Subject
to Completion. Dated February 23, 2017
Deutsche
Bank AG
$ Phoenix Autocallable Securities Linked to the SPDR
®
S&P
®
Metals & Mining ETF due February 27
,
2020
General
|
·
|
The
securities (the “
securities
”) are linked to the performance of the SPDR
®
S&P
®
Metals & Mining ETF (the “
Underlying
”) and may pay a Contingent Coupon of $8.0833 per $1,000 Face Amount
of securities on the relevant Coupon Payment Dates. The Contingent Coupon will be payable on a Coupon Payment Date
only if
the Closing Price of the Underlying on the applicable Observation Date is greater than or equal to the Coupon Barrier, which
is equal to 65.00% of the Initial Price. The securities may not pay Contingent Coupons on some or all of the Coupon Payment Dates
and, therefore, should
not
be viewed as conventional debt securities with periodic coupon payments.
|
|
·
|
The
securities will
not
be automatically called during the first year after the Trade Date. The securities will be automatically
called if the Closing Price of the Underlying on any Observation Date (starting from the twelfth Observation Date and ending on
the Final Valuation Date) is greater than or equal to the Initial Price. If the securities are automatically called, investors
will receive a cash payment per $1,000 Face Amount of securities on the applicable Call Settlement Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date. The securities will cease to be outstanding following an Automatic
Call and no Contingent Coupon will accrue or be payable following the Call Settlement Date. If the securities are not automatically
called and the Final Price is
greater than
or
equal to
the Trigger Price (65.00% of the Initial Price), investors
will receive a cash payment per $1,000 Face Amount of securities at maturity equal to the Face Amount
plus
the Contingent
Coupon otherwise due on such date. However, if the securities are not automatically called and the Final Price is
less than
the Trigger Price, for each $1,000 Face Amount of securities, investors will lose 1.00% of the Face Amount for every 1.00%
by which the Final Price is less than the Initial Price. Investors should be willing to lose a significant portion or all of their
initial investment if the securities are not automatically called and the Final Price is less than the Trigger Price. Any payment
on the securities is subject to the credit of the Issuer.
|
|
·
|
Senior
unsecured obligations of Deutsche Bank AG due February 27, 2020
|
|
·
|
Minimum
purchase of $1,000. Minimum denominations of $1,000 (the “
Face Amount
”) and integral multiples thereof.
|
|
·
|
The
securities are expected to price on or about February 23, 2017 (the “
Trade Date
”) and are expected to settle
on or about February 28, 2017 (the “
Settlement Date
”).
|
Key Terms
Issuer:
|
Deutsche
Bank AG, London Branch
|
Issue Price:
|
100% of the Face Amount
|
Underlying:
|
The
SPDR
®
S&P
®
Metals & Mining ETF (Ticker: XME)
|
Contingent Coupon Feature:
|
·
If
the Closing Price of the Underlying on any Observation Date is
greater than
or
equal to
the Coupon Barrier
,
you will receive the Contingent Coupon per $1,000 Face Amount of securities applicable to such Observation Date on the
related Coupon Payment Date.
·
If
the Closing Price of the Underlying on any Observation Date is
less than
the Coupon Barrier
, the Contingent
Coupon per $1,000 Face Amount of securities applicable to such Observation Date will not be payable and you will not receive
any payment on the related Coupon Payment Date.
The
Contingent Coupon will be a fixed amount as set forth in the table under “Contingent Coupon” below. If the securities
are automatically called prior to the Final Valuation Date, the Contingent Coupon will be paid on the corresponding Call Settlement
Date and no further amounts will be owed to you under the securities.
|
Coupon Barrier:
|
$22.04, equal to 65.00%
of the Initial Price
|
(
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-11 of this pricing supplement.
The Issuer’s
estimated value of the securities on the Trade Date is approximately $965.00 to $985.00 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-4 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
-
5 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
|
Maximum
Discounts and Commissions
(1)
|
Minimum
Proceeds to Us
|
Per
Security
|
$1,000.00
|
$1.00
|
$999.00
|
Total
|
$
|
$
|
$
|
|
(1)
|
For more detailed information
about discounts and commissions, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing
supplement. The securities will be sold with varying underwriting discounts and commissions in an amount not to exceed $1.00 per
$1,000 Face Amount of securities.
|
The agent
for this offering is our affiliate. For more information, please see “Supplemental Plan of Distribution (Conflicts of Interest)”
in this pricing supplement.
The securities
are not deposits or savings accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other
U
.
S
.
or foreign governmental agency or instrumentality
.
Deutsche Bank Securities
February , 2017
(
Key Terms continued from previous page
)
Observation Dates
1, 2
:
|
As set forth in the table under “Contingent Coupon” below
|
Coupon Payment Dates
1, 2
:
|
As set forth in the table under “Contingent Coupon” below. For the final Observation Date, the related Coupon Payment Date will be the Maturity Date.
|
Contingent Coupon:
|
The
table below sets forth each Observation Date, Coupon Payment Date, Call Settlement Date and Contingent Coupon applicable to such
Observation Date.
