We are offering Trigger Callable Contingent Yield Notes linked
to the least performing of the EURO STOXX 50
®
Index, the Russell 2000
®
Index and the S&P 500
®
Index.
The Notes are our unsubordinated and unsecured obligations and are offered at a minimum investment of $1,000 in denominations
of $10.00 and integral multiples thereof.
Deutsche Bank Securities Inc. (“
DBSI
”) is
our affiliate. For more information, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this
pricing supplement.
The Issuer’s estimated value of the Notes is equal to the
sum of our valuations of the following two components of the Notes: (i) a bond and (ii) an embedded derivative(s). The value of
the bond component of the Notes is calculated based on the present value of the stream of cash payments associated with a conventional
bond with a principal amount equal to the Face Amount of Notes, discounted at an internal funding rate, which is determined primarily
based on our market-based yield curve, adjusted to account for our funding needs and objectives for the period matching the term
of the Notes. The internal funding rate is typically lower than the rate we would pay when we issue conventional debt securities
on equivalent terms. This difference in funding rate, as well as the agent’s commissions, if any, and the estimated cost
of hedging our obligations under the Notes, reduces the economic terms of the Notes to you and is expected to adversely affect
the price at which you may be able to sell the Notes in any secondary market. The value of the embedded derivative(s) is calculated
based on our internal pricing models using relevant parameter inputs such as expected interest and dividend rates and mid-market
levels of price and volatility of the assets underlying the Notes or any futures, options or swaps related to such underlying assets.
Our internal pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be
incorrect.
The Issuer’s estimated value of the Notes on the Trade
Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the Notes. The difference between the
Issue Price and the Issuer’s estimated value of the Notes on the Trade Date is due to the inclusion in the Issue Price of
the agent’s commissions, if any, and the cost of hedging our obligations under the Notes through one or more of our affiliates.
Such hedging cost includes our or our affiliates’ expected cost of providing such hedge, as well as the profit we or our
affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.
The Issuer’s estimated value of the Notes on the Trade
Date does not represent the price at which we or any of our affiliates would be willing to purchase your Notes in the secondary
market at any time. Assuming no changes in market conditions or our creditworthiness and other relevant factors, the price, if
any, at which we or our affiliates would be willing to purchase the Notes from you in secondary market transactions, if at all,
would generally be lower than both the Issue Price and the Issuer’s estimated value of the Notes on the Trade Date. Our purchase
price, if any, in secondary market transactions will be based on the estimated value of the Notes determined by reference to (i)
the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our
pricing models at that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the
assets underlying the Notes and then-prevailing market conditions. The price we report to financial reporting services and to distributors
of our Notes for use on customer account statements would generally be determined on the same basis. However, during the period
of approximately six months beginning from the Trade Date, we or our affiliates may, in our sole discretion, increase the purchase
price determined as described above by an amount equal to the declining differential between the Issue Price and the Issuer’s
estimated value of the Notes on the Trade Date, prorated over such period on a straight-line basis, for transactions that are individually
and in the aggregate of the expected size for ordinary secondary market repurchases.
Under German and European laws and regulations, the Notes may
be subject to any Resolution Measure by the competent resolution authority if we become, or are deemed by the competent supervisory
authority to have become, “non-viable” (as defined under the then applicable law) and are unable to continue our regulated
banking activities without a Resolution Measure becoming applicable to us. A “
Resolution Measure
” may include:
(i) a write down, including to zero, of any payment (or delivery obligations) on the Notes; (ii) a conversion of the Notes into
ordinary shares of (a) the Issuer, (b) any group entity or (c) any bridge bank or other instruments of ownership of such entities
qualifying as common equity tier 1 capital; and/or (iii) any other resolution measure, including, but not limited to, any transfer
of the Notes to another entity, the amendment, modification or variation of the terms and conditions of the Notes or the cancellation
of the Notes. By acquiring the Notes, you will be bound by and will be deemed irrevocably to consent to the imposition of any Resolution
Measure by the competent resolution authority as set forth in the accompanying prospectus dated April 27, 2016.
Please read
the risk factor “The Notes May Be Written Down
,
Be Converted into Ordinary Shares or Other Instruments of Ownership
or Become Subject to Other Resolution Measures
.
You May Lose Some or All of Your Investment If Any Such Measure Becomes
Applicable to Us
”
in this pricing supplement and see the accompanying prospectus
,
including the risk factors
beginning on page 13 of such prospectus
,
for further information
.
You should read this pricing supplement, together with underlying
supplement No. 1 dated August 17, 2015, product supplement B dated July 31, 2015, the prospectus supplement dated July 31, 2015
relating to our Series A global notes of which these Notes are a part and the prospectus dated April 27, 2016. Delaware Trust Company,
which acquired the corporate trust business of Law Debenture Trust Company of New York, is the successor trustee of the Notes.
When you read the accompanying underlying supplement, product supplement and prospectus supplement, please note that all references
in such supplements to the prospectus dated July 31, 2015, or to any sections therein, should refer instead to the accompanying
prospectus dated April 27, 2016 or to the corresponding sections of such prospectus, as applicable, unless otherwise specified
or the context otherwise requires. You may access these documents on the website of the Securities and Exchange Commission (the
“
SEC
”) at
.
www.sec.gov as follows (or if such address has changed, by reviewing
our filings for the relevant date on the SEC website):
References to “Deutsche Bank AG,” “we,”
“our” and “us” refer to Deutsche Bank AG, including, as the context requires, acting through one of its
branches. In this pricing supplement, “Notes” refers to the Trigger Callable Contingent Yield Notes that are offered
hereby, unless the context otherwise requires.
All references to “Final Underlying Level” and “Initial
Underlying Level” in this pricing supplement shall be deemed to refer to “Final Level” and “Initial Level,”
respectively, as used in the accompanying product supplement.
If the terms described in this pricing supplement are inconsistent
with those described in the accompanying underlying supplement, product supplement, prospectus supplement or prospectus, the terms
described in this pricing supplement shall control.
The suitability considerations identified below are not exhaustive.
Whether or not the Notes are a suitable investment for you will depend on your individual circumstances, and you should reach an
investment decision only after you and your investment, legal, tax, accounting and other advisers have carefully considered the
suitability of an investment in the Notes in light of your particular circumstances. You should also review “Key Risks”
on page 7 of this pricing supplement and “Risk Factors” on page 7 of the accompanying product supplement, page PS–5
of the accompanying prospectus supplement and page 13 of the accompanying prospectus.
Issuer
|
Deutsche Bank AG, London Branch
|
Issue Price
|
100% of the Face Amount of Notes
|
Face Amount
|
$10.00
|
Term
|
Approximately 4 years, unless called earlier
|
Trade Date
|
October 17, 2017
|
Settlement Date
|
October 20, 2017
|
Final Valuation Date
1
|
October 18, 2021
|
Maturity Date
1
|
October 21, 2021
|
Underlyings
|
The EURO STOXX 50
®
Index, the Russell 2000
®
Index and the S&P 500
®
Index
|
Issuer Call
|
Deutsche Bank AG may, in its sole discretion, call the Notes in whole, but not in part, on any Coupon Payment Date prior to the Maturity Date (the “
Issuer Call Date
”) upon written notice to the trustee prior to the Issuer Call Date. If the Notes are called by Deutsche Bank AG in its sole discretion, Deutsche Bank AG will pay you a cash payment per $10.00 Face Amount of Notes equal to $10.00
plus
any Contingent Coupon otherwise due on such Coupon Payment Date, and no further amounts will be owed to you under the Notes.
|
Observation Periods
|
There are sixteen quarterly Observation Periods. The first Observation Period will consist of each scheduled trading day from, but excluding, the Trade Date to, and including, the first Observation End Date. Each subsequent Observation Period will consist of each scheduled trading day from, but excluding, an Observation End Date to, and including, the next Observation End Date.
|
|
Observation End Dates
1
|
Coupon Payment Dates
/
Issuer Call Date
(
if called
)
1
|
|
January 17, 2018
|
January 19, 2018
|
|
April 17, 2018
|
April 19, 2018
|
|
July 17, 2018
|
July 19, 2018
|
|
October 17, 2018
|
October 19, 2018
|
|
January 17, 2019
|
January 22, 2019
|
|
April 17, 2019
|
April 23, 2019
|
|
July 17, 2019
|
July 19, 2019
|
|
October 17, 2019
|
October 21, 2019
|
|
January 17, 2020
|
January 22, 2020
|
|
April 17, 2020
|
April 21, 2020
|
|
July 17, 2020
|
July 21, 2020
|
|
October 19, 2020
|
October 21, 2020
|
|
January 19, 2021
|
January 21, 2021
|
|
April 19, 2021
|
April 21, 2021
|
|
July 19, 2021
|
July 21, 2021
|
|
October 18, 2021
(
Final Valuation Date
)
|
October 21, 2021
(
Maturity Date
)
|
Contingent Coupon
|
If the closing levels of
all
Underlyings on each
scheduled trading day during the applicable quarterly Observation Period are greater than or equal to their respective Coupon Barriers,
Deutsche Bank AG will pay you the Contingent Coupon per $10.00 Face Amount of Notes applicable to such Observation Period on the
related Coupon Payment Date.
