial Level
†
|
Trigger Level
†
|
Underlyings:
|
iShares
®
MSCI EAFE ETF
|
EFA
|
|
|
|
EURO STOXX 50
®
Index
|
SX5E
|
|
|
|
†
The Initial Level and Trigger Level for each Underlying will be determined on the Trade Date.
|
|
|
(
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
–
10 of this pricing supplement
.
The Issuer
’
s
estimated value of the securities on the Trade Date is approximately $939.40 to $959.40 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
|
$16.75
|
$983.25
|
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 $16.75 per $1,000 Face Amount of securities. Deutsche Bank Securities Inc. (“
DBSI
”)
may pay a fee of up to $10.50 per $1,000 Face Amount of securities to CAIS Capital LLC
with respect to the securities for which CAIS Capital LLC acts as introducing broker.
|
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
December , 2017
(
Key
Terms continued from previous page
)
Payment at Maturity:
|
•
If the Final Level of the Laggard Underlying is
greater than
or
equal to
its Initial Level
, you will receive a cash payment per $1,000 Face Amount of securities at maturity calculated as follows:
|
|
|
|
$1,000 + ($1,000 x Underlying Return of the Laggard Underlying x Upside Leverage Factor)
|
|
|
|
•
If the Final Level of the Laggard Underlying is
less than
its Initial Level but
greater than
or
equal to
its Trigger Level
, you will receive a cash payment per $1,000 Face Amount of securities at maturity equal to the Face Amount.
|
|
|
|
•
If the Final Level of the Laggard Underlying is
less than
its Trigger Level
, you will receive a cash payment per $1,000 Face Amount of securities at maturity calculated as follows:
|
|
|
|
$1,000 + ($1,000 x Underlying Return of the Laggard Underlying)
|
|
|
|
If the Final Level of the Laggard Underlying is less than its Trigger Level
,
you will be fully exposed to the negative Underlying Return of the Laggard Underlying and
,
for each $1
,
000 Face Amount of securities
,
you will lose 1.00% of the Face Amount for every 1
.
00% by which the Final Level of the Laggard Underlying is less than its Initial Level
.
In this circumstance
,
you will lose a significant portion or all of your investment at maturity
.
Any payment at maturity is subject to the credit of the Issuer
.
|
Trigger Level:
|
For each Underlying, 50.00% of the Initial Level of such Underlying, as set forth in the table under “Underlyings” above
|
Laggard Underlying:
|
The Underlying with the lowest Underlying Return on the Final Valuation Date. If the calculation agent determines that the two Underlyings have equal Underlying Returns, then the calculation agent will, in its sole discretion, designate one of the Underlyings as the Laggard Underlying.
|
Underlying Return:
|
For each Underlying,
the performance of such Underlying from its Initial Level to its Final Level, calculated as follows:
Final Level
– Initial Level
Initial Level
The Underlying
Return for each Underlying may be positive
,
zero or negative
.
|
Upside Leverage Factor:
|
At least 320.00% (to be determined on the Trade Date)
|
Initial Level:
|
For each Underlying, the Closing Level of such Underlying on the Trade Date, as set forth in the table under “Underlyings” above
|
Final Level:
|
For each Underlying, the Closing Level of such Underlying on the Final Valuation Date
|
Closing Level:
|
For the Fund,
the closing price of one share of the Fund on the relevant date of calculation
multiplied by
the then-current Share Adjustment
Factor, as determined by the calculation agent.
For the Index,
the closing level of the Index on the relevant date of calculation.
|
Share Adjustment Factor:
|
Initially 1.0, subject to adjustment for certain actions affecting the Fund. See “Description of Securities — Anti-Dilution Adjustments for Funds” in the accompanying product supplement.