|
|
|
|
Observation Date
|
Coupon Payment Date
/
Call Settlement Date
|
Contingent Coupon
(
per $1
,
000 Face Amount of
Securities
)
|
|
March 23, 2017*
|
March 28, 2017*
|
$8.0833
|
|
April 24, 2017*
|
April 27, 2017*
|
$8.0833
|
|
May 23, 2017*
|
May 26, 2017*
|
$8.0833
|
|
June 23, 2017*
|
June 28, 2017*
|
$8.0833
|
|
July 24, 2017*
|
July 27, 2017*
|
$8.0833
|
|
August 23, 2017*
|
August 28, 2017*
|
$8.0833
|
|
September 25, 2017*
|
September 28, 2017*
|
$8.0833
|
|
October 23, 2017*
|
October 26, 2017*
|
$8.0833
|
|
November 24, 2017*
|
November 29, 2017*
|
$8.0833
|
|
December 26, 2017*
|
December 29, 2017*
|
$8.0833
|
|
January 23, 2018*
|
January 26, 2018*
|
$8.0833
|
|
February 23, 2018
|
February 28, 2018
|
$8.0833
|
|
March 23, 2018
|
March 28, 2018
|
$8.0833
|
|
April 23, 2018
|
April 26, 2018
|
$8.0833
|
|
May 23, 2018
|
May 29, 2018
|
$8.0833
|
|
June 25, 2018
|
June 28, 2018
|
$8.0833
|
|
July 23, 2018
|
July 26, 2018
|
$8.0833
|
|
August 23, 2018
|
August 28, 2018
|
$8.0833
|
|
September 24, 2018
|
September 27, 2018
|
$8.0833
|
|
October 23, 2018
|
October 26, 2018
|
$8.0833
|
|
November 23, 2018
|
November 28, 2018
|
$8.0833
|
|
December 24, 2018
|
December 28, 2018
|
$8.0833
|
|
January 23, 2019
|
January 28, 2019
|
$8.0833
|
|
February 25, 2019
|
February 28, 2019
|
$8.0833
|
|
March 25, 2019
|
March 28, 2019
|
$8.0833
|
|
April 23, 2019
|
April 26, 2019
|
$8.0833
|
|
May 23, 2019
|
May 29, 2019
|
$8.0833
|
|
June 24, 2019
|
June 27, 2019
|
$8.0833
|
|
July 23, 2019
|
July 26, 2019
|
$8.0833
|
|
August 23, 2019
|
August 28, 2019
|
$8.0833
|
|
September 23, 2019
|
September 26, 2019
|
$8.0833
|
|
October 23, 2019
|
October 28, 2019
|
$8.0833
|
|
November 25, 2019
|
November 29, 2019
|
$8.0833
|
|
December 23, 2019
|
December 27, 2019
|
$8.0833
|
|
January 23, 2020
|
January 28, 2020
|
$8.0833
|
|
February 24, 2020
(
Final Valuation Date
)
|
February 27, 2020
(
Maturity Date
)
|
$8.0833
|
|
|
|
|
|
* The securities will not be automatically called until on or after the twelfth Observation Date, which is February 23, 2018. Thus, the expected first Call Settlement Date is February 28, 2018.
|
|
|
Automatic Call:
|
The securities will
not
be automatically called during the first year after the Trade Date. The securities will be automatically called if the Closing Price of the Underlying on any Observation Date (starting from the twelfth Observation Date and ending on the Final Valuation Date) is greater than or equal to the Initial Price. If the securities are automatically called, you will receive a cash payment per $1,000 Face Amount of securities on the related Call Settlement Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date. The securities will cease to be outstanding following an Automatic Call and no Contingent Coupon will accrue or be payable following such Call Settlement Date.
|
Call Settlement Date
1, 2
:
|
As set forth in the table under “Contingent Coupon” above. For the final Observation Date, the Call Settlement Date will be the Maturity Date.
|
Payment at Maturity:
|
If the securities are not automatically called, the payment you will receive at maturity will depend on the performance of the Underlying on the Final Valuation Date.
|
|
·
If
the Final Price is
greater than
or
equal to
the Trigger Price
, you will receive a cash payment per $1,000 Face
Amount of securities on the Maturity Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date.
·
If
the Final Price is
less than
the Trigger Price
, you will receive a cash payment per $1,000 Face Amount of securities
calculated as follows:
|
|
$1,000 +
($1,000 x Underlying Return)
If
the Final Price is less than the Trigger Price
,
the Underlying Return will be negative 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 Price
is less than the Initial Price
.
In this circumstance
,
you will lose a significant portion or all of your initial
investment
.
Any payment at maturity is subject to the credit of the Issuer
.
|
Underlying Return:
|
The Underlying Return will be calculated as follows:
|
|
|
|
Final Price – Initial Price
Initial Price
The Underlying Return may be positive
,
zero or negative
.
|
Trigger Price:
|
$22.04, equal to 65.00% of the Initial Price
|
Initial Price:
|
$33.91, equal to the Closing Price of the Underlying on February 22, 2017.
The Initial Price is
not
the Closing Price of the Underlying on the Trade Date
.
|
Final Price:
|
The Closing Price of the Underlying on the Final Valuation Date
|
Closing Price:
|
The closing price of one share of the Underlying on the relevant date of calculation
multiplied by
the then-current Share Adjustment Factor, as determined by the calculation agent
|
Share Adjustment Factor:
|
Initially 1.0, subject to adjustment for certain actions affecting the Underlying. See “Description of Securities — Anti-Dilution Adjustments for Funds” in the accompanying product supplement.
|
Trade Date
2
:
|
February 23, 2017
|
Settlement Date
2
:
|
February 28, 2017
|
Final Valuation Date
1, 2
:
|
February 24, 2020
|
Maturity Date
1, 2
:
|
February 27, 2020
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25152R7A5 / US25152R7A55
|
|
1
|
Subject to adjustment as described under “Description
of Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement. If an Observation
Date is postponed, the related Coupon Payment Date and call Settlement Date, as applicable, will be postponed 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 Observation Dates, Coupon Payment Dates, Call Settlement Dates, 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 five 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:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
·
|
Prospectus supplement dated July 31, 2015:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
|
·
|
Prospectus dated April 27, 2016:
|
https://www.sec.gov/Archives/edgar/data/1159508/000119312516559607/d181910d424b21.pdf
Our Central Index Key, or CIK, on the SEC
website is 0001159508. As used in this pricing supplement, “
we
,” “
us
” or “
our
”
refers to Deutsche Bank AG, including, as the context requires, acting through one of its branches. This pricing supplement, together
with the documents listed above, contains the terms of the 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 also choose to reject such changes
,
in which case we may reject your
offer to purchase the securities
.