If the closing level of
any
Underlying on any scheduled
trading day during the applicable quarterly Observation Period is less than its Coupon Barrier, the Contingent Coupon applicable
to such Observation Period will not have accrued or be payable and Deutsche Bank AG will not make any payment to you on the related
Coupon Payment Date.
The Contingent Coupon for the Notes will be a fixed amount based
upon equal installments at the Contingent Coupon Rate set forth below. For each Observation Period, the Contingent Coupon for the
Notes that would be payable for such Observation Period on which the closing levels of all Underlyings are greater than or equal
to their respective Coupon Barriers is set forth below under “Contingent Coupon Payments.”
Contingent Coupon Payments on the Notes are not guaranteed.
Deutsche Bank AG will not pay you the Contingent Coupon for any Observation Period on which the closing level of any Underlying
on any scheduled trading day during that Observation Period is less than its applicable Coupon Barrier
.
|
Contingent Coupon Rate
|
8.90% per annum
|
Contingent Coupon Payments
|
$0.2225 per $10.00 Face Amount of Notes
|
Coupon Payment
Dates
1
|
As set forth in the table under “Observation Periods” above. The Coupon Payment Date for the final Observation End Date will be the Maturity Date.
|
Payment at Maturity (per $10.00 Face Amount of Notes)
|
If the Notes have not previously been called by Deutsche Bank
AG in its sole discretion and the Final Underlying Level of the Least Performing Underlying is greater than or equal to its Downside
Threshold
, Deutsche Bank AG will pay you a cash payment per $10.00 Face Amount of Notes at maturity equal to the Face Amount
plus
the Contingent Coupon otherwise due on the Maturity Date.
If the Notes have not previously been called by Deutsche Bank
AG in its sole discretion and the Final Underlying Level of the Least Performing Underlying is less than its Downside Threshold
,
Deutsche Bank AG will pay you a cash payment per $10.00 Face Amount of Notes at maturity that is less than the Face Amount, equal
to:
$10.00 + ($10.00 x Underlying Return of the
Least Performing Underlying)
In this circumstance
,
you will lose a significant
portion or all of your initial investment in an amount proportionate to the negative Underlying Return of the Least Performing
Underlying
,
regardless of the performance of the other Underlyings
.
You will be exposed to the market risk of each
Underlying and any decline in the level of one Underlying may negatively affect your return and will not be offset or mitigated
by a lesser decline or any potential increase in the levels of any of the other Underlyings
.
|
Least Performing Underlying
|
The Underlying with the largest percentage decrease from its Initial Underlying Level to its Final Underlying Level, as measured by its Underlying Return. If the calculation agent determines that any two or all three Underlyings have equal Underlying Returns, then the calculation agent will, in its sole discretion, designate either Underlying as the Least Performing Underlying.
|
Underlying Return
|
With respect to each Underlying, the Underlying Return will be
calculated as follows:
Final Underlying Level –
Initial Underlying Level
Initial Underlying Level
|
Downside Threshold
|
With respect to the EURO STOXX 50
®
Index,
2,164.66, equal to 60.00% of its Initial Underlying Level.
With respect to the Russell 2000
®
Index,
898.499, equal to 60.00% of its Initial Underlying Level.
With respect to the S&P 500
®
Index,
1,535.62, equal to 60.00% of its Initial Underlying Level.
|
Coupon Barrier
|
With respect to the EURO STOXX 50
®
Index,
2,345.05, equal to 65.00% of its Initial Underlying Level.
With respect to the Russell 2000
®
Index,
973.374, equal to 65.00% of its Initial Underlying Level.
With respect to the S&P 500
®
Index,
1,663.58, equal to 65.00% of its Initial Underlying Level.
|
Initial Underlying Level
|
With respect to each Underlying, the closing level of
such Underlying on the Trade Date.
With respect to the EURO STOXX 50
®
Index,
3,607.77.
With respect to the Russell 2000
®
Index,
1,497.499.
With respect to the S&P 500
®
Index,
2,559.36.
|
Final Underlying Level
|
With respect to each Underlying, the closing level of such Underlying on the Final Valuation Date
|
INVESTING
IN THE NOTES INVOLVES SIGNIFICANT RISKS
.
YOU MAY LOSE A SIGNIFICANT
PORTION OR ALL OF YOUR INITIAL INVESTMENT
.
ANY PAYMENT ON
THE NOTES
,
INCLUDING ANY PAYMENT OF A CONTINGENT COUPON,
ANY PAYMENT UPON AN ISSUER CALL AND ANY PAYMENT OF YOUR INITIAL INVESTMENT AT MATURITY
,
IS
SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER
.
IF DEUTSCHE
BANK AG WERE TO DEFAULT ON ITS PAYMENT OBLIGATIONS OR BECOME SUBJECT TO A RESOLUTION MEASURE
,
YOU
MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER THE NOTES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT
.
|
1
|
Each of the Observation End Dates (including the Final Valuation Date) and the Coupon Payment Dates (including the Maturity
Date) are subject to adjustment as described under “Description of Securities — Adjustments to Valuation Dates and
Payment Dates” in the accompanying product supplement.
|
|
Trade Date
:
|
For each Underlying, the Initial Underlying Level is observed and the Downside Threshold and Coupon Barrier are determined.
|
|
|
|
|
Quarterly (callable by Deutsche Bank AG in its sole discretion)
:
|
If the closing levels of
all
Underlyings on each
scheduled trading day during an Observation Period are greater than or equal to their respective Coupon Barriers, Deutsche Bank
AG will pay you the Contingent Coupon per $10.00 Face Amount of Notes applicable to such Observation Period on the related Coupon
Payment Date.
Deutsche Bank AG may, in its sole discretion, call the Notes
in whole, but not in part, on any Coupon Payment Date prior to the Maturity Date, regardless of the closing level of any Underlying.
If the Notes are called by Deutsche Bank AG in its sole discretion, Deutsche Bank AG will pay you a cash payment per $10.00 Face
Amount of Notes equal to $10.00
plus
any Contingent Coupon otherwise due on such Coupon Payment Date, and no further amounts
will be owed to you under the Notes.
|
|
|
|
|
Maturity Date
:
|
For each Underlying, the Final Underlying Level is determined
and the Underlying Return is calculated on the Final Valuation Date.
If the Notes have not previously been called by Deutsche Bank
AG and the Final Underlying Level of the Least Performing Underlying is greater than or equal to its Downside Threshold and Coupon
Barrier
, Deutsche Bank AG will pay you a cash payment per $10.00 Face Amount of Notes at maturity equal to the Face Amount
plus
the Contingent Coupon otherwise due on the Maturity Date.
If the Notes have not previously been called by Deutsche Bank
AG and the Final Underlying Level of the Least Performing Underlying is less than its Downside Threshold
, Deutsche Bank AG
will pay you a cash payment per $10.00 Face Amount of Notes at maturity that is less than the Face Amount, equal to:
$10.00 + ($10.00 x Underlying Return of the
Least Performing Underlying)
In
this circumstance
,
you will lose a significant portion or
all of your initial investment in an amount proportionate to the negative Underlying Return of the Least Performing Underlying
,
regardless of the performance of the other Underlyings
.
You
will be exposed to the market risk of each Underlying and any decline in the level of one Underlying may negatively affect your
return and will not be offset or mitigated by a lesser decline or any potential increase in the levels of any of the other Underlyings
.
|
An investment in the Notes involves significant risks. Investing
in the Notes is not equivalent to investing directly in the Underlyings or in the stocks composing the Underlyings. Some of the
risks that apply to an investment in the Notes are summarized below, but we urge you to read the more detailed explanation of risks
relating to the Notes generally in the “Risk Factors” sections of the accompanying product supplement, prospectus supplement
and prospectus. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the
Notes.
|
¨
|
Your Investment in the Notes May Result in a Loss of Your Initial Investment
— The Notes differ from ordinary
debt securities in that Deutsche Bank AG will not necessarily pay you the Face Amount per $10.00 Face Amount of Notes at maturity.
If the Notes are not called by Deutsche Bank AG in its sole discretion, the return on the Notes at maturity will depend on whether
the Final Underlying Levels of
all
of the Underlyings are greater than or equal to their respective Downside Thresholds.
If the Notes are
not
called by Deutsche Bank AG in its sole discretion and the Final Underlying Levels of
all
Underlyings are greater than or equal to their respective Downside Thresholds, for each $10.00 Face Amount of Notes, Deutsche Bank
AG will pay you at maturity the Face Amount
plus
any Contingent Coupon otherwise due on the Maturity Date. However, if the
Notes are
not
called by Deutsche Bank AG in its sole discretion and the Final Underlying Level of
any
Underlying
is less than its Downside Threshold, you will be fully exposed to any negative Underlying Return of the Least Performing Underlying
and, for each $10.00 Face Amount of Notes, you will incur a loss that is proportionate to the decline in the Final Underlying Level
of the Least Performing Underlying as compared to its Initial Underlying Level.