|
Trade Date
2
:
|
December 6, 2017
|
Settlement Date
2
:
|
December 11, 2017
|
Final Valuation Date
1, 2
:
|
December 6, 2022
|
Maturity Date
1, 2
:
|
December 9, 2022
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MFQ9 / US25155MFQ96
|
|
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 set forth below assume
an Upside Leverage Factor of 320.00% and reflect the Trigger Level for each Underlying equal to 50.00% of its Initial
Level. The actual Upside Leverage Factor and the actual Initial Level and Trigger Level for each Underlying 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 of the Laggard Underlying, determined using the Closing
Level of the Laggard Underlying on the Final Valuation Date. You should consider carefully whether the securities are suitable
to your investment goals. The numbers appearing in the table and hypothetical examples below may have been rounded for ease of
analysis and it has been assumed that no event affecting the Fund has occurred during the term of the securities that would cause
the calculation agent to adjust the Share Adjustment Factor. We make no representation or warranty as to which of the Underlyings
will be the Laggard Underlying for purposes of calculating the Payment at Maturity.
Hypothetical
Underlying Return
of the Laggard Underlying
(%)
|
Hypothetical
Payment at Maturity
($)
|
Hypothetical
Return on the
Securities
(%)
|
100.00%
|
$4,200.00
|
320.00%
|
75.00%
|
$3,400.00
|
240.00%
|
50.00%
|
$2,600.00
|
160.00%
|
40.00%
|
$2,280.00
|
128.00%
|
30.00%
|
$1,960.00
|
96.00%
|
20.00%
|
$1,640.00
|
64.00%
|
10.00%
|
$1,320.00
|
32.00%
|
5.00%
|
$1,160.00
|
16.00%
|
0
.
00%
|
$
1
,
000
.
00
|
0
.
00%
|
-5.00%
|
$1,000.00
|
0.00%
|
-10.00%
|
$1.000.00
|
0.00%
|
-20.00%
|
$1,000.00
|
0.00%
|
-30.00%
|
$1,000.00
|
0.00%
|
-40.00%
|
$1,000.00
|
0.00%
|
-
50
.
00%
|
$
1
,
000
.
00
|
0
.
00%
|
-51.00%
|
$490.00
|
-51.00%
|
-60.00%
|
$400.00
|
-60.00%
|
-70.00%
|
$300.00
|
-70.00%
|
-80.00%
|
$200.00
|
-80.00%
|
-90.00%
|
$100.00
|
-90.00%
|
-100.00%
|
$0.00
|
-100.00%
|
Hypothetical Examples of Amounts Payable
at Maturity
The following hypothetical
examples illustrate how the payments on the securities at maturity set forth in the table above are calculated.
Example 1
:
The
Final Level of the Laggard Underlying is
greater than
its Initial Level
,
resulting in an Underlying Return of the
Laggard Underlying of 30
.
00%
. Because the Final Level of the Laggard Underlying is greater than its Initial Level, the
investor receives a Payment at Maturity of $1,960.00 per $1,000 Face Amount of securities, calculated as follows:
$1,000 + ($1,000 x Underlying
Return of the Laggard Underlying x Upside Leverage Factor)
$1,000 + ($1,000 x 30.00% x 320.00%) = $1,960.00
Example 2
:
The
Final Level of the Laggard Underlying is
less than
its Initial Level but
greater than
its Trigger Level
,
resulting
in an Underlying Return of the Laggard Underlying of
-
5
.
00%
. Because the Final Level of the Laggard Underlying
is less than its Initial Level but greater than its Trigger Level, the investor receives
a Payment at Maturity of $1,000.00 per $1,000 Face Amount of securities.
Example 3
:
While
the Final Level of one Underlying is greater than its respective Initial Level
,
the Final Level of the Laggard
Underlying is
less than
its Trigger Level
,
resulting in an Underlying Return of the Laggard Underlying of
-
70
.
00%
.
Even though the Final Level of one Underlying is greater than its respective Initial Level, because the Payment at Maturity
is determined by reference to the Final Level of the Laggard Underlying and the Final Level of the Laggard Underlying is less
than its Trigger Level, the investor receives a Payment at Maturity of $300.00 per $1,000 Face Amount of securities,
calculated as follows:
$1,000 + ($1,000 x Underlying
Return of the Laggard Underlying)
$1,000 + ($1,000 x -70.00%) = $300.00
Selected Purchase Considerations
|
·
|
UNCAPPED APPRECIATION POTENTIAL
—
The securities provide the opportunity to receive enhanced returns by
multiplying
a positive Underlying Return of the Laggard
Underlying by the Upside Leverage Factor of at least 320.00% (to be determined on the Trade Date).
