Subject
to Completion. Dated April 5, 2017
Deutsche Bank AG
$
Capped Buffered Underlying Securities
(
BUyS
)
Linked to the S&P 500
®
Index due March 8
,
2019
General
|
·
|
The Capped Buffered Underlying Securities
(BUyS) Linked to the S&P 500
®
Index due March 8, 2019 (the “
securities
”) are designed for
investors who seek a return at maturity of 150.00% of any increase in the level of the S&P 500
®
Index (the “
Underlying
”),
up to the Maximum Return of 18.10%. If the Final Level is
less than
the Initial Level by an amount
not greater than
the Buffer Amount of 20.00%, investors will receive at maturity a payment equal to the Face Amount per $1,000 Face Amount of securities.
However, if the Final Level is
less than
the Initial Level by an amount
greater than
the Buffer Amount of 20.00%,
for each $1,000 Face Amount of securities, investors will lose 1.25% of the Face Amount for every 1.00% by which the Final Level
is less than the Initial Level by an amount greater than the Buffer Amount. The securities do not pay any coupons or dividends
and investors should be willing to lose some or all of their investment if the Final Level is less than the Initial Level by an
amount greater than the Buffer Amount. Any payment on the securities is subject to the credit of the Issuer.
|
|
·
|
Senior unsecured obligations of Deutsche
Bank AG due March 8, 2019
|
|
·
|
Minimum purchase of $1,000. Minimum denominations
of $1,000 (the “
Face Amount
”) and integral multiples thereof.
|
|
·
|
The securities are expected to price on
or about April 5, 2017 (the “
Trade Date
”) and are expected to settle on or about April 10, 2017 (the “
Settlement
Date
”).
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Underlying:
|
S&P 500
®
Index (Ticker: SPX)
|
Issue Price:
|
100% of the Face Amount
|
Payment at Maturity:
|
·
If the Final Level is
greater than
or
equal to
the Initial Level
, you will receive a cash payment at maturity per $1,000 Face Amount of securities, calculated as follows:
|
|
|
|
$1,000 + ($1,000 x the
lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)
|
|
|
|
·
If the Final Level is
less than
the Initial Level by an amount
not greater than
the Buffer Amount
, you will receive a cash payment at maturity equal to the Face Amount per $1,000 Face Amount of securities.
|
|
|
|
·
If the Final Level is
less than
the Initial Level by an amount
greater than
the Buffer Amount
, you will receive a cash payment at maturity per $1,000 Face Amount of securities, calculated as follows:
|
|
|
|
$1,000 + [$1,000 × (Underlying
Return + Buffer Amount) x Downside Participation Factor]
|
|
|
|
If the Final Level is less than the Initial Level by an amount greater than the Buffer Amount
,
for each $1
,
000 Face Amount of securities
,
you will lose 1.25% of the Face Amount for every 1
.
00% by which the Final Level is less than the Initial Level by an amount greater than the Buffer Amount
.
In this circumstance
,
you will lose some or all of your investment at maturity
.
Any payment at maturity is subject to the credit of the Issuer
.
|
(
Key Terms continued on next page
)
Investing in the securities involves
a number of risks
.
See
“
Risk Factors
”
beginning on page 7 of the accompanying product supplement
,
page PS
-
5 of the accompanying prospectus supplement and page 13 of the accompanying prospectus and
“
Selected
Risk Considerations
”
beginning on page PS
-
8 of this pricing supplement
.
The Issuer
’
s estimated value
of the securities on the Trade Date is approximately $974
.
00 to $994
.
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
-
3 of this pricing supplement for additional information
.
By acquiring the securities
,
you
will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure
(
as defined below
)
by
the competent resolution authority
,
which may include the write down of all
,
or a portion
,
of any payment
on the securities or the conversion of the securities into ordinary shares or other instruments of ownership
.
If any Resolution
Measure becomes applicable to us
,
you may lose some or all of your investment in the securities
.