In this circumstance
,
you will lose a
significant portion or all of your initial investment at maturity
.
|
|
¨
|
Your Investment Is Exposed to a Decline in the Level of Each Underlying
— Your return on the Notes,
if any, is not linked to a basket consisting of the Underlyings. Rather, any payment on the Notes will be determined by reference
to the performance of each individual 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 fully exposed to the risks related to each of the Underlyings.
Poor performance by any of the Underlyings over the term of the Notes may adversely affect your return and will not be offset or
mitigated by a positive performance by any of the other Underlyings. To receive any Contingent Coupon or contingent repayment of
your initial investment at maturity, the closing levels of
all
of the Underlyings are required to be greater than their
respective Coupon Barriers on each scheduled trading day during the applicable Observation Period and their respective Downside
Thresholds, as applicable. In addition, if not called prior to maturity, you may incur a loss proportionate to the negative Underlying
Return of the Least Performing Underlying even if the levels of the other Underlyings increase during the term of the Notes. Accordingly,
your investment is exposed to a decline in the level of each Underlying.
|
|
¨
|
Because the Notes Are Linked to the Least Performing Underlying
,
You Are Exposed to Greater Risk of Receiving No
Contingent Coupons or a Loss on Your Investment than if the Notes Were Linked to just One Underlying
— The risk
that you will not receive any Contingent Coupons and/or lose a significant portion or all of your initial investment in the Notes
at maturity is greater if you invest in the Notes than in substantially similar securities that are linked to the performance of
just one Underlying. With three Underlyings, it is more likely that the closing level of any Underlying will be less than its Coupon
Barrier on any scheduled trading day during the applicable Observation Period and the Final Underlying Level of any Underlying
will be less than its Downside Threshold on the Final Valuation Date than if the Notes were linked to only one of the Underlyings,
and therefore it is more likely that you will not receive any Contingent Coupons and will receive an amount in cash that is less
than your initial investment on the Maturity Date.
|
In addition, movements in the levels
of the Underlyings may be correlated or uncorrelated at different times during the term of the Notes and such correlation (or lack
thereof) could have an adverse effect on your return on the Notes. The correlation of a pair of Underlyings represents a statistical
measurement of the degree to which the ratios of the returns of those Underlyings were similar to each other over a given period
of time. The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation
(
i
.
e
., the levels of both Underlyings are increasing together or decreasing together and the ratio of their daily
returns has been constant), 0 indicating no correlation (
i
.
e
., there is no statistical relationship between the daily
returns of that pair of Underlyings) and -1.0 indicating perfect negative correlation (
i
.
e
., as the level of one
Underlying increases, the level of the other Underlying decreases and the ratio of their daily returns has been constant).
The lower (or more negative) the
correlation between two Underlyings, the less likely it is that those Underlyings will move in the same direction and, therefore,
the greater the potential for one of those Underlyings to close below its Coupon Barrier or Downside Threshold on any scheduled
trading day during an Observation Period or the Final Valuation Date, respectively. This is because the less positively correlated
a pair of Underlyings are, the greater the likelihood that the level of at least one of the Underlyings will decrease. This results
in a greater potential for a Contingent Coupon not to be paid during the term of the Notes and for a loss of principal at maturity.
However, even if two Underlyings have a higher positive correlation, one or both of those Underlyings might close below its Coupon
Barrier or Downside Threshold on any scheduled trading day during an Observation Period or the Final Valuation Date, respectively,
as the levels of both of those Underlyings may decrease together.
In addition, for each additional
Underlying to which the Notes are linked, there is a greater potential for one pair of Underlyings to have low or negative correlation.
Therefore, the greater the number of Underlyings, the greater the potential for missed Contingent Coupons and for loss of principal
at maturity. Deutsche Bank AG determines the Contingent Coupon Rate for the Notes based, in part, on the correlation among the
Underlyings, calculated using internal models at the time the terms of the Notes are set. As discussed above, increased risk resulting
from lower correlation or from a greater number of underlyings will be reflected in a higher Contingent Coupon Rate than would
be payable on notes linked to fewer underlyings that have a higher degree of correlation.
|
¨
|
Your Potential Return For Each $10
.
00 Face Amount of Notes Is Limited to the Face Amount Plus Any Contingent Coupons
and You Will Not Participate in Any Increase in the Level of Any Underlying
— For each $10.00 Face Amount of Notes, the
Notes will not pay more than the Face Amount
plus
any Contingent Coupons payable over the term of the Notes. Therefore,
your
|
potential return on the Notes will
be limited to the Contingent Coupon Rate, but the total return will vary based on the number of Observation Periods during which
the requirement for a Contingent Coupon has been met prior to maturity or if Deutsche Bank AG, in its sole discretion, calls the
Notes. If the Notes are called, you will not participate in any increase in the level of any Underlying and you will not receive
any Contingent Coupons in respect of any Observation Period after the applicable Issuer Call Date. If the Notes are called by Deutsche
Bank AG in its sole discretion on the first Coupon Payment Date (approximately three months following the Trade Date), the total
return on the Notes will be minimal. If the Notes are not called, you may be subject to the full downside performance of the Least
Performing Underlying even though you were not able to participate in any potential increase in the level of any Underlying.
|
¨
|
The Notes May be Called Prior to the Maturity Date
— We may, in our sole discretion, call the Notes in whole,
but not in part, on any Coupon Payment Date prior to the Maturity Date. For United States federal income tax purposes, an early
redemption of the Notes at Deutsche Bank AG’s option would be a taxable event to you. In addition, if the Notes are called
by us prior to the Maturity Date, you will not receive any Contingent Coupon that would have otherwise accrued after the Issuer
Call Date.
|
|
¨
|
Our Decision to Redeem the Notes May Depend on the Interest We Would Pay on a Conventional Fixed
-
Rate
,
Non
-
Callable
Debt Security of Comparable Maturity
— It is more likely that Deutsche Bank AG will, at its election, call the Notes
prior to maturity during periods when the interest we would pay on a conventional fixed-rate, non-callable debt security of comparable
maturity is less than the Contingent Coupon Rate and when the level of any of the Underlyings is greater than its Coupon Barrier.
The greater likelihood of Deutsche Bank AG calling the Notes in that environment increases the risk that you will not be able to
reinvest the proceeds from an investment in the Notes in a comparable investment with a similar level of risk. Therefore, the Notes
are more likely to remain outstanding when the expected interest payable on the Notes is less than what would be payable on other
comparable instruments, which includes when the level of any Underlying is less than its Coupon Barrier and your risk of not receiving
a Contingent Coupon is relatively higher.
|
|
¨
|
You May Not Receive Any Contingent Coupons
— Deutsche Bank AG will not necessarily make periodic coupon payments
on the Notes. If the closing level of
any
Underlying on any scheduled trading day during an Observation Period is less than
its Coupon Barrier, Deutsche Bank AG will not pay you the Contingent Coupon applicable to such Observation Period. If the closing
level of any Underlying is less than its Coupon Barrier on any scheduled trading day during each of the Observation Periods, Deutsche
Bank AG will not pay you any Contingent Coupons during the term of, and you will not receive a positive return on, your Notes.
|
|
¨
|
Each Contingent Coupon Is based on the Closing Levels of the Underlyings on Each Scheduled Trading Day During the Applicable
Quarterly Observation Period
— Whether a Contingent Coupon will be payable with respect to an Observation Period will
be based solely on the closing levels of the Underlyings on each scheduled trading day during that Observation Period. If the closing
level of any Underlying on any scheduled trading day during an Observation Period is less than its Coupon Barrier, you will not
receive any Contingent Coupon with respect to that Observation Period. As a result, a Contingent Coupon for an Observation Period
may be lost after the first day of such period, and you may not know whether you will receive a Contingent Coupon for an Observation
Period until the end of that period.
|
|
¨
|
Contingent Repayment of Your Initial Investment Applies Only If You Hold the Notes to Maturity
— If your Notes
are not called by Deutsche Bank AG in its sole discretion, you should be willing to hold your Notes to maturity. If you are able
to sell your Notes prior to maturity in the secondary market, you may have to sell them at a loss relative to your initial investment
even if the closing levels of all of the Underlyings are greater than their respective Downside Thresholds at the time of sale.
|
|
¨
|
A Higher Contingent Coupon Rate or a Lower Coupon Barrier and Downside Threshold May Reflect Greater Expected Volatility
of the Underlying
,
Which Is Generally Associated with a Greater Risk of Loss
— Volatility is a measure of the
degree of variation in the levels of the Underlyings over a period of time. The greater the expected volatility at the time the
terms of the Notes are set, the greater the expectation is at that time that an Underlying may close below its Coupon Barrier on
any scheduled trading day during an Observation Period (resulting in a missed Contingent Coupon) or its Downside Threshold on the
Final Valuation Date (resulting in the loss of a significant portion or all of your investment at maturity). In addition, the economic
terms of the Notes, including the Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold, are based, in part, on
the expected volatility of the Underlyings at the time the terms of the Notes are set, where higher expected volatility will generally
lead to a higher Contingent Coupon Rate or a lower Coupon Barrier and Downside Threshold. Accordingly, a higher Contingent Coupon
Rate as compared with the coupon on our conventional fixed income securities with a similar maturity or the coupon on our other
similarly structured securities will generally indicate a greater risk of loss, while a lower Coupon Barrier and Downside Threshold
as compared with otherwise comparable securities does not necessarily indicate that the Notes have a greater likelihood of paying
Contingent Coupons or returning your investment at maturity. You should be willing to accept the downside market risk of the
Underlyings and the potential loss of some or all of your investment at maturity.