Hypothetical Examples
The tables and hypothetical examples set
forth below are for illustrative purposes only. The actual returns applicable to a purchaser of the securities will depend on the
Closing Price of the Underlying on each Observation Date (including the Final Valuation Date). The following results are based
solely on the hypothetical examples cited. You should consider carefully whether the securities are suitable to your investment
goals. The numbers appearing in the tables and examples below may have been rounded for ease of analysis, and it has been assumed
that no event affecting the Underlying has occurred during the term of the securities that would cause the calculation agent to
adjust the Share Adjustment Factor.
If the securities
are
called
:
The following table illustrates the hypothetical
payments on the securities (excluding any Contingent Coupon payment) upon an Automatic Call on each Observation Date (starting
from the twelfth Observation Date and ending on the Final Valuation Date).
Observation Date
|
Call Settlement Date
|
Payment upon an Automatic Call
(
per $1
,
000 Face Amount of Securities
) (
$
)
|
February 23, 2018
|
February 28, 2018
|
$1,000.00
|
March 23, 2018
|
March 28, 2018
|
$1,000.00
|
April 23, 2018
|
April 26, 2018
|
$1,000.00
|
May 23, 2018
|
May 29, 2018
|
$1,000.00
|
June 25, 2018
|
June 28, 2018
|
$1,000.00
|
July 23, 2018
|
July 26, 2018
|
$1,000.00
|
August 23, 2018
|
August 28, 2018
|
$1,000.00
|
September 24, 2018
|
September 27, 2018
|
$1,000.00
|
October 23, 2018
|
October 26, 2018
|
$1,000.00
|
November 23, 2018
|
November 28, 2018
|
$1,000.00
|
December 24, 2018
|
December 28, 2018
|
$1,000.00
|
January 23, 2019
|
January 28, 2019
|
$1,000.00
|
February 25, 2019
|
February 28, 2019
|
$1,000.00
|
March 25, 2019
|
March 28, 2019
|
$1,000.00
|
April 23, 2019
|
April 26, 2019
|
$1,000.00
|
May 23, 2019
|
May 29, 2019
|
$1,000.00
|
June 24, 2019
|
June 27, 2019
|
$1,000.00
|
July 23, 2019
|
July 26, 2019
|
$1,000.00
|
August 23, 2019
|
August 28, 2019
|
$1,000.00
|
September 23, 2019
|
September 26, 2019
|
$1,000.00
|
October 23, 2019
|
October 28, 2019
|
$1,000.00
|
November 25, 2019
|
November 29, 2019
|
$1,000.00
|
December 23, 2019
|
December 27, 2019
|
$1,000.00
|
January 23, 2020
|
January 28, 2020
|
$1,000.00
|
February 24, 2020
(
Final Valuation Date
)
|
February 27, 2020
(
Maturity Date
)
|
$1,000.00
|
The securities will
not
be automatically
called during the first year after the Trade Date. Beginning one year after the Trade Date, if the securities are called on an
Observation Date, the investor will receive a cash payment per $1,000 Face Amount of securities on the related Call Settlement
Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date. The securities will cease to be outstanding
following an Automatic Call and no Contingent Coupon will accrue or be payable following such Call Settlement Date.
If the securities are
not
called
:
The following table illustrates the hypothetical
Payments at Maturity (excluding any Contingent Coupons) per $1,000 Face Amount of securities for a hypothetical range of performances
if the securities are not automatically called
. The hypothetical Payments at Maturity set
forth in the table below reflect the Coupon Barrier and Trigger Price of 65.00% of the Initial Price. The actual Initial Price,
Coupon Barrier and Trigger Price are set forth on the cover of this pricing supplement
.
Hypothetical Underlying Return
(%)
|
Hypothetical Payment at Maturity
(
excluding
any Contingent Coupon) ($)
|
Hypothetical Return on the Securities at Maturity
(
excluding
any Contingent Coupon) (%)
|
100.00%
|
N/A
|
N/A
|
90.00%
|
N/A
|
N/A
|
80.00%
|
N/A
|
N/A
|
70.00%
|
N/A
|
N/A
|
60.00%
|
N/A
|
N/A
|
50.00%
|
N/A
|
N/A
|
40.00%
|
N/A
|
N/A
|
30.00%
|
N/A
|
N/A
|
20.00%
|
N/A
|
N/A
|
10.00%
|
N/A
|
N/A
|
0
.
00%
|
N
/
A
|
N
/
A
|
-10.00%
|
$1,000.00
|
0.00%
|
-20.00%
|
$1,000.00
|
0.00%
|
-30.00%
|
$1,000.00
|
0.00%
|
-
35
.
00%
|
$1
,
000
.
00
|
0
.
00%
|
-36.00%
|
$640.00
|
-36.00%
|
-40.00%
|
$600.00
|
-40.00%
|
-50.00%
|
$500.00
|
-50.00%
|
-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%
|
N/A: Not applicable because the securities
will be automatically called if the Final Price is greater than or equal to the Initial Price.
Hypothetical Examples of Amounts Payable
on the Securities
The following hypothetical examples illustrate
how the payments on the securities set forth in the tables above are calculated as well as how the payment of any Contingent Coupons
will be determined. The examples below reflect the Contingent Coupon of $8.0833 that may be payable on one or more of the Coupon
Payment Dates.