Please see
“
Resolution
Measures and Deemed Agreement
”
on page PS
-
4 of this pricing supplement for more information
.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this pricing supplement or the accompanying underlying supplement, product supplement, prospectus supplement or prospectus. Any
representation to the contrary is a criminal offense.
|
Price to Public
|
Discounts and Commissions
(1)
|
Proceeds to Us
|
Per Security
|
$1,000.00
|
$0.00
|
$1,000.00
|
Total
|
$
|
$
|
$
|
|
(1)
|
For more detailed information about discounts and commissions,
please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement. Deutsche Bank Securities
Inc. (“
DBSI
”), acting as agent for Deutsche Bank AG, will not receive a selling concession in connection with
the sale of the securities. Investors that purchase and hold the securities in fee-based advisory accounts may be charged fees
based on the amount of assets held in those accounts, including the securities.
|
The agent for this offering is our affiliate.
For more information, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.
The securities are not deposits or savings
accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other U
.
S
.
or foreign
governmental agency or instrumentality
.
Deutsche Bank Securities
April , 2017
(
Key Terms continued from previous page
)
Underlying Return:
|
The Underlying Return, expressed as a percentage,
will equal:
Final Level
– Initial Level
Initial Level
The Underlying Return may be positive
,
zero or negative
.
|
Initial Level:
|
2,360.16, the closing level of the Underlying on April 4, 2017.
The Initial Level is
not
the closing level of the Underlying on the Trade Date
.
|
Final Level:
|
The closing level of the Underlying on the Final Valuation Date
|
Buffer Amount:
|
20.00%
|
Upside Leverage Factor:
|
150.00%
|
Downside Participation Factor:
|
125.00%
|
Maximum Return:
|
18.10%
|
Trade Date
2
:
|
April 5, 2017
|
Settlement Date
2
:
|
April 10, 2017
|
Final Valuation Date
1, 2
:
|
March
5, 2019
|
Maturity Date
1, 2
:
|
March
8, 2019
|
Listing:
|
The
securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MAM3
/ US25155MAM38
|
|
1
|
Subject to adjustment as described under “Description
of Securities — Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement.
|
|
2
|
In the event that we make any changes to the expected
Trade Date or Settlement Date, the Final Valuation Date and Maturity Date may be changed so that the stated term of the securities
remains the same.
|
Issuer
’
s Estimated Value of the Securities
The Issuer’s estimated value
of the securities is equal to the sum of our valuations of the following two components of the securities: (i) a bond and (ii)
an embedded derivative(s). The value of the bond component of the securities is calculated based on the present value of the stream
of cash payments associated with a conventional bond with a principal amount equal to the Face Amount of securities, discounted
at an internal funding rate, which is determined primarily based on our market-based yield curve, adjusted to account for our funding
needs and objectives for the period matching the term of the securities. The internal funding rate is typically lower than the
rate we would pay when we issue conventional debt securities on equivalent terms. This difference in funding rate, as well as the
agent’s commissions, if any, and the estimated cost of hedging our obligations under the securities, reduces the economic
terms of the securities to you and is expected to adversely affect the price at which you may be able to sell the securities in
any secondary market. The value of the embedded derivative(s) is calculated based on our internal pricing models using relevant
parameter inputs such as expected interest and dividend rates and mid-market levels of price and volatility of the assets underlying
the securities or any futures, options or swaps related to such underlying assets. Our internal pricing models are proprietary
and rely in part on certain assumptions about future events, which may prove to be incorrect.
The Issuer’s estimated value
of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the
securities. The difference between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date is
due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations under
the securities through one or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost of
providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent
in providing such hedge.
The Issuer’s estimated value
of the securities on the Trade Date does not represent the price at which we or any of our affiliates would be willing to purchase
your securities in the secondary market at any time. Assuming no changes in market conditions or our creditworthiness and other
relevant factors, the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary
market transactions, if at all, would generally be lower than both the Issue Price and the Issuer’s estimated value of the
securities on the Trade Date. Our purchase price, if any, in secondary market transactions will be based on the estimated value
of the securities determined by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another appropriate
measure of our cost of funds and (ii) our pricing models at that time, less a bid spread determined after taking into account the
size of the repurchase, the nature of the assets underlying the securities and then-prevailing market conditions. The price we
report to financial reporting services and to distributors of our securities for use on customer account statements would generally
be determined on the same basis. However, during the period of approximately three 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:
|
http://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 table below illustrates the Payment
at Maturity per $1,000 Face Amount of securities for a hypothetical range of performances for the Underlying from -100.00% to +100.00%.