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 of the Laggard Underlying is less than its Initial Level but greater than or equal to its Trigger Level, you
will receive a cash payment per $1,000 Face Amount of securities at maturity equal to the Face Amount. However, if the Final Level
of the Laggard Underlying is less than its Trigger Level, for each $1,000 Face Amount of securities, you will lose 1.00% of the
Face Amount for every 1.00% by which the Final Level of the Laggard Underlying is less than its Initial Level. In this circumstance,
you will lose a significant portion or all of your investment in the securities at maturity.
|
|
·
|
RETURN LINKED TO THE LESSER PERFORMING
OF THE TWO UNDERLYINGS
— The return on the securities, which may be positive, zero or negative, is linked to the lesser
performing of the iShares
®
MSCI EAFE ETF and the EURO STOXX 50
®
Index as described herein.
|
iShares
®
MSCI EAFE ETF
The
iShares
®
MSCI EAFE ETF is an exchange-traded fund managed by iShares
®
Trust, a registered investment
company. The iShares
®
Trust consists of numerous separate investment portfolios, including the iShares
®
MSCI EAFE ETF. The iShares
®
MSCI EAFE ETF seeks to provide investment results that correspond generally to the price
and yield performance, before fees and expenses, of publicly traded securities in the European, Australasian and Far Eastern markets,
as measured by the MSCI EAFE
®
Index (the “
Tracked Index
”). The iShares
®
MSCI EAFE
ETF trades on the NYSE Arca under the ticker symbol “EFA.” The investment advisor to the iShares
®
MSCI
EAFE ETF is Blackrock Fund Advisors (the “
Fund Advisor
”).
This is only a summary of the iShares
®
MSCI EAFE ETF
.
For more information on the iShares
®
MSCI EAFE ETF
,
including information concerning
its composition, calculation methodology and adjustment policy
,
please see the section entitled “The iShares Exchange
Traded Funds
—
iShares
®
MSCI EAFE ETF
”
in the accompanying underlying supplement
No
.
1 dated August 17
,
2015
.
For more information on the MSCI EAFE
®
Index
,
please
see the section entitled “The MSCI Indices
—
The MSCI EAFE
®
Index
”
in the
accompanying underlying supplement No
.
1 dated August 17
,
2015
.
EURO
STOXX 50
®
Index
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 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) subject to the potential application of the “constructive ownership”
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regime discussed
below, 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.
Even if the
treatment of the securities as prepaid financial contracts is respected, purchasing a security could be treated as entering into
a “constructive ownership transaction” within the meaning of Section 1260 of the Internal Revenue Code (“
Section
1260
”). In that case, all or a portion of any long-term capital gain you would otherwise recognize upon the taxable disposition
of the security would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying long-term
capital gain” as defined in Section 1260. Any long-term capital gain recharacterized as ordinary income would be treated
as accruing at a constant rate over the period you held the security, and you would be subject to a notional interest charge in
respect of the deemed tax liability on the income treated as accruing in prior tax years. Due to the lack of direct legal authority,
our special tax counsel is unable to opine as to whether or how Section 1260 applies to the securities.
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 discussed above. 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 securities. 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, 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 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
,
the potential application of the
“
constructive ownership
”
regime
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 Underlyings or in any of
the components of the Underlyings. 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 Laggard Underlying and will depend on whether, and the extent to which, the
Underlying Return of the Laggard Underlying is positive, zero or negative. If the Final Level of the Laggard Underlying is
less than its Trigger Level, for each $1,000 Face Amount of securities, you will lose 1.00% of the Face Amount for every
1.00% by which the Final Level of the Laggard Underlying is less than its Initial Level.
In this circumstance
,
you
will lose a significant portion or all of your investment at maturity
.
Any payment on the securities is subject to our
ability to satisfy our obligations as they become due
.