|
|
¨
|
Reinvestment Risk
— If Deutsche Bank AG calls the Notes in its sole discretion, the holding period over which
you would receive any applicable Contingent Coupon, which is based on the Contingent Coupon Rate as specified on the cover hereof,
could be as little as approximately three months. There is no guarantee that you would be able to reinvest the proceeds from an
investment in the Notes at a comparable return for a similar level of risk in the event the Notes are called prior to the Maturity
Date.
|
|
¨
|
The Notes Are Subject to the Credit of Deutsche Bank AG
—
The Notes are
unsubordinated and unsecured obligations of Deutsche Bank AG and are not, either directly or indirectly, an obligation of any third
party. Any payment(s) to be made on the Notes depends on the ability of Deutsche Bank AG to satisfy its obligations as they become
due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating or increase in the credit spreads charged by
the market for taking Deutsche Bank AG’s credit risk will likely have an adverse effect on the value of the Notes. As a result,
the actual and perceived creditworthiness of Deutsche Bank AG will
|
affect
the value of the Notes and, in the event Deutsche Bank AG were to default on its obligations or become subject to a Resolution
Measure, you might not receive any amount(s) owed to you under the terms of the Notes and you could lose your entire investment.
|
¨
|
The Notes May Be Written Down
,
Be Converted into Ordinary Shares or Other Instruments of Ownership or Become Subject
to Other Resolution Measures
.
You May Lose Some or All of Your Investment If Any Such Measure Becomes Applicable to Us
|
|
¨
|
Resolution Measures could be imposed on us
. German and European laws and regulations provide German and European resolution
authorities with a set of powers to intervene in the event that a bank is failing or likely to fail and certain other conditions
are met. Specifically, the competent resolution authority could impose Resolution Measures on us under German and European laws
and regulations 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.
|
|
¨
|
If a Resolution Measure is imposed on us
,
you may lose some or all of your investment in the Notes
. A Resolution
Measure may include: a write down, including to zero, of any claim for payment on the Notes; a conversion of the Notes into ordinary
shares of us, any group entity or any bridge bank or other instruments of ownership of such entities qualifying as common equity
tier 1 capital; or the application of any other resolution measure including, but not limited to, any transfer of the Notes to
another entity, an amendment, modification or variation of the terms and conditions of the Notes or the cancellation of the Notes.
The competent resolution authority may apply Resolution Measures individually or in any combination. You may lose some or all of
your investment in the Notes if a Resolution Measure becomes applicable to us.
|
|
¨
|
If a Resolution Measure is imposed on us
,
we expect that other debt instruments issued by us may be affected by such
Resolution Measure before the Notes would be
. The imposition of a Resolution Measure would have to be conducted in accordance
with a set order of priority derived from the order of priority that would apply in a German insolvency proceeding with respect
to the Issuer. Under the applicable German law, certain specifically defined senior unsecured debt instruments (including securities
we expect to be classified as Non-Structured Debt Securities) would rank junior to, without constituting subordinated debt, all
other senior unsecured obligations of the Issuer (including securities we expect to be classified as Structured Debt Securities).
The specifically defined senior unsecured debt instruments (including Non-Structured Debt Securities) would be satisfied in a German
insolvency proceeding with respect to the Issuer only if all other senior unsecured obligations of the Issuer (including Structured
Debt Securities) have been paid in full. Therefore, if a Resolution Measure were imposed on us, our Non-Structured Debt Securities
would be written down or converted into common equity tier 1 instruments before our Structured Debt Securities are written down
or converted. This order of priority 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. While we expect the Notes
offered herein to be classified as Structured Debt Securities, and therefore to be affected after our Non-Structured Debt Securities
in the event of the imposition of Resolution Measures, the competent regulatory authority or court may classify the Notes differently.
Even if the Notes are classified as Structured Debt Securities, you may lose some or all of your investment in the Notes if a Resolution
Measure becomes applicable to us.
|
|
¨
|
If a Resolution Measure is imposed on us
,
the secondary market for the Notes may be affected
. Because the Notes
are subject to Resolution Measures, the secondary market trading in the Notes may not follow the trading behavior associated with
similar types of Notes issued by other financial institutions which may be or have been subject to a Resolution Measure.
|
By acquiring the Notes, you will be bound by and
deemed irrevocably to consent to the imposition of any Resolution Measure by the competent resolution authority. As a result, you
would have no claim or other right against us arising out of any Resolution Measure and the imposition of any Resolution Measure
will not constitute a default or an event of default under the Notes, under the senior indenture or for the purposes of, but only
to the fullest extent permitted by, the Trust Indenture Act of 1939, as amended. In addition, the trustee, the paying agent, issuing
agent, registrar and The Depository Trust Company (“
DTC
”) and any direct participant in DTC or other intermediary
through which you hold such Notes may take any and all necessary action, or abstain from taking any action, if required, to implement
the imposition of any Resolution Measure with respect to the Notes.
Accordingly
,
you may have limited or circumscribed
rights to challenge any decision of the competent resolution authority to impose any Resolution Measure
.
For more information
,
including details on the particular German and European laws and regulations referenced above
,
please see the accompanying
prospectus dated April 27
,
2016
,
including the risk factors beginning on page 13 of such prospectus
.
|
¨
|
The Issuer
’
s Estimated Value of the Notes on the Trade Date Will Be Less Than the Issue Price of the Notes
— The Issuer’s estimated value of the Notes on the Trade Date (as disclosed on the cover of this pricing supplement)
is less than the Issue Price of the Notes. The difference between the Issue Price and the Issuer’s estimated value of the
Notes on the Trade Date is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging
our obligations under the Notes through one or more of our affiliates. Such hedging cost includes our or our affiliates’
expected cost of providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming
the risks inherent in providing such hedge. The Issuer’s estimated value of the Notes is determined by reference to an internal
funding rate and our pricing models. The internal funding rate is typically lower than the rate we would pay when we issue conventional
debt securities on equivalent terms. This difference in funding rate, as well as the agent’s commissions, if any, and the
estimated cost of hedging our obligations under the Notes, reduces the economic terms of the Notes to you and is expected to adversely
affect the price at which you may be able to sell the Notes in any secondary market. In addition, our internal pricing models are
proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. If at any time a third
party dealer were to quote a price to purchase your Notes or otherwise value your Notes, that price
|
or value may differ materially from
the estimated value of the Notes determined by reference to our internal funding rate and pricing models. This difference is due
to, among other things, any difference in funding rates, pricing models or assumptions used by any dealer who may purchase the
Notes in the secondary market.
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¨
|
Investing in the Notes Is Not the Same as Investing in the Underlyings or the Stocks Composing the Underlyings
—
The return on your Notes may not reflect the return you would realize if you invested directly in the Underlyings or the stocks
composing the Underlyings. For instance, your return on the Notes is limited to the applicable Contingent Coupons you receive,
regardless of any increase in the level of any Underlying, which could be significant.
|
|
¨
|
If the Levels of the Underlyings Change
,
the Value of the Notes May Not Change in the Same Manner
— The
Notes may trade quite differently from the levels of the Underlyings. Changes in the levels of the Underlyings may not result in
comparable changes in the value of the Notes.
|
|
¨
|
No Dividend Payments or Voting Rights
— As a holder of the Notes, you will not have any voting rights or rights
to receive cash dividends or other distributions or other rights that holders of the stocks composing the Underlyings would have.
|
|
¨
|
The Notes Are Subject to Risks Associated with Small
-
Capitalization Companies
— The stocks composing the
Russell 2000
®
Index are issued by companies with relatively small market capitalization. These companies often have
greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies and, therefore, the
level of the Russell 2000
®
Index may be more volatile than the levels of indices that consist of large-capitalization
stocks. Stock prices of small-capitalization companies are also generally more vulnerable than those of large-capitalization companies
to adverse business and economic developments and the stocks of small-capitalization companies may be thinly traded. In addition,
small-capitalization companies are typically less well-established and less stable financially than large-capitalization companies
and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Such small-capitalization
companies tend to have lower revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial
resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related
to their products. These companies may also be more susceptible to adverse developments related to their products or services.
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|
¨
|
There Are Risks Associated with Investments in Notes Linked to the Values of Equity
Securities Issued by Non
-
U
.
S
.