Example 1
:
The Closing Price of
the Underlying is greater than the Initial Price on each of the first twelve Observation Dates
. Because the securities will
not be automatically called during the first year after the Trade Date, the securities will not be called on any of the first eleven
Observation Dates. Because the Closing Price of the Underlying on the twelfth Observation Date is greater than the Initial Price,
the securities are automatically called on such Observation Date and the investor will receive on the related Call Settlement Date
a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon).
Because the Closing Price of the Underlying
on each of the first twelve Observation Dates is greater than the Coupon Barrier (65.00% of the Initial Price), the investor will
receive the Contingent Coupon on the first twelve Coupon Payment Dates (including the Call Settlement Date). As a result, the investor
will receive a total of $1,096.9996 per $1,000 Face Amount of securities over the approximately one year the securities were outstanding
before they were automatically called.
Example 2
:
The Closing Price of
the Underlying is less than the Initial Price
,
but greater than the Coupon Barrier
,
on each of the Observation Dates
prior to the final Observation Date and is 105
.
00% of the Initial Price on the final Observation Date
. Because the Closing
Price of the Underlying on the final Observation Date is greater than the Initial Price, the securities are automatically called
on such Observation Date, and the investor will receive on the Maturity Date a cash payment of $1,000.00 per $1,000 Face Amount
of securities (excluding any Contingent Coupon).
Because the Closing Price of the Underlying
on each of the Observation Dates is greater than the Coupon Barrier, the investor will receive the Contingent Coupon on each Coupon
Payment Date (including the Maturity Date). As a result, the investor will receive a total of $1,290.9988 per $1,000 Face Amount
of securities over the three year term of the securities.
Example 3
:
The Closing Price of
the Underlying is less than the Coupon Barrier on each of the Observation Dates prior to the final Observation Date and is 110
.
00%
of the Initial Price on the final Observation Date
. Because the Closing Price of the Underlying on the final Observation Date
is greater than the Initial Price, the securities are automatically called on such Observation Date, and the investor will receive
on the Maturity Date a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon).
Because the Closing Price of the Underlying
on the final Observation Date is greater than the Coupon Barrier but the Closing Price of the Underlying is less than the Coupon
Barrier on each of the Observation Dates prior to the final Observation Date, the investor will receive the Contingent Coupon only
on the Maturity Date. As a result, the investor will receive a total of $1,008.0833 per $1,000 Face Amount of securities over the
three year term of the securities.
Example 4
:
The Closing Price of
the Underlying is less than the Coupon Barrier on each of the Observation Dates prior the final Observation Date and the Final
Price is 90
.
00% of the Initial Price
. Because the Closing Price of the Underlying on each of the Observation Dates is
less than the Initial Price, the securities are not automatically called. Because the Final Price is greater than the Trigger Price
(65.00% of the Initial Price), the investor will receive on the Maturity Date a cash payment of $1,000.00 per $1,000 Face Amount
of securities (excluding any Contingent Coupon).
Because the Closing Price of the Underlying
on the final Observation Date is greater than the Coupon Barrier but the Closing Price of the Underlying is less than the Coupon
Barrier on each of the Observation Dates prior to the final Observation Date, the investor will receive the Contingent Coupon only
on the Maturity Date. As a result, the investor will receive a total of $1,008.0833 per $1,000 Face Amount of securities over the
three year term of the securities.
Example 5
:
The Closing Price of
the Underlying is less than the Coupon Barrier on each of the Observation Dates and the Final Price is 40
.
00% of the Initial
Price
,
resulting in an Underlying Return of
-
60
.
00%
. Because the Closing Price of the Underlying on each
of the Observation Dates is less than the Initial Price, the securities are not automatically called. Because the Final Price is
less than the Trigger Price, the investor will receive on the Maturity Date a cash payment of $400.00 per $1,000 Face Amount of
securities (excluding any Contingent Coupon), calculated as follows:
$1,000 + ($1,000 x Underlying
Return)
$1,000 + ($1,000 x -60.00%) =
$400.00
Because the Closing Price of the Underlying
on each of the Observation Dates is less than the Coupon Barrier, the investor will not receive any Contingent Coupon over the
entire term of the securities. As a result, the investor will receive only $400.00 per $1,000 Face Amount of securities over the
three year term of the securities, resulting in a loss of 60.00% on the securities.
Selected Purchase Considerations
|
·
|
THE SECURITIES MAY OFFER A HIGHER
,
THOUGH CONTINGENT
,
COUPON THAN THE YIELD ON DEBT SECURITIES OF COMPARABLE MATURITY ISSUED BY US OR AN ISSUER WITH A COMPARABLE
CREDIT RATING
— The securities will pay Contingent Coupons
only if
the Closing Price of the Underlying is greater
than or equal to the Coupon Barrier on the relevant Observation Date. Payment of a Contingent Coupon may result in a higher yield
than that received on debt securities of comparable maturity issued by us or an issuer with a comparable credit rating,
but
is subject to the risk that the Closing Price of the Underlying will be less than the Coupon Barrier on an Observation Date and
the resulting forfeiture of the Contingent Coupon for the entire period, as well as the risk of losing a significant portion or
all of your investment if the securities are not automatically called and the Final Price is less than the Trigger Price. Any payment
on the securities is subject to our ability to satisfy our obligations as they become due.
|
|
·
|
POTENTIAL EARLY EXIT AS A RESULT OF
AUTOMATIC CALL FEATURE
— While the original term of the securities is approximately three years, the securities will
be automatically called before maturity if the Closing Price of the Underlying is greater than or equal to the Initial Price on
any Observation Date (starting from the twelfth Observation Date and ending on the Final Valuation Date), and you will receive
a cash payment per $1,000 Face Amount of securities on the related Call Settlement Date equal to the Face Amount
plus
the
Contingent Coupon otherwise due on such date. Therefore, the term of the securities could be as short as approximately one year.