The table below reflects the Maximum Return of 18.10%, the Upside Leverage Factor of 150.00%, the Downside Participation Factor
of 125% and the Buffer Amount of 20.00%. The following results are based
solely
on the hypothetical examples cited. You
should consider carefully whether the securities are suitable to your investment goals. The numbers appearing in the table and
hypothetical examples below may have been rounded for ease of analysis.
Hypothetical
Underlying Return
(%)
|
Hypothetical
Payment at Maturity
($)
|
Hypothetical
Return on Securities
(%)
|
100.00%
|
$1,181.00
|
18.10%
|
75.00%
|
$1,181.00
|
18.10%
|
50.00%
|
$1,181.00
|
18.10%
|
40.00%
|
$1,181.00
|
18.10%
|
30.00%
|
$1,181.00
|
18.10%
|
20.00%
|
$1,181.00
|
18.10%
|
12.07%
|
$1,181.00
|
18.10%
|
10.00%
|
$1,150.00
|
15.00%
|
5.00%
|
$1,075.00
|
7.50%
|
0.00%
|
$1,000.00
|
0.00%
|
-5.00%
|
$1,000.00
|
0.00%
|
-10.00%
|
$1.000.00
|
0.00%
|
-20.00%
|
$1,000.00
|
0.00%
|
-21.00%
|
$998.75
|
-1.25%
|
-30.00%
|
$875.00
|
-12.50%
|
-40.00%
|
$750.00
|
-25.00%
|
-50.00%
|
$625.00
|
-37.50%
|
-75.00%
|
$312.00
|
-68.75%
|
-100.00%
|
$0.00
|
-100.00%
|
Hypothetical Examples of Amounts Payable at Maturity
The following hypothetical examples illustrate
how the Payments at Maturity set forth in the table above are calculated.
Example 1
:
The Final Level is
greater than
the Initial Level
,
resulting in an Underlying Return of 30
.
00%
. Because the Final Level is
greater than the Initial Level and the Underlying Return multiplied by the Upside Leverage Factor exceeds the Maximum Return, the
investor receives a Payment at Maturity of $1,181.00 per $1,000 Face Amount of securities, the maximum payment on the securities,
calculated as follows:
$1,000 + ($1,000 x the
lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)
$1,000 + ($1,000 x 18.10%) = $1,181.00
Example 2
:
The Final Level is
greater than
the Initial Level
,
resulting in an Underlying Return of 5
.
00%
. Because the Final Level is
greater than the Initial Level and the Underlying Return multiplied by the Upside Leverage Factor is less than the Maximum Return,
the investor receives a Payment at Maturity of $1,075.00 per $1,000 Face Amount of securities, calculated as follows:
$1,000 + ($1,000 x the
lesser of
(i) Underlying Return x Upside Leverage Factor and (ii) Maximum Return)
$1,000 + ($1,000 x 5.00%
x 150.00%) = $1,075.00
Example 3
:
The Final Level is
less than
the Initial Level by an amount
not greater than
the Buffer Amount
,
resulting in an Underlying Return
of
-
5
.
00%
. Because the Final Level is less than the Initial Level by an amount not greater than the Buffer Amount,
the investor receives a Payment at Maturity of $1,000.00 per $1,000 Face Amount of securities.
Example 4
:
The Final Level is
less than
the Initial Level by an amount
greater than
the Buffer Amount
,
resulting in an Underlying Return
of
-
50
.
00%
. Because the Final Level is less than the Initial Level by an
amount greater than the Buffer Amount, the
investor receives a Payment at Maturity of $625.00 per $1,000 Face Amount of securities, calculated as follows:
$1,000 + [$1,000 x (Underlying
Return + Buffer Amount) x Downside Participation Factor]
$1,000 + [$1,000 x (-50.00% + 20.00%)
x 125.00%] = $625.00
Selected Purchase Considerations
|
·
|
CAPPED APPRECIATION POTENTIAL
— The securities provide upside leveraged exposure to
any increase in the level of the Underlying up to the Maximum Return of 18.10%. Consequently, the maximum Payment at Maturity is
$1,181.00 for each $1,000 Face Amount of securities you hold.