Companies
— The EURO STOXX 50
®
Index includes component
stocks that are issued by companies incorporated outside of the U.S. Because the component stocks also trade outside the U.S.,
the Notes are subject to the risks associated with non-U.S. securities markets. Generally, non-U.S. securities markets may be less
liquid and more volatile than U.S. securities markets and market developments may affect non-U.S. securities markets differently
than U.S. securities markets, which may adversely affect the level of the EURO STOXX 50
®
Index and the value of
your Notes. Furthermore, there are risks associated with investments in securities linked to the values of equity securities issued
by non-U.S. companies. There is generally less publicly available information about non-U.S. companies than about those U.S. companies
that are subject to the reporting requirements of the SEC, and non-U.S. companies are subject to accounting, auditing and financial
reporting standards and requirements that differ from those applicable to U.S. reporting companies. In addition, the prices of
equity securities issued by non-U.S. companies may be 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 EURO STOXX 50
®
Index are issued by companies
located within the Eurozone, some of which are and have been experiencing economic stress.
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|
¨
|
The Performance of the EURO STOXX 50
®
Index
Will Not Be Adjusted for Changes in the Euro Relative to the U
.
S
.
Dollar
— The EURO STOXX 50
®
Index is composed of stocks denominated in euro. Because the level of the EURO STOXX 50
®
Index is also calculated
in euro (and not in U.S. dollars), the performance of the EURO STOXX 50
®
Index will not be adjusted for exchange
rate fluctuations between the U.S. dollar and the euro. Therefore, if the euro strengthens or weakens relative to the U.S. dollar
over the term of the Notes, you will not receive any additional payment or incur any reduction in your return, if any, at maturity.
|
|
¨
|
We Are One of the Companies That Make Up the EURO STOXX 50
®
Index
— We are one of the companies
that make up the EURO STOXX 50
®
Index. To our knowledge, we are not currently affiliated with any of the other companies
the equity securities of which are represented in the EURO STOXX 50
®
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 underlying
the EURO STOXX 50
®
Index, or your Notes. None of the other companies represented in the EURO STOXX 50
®
Index will be involved in the offering of the Notes in any way. Neither they nor we will have any obligation to consider your interests
as a holder of the Notes in taking any corporate actions that might affect the value of your Notes.
|
|
¨
|
Each Underlying Reflects the Price Return of the Stocks Composing Such Underlying
,
Not Their Total Return Including All Dividends and Other Distributions
— Each Underlying reflects the changes in the
market prices of the stocks composing such Underlying. None of the Underlyings is,
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 such Underlying.
|
|
¨
|
The Sponsor of an Underlying May Adjust the Relevant Underlying in Ways That Affect
the Level of Such Underlying and Has No Obligation to Consider Your Interests
— The sponsor of an Underlying (the “
Underlying
Sponsor
”) is responsible for
|
calculating
and maintaining the relevant Underlying. The Underlying Sponsor can add, delete or substitute the relevant Underlying components
or make other methodological changes that could change the level of such Underlying. You should realize that the changing of such
Underlying components may affect such Underlying, as a newly added component may perform significantly better or worse than the
component it replaces. Additionally, the Underlying Sponsor may alter, discontinue or suspend calculation or dissemination of the
relevant Underlying. Any of these actions could adversely affect the value of, and your return on, the Notes. The Underlying Sponsor
has no obligation to consider your interests in calculating or revising the relevant Underlying.
|
¨
|
Past Performance of the Underlyings Is No Guide to Future Performance
—
The actual performance of the Underlyings may bear little relation to the historical closing levels 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 over the term of the Notes will result in the return of any of your investment.
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|
¨
|
Assuming No Changes in Market Conditions and Other Relevant Factors
,
the Price You May Receive for Your Notes in
Secondary Market Transactions Would Generally Be Lower Than Both the Issue Price and the Issuer
’
s Estimated Value
of the Notes on the Trade Date
— While the payment(s) on the Notes described in this pricing supplement is based on the
full Face Amount of Notes, the Issuer’s estimated value of the Notes on the Trade Date (as disclosed on the cover of this
pricing supplement) is less than the Issue Price of the Notes. The Issuer’s estimated value of the Notes on the Trade Date
does not represent the price at which we or any of our affiliates would be willing to purchase your Notes in the secondary market
at any time. Assuming no changes in market conditions or our creditworthiness and other relevant factors, the price, if any, at
which we or our affiliates would be willing to purchase the Notes from you in secondary market transactions, if at all, would generally
be lower than both the Issue Price and the Issuer’s estimated value of the Notes on the Trade Date. Our purchase price, if
any, in secondary market transactions would be based on the estimated value of the Notes determined by reference to (i) the then-prevailing
internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our pricing models at
that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the assets underlying
the Notes and then-prevailing market conditions. The price we report to financial reporting services and to distributors of our
Notes for use on customer account statements would generally be determined on the same basis. However, during the period of approximately
six months beginning from the Trade Date, we or our affiliates may, in our sole discretion, increase the purchase price determined
as described above by an amount equal to the declining differential between the Issue Price and the Issuer’s estimated value
of the Notes on the Trade Date, prorated over such period on a straight-line basis, for transactions that are individually and
in the aggregate of the expected size for ordinary secondary market repurchases.
|
In addition to the factors discussed
above, the value of the Notes and our purchase price in secondary market transactions after the Trade Date, if any, will vary based
on many economic and market factors, including our creditworthiness, and cannot be predicted with accuracy. These changes may adversely
affect the value of your Notes, including the price you may receive in any secondary market transactions. Any sale prior to the
Maturity Date could result in a substantial loss to you. The Notes are not designed to be short-term trading instruments. Accordingly,
you should be able and willing to hold your Notes to maturity.
|
¨
|
The Notes Will Not Be Listed and There Will Likely Be Limited Liquidity
— The Notes will not be listed on any
securities exchange. There may be little or no secondary market for the Notes. We or our affiliates intend to act as market makers
for the Notes but are not required to do so and may cease such market making activities at any time. Even if there is a secondary
market, it may not provide enough liquidity to allow you to sell the Notes when you wish to do so or at a price advantageous to
you. Because we do not expect other dealers to make a secondary market for the Notes, the price at which you may be able to sell
your Notes is likely to depend on the price, if any, at which we or our affiliates are willing to buy the Notes. If, at any time,
we or our affiliates do not act as market makers, it is likely that there would be little or no secondary market in the Notes.
If you have to sell your Notes prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss,
even in cases where the levels of the Underlyings have increased since the Trade Date.
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|
¨
|
Many Economic and Market Factors Will Affect the Value of the Notes
— Because the Notes can be thought of as securities
that combine two components, a bond and an embedded derivative(s), the terms and features of the Notes at issuance and the value
of the Notes prior to maturity will be influenced by factors that impact the value of bonds and embedded derivatives generally.
While we expect that, generally, the levels of the Underlyings will affect the value of the Notes more than any other single factor,
the terms of the Notes at issuance and the value of the Notes prior to maturity will also be affected by a number of other factors
that may either offset or magnify each other, including:
|
|
¨
|
the expected volatility of the Underlyings;
|
|
¨
|
the time remaining to the maturity of the Notes;
|
|
¨
|
the market prices and dividend rates of the stocks composing the Underlyings;
|
|
¨
|
the composition of the Underlyings;
|
|
¨
|
interest rates and yields in the markets generally;
|
|
¨
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the Underlyings or the
markets generally;
|
|
¨
|
supply and demand for the Notes; and
|
|
¨
|
our creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
During the term of the Notes, it is possible that their
value may decline significantly due to the factors described above even if the levels of the Underlyings remain unchanged from
their respective Initial Underlying Levels, and any sale prior to the Maturity Date could result in a substantial loss to you.
You must hold the Notes to maturity to receive the stated payout from the Issuer.
|
¨
|
Trading and Other Transactions by Us
,
UBS AG or Our or Its Affiliates in the Equity and Equity Derivative Markets
May Impair the Value of the Notes
— We or our affiliates expect to hedge our exposure from the Notes by entering into
equity and equity derivative transactions, such as over-the-counter options, futures or exchange-traded instruments. We, UBS AG
or our or its 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
levels of one or more of the Underlyings and, therefore, make it less likely that you will receive a positive return on your investment
in the Notes. It is possible that we, UBS AG or our or its affiliates could receive substantial returns from these hedging and
trading activities while the value of the Notes declines. We, UBS AG or our or its 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, UBS
AG or our or its affiliates serve as issuer, agent or underwriter for such securities or financial or derivative instruments, our,
UBS AG’s or our or its affiliates’ interests with respect to such products may be adverse to those of the holders of
the Notes. Introducing competing products into the marketplace in this manner could adversely affect the levels of one or
more of the Underlyings and the value of the Notes. Any of the foregoing activities described in this paragraph may reflect trading
strategies that differ from, or are in direct opposition to, investors’ trading and investment strategies related to the
Notes.
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|
¨
|
Potential Deutsche Bank AG Impact on Price
— Trading or transactions by Deutsche Bank AG or its affiliates in
the stocks composing the Underlyings and/or in futures, over-the-counter options, exchange-traded funds or other instruments with
returns linked to the performance of the Underlyings or the stocks composing the Underlyings may adversely affect the prices of
the stocks composing the Underlyings and/or the levels of the Underlyings and, therefore, the value of the Notes.
|
|
¨
|
We
,
UBS AG or Our or Its Affiliates May Publish Research
,
Express Opinions or Provide Recommendations That
Are Inconsistent with Investing in or Holding the Notes
.