No Contingent Coupon will accrue or be payable following the Call Settlement Date. For the avoidance of doubt, the fees and commissions
described on the cover of this pricing supplement will not be rebated or subject to amortization if the securities are automatically
called.
|
|
·
|
CONTINGENT COUPON PAYMENTS
—
Unless the securities are previously automatically called, Contingent Coupon payments, if any, will be paid in arrears on the relevant
Coupon Payment Dates only if the Closing Price of the Underlying on the relevant Observation Date is greater than or equal to the
Coupon Barrier.
|
|
·
|
LIMITED PROTECTION AGAINST LOSS
— If the securities are not automatically called but the Final Price is greater than or equal to the Trigger Price, for each
$1,000 Face Amount of securities, you will receive a cash payment at maturity equal to the Face Amount
plus
the Contingent
Coupon otherwise due on such date. However, if the securities are not automatically called and the Final Price is less than the
Trigger Price, 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
Price is less than the Initial Price.
In this circumstance
,
you will lose a significant portion or all of your investment
in the securities
.
|
|
·
|
RETURN
LINKED TO THE PERFORMANCE OF THE
SPDR
®
S&P
®
METALS & MINING ETF
— The return on the securities, which may be positive, zero or negative, is
linked to the performance of the SPDR
®
S&P
®
|
|
|
Metals & Mining ETF as described herein. The
SPDR
®
S&P
®
Metals & Mining ETF is an exchange-traded fund managed
by SPDR
®
Series Trust and SSgA Funds Management, Inc. (the “Underlying
Advisor”). The SPDR
®
Series Trust is a registered investment company
that consists of numerous separate investment portfolios, including the SPDR
®
S&P
®
Metals & Mining ETF. The SPDR
®
S&P
®
Metals & Mining ETF seeks to provide investment results that correspond generally
to the total return performance, before fees and expenses, of the S&P
®
Metals & Mining Select Industry
TM
Index (the “Tracked Index”),
which represents the metals and mining sub-industry portion of the U.S. equity market.
This section is only a summary of the SPDR
®
S&P
®
Metals & Mining ETF
.
For more information on the SPDR
®
S&P
®
Metals & Mining ETF
,
including information
concerning its composition
,
calculation methodology and adjustment policy
,
please see
“
The Underlying
—
SPDR
®
S&P
®
Metals & Mining ETF
”
in this pricing supplement
.
|
|
·
|
TAX CONSEQUENCES
— 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 securities. In determining our responsibilities for information reporting and withholding, if any, we intend to treat
the securities 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 securities. If this treatment is respected, you generally
should recognize short-term capital gain or loss on the taxable disposition of your securities (including retirement), unless you
have held the securities 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 Internal Revenue Service (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 securities, 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 securities and gross proceeds from any taxable disposition of a security (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 security 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 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 shares of the Underlying or any of
the component securities held by the Underlying. In addition to these selected risk considerations, you should review the “Risk
Factors” sections of the accompanying product supplement, prospectus supplement and prospectus.
|
·
|
YOUR INVESTMENT IN THE SECURITIES MAY
RESULT IN A LOSS
— If the securities are not automatically called, you will receive a cash payment per $1,000 Face Amount
of securities on the Maturity Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date
only
if
the Final Price is greater than or equal to the Trigger Price. However, if the Final Price is less than the Trigger Price,
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 Price is less
than the Initial Price. 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
.
|
|
·
|
YOUR RETURN ON THE SECURITIES IS LIMITED
TO THE FACE AMOUNT PLUS CONTINGENT COUPONS
(
IF ANY
)
AND YOU WILL NOT PARTICIPATE IN ANY INCREASE IN THE PRICE OF
THE UNDERLYING
— The securities will not pay more than the Face Amount
plus
any Contingent Coupons that may be
due. You will not participate in any increase in the price of the Underlying even if the Final Price of the Underlying is greater
than or equal to the Initial Price. The maximum payment upon an Automatic Call or at maturity, as applicable, will be the Face
Amount per $1,000 Face Amount of securities (excluding any Contingent Coupons), regardless of any increase in the price of the
Underlying, which may be significant.
|
|
·
|
YOU MAY NOT RECEIVE ANY CONTINGENT COUPONS
— The securities may not pay Contingent Coupons on some or all of the Coupon Payment Dates and, therefore, should
not
be viewed as conventional debt securities with periodic coupon payments. If the Closing Price of the Underlying on any Observation
Date is less than the Coupon Barrier, you will not receive the Contingent Coupon applicable to such Observation Date. If the Closing
Price of the Underlying is less than the Coupon Barrier on each of the Observation Dates, you will not receive any Contingent Coupons
during the entire term of the securities and therefore you will not receive a positive return on your investment. Generally, non-payment
of Contingent Coupons coincides with a greater risk of loss of your initial investment in the securities, because the price of
the Underlying tends to be lower than the Trigger Price.
|
|
·
|
A HIGHER CONTINGENT COUPON OR A LOWER
COUPON BARRIER AND TRIGGER PRICE FOR THE UNDERLYING MAY REFLECT A 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 trading
prices of an asset over a period of time. The greater the expected volatility at the time the terms of the securities are set on
the Trade Date, the greater the expectation is at that time that the Underlying may close below the Coupon Barrier on an Observation
Date (resulting in a missed Contingent Coupon) or the Final Price will be less than the Trigger Price (resulting in a loss of a
significant portion or all of your investment). In addition, the economic terms of the securities, including the Contingent Coupon,
the Coupon Barrier and the Trigger Price, are based, in part, on the expected volatility of the Underlying at the time the terms
of the securities are set on the Trade Date, where higher expected volatility will generally lead to a higher Contingent Coupon
or a lower Coupon Barrier and Trigger Price for the Underlying. Accordingly, a higher Contingent Coupon 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 Trigger Price for the Underlying as compared with
otherwise comparable securities does not necessarily indicate that the securities 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 Underlying and
the potential loss of a significant portion or all of your initial investment at maturity.