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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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YOUR PAYMENT AT MATURITY WILL BE DETERMINED
BY THE FINAL LEVEL OF THE LAGGARD UNDERLYING
— The Payment at Maturity will be determined by reference to the Final Level
of the Laggard Underlying, without taking into consideration the performance of the other Underlying.
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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
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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 UNDERLYINGS OR THE SECURITIES COMPOSING THE UNDERLYINGS
— The return on the securities may not
reflect the return you would have realized if you had directly invested in the Underlyings or the securities composing the Underlyings.
For instance, any Payment at Maturity on the securities is dependent on the performance of the Laggard Underlying, and you will
not participate in any potential increase in the price or level, as applicable, of the other Underlying, which could be significant.
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IF THE PRICES
OR LEVELS
,
AS APPLICABLE
,
OF THE UNDERLYINGS CHANGE
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME
MANNER
— Your securities may trade quite differently from the prices or levels, as applicable, of the Underlyings. Changes
in the prices or levels, as applicable, of the Underlyings may not result in comparable changes in the value of your securities.
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or rights to receive
c
ash
dividends or other distributions or other rights that holders of the shares of the Fund or the securities composing the Underlyings
would have.
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YOUR INVESTMENT IS EXPOSED TO A DECLINE
IN THE PRICE OR LEVEL
,
AS APPLICABLE
,
OF EACH UNDERLYING
— Your return on the securities, if any, is not
linked to a basket consisting of the Underlyings. Rather, any Payment at Maturity will be determined by reference to the performance
of the Laggard Underlying without taking into consideration the performance of the other Underlying. Unlike an instrument with
a return linked to a basket, in which risk is mitigated and diversified among all of the basket components, you will be exposed
equally to the risks related to each of the Underlyings and your return will be based on the performance of the Laggard Underlying,
as measured on the Final Valuation Date. Poor performance by either Underlying over the term of the securities may adversely affect
your return on the securities and will not be offset or mitigated by any positive performance by the other Underlying.
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BECAUSE THE SECURITIES ARE LINKED TO
THE LESSER PERFORMING OF THE TWO UNDERLYINGS
,
YOU ARE EXPOSED TO A GREATER RISK OF LOSING SOME OR ALL OF YOUR INVESTMENT
THAN IF THE SECURITIES WERE LINKED TO JUST ONE UNDERLYING
— The risk that you will lose a significant portion or all
of your investment in the securities is greater than in substantially similar securities that are linked to the performance of
just one of the Underlyings. With two Underlyings, it is more likely that the Final Level of at least one Underlying will be less
than its Trigger Level than if the securities were linked to only one Underlying, and therefore, it is more likely that you will
receive a Payment at Maturity that is significantly less than your investment. In addition, the performance of the Underlyings
may not be correlated. If the performance of the Underlyings is not correlated, or is negatively correlated, the potential for
the level of at least one Underlying to be less than its Trigger Level on the Final Valuation Date is even greater. Although the
correlation of the Underlyings’ performance may change over the term of the securities, the Trigger Levels are determined,
in part, based on the correlation of the Underlyings’ performance at the time when the terms of the securities are finalized.
A
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lower Trigger
Level for an Underlying is generally associated with a lower correlation of the Underlyings, which reflects a greater potential
for loss on your investment at maturity.
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THE INDEX REFLECTS THE PRICE RETURN
OF THE STOCKS COMPOSING THE INDEX
,
NOT THEIR TOTAL RETURN INCLUDING ALL DIVIDENDS AND OTHER DISTRIBUTIONS
— The
Index reflects the changes in the market prices of the stocks composing the Index. The Index 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 Index.
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THE SPONSOR OF THE INDEX MAY ADJUST
THE INDEX IN WAYS THAT AFFECT THE LEVEL OF THE INDEX AND HAS NO OBLIGATION TO CONSIDER YOUR INTERESTS
— The sponsor of
the Index (the “
Index Sponsor
”) is responsible for calculating and maintaining the Index. The Index Sponsor
can add, delete or substitute the components of the Index or make other methodological changes that could change the level of the
Index. You should realize that the changing of such Index components may affect the Index, 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 Index. Any of these actions could adversely affect the level of the Index 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 Index.