Any Such Research
,
Opinions or Recommendations Could Adversely
Affect the Levels of the Underlyings and the Value of the Notes
— We, UBS AG or our or its affiliates may publish research
from time to time on financial markets and other matters that could adversely affect the levels of the Underlyings and the value
of the Notes, or express opinions or provide recommendations that are inconsistent with purchasing or holding the Notes. Any research,
opinions or recommendations expressed by us, UBS AG or our or its affiliates may not be consistent with each other and may be modified
from time to time without notice. You should make your own independent investigation of the merits of investing in the Notes and
the Underlyings.
|
|
¨
|
Potential Conflicts of Interest
— Deutsche Bank AG or its affiliates may engage in business with the issuers of
the stocks composing the Underlyings, which may present a conflict between Deutsche Bank AG and you, as a holder of the Notes.
We and our affiliates play a variety of roles in connection with the issuance of the Notes, including acting as calculation agent,
hedging our obligations under the Notes and determining the Issuer’s estimated value of the Notes on the Trade Date and the
price, if any, at which we or our affiliates would be willing to purchase the Notes from you in secondary market transactions.
In performing these roles, our economic interests and those of our affiliates are potentially adverse to your interests as an investor
in the Notes. The calculation agent will determine, among other things, all values, prices and levels required to be determined
for the purposes of the Notes on any relevant date or time. The calculation agent will also be responsible for determining whether
a market disruption event has occurred as well as, in some circumstances, the prices or levels related to the Underlyings that
affect whether Contingent Coupons are paid. Any determination by the calculation agent could adversely affect the return on the
Notes.
|
|
¨
|
There Is Substantial Uncertainty Regarding the U
.
S
.
Federal Income Tax Consequences of an Investment in the
Notes
— There is no direct legal authority regarding the proper U.S. federal income tax treatment of the Notes, and we
do not plan to request a ruling from the Internal Revenue Service (the “
IRS
”). Consequently, significant aspects
of the tax treatment of the Notes are uncertain, and the IRS or a court might not agree with the treatment of the Notes as prepaid
financial contracts that are not debt, with associated contingent coupons, as described below under “What Are the Tax Consequences
of an Investment in the Notes?” If the IRS were successful in asserting an alternative treatment for the Notes, the tax consequences
of ownership and disposition of the Notes could be materially affected. In addition, as described below under “What Are the
Tax Consequences of an Investment in the Notes?”, in 2007 the U.S. Treasury Department and the IRS released a notice requesting
comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect
the tax consequences of an investment in the Notes, possibly with retroactive effect. You should review carefully the section of
the accompanying product supplement entitled “U.S. Federal Income Tax Consequences,” and consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the Notes (including possible alternative treatments and the issues presented
by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
Hypothetical
terms only
.
Actual terms may vary
.
See the cover page of this pricing supplement for the actual offering terms
.
The following hypothetical
examples illustrate the payment upon an Issuer Call or at maturity for a hypothetical range of performances for
the Underlyings
and reflect the Contingent Coupon Rate of 8.90% per annum
. The following examples are hypothetical
and provided for illustrative purposes only. They do not purport to be representative of every possible scenario concerning increases
or decreases in the levels of the Underlyings relative to their respective Initial Underlying Levels. We cannot predict the Final
Underlying Levels or the closing levels of the Underlyings on any scheduled trading day during the Observation Periods. You should
not take these examples as an indication or assurance of the expected performance of
the
Underlyings.
You should consider carefully whether the Notes are suitable to your investment goals. The numbers in the examples and table below
may have been rounded for ease of analysis.
The following hypothetical
examples illustrate the payment at maturity or upon an Issuer Call per $10.00 Face Amount of Notes on a
hypothetical
offering
of Notes based on the following assumptions:
Term:
|
Approximately 4 years, subject to an Issuer Call
|
Contingent Coupon Rate:
|
8.90% per annum (or 2.225% per quarter)
|
Contingent Coupon:
|
$0.2225 per quarter
|
Observation Periods /
|
|
Observation End Dates:
|
Quarterly
|
Hypothetical
Initial Underlying Levels:
|
|
EURO STOXX 50
®
Index:
|
3,500
|
Russell 2000
®
Index:
|
1,500
|
S&P 500
®
Index:
|
2,500
|
Hypothetical
Downside Thresholds:
|
|
EURO STOXX 50
®
Index:
|
2,100 (60.00% of its
Hypothetical
Initial Underlying Level)
|
Russell 2000
®
Index:
|
900 (60.00% of its
Hypothetical
Initial Underlying Level)
|
S&P 500
®
Index:
|
1,500 (60.00% of its
Hypothetical
Initial Underlying Level)
|
Hypothetical
Coupon Barriers:
|
|
EURO STOXX 50
®
Index:
|
2,275 (65.00% of its
Hypothetical
Initial Underlying Level)
|
Russell 2000
®
Index:
|
975 (65.00% of its
Hypothetical
Initial Underlying Level)
|
S&P 500
®
Index:
|
1,625 (65.00% of its
Hypothetical
Initial Underlying Level)
|
Example 1
—
The Notes are called on the first
Coupon Payment Date
.
Date
|
Lowest Closing Level During Applicable Observation Period
|
Payment (per $10
.
00 Face Amount of Notes)
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
First Observation Period
|
3,500 (greater than its Coupon Barrier)
|
1,200 (greater than its Coupon Barrier)
|
2,400 (greater than its Coupon Barrier)
|
$10.2225 (Face Amount
plus
Contingent Coupon
|
|
|
|
|
|
|
|
|
Total Payment
:
|
$10.2225 (2.225% return)
|
In this example, because the closing levels
of
all
of the Underlyings are greater than their respective Coupon Barriers on each scheduled trading day during
the first Observation Period, Deutsche Bank AG will pay you the Contingent Coupon on the applicable Coupon Payment Date. Because
the Notes have been called by Deutsche Bank AG in its sole discretion on the first Coupon Payment Date, Deutsche Bank AG will pay
you on such Coupon Payment Date a total of $10.2225 per $10.00 Face Amount of Notes, reflecting the Face Amount
plus
the
Contingent Coupon, representing a 2.225% return on the Notes over the approximately three months the Notes were outstanding before
they were called by Deutsche Bank AG in its sole discretion. No further amount will be owed to you under the Notes.
Example 2
—
The Notes are called on the eighth
Coupon Payment Date
.
Date
|
Lowest Closing Level During Applicable Observation Period
|
Payment (per $10
.
00 Face Amount of Notes)
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
First Observation Period
|
3,150 (greater than its Coupon Barrier)
|
1,250 (greater than its Coupon Barrier)
|
1,950 (greater than its Coupon Barrier)
|
$0.2225 (Contingent Coupon)
|
Second Observation Period
|
2,700 (greater than its Coupon Barrier)
|
1,400 (greater than its Coupon Barrier)
|
2,500 (greater than its Coupon Barrier)
|
$0.2225 (Contingent Coupon)
|
Third Observation Period
|
2,800 (greater than its Coupon Barrier)
|
1,200 (greater than its Coupon Barrier)
|
2,100 (greater than its Coupon Barrier)
|
$0.2225 (Contingent Coupon)
|
Fourth to Seventh Observation Periods
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
$0.00
|
Eighth Observation Period
|
3,300 (greater than its Coupon Barrier)
|
1,300 (greater than its Coupon Barrier)
|
2,150 (greater than its Coupon Barrier)
|
$10.2225 (Face Amount
plus
Contingent Coupon)
|
|
|
|
|
|
|
|
|
Total Payment
:
|
$10.89 (8.90% return)
|
In this example, because the closing levels of
all
of the Underlyings are greater than their respective Coupon Barriers on each scheduled trading day during the first three Observation
Periods and the eighth Observation Period, Deutsche Bank AG will pay you the Contingent Coupons on the applicable Coupon Payment
Dates. During the fourth to seventh Observation Periods, the closing level of at least one Underlying is less than its Coupon Barrier
on at least one day during each of such Observation Periods. Therefore, no Contingent Coupon is paid on any applicable Coupon Payment
Date. Because the Notes have been called by Deutsche Bank AG in its sole discretion on the eighth Coupon Payment Date, Deutsche
Bank AG will pay you on such Coupon Payment Date a total of $10.2225 per $10.00 Face Amount of Notes, reflecting the Face Amount
plus
the Contingent Coupon. When added to the Contingent Coupon Payments of $0.6675 paid in respect of the prior Observation
Periods, Deutsche Bank AG will have paid you a total of $10.89 per $10.00 Face Amount of Notes, representing a 8.90% return on
the Notes over the approximately two years the Notes were outstanding before they were called by Deutsche Bank AG in its sole discretion.
No further amount will be owed to you under the Notes.
Example 3
—
The Notes are NOT called and the
Final Underlying Level of the Least Performing Underlying is greater than both its Downside Threshold and Coupon Barrier
.
Date
|
Lowest Closing Level During Applicable Observation Period and Final Underlying Level on the Final Valuation Date
|
Payment (per $10
.