|
|
·
|
REINVESTMENT RISK
— If
your securities are automatically called, the term of the securities may be reduced to as short as approximately one year. There
is no guarantee that you would be able to reinvest the proceeds from an investment in the securities at a comparable return for
a similar level of risk in the event the securities are automatically called prior to the Maturity Date.
|
|
·
|
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.
|
|
·
|
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.
|
|
|
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
.
|
|
·
|
THE ISSUER
’
S
ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE SECURITIES
— The Issuer’s
estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue
Price of the securities. The difference between the Issue Price and the Issuer’s estimated value of the securities on
the Trade Date is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our
obligations under the securities through one or more of our affiliates. Such hedging cost includes our or our affiliates’
expected cost of providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming
the risks inherent in providing such hedge. The Issuer’s
estimated
value of the securities is determined by reference to an internal funding rate and our pricing
models. The internal funding rate is typically lower than the rate we would pay when we issue conventional debt securities on equivalent
terms. This difference in funding rate, as well as the agent’s commissions, if any, and the estimated cost of hedging our
obligations under the securities, reduces the economic terms of the securities to you and is expected to adversely affect the price
at which you may be able to sell the securities in any secondary market. In addition, our internal pricing models are proprietary
and rely in part on certain assumptions about future events, which may prove to be incorrect. If at any time a third party
dealer were to quote a price to purchase your securities or otherwise value your securities, that price or value may differ materially
from the estimated value of the securities determined by reference to our internal funding rate and pricing models. This difference
is due to, among other things, any difference in funding rates, pricing models or assumptions used by any dealer who may purchase
the securities in the secondary market.
|
|
·
|
INVESTING IN THE SECURITIES IS NOT THE
SAME AS INVESTING IN THE SHARES OF THE UNDERLYING OR THE COMPONENT SECURITIES HELD BY THE UNDERLYING
— The return on
the securities may not reflect the return you would have realized if you had directly invested in the shares of the Underlying
or the component securities held by the Underlying. For instance, you will not participate in any potential increase in the price
of the Underlying, which could be significant.
|
|
·
|
IF THE PRICE OF THE UNDERLYING CHANGES
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME MANNER
— Your securities may trade quite differently from
the shares of the Underlying and the prices of the component securities held by the Underlying. Changes in the shares of the Underlying
and the prices of the component securities held by the Underlying may not result in comparable changes in the value of your securities.
|
|
·
|
NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or rights to receive cash dividends or other distributions
or other rights that holders of the component securities held by the Underlying or holders of shares of the Underlying would have.
|
|
·
|
THERE ARE RISKS ASSOCIATED WITH INVESTMENTS
IN SECURITIES WITH CONCENTRATION IN THE METALS AND MINING INDUSTRY
— All or substantially all of the component securities
held by the Underlying are issued by companies whose primary lines of business are directly associated with the metals and mining
industry. As a result, the value of the securities may be subject to greater volatility and be more adversely affected by a single
economic, political or regulatory occurrence affecting this industry than a different investment linked to securities of a more
broadly diversified group of issuers or issuers in a less volatile industry. The metals and mining industry can be significantly
affected by international political and economic developments, energy conservation, the success of exploration projects, commodity
prices and tax and other government regulations. Companies involved in the metals and mining industry may benefit from government
subsidies or certain trade protections. If those subsidies or trade protections are reduced or removed, the profits of such companies
may be affected, potentially drastically. In addition, competitive pressures and the cyclical nature of the metal and mining industry
may have a significant effect on the financial condition of these companies. These companies are also subject to risks of changes
in exchange rates, terrorist attacks, depletion of resources and reduced demand as a result of increases in energy efficiency,
substitution and energy conservation. Such companies are subject to extensive federal, state and local environmental laws and regulations
regarding air emissions and the disposal of
|
hazardous materials
and may be at risk for environmental damage claims. These or other factors or the absence of such factors could cause a downturn
in the metals and mining industry generally or regionally and could cause the value of some or all of the component securities
held by the Underlying and the level of the Underlying to decline during the term of the securities.
|
·
|
The Policies
of the UNDERLYING ADVISOR and Changes that Affect the Underlying or THE Tracked Index Could Adversely Affect the Value of the securities
— The policies of the Underlying Advisor concerning the calculation
of the Underlying’s net asset value (“
NAV
”), additions, deletions or substitutions of securities or other
assets or financial measures held by the Underlying, substitution of the Tracked Index and the manner in which changes affecting
how the Tracked Index is calculated are reflected in the Underlying could adversely affect the price of the shares of the Underlying
and, therefore, the value of,
and your return on, the securities could also be adversely affected if the Underlying Advisor changes these policies, for example,
by changing the manner in which it calculates the Underlying’s NAV, or if the Underlying Advisor discontinues or suspends
calculation or publication of the Underlying’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 Price of the Underlying is not available on any Observation Date because
of a market disruption event or for any other reason, the calculation agent, in certain circumstances, may determine the Closing
Price of the Underlying and the Payment at Maturity in a manner it considers appropriate in its sole discretion.
|
|
·
|
The Performance
of the Underlying
,
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 Underlying may not match the performance of the Tracked Index due to a number of factors. For instance, the Underlying may
not hold all or substantially all of the securities included in the Tracked Index and the Underlying Advisor may invest a portion
of the Underlying’s assets in securities not included in the Tracked Index. Therefore, the performance of the Underlying
is generally linked, in part, to assets other than the securities included in the Tracked Index. Additionally,
the
performance of the Underlying will reflect transaction costs and fees that are not included in the calculation of the Tracked Index.
|
In addition,
because the shares of the Underlying are traded on a securities exchange and are subject to supply and demand, the performance
of one share of the Underlying may differ from the performance of the Tracked Index or the Underlying’s NAV per share. Furthermore,
during periods of market volatility, securities or other assets held by the Underlying 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 Underlying and/or create, redeem or hedge shares of the Underlying.