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THERE ARE RISKS ASSOCIATED WITH INVESTMENTS
IN SECURITIES LINKED TO THE VALUES OF EQUITY SECURITIES ISSUED BY NON
-
U
.
S
.
COMPANIES
— Both Underlyings
include 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 price or level, as applicable, of one or both
Underlyings, and thus, the value of your securities. 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 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 Index are issued by companies located
in countries within the Eurozone, some of which are and have been experiencing economic stress.
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WE ARE ONE OF THE COMPANIES THAT MAKE
UP THE INDEX
— We are one of the companies that make up the Index. To our knowledge, we are not currently affiliated
with any of the other companies the equity securities of which are represented in the Index. 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 Index or your securities. None of the other companies represented in the Index will be involved in the offering of the securities
in any way. Neither they nor we will have any obligation to consider your interests as a holder of the securities in taking any
corporate actions that might affect the value of your securities.
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THE PERFORMANCE OF THE INDEX WILL NOT
BE ADJUSTED FOR CHANGES IN THE EURO RELATIVE TO THE U.S. DOLLAR
— The Index is composed of stocks denominated in euro.
Because the level of the Index is also calculated in euro (and not in U.S. dollars), the performance of the Index will not be adjusted
for exchange rate fluctuations between the U.S. dollar and the euro. Therefore, if the euro
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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 Policies
of the FUND ADVISOR and Changes that Affect the fund or THe Tracked Index Could Adversely Affect the Value of the securities
— The policies of the Fund Advisor concerning the calculation of
the Fund’s net asset value (“
NAV
”), additions, deletions or substitutions of securities or other assets
or financial measures held by the Fund, substitution of the Tracked Index and the manner in which changes affecting how the Tracked
Index is calculated are reflected in the Fund could adversely affect the price of the shares of the Fund and, therefore, the value
of, and your return on, the securities. The value of, and your return on, the securities could also be adversely affected if the
Fund Advisor changes these policies, for example, by changing the manner in which it calculates the Fund’s NAV, or if the
Fund Advisor discontinues or suspends calculation or publication of the Fund’s NAV, in which case it may become difficult
to determine the value of the securities. If events such as these occur or if the Closing Level of the Fund is not available on
the Final Valuation Date because of a market disruption event or for any other reason, the calculation agent, in certain circumstances,
may determine the Closing Level of the Fund and the Payment at Maturity in a manner it considers appropriate in its sole discretion.
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The Performance
of the fund
,
Particularly During Periods of Market Volatility
,
May Not Match the Performance of the Tracked Index
or ITS NET ASSET VALUE per Share
— The performance of
the Fund may not match the performance of the Tracked Index due to a number of factors. For instance, the Fund may not hold all
or substantially all of the securities included in the Tracked Index and the Fund Advisor may invest a portion of the Fund’s
assets in securities not included in the Tracked Index. Therefore, the performance of the Fund is generally linked, in part, to
assets other than the securities included in the Tracked Index. Additionally, the performance of the Fund will reflect transaction
costs and fees that are not included in the calculation of the Tracked Index.
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In addition,
because the shares of the Fund are traded on a securities exchange and are subject to supply and demand, the performance of one
share of the Fund may differ from the performance of the Tracked Index or the Fund’s NAV per share. Furthermore, during periods
of market volatility, securities or other assets held by the Fund may become unavailable in the secondary market due to reduced
liquidity or suspensions of, or limitations on, trading, making it difficult for market participants to accurately calculate the
NAV per share of the Fund and/or create, redeem or hedge shares of the Fund. In such circumstances, the prices at which market
participants are willing to buy and sell shares of the Fund may be significantly lower than the Fund’s NAV and the liquidity
of the shares of the Fund may be materially and adversely affected. Consequently, the performance of the Fund may deviate significantly
from the performance of the Tracked Index or the Fund’s NAV per share. These circumstances may or may not constitute market
disruption events and, in either case, your return on the securities may be determined based on the price of the Fund when it deviates
significantly from the performance of the Tracked Index or the Fund’s NAV per share. If this occurs, the value of, and your
return on, the securities may be materially and adversely affected.