00 Face Amount of Notes)
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
First Observation Period
|
2,900 (greater than its Coupon Barrier)
|
1,250 (greater than its Coupon Barrier)
|
2,250 (greater than its Coupon Barrier)
|
$0.2225 (Contingent Coupon)
|
Second Observation Period
|
2,100 (
less than
its Coupon Barrier)
|
1,300 (greater than its Coupon Barrier)
|
2,000 (greater than its Coupon Barrier)
|
$0.00
|
Third Observation Period
|
3,100 (greater than its Coupon Barrier)
|
1,200 (greater than its Coupon Barrier)
|
1,600 (
less than
its Coupon Barrier)
|
$0.00
|
Fourth to Fifteenth Observation Periods
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
$0.00
|
Final Observation Period
|
3,000 (greater than its Coupon Barrier)
|
1,500 (greater than its Coupon Barrier)
|
2,600 (greater than its Coupon Barrier)
|
$0.2225 (Contingent Coupon)
|
Final Valuation Date
|
3,325 (greater than its Downside Threshold)
|
1,650 (greater than its Downside Threshold)
|
2,875 (greater than its Downside Threshold)
|
$10.00 (Payment at Maturity)
|
|
|
|
|
|
|
|
|
Total Payment
:
|
$10.445 (4.45% return)
|
In this example, because the closing levels of
all
of
the Underlyings are greater than their respective Coupon Barriers on each scheduled trading day during the first and final Observation
Periods, Deutsche Bank AG will pay you the Contingent Coupon on the first Coupon Payment Date and the Maturity Date. During the
second to fifteenth Observation Periods, the closing level of at least one Underlying is less than its Coupon Barrier on at least
one day during each of such Observation Periods. Therefore, no Contingent Coupon is paid on any applicable Coupon Payment Date.
On the Final Valuation Date, because the Underlying Return of the EURO STOXX 50
®
Index is -5.00%, while the Underlying
Returns of the Russell 2000
®
Index and S&P 500
®
Index are 10.00% and 15.00%, respectively,
the EURO STOXX 50
®
Index is designated as the Least Performing Underlying. Because the Final Underlying Level of
the Least Performing Underlying is greater than its Downside Threshold, for each $10.00 Face Amount of Notes, Deutsche Bank AG
will pay you at maturity a Payment at Maturity of $10.00
plus
the Contingent Coupon of $0.2225 for the final Observation
Period. When added to the Contingent Coupon Payment of
$0.2225 paid in respect of the prior Observation Periods, Deutsche
Bank AG will have paid you a total of $10.445 per $10.00 Face Amount of Notes, representing a 4.45% return on the Notes over the
approximately four-year term of the Notes.
Example 4
—
The Notes are NOT called and the
Final Underlying Level of the Least Performing Underlying is less than its Downside Threshold
.
Date
|
Lowest Closing Level During Applicable Observation Period and Final Underlying Level on the Final Valuation Date
|
Payment (per $10
.
00 Face Amount of Notes)
|
EURO STOXX 50
®
Index
|
Russell 2000
®
Index
|
S&P 500
®
Index
|
First Observation Period
|
2,750 (greater than its Coupon Barrier)
|
1,300 (greater than its Coupon Barrier)
|
2,200 (greater than its Coupon Barrier)
|
$0.2225 (Contingent Coupon)
|
Second Observation Period
|
3,100 (greater than its Coupon Barrier)
|
1,500 (greater than its Coupon Barrier)
|
2,250 (greater than its Coupon Barrier)
|
$0.2225 (Contingent Coupon)
|
Third Observation Period
|
2,800 (greater than its Coupon Barrier)
|
1,450 (greater than its Coupon Barrier)
|
2,300 (greater than its Coupon Barrier)
|
$0.2225 (Contingent Coupon)
|
Fourth to Fifteenth Observation Periods
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
Various (all
less than
its Coupon Barrier)
|
$0.00
|
Final Observation Period
|
1,750 (
less than
its Coupon Barrier)
|
1,150 (greater than its Coupon Barrier)
|
2,300 (greater than its Coupon Barrier)
|
$0.00
|
Final Valuation Date
|
1,750 (
less than
its Downside Threshold)
|
1,200 (greater than its Downside Threshold)
|
2,750 (greater than its Downside Threshold)
|
$10.00 + ($10.00 × Underlying
Return of the Least Performing Underlying) =
$10.00 + ($10.00 × -50.00%)
=
$5.00 (Payment at Maturity)
|
|
|
|
|
|
|
|
|
Total Payment
:
|
$5.6675 (-43.325% return)
|
In this example, because the closing levels of
all
of
the Underlyings are greater than their respective Coupon Barriers on each scheduled trading day during the first three Observation
Periods, Deutsche Bank AG will pay you the Contingent Coupon on the applicable Coupon Payment Dates. During the fourth to fifteenth
Observation Periods, the closing level of at least one Underlying is less than its Coupon Barrier on at least one day during each
of such Observation Periods. Therefore, no Contingent Coupon is paid on any applicable Coupon Payment Date. On the Final Valuation
Date, because the Underlying Return of the EURO STOXX 50
®
Index is -50.00%, while the Underlying Returns of the
Russell 2000
®
Index and S&P 500
®
Index are -20.00% and 10.00%, respectively, the EURO
STOXX 50
®
Index is designated as the Least Performing Underlying. Because the Final Underlying Level of the Least
Performing Underlying is less than its Downside Threshold, for each $10.00 Face Amount of Notes, Deutsche Bank AG will pay you
at maturity a Payment at Maturity of $5.00. When added to the Contingent Coupon Payments of $0.6675 per $10.00 Face Amount of Notes
paid in respect of the prior Observation Periods, Deutsche Bank AG will have paid you a total of $5.6675 per $10.00 Face Amount
of Notes, representing a -43.325% return on the Notes over the approximately four-year term of the Notes.
The Issuer will not
pay a Contingent Coupon if the closing level of any Underlying is below its Coupon Barrier on any scheduled trading day during
the applicable Observation Period
.
The Issuer may
,
in its sole discretion
,
call the Notes in whole
,
but
not in part
,
on any Coupon Payment Date prior to the Maturity Date
,
regardless of the closing level of any Underlying
.
If the Notes are not called and the Final Underlying Level of the Least Performing Underlying is less than its Downside Threshold
,
your initial investment will be fully exposed to the negative Underlying Return of the Least Performing Underlying and
,
for each $10
.
00 Face Amount of Notes
,
you will incur a loss that is proportionate to the decline in the Final
Underlying Level of the Least Performing Underlying as compared to its Initial Underlying Level
,
regardless of the performance
of the other Underlyings
.
In this circumstance
,
you will lose a significant portion or all of your initial investment
.
Any payment on the Notes
,
including any payment of a Contingent Coupon
,
any payment upon an Issuer Call and any
payment of your initial investment at maturity
,
is subject to the creditworthiness of the Issuer and
,
if the Issuer
were to default on its payment obligations or become subject to a Resolution Measure
,
you could lose your entire investment
.
The EURO STOXX 50
®
Index
|
The EURO STOXX 50
®
Index
is composed of 50 component stocks of 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. The component stocks have a high
degree of liquidity and represent the largest companies across all market sectors.
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
.
The graph below illustrates the performance of the EURO STOXX
50
®
Index from January 2
,
2008 to October 17
,
2017
.
The closing level of the EURO STOXX
50
®
Index on October 17
,
2017 was 3,607.77
.
The dotted lines in the graph below represent the
Coupon Barrier equal to 65
.
00%
,
and the Downside Threshold equal to 60
.
00%
,
of the closing level of
the EURO STOXX 50
®
Index on October 17
,
2017. We obtained the historical closing levels of the EURO
STOXX 50
®
Index from Bloomberg L
.
P
.
and we have not participated in the preparation of
,
or verified
,
such information
.
The historical closing levels of the EURO STOXX 50
®
Index
should not be taken as an indication of future performance and no assurance can be given as to the Final Underlying Level or any
future closing level of the EURO STOXX 50
®
Index
.
We cannot give you assurance that the performance
of the EURO STOXX 50
®
Index will result in a positive return on your initial investment and you could
lose a significant portion or all of your initial investment at maturity
.
The Russell 2000
®
Index is designed to track the
performance of the small capitalization segment of the U.S. equity market. The Russell 2000
®
Index measures the
composite price performance of stocks of approximately 2,000 companies domiciled in the U.S. and its territories and consists of
the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index represents
approximately 10% of the total market capitalization of the Russell 3000
®
Index.
This is only a summary of the
Russell 2000
®
Index
.
For more information on the Russell 2000
®
Index
,
including
information concerning its composition
,
calculation methodology and adjustment policy
,
please see the section entitled
“The Russell Indices — The Russell 2000
®
Index
”
in the accompanying underlying supplement
No
.
1 dated August 17
,
2015
.
The graph below illustrates the performance of the Russell
2000
®
Index from January 2
,
2008 to October 17
,
2017
.
The closing level of the Russell
2000
®
Index on October 17
,
2017 was 1,497.499
.
The dotted lines in the graph below represent
the Coupon Barrier equal to 65
.