In such circumstances, the prices at which market participants are willing to buy and sell shares of the Underlying may be significantly
lower than the Underlying’s NAV and the liquidity of the shares of the Underlying may be materially and adversely affected.
Consequently, the performance of the Underlying may deviate significantly from the performance of the Tracked Index or the Underlying’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 Underlying when it deviates significantly from the performance of the Tracked
Index or the Underlying’s NAV per share. If this occurs, the value of, and your return on, the securities may be materially
and adversely affected.
|
·
|
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 Underlying. The calculation agent is not required, however, to make
such adjustments in response to all events that could affect the shares of the Underlying. 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 Underlying 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.
|
|
·
|
THERE IS NO AFFILIATION BETWEEN THE
UNDERLYING OR THE UNDERLYING STOCK ISSUERS AND US AND WE HAVE NOT PARTICIPATED IN THE PREPARATION OF
,
OR VERIFIED
,
ANY
INFORMATION ABOUT THE UNDERLYING STOCK ISSUERS
— We are not affiliated with the Underlying or the issuers of the component
stocks held by the Underlying or underlying 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 Underlying 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 Underlying 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.
|
·
|
PAST PERFORMANCE OF THE UNDERLYING IS
NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the Underlying over the term of the securities may bear little
relation to the historical closing prices of the Underlying and/or the hypothetical examples set forth elsewhere in this pricing
supplement. We cannot predict the future performance of the Underlying or whether the performance of the Underlying will result
in the return of any of your investment.
|
|
·
|
ASSUMING NO CHANGES IN MARKET CONDITIONS
AND OTHER RELEVANT FACTORS
,
THE PRICE YOU MAY RECEIVE FOR YOUR SECURITIES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY
BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER’S ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE
— While
the payment(s) on the securities described in this pricing supplement is based on the full Face Amount of securities, the Issuer’s
estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue
Price of the securities. The Issuer’s estimated value of the securities on the Trade Date does not represent the price at
which we or any of our affiliates would be willing to purchase your securities in the secondary market at any time. Assuming no
changes in market conditions or our creditworthiness and other relevant factors, the price, if any, at which we or our affiliates
would be willing to purchase the securities from you in secondary market transactions, if at all, would generally be lower than
both the Issue Price and the Issuer’s estimated value of the securities on the Trade Date. Our purchase price, if any, in
secondary market transactions would be based on the estimated value of the securities determined by reference to (i) the then-prevailing
internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our pricing models at
that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the assets underlying
the securities and then-prevailing market conditions. The price we report to financial reporting services and to distributors of
our securities for use on customer account statements would generally be determined on the same basis. However, during the period
of approximately five 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.
|
·
|
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 price of the Underlying has increased since the Trade Date.
|
|
·
|
MANY ECONOMIC AND MARKET FACTORS WILL
AFFECT THE VALUE OF THE SECURITIES
— While we expect that, generally, the price of the Underlying will affect the value
of the securities more than any other single factor, the value of the securities prior to maturity will also be affected by a number
of other factors that may either offset or magnify each other, including:
|
|
·
|
whether the Closing Price of the Underlying
on any Observation Date is less than the Coupon Barrier;
|
|
·
|
the expected volatility of the Underlying;
|
|
·
|
the time remaining to the maturity of the
securities;
|
|
·
|
the market prices and dividend rates of
the shares of the Underlying and of the component securities held by the Underlying;
|
|
·
|
the composition of the Underlying;
|
|
·
|
the occurrence of certain events affecting
the Underlying that may or may not require an anti-dilution adjustment;
|
|
·
|
interest rates and yields in the markets
generally;
|
|
·
|
geopolitical conditions and economic, financial,
political, regulatory or judicial events that affect the Underlying, the Tracked Index or the markets generally;
|
|
·
|
supply and demand for the securities; and
|
|
·
|
our creditworthiness, including actual
or anticipated downgrades in our credit ratings.
|
During the term of the securities,
it is possible that their value may decline significantly due to the factors described above even if the price of the Underlying
remains unchanged from the Initial Price, 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.
|
·
|
TRADING AND OTHER TRANSACTIONS BY US
OR OUR AFFILIATES IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE SECURITIES
— We or our affiliates
expect to hedge our exposure from the securities by entering into equity and equity derivative transactions, such as over-the-counter
options, futures or exchange-traded instruments. We or our affiliates may also engage in trading in instruments linked or related
to the Underlying on a regular basis as part of our or their general broker-dealer and other businesses, for proprietary accounts,
for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and
hedging activities may adversely affect the price of the Underlying and, therefore, make it less likely that you will receive a
positive return on your investment in the securities. It is possible that we or our affiliates could receive substantial returns
from these hedging and trading activities while the value of the securities declines. We or our affiliates may also issue or underwrite
other securities or financial or derivative instruments with returns linked or related to the Underlying. To the extent that we
or our affiliates serve as issuer, agent or underwriter for such securities or financial or derivative instruments, our or our
affiliates’ interests with respect to such products may be adverse to those of the holders of the securities. Introducing
competing products into the marketplace in this manner could adversely affect the price of the Underlying and the value of
the securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ from, or
are in direct opposition to, investors’ trading and investment strategies related to the securities. Furthermore, because
Deutsche Bank Securities, Inc. (“
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.