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ANTI
-
DILUTION PROTECTION IS LIMITED
AND THE CALCULATION AGENT MAY MAKE ADJUSTMENTS IN ADDITION TO
,
OR THAT DIFFER FROM
,
THOSE SET FORTH IN THE ACCOMPANYING
PRODUCT SUPPLEMENT
— The calculation agent will make adjustments to the Share Adjustment Factor, which will initially
be set at 1.0, for certain events affecting the shares of the Fund. The calculation agent is not required, however, to make such
adjustments in response to all events that could affect the shares of the Fund. If such an event occurs that does not require the
calculation agent to make an adjustment, the value of the securities may be materially and adversely affected. In addition, you
should be aware that the calculation agent may, at its sole discretion, make adjustments to the Share Adjustment Factor or any
other terms of the securities that are in addition to, or that differ from, those described in the accompanying product supplement
to reflect changes occurring in relation to the Fund in circumstances where the calculation agent determines that it is appropriate
to reflect those changes to ensure an equitable result. Any alterations to the specified anti-dilution adjustments described in
the accompanying product supplement may be materially adverse to investors in the securities. You should read “Description
of Securities — Anti-Dilution Adjustments for Funds” in the accompanying product supplement in order to understand
the adjustments that may be made to the securities.
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THE SECURITIES ARE SUBJECT TO CURRENCY
EXCHANGE RATE RISK
— Because the Fund invests in stocks denominated in foreign currencies but its shares are denominated
in U.S. dollars, changes in currency exchange rates may negatively impact the Fund’s return. Of particular importance to
currency exchange rate risk are:
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o
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existing and expected rates of inflation;
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o
|
existing and expected interest rates;
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|
o
|
political, civil or military unrest;
|
|
o
|
the balance of payments between the countries represented
in the Fund and the U.S.; and
|
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o
|
the extent of governmental surpluses or deficits in
the countries represented in the Fund and the U.S.
|
All of these
factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries represented
in the Fund, the U.S. and other countries important to international trade and finance. An investor’s net exposure to currency
exchange rate risk will depend on the extent to which the currencies represented in the Fund strengthen or weaken against the U.S.
dollar and the relative weight of each currency represented in the Fund. If, taking into account such weighting, the U.S. dollar
strengthens against the component currencies as a whole, the price of the Fund will be adversely affected and the value of the
securities may be reduced. Additionally, the volatility and/or correlation (including the direction and extent of such correlation)
of the exchange rates between the U.S. dollar and the currencies represented in the Fund could adversely affect the value of the
securities.
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THERE IS NO AFFILIATION BETWEEN THE
FUND OR THE UNDERLYING STOCK ISSUERS AND US AND WE HAVE NOT PARTICIPATED IN THE PREPARATION OF
,
OR VERIFIED
,
ANY
INFORMATION ABOUT THE FUND OR THE UNDERLYING STOCK ISSUERS
— We are not affiliated with the Fund or the other issuers
of the component stocks held by the Fund or included in Index or the Tracked Index (such stocks, “
Underlying Stocks
,”
and the issuers of Underlying Stocks, “
Underlying Stock Issuers
”). However, we or our affiliates may currently,
or from time to time in the future, engage in business with the Underlying Stock Issuers, including extending loans to, making
equity investments in, acting as underwriter in connection with future offerings of the Underlying Stocks by, or providing advisory
services (including merger and acquisition advisory services) to, such Underlying Stock Issuers. In the course of this business,
we or our affiliates may acquire non-public information about the Underlying Stock Issuers and we will not disclose any such information
to you. Nevertheless, neither we nor our affiliates have participated in the preparation of, or verified, any information about
the Underlying Stocks or any of the Underlying Stock Issuers. You, as an investor in the securities, should make your own investigation
into the Underlying Stocks and the Underlying Stock Issuers. Neither the Fund nor any of the Underlying Stock Issuers is involved
in this offering in any way and none of them has any obligation of any sort with respect to your securities. The Fund has no obligation
to take your interests into consideration for any reason, including when taking any actions that would require the calculation
agent to adjust the Share Adjustment Factor, which may adversely affect the value of your securities.