00%
,
and the Downside Threshold equal to 60
.
00%
,
of the closing level
of the Russell 2000
®
Index on October 17
,
2017
.
We obtained the historical closing levels of
the Russell 2000
®
Index from Bloomberg L
.
P
.
and we have not participated in the preparation
of
,
or verified
,
such information
.
Currently
,
whereas the sponsor of the Russell 2000
®
Index
publishes the official closing level of the Russell 2000
®
Index to six decimal places
,
Bloomberg
L
.
P
.
reports the closing level to three decimal places
.
As a result
,
the closing level of the Russell
2000
®
Index reported by Bloomberg L
.
P
.
may be lower or higher than the official closing
level of the Russell 2000
®
Index published by the sponsor of the Russell 2000
®
Index
.
The
historical closing levels of the Russell 2000
®
Index should not be taken as an indication of future performance
and no assurance can be given as to the Final Underlying Level or any future closing level of the Russell 2000
®
Index
.
We cannot give you assurance that the performance of the Russell 2000
®
Index will result
in a positive return on your initial investment and you could lose a significant portion or all of your initial investment at maturity
.
The S&P 500
®
Index is intended to provide
a performance benchmark for the U.S. equity markets. The calculation of the level of the S&P 500
®
Index
is based on the relative value of the aggregate market value of the shares of 500 companies as of a particular time as compared
to the aggregate average market value of the shares of 500 similar companies during the base period of the years 1941 through 1943. In
addition, as of July 31, 2017, the securities of companies with multiple share class structures are no longer eligible to be added
to the S&P 500
®
Index. This change does not affect securities that were already included in the S&P 500
®
Index as of July 31, 2017 or any new public company spun off from such a constituent.
This is only a summary of the S&P
500
®
Index
.
For more information on the S&P 500
®
Index
,
including information concerning its composition
,
calculation methodology and adjustment policy
,
please see the
section entitled “The S&P Dow Jones Indices — The S&P 500
®
Index
”
in
the accompanying underlying supplement No
.
1 dated August 17
,
2015
.
The graph below illustrates the performance of the S&P
500
®
Index from January 2
,
2008 to October 17
,
2017
.
The closing level of the S&P
500
®
Index on October 17
,
2017 was 2,559.36
.
The dotted lines in the graph below represent
the Coupon Barrier equal to 65
.
00%
,
and the Downside Threshold equal to 60
.
00%
,
of the closing level
of the S&P 500
®
Index on October 17
,
2017
.
We obtained the historical closing levels of
the S&P 500
®
Index from Bloomberg L
.
P
.
and we have not participated in the preparation
of
,
or verified
,
such information
.
The historical closing levels of the S&P 500
®
Index
should not be taken as an indication of future performance and no assurance can be given as to the Final Underlying Level or any
future closing level of the S&P 500
®
Index
.
We cannot give you assurance that the performance
of the S&P 500
®
Index will result in a positive return on your initial investment and you could lose
a significant portion or all of your initial investment at maturity
.
Correlation of the Underlyings
|
The following graph sets forth the historical performances of
the S&P 500
®
Index, the Russell 2000
®
Index and the EURO STOXX 50
®
Index
from January 2, 2008 through October 17, 2017, based on the daily closing levels of the Underlyings. For comparison purposes, each
Underlying has been normalized to have a closing level of 100.00 on January 2, 2008 by (1)
dividing
the closing level of
that Underlying on each day by the closing level of that Underlying on January 2, 2008 and (2)
multiplying by
100.00.
We obtained the closing levels used to determine the normalized
closing levels set forth below from Bloomberg, without verification. Historical performance of the Underlyings should not be taken
as an indication of future performance. Future performance of the Underlyings may differ significantly from historical performance
and no assurance can be given as to the closing levels of the Underlyings during the term of the Notes, including on any scheduled
trading day during a quarterly Observation Period or on the Final Valuation Date. We cannot give you assurance that the performances
of the Underlyings will result in the return of any of your initial investment.
PAST
PERFORMANCE OF THE UNDERLYINGS IS NOT INDICATIVE OF FUTURE RESULTS
.
The closer the relationship of the daily returns of a pair of
Underlyings over a given period, the more positively correlated those Underlyings are. The graph above illustrates the historical
performance of each of the Underlyings relative to the other Underlyings over the time period shown and provides an indication
of how close the relative performance of the daily returns of one Underlying has historically been to another. For additional information,
see the information set forth under “Key Risks — Because the Notes Are Linked to the Least Performing Underlying, You
Are Exposed to Greater Risk of Receiving no Contingent Coupons or a Loss on Your Investment than if the Notes Were Linked to just
One Underlying” in this pricing supplement.
The lower (or more negative) the correlation between two Underlyings,
the less likely it is that those Underlyings will move in the same direction and, therefore, the greater the potential for one
of those Underlyings to close below its Coupon Barrier or Downside Threshold on any scheduled trading day during a quarterly Observation
Period or the Final Valuation Date, respectively. This is because the less positively correlated a pair of Underlyings are, the
greater the likelihood that the level of at least one of the Underlyings will decrease. This results in a greater potential for
a Contingent Coupon not to be paid during the term of the Notes and for a loss of your initial investment at maturity. However,
even if two Underlyings have a higher positive correlation, one or both of those Underlyings might close below its Coupon Barrier
or Downside Threshold on any scheduled trading day during a quarterly Observation Period or the Final Valuation Date, respectively,
as the levels of both of those Underlyings may decrease together.
In addition, for each additional Underlying to which the Notes
are linked, there is a greater potential for one pair of Underlyings to have low or negative correlation. Therefore the greater
the number of Underlyings, the greater the potential for missed Contingent Coupons and for a loss of your initial investment at
maturity. Deutsche Bank AG determined the Contingent Coupon Rate for the Notes based, in part, on the correlation among the Underlyings,
calculated using internal models at the time the terms of the Notes were set. As discussed above, increased risk resulting from
lower correlation or from a greater number of underlyings is reflected in a higher Contingent Coupon Rate than would be payable
on notes linked to fewer underlyings that have a higher degree of correlation.
What Are the Tax Consequences of an Investment in the Notes?
|
Due to the lack of direct
legal authority, there is substantial uncertainty regarding the U.S. federal income tax consequences of an investment in the Notes.
In determining our responsibilities for information reporting and withholding, if any, we intend to treat the Notes as prepaid
financial contracts that are not debt, with associated contingent coupons that constitute ordinary income and that, when paid to
a non-U.S. holder, are generally subject to 30% (or lower treaty rate) withholding. Our special tax counsel, Davis Polk & Wardwell
LLP, has advised that while it believes this treatment to be reasonable, it is unable to conclude that it is more likely than not
that this treatment will be upheld, and that other reasonable treatments are possible that could materially affect the timing and
character of income or loss on your Notes. If this treatment is respected, you generally should recognize short-term capital gain
or loss on the taxable disposition (including retirement) of your Notes, unless you have held the Notes for more than one year,
in which case your gain or loss should be long-term capital gain or loss. However, it is likely that any sales proceeds that are
attributable to the next succeeding contingent coupon after it has been fixed will be treated as ordinary income and also possible
that any sales proceeds attributable to the next succeeding contingent coupon prior to the time it has been fixed will be treated
as ordinary income.
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; and the degree, if any, to which income (including any
mandated accruals) realized by non-U.S. persons should be subject to withholding tax. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially affect the tax consequences of an investment in the Notes, possibly with retroactive effect.
As discussed in the section
of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences — ‘FATCA‘ Legislation,”
it would be prudent to assume that an applicable withholding agent will treat payments in respect of the Notes and gross proceeds
from any taxable disposition of a Note (including retirement) as subject to withholding under FATCA. However, under a recent
IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated as interest) from
the taxable disposition of a Note occurring before January 1, 2019. You should consult your tax adviser regarding the potential
application of FATCA to the Notes.
Section 871(m) of the Code
and Treasury regulations promulgated thereunder (“
Section 871
(
m
)”) generally impose a 30% withholding
tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to non-U.S. holders with respect to certain
financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions
to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in
the applicable Treasury regulations (such an index, a “
Qualified Index
”). Additionally, the applicable regulations
exclude from the scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to underlying
securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “
Underlying Security
”).
Based on certain determinations made by us, our special tax counsel is of the opinion that Section 871(m) should not apply to the
Notes with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other
transactions with respect to an Underlying Security. You should consult your tax adviser regarding the potential application of
Section 871(m) to the Notes.
You should review carefully
the section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel regarding the material U.S.
federal income tax consequences of owning and disposing of the Notes.
Under current law, the
United Kingdom will not impose withholding tax on payments made with respect to the Notes.
For a discussion of certain
German tax considerations relating to the Notes, you should refer to the section in the accompanying prospectus supplement entitled
“Taxation by Germany of Non-Resident Holders.”
You
should consult your tax adviser regarding the U
.
S
.
federal tax consequences of an investment in the Notes (including
possible alternative treatments and the issues presented by the 2007 notice)
,
as well as tax consequences arising under
the laws of any state
,
local or non
-
U
.
S
.
taxing jurisdiction
.