|
|
·
|
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 PRICE OF THE UNDERLYING AND THE VALUE OF THE SECURITIES
— We
or our affiliates may publish research from time to time on financial markets and other matters that could adversely affect the
price of the Underlying and the value of the securities, or express opinions or provide recommendations that are inconsistent with
purchasing or holding the securities. Any research, opinions or recommendations expressed by us or our affiliates may not be consistent
with each other and may be modified from time to time without notice. You should make your own independent investigation of the
merits of investing in the securities and the Underlying.
|
|
·
|
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 as well as, in some circumstances, the prices or
|
levels related to the Underlying that affect whether Contingent
Coupons are paid and whether the securities are automatically called. Any determination by the calculation agent could adversely
affect the return on the securities.
|
·
|
THERE IS SUBSTANTIAL UNCERTAINTY REGARDING
THE U
.
S
.
FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES
— There is no direct legal
authority regarding the proper U.S. federal income tax treatment of the securities, and we do not plan to request a ruling from
the IRS. Consequently, significant aspects of the tax treatment of the securities
as prepaid financial contracts that are not debt, with associated contingent coupons, as described above under “Tax Consequences.”
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 affected. In addition, as described above under “Tax Consequences,” in 2007
the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated
after consideration of these issues could materially affect the tax consequences of an investment in the securities, possibly
with retroactive effect. You should review carefully the section of the accompanying product supplement entitled “U.S. Federal
Income Tax Consequences,” and consult your tax adviser regarding the U.S. federal tax consequences of an investment in the
securities (including possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
THE UNDERLYING
We have derived all information contained
in this pricing supplement regarding the SPDR
®
S&P
®
Metals & Mining ETF (the “
Underlying
”),
including, without limitation, its make-up, method of calculation and changes to its components, from publicly available information.
We have not participated in the preparation of, or verified, such information. Such information reflects the policies of, and is
subject to change by, SPDR
®
Series Trust and SSgA Funds Management, Inc. (“
SSFM
”). The SPDR
®
S&P
®
Metals & Mining ETF is an investment portfolio maintained and managed by SSFM, which is the investment
adviser to the SPDR
®
S&P
®
Metals & Mining ETF (the “
Underlying Advisor
”).
The SPDR
®
S&P
®
Metals & Mining ETF is an exchange-traded fund that trades on the NYSE Arca
under the ticker symbol “XME.”
SPDR
®
Series Trust is a registered investment company that consists of numerous separate investment portfolios, including the SPDR
®
S&P
®
Metals & Mining ETF. Information provided to or filed with the SEC by SPDR
®
Series Trust
pursuant to the Securities Act of 1933, as amended, and the Investment Company Act of 1940, as amended, can be located by reference
to SEC file numbers 333-57793 and 811-08839, respectively, through the SEC’s website at
.
www.sec.gov.
For additional information regarding SPDR
®
Series Trust, SSFM and the SPDR
®
S&P
®
Metals & Mining ETF, please see the SPDR
®
Series Trust’s Prospectus. In addition, information may be obtained
from other sources including, but not limited to, press releases, newspaper articles, other publicly disseminated documents and
the SPDR
®
Series Trust website at
.
www.spdrs.com,
and we have not participated in the preparation of, or verified, such publicly available information. Information contained in
the SPDR
®
Series Trust website is not incorporated by reference in, and should not be considered a part of, this
pricing supplement.
SPDR
®
S&P
®
Metals & Mining ETF
The SPDR
®
S&P
®
Metals & Mining ETF seeks to provide investment results that correspond generally to the total return performance, before fees
and expenses, of the S&P
®
Metals & Mining Select Industry
TM
Index (the “
Tracked Index
”),
which represents the metals and mining sub-industry portion of the U.S. equity market. The SPDR
®
S&P
®
Metals & Mining ETF is comprised of the companies included in the S&P
®
Metals & Mining Select Industry
TM
Index and includes companies in the following sub-industries: aluminum, coal & consumable fuels, diversified metals & mining,
gold, precious metals & minerals, silver and steel. The companies included in the S&P
®
Metals & Mining
Select Industry
TM
Index are selected on the basis of Global Industry Classification Standard and liquidity and market
cap requirements from a universe of companies defined by the S&P
®
Total Market Index (the “
S&P
TMI
”), a U.S. total market composite index. For information concerning the methodology of the S&P
®
Metals & Mining Select Industry
TM
Index, please see “The S&P Select Industry Indices — Methodology
of the Select Industry Indices” in the accompanying Underlying Supplement No. 1 dated August 17, 2015.
HISTORICAL INFORMATION
The
following graph sets forth the historical performance of the SPDR
®
S&P
®
Metals & Mining ETF
based on its daily closing prices from February 22, 2012 through February 22, 2017. The closing price of the SPDR
®
S&P
®
Metals & Mining ETF on February 22, 2017 was $33.91. The graph below also indicates by a broken line
the Coupon Barrier and Trigger Price of $22.04, equal to 65.00% of $33.91, which was the closing price of the SPDR
®
S&P
®
Metals & Mining ETF on February 22, 2017.
We obtained the historical closing prices of the Underlying
below from Bloomberg L.P. and we have not participated in the preparation of, or verified, such information.
The historical
closing prices of the Underlying should not be taken as an indication of future performance and no assurance can be given as to
the Closing Price of the Underlying on any of the Observation Dates
(
including the Final Valuation Date
).
We cannot
give you assurance that the performance of the Underlying will result in the return of any of your initial investment
.