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PAST PERFORMANCE OF THE UNDERLYINGS
IS NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the Underlyings over the term of the securities
may bear little relation to the historical closing prices or levels, as applicable, of the Underlyings and/or the hypothetical
examples set forth elsewhere in this pricing supplement. We cannot predict the future performance of the Underlyings or whether
the performance of the Underlyings 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
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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.
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 prices or levels, as applicable, of the Underlyings have 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 prices or levels, as applicable, of the Underlyings
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 Underlyings;
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o
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the time remaining to the maturity of the securities;
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o
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the market prices and dividend rates of the shares
of the Fund and the securities composing the Underlyings;
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o
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the composition of the Underlyings;
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o
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the occurrence of certain events affecting the Fund
that may or may not require an anti-dilution adjustment;
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o
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the exchange rates between the U.S. dollar and the
non-U.S. currencies that the stocks held by the Fund are traded in;
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o
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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 either Underlying, the Tracked Index 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 prices
or levels, as applicable, of the Underlyings remain unchanged from their respective Initial Levels, 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 Underlyings 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 prices or levels, as applicable, of one or both Underlyings 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 Underlyings. 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 prices
or levels, as applicable, of one or both Underlyings 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 PRICES OR LEVELS
,
AS APPLICABLE
,
OF THE UNDERLYINGS
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 prices or levels, as applicable, of the Underlyings 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 Underlyings.
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POTENTIAL CONFLICTS OF INTEREST
—
We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation
agent, hedging our obligations under the securities and determining the Issuer’s estimated value of the securities on the
Trade Date and the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary
market transactions. In performing these roles, our economic interests and those of our affiliates are potentially adverse to your
interests as an investor in the securities. The calculation agent will determine, among other things,
all
values, prices and levels required to be determined for the purposes of the securities on any relevant date or time
. The
calculation agent also has some discretion about certain adjustments to the Share Adjustment Factor and will be responsible for
determining whether a market disruption event has occurred. Any determination by the calculation agent could adversely affect the
return on the 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
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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.
Even if the
treatment of the securities as prepaid financial contracts is respected, purchasing a security could be treated as entering into
a “constructive ownership transaction.” In that case, all or a portion of any long-term capital gain you would otherwise
recognize on the taxable disposition of the security would be recharacterized as ordinary income to the extent such gain exceeded
the “net underlying long-term capital gain,” and a notional interest charge would apply with respect to the deemed
tax liability that would have been incurred if such income had accrued at a constant rate over the period you held the security.
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, the
potential application of the “constructive ownership” regime 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.
Historical Information
The following graphs set
forth the historical performances of the iShares
®
MSCI EAFE ETF and the EURO STOXX 50
®
Index based
on their daily closing prices or levels, as applicable, from November 7, 2012 through November 7, 2017. The closing price of the
iShares
®
MSCI EAFE ETF on November 7, 2017 was $69.64. The closing level of the EURO STOXX 50
®
Index
on November 7, 2017 was 3,658.77. Each graph below also indicates by a broken line a hypothetical Trigger Level equal to 50.00%
of the closing price or level, as applicable, of the relevant Underlying on November 7, 2017. The actual Initial Level and Trigger
Level for each Underlying will be determined on the Trade Date. We obtained the historical closing prices and levels of the Underlyings
below from Bloomberg L.P. and we have not participated in the preparation of, or verified, such information.
The historical
closing prices and levels of the Underlyings should not be taken as an indication of future performance and no assurance can be
given as to the Closing Levels of the Underlyings on the Final Valuation Date
.
We cannot give you assurance that the performance
of the Underlyings 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 selling concession in connection with the sale of the securities. DBSI
will pay custodial fees to other broker-dealers of up to 0.625% or $6.25 per $1,000 Face Amount of securities and may pay
a fee of up to 1.05% or $10.50 per $1,000 Face Amount of securities to CAIS Capital LLC with respect to the securities for
which CAIS Capital LLC acts as introducing broker. Deutsche Bank AG will reimburse DBSI for such custodial fees and fee paid
to CAIS Capital LLC.
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.
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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