Any payment on the securities is subject to our ability to satisfy
our obligations as they become due.
|
|
·
|
LIMITED PROTECTION AGAINST LOSS
— Payment at maturity of the Face Amount per $1,000
Face Amount of securities is protected against a percentage decline in the Final Level, as compared to the Initial Level, of up
to the Buffer Amount. If such percentage decline is greater than the Buffer Amount of 20.00%, for each $1,000 Face Amount of securities,
you will lose 1.25% of the Face Amount for every 1.00% by which the Final Level is less than the Initial Level by an amount greater
than the Buffer Amount. In this circumstance, you will lose some or all of your investment in the securities.
|
|
·
|
RETURN LINKED TO THE PERFORMANCE OF THE S&P 500
®
INDEX
—
The return on the securities, which may be positive, zero or negative, is linked to the performance of the S&P 500
®
Index as described herein. 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.
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
.
|
|
·
|
TAX CONSEQUENCES
— In the opinion of our special tax counsel, Davis Polk & Wardwell
LLP, which is based on prevailing market conditions, it is more likely than not that the securities will be treated for U.S. federal
income tax purposes as prepaid financial contracts that are not debt. Generally, if this treatment is respected, (i) you should
not recognize taxable income or loss prior to the maturity or other taxable disposition of your securities and (ii) the gain or
loss on your securities should be capital gain or loss and should be long-term capital gain or loss if you have held the securities
for more than one year. The Internal Revenue Service (the “
IRS
”) or a court might not agree with this treatment,
however, in which case the timing and character of income or loss on your securities could be materially and adversely affected.
|
In 2007, the U.S. Treasury
Department
and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether beneficial owners of these instruments
should be required to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the
underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. persons should be subject to withholding tax; and whether these instruments are or should be subject to the
“constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain
as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and
effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and
adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect.
Withholding under legislation
commonly referred to as “FATCA” might (if the securities were recharacterized as debt instruments) apply to amounts
treated as interest paid with respect to the securities, as well as to the payment of gross proceeds of a taxable disposition,
including redemption at maturity, of a securities. However, under a recent IRS notice, this regime will not apply to payments of
gross proceeds (other than any amount treated as interest) with respect to dispositions occurring before January 1, 2019. You should
consult your tax adviser regarding the potential application of FATCA to the securities.
Section 871(m) of the Code and
Treasury regulations promulgated thereunder (“
Section 871
(
m
)”) generally impose a 30% withholding tax
(unless an income tax treaty applies) on dividend equivalents paid or deemed
paid to non-U.S. holders with
respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides
certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements
set forth in the applicable Treasury regulations (such an index, a “
Qualified Index
”). Additionally, the applicable
regulations exclude from the scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “
Underlying Security
”).
Based on certain determinations made by us, we expect that Section 871(m) will not apply to the securities with regard to non-U.S.
holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex
and its application may depend on your particular circumstances, including whether you enter into other transactions with respect
to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided
in the pricing supplement for the securities. You should consult your tax adviser regarding the potential application of Section
871(m) to the securities.
You should review carefully the
section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel regarding the material U.S.
federal income tax consequences of owning and disposing of the securities.
Under current law, the United
Kingdom will not impose withholding tax on payments made with respect to the securities.
For a discussion of certain German
tax considerations relating to the securities, you should refer to the section in the accompanying prospectus supplement entitled
“Taxation by Germany of Non-Resident Holders.”
You should consult your tax
adviser regarding the U
.
S
.
federal tax consequences of an investment in the securities
(
including possible
alternative treatments and the issues presented by the 2007 notice
),
as well as tax consequences arising under the laws
of any state
,
local or non
-
U
.
S
.
taxing jurisdiction
.
Selected Risk Considerations
An investment in the securities involves
significant risks. Investing in the securities is not equivalent to investing directly in the stocks composing the Underlying.
In addition to these selected risk considerations, you should review the “Risk Factors” sections of the accompanying
product supplement, prospectus supplement and prospectus.
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·
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YOUR INVESTMENT IN THE SECURITIES MAY RESULT IN A LOSS
— The securities do not pay
any coupons or dividends and do not guarantee any return of your investment. The return on the
securities at maturity is linked to the performance of the Underlying and will depend on whether, and the extent to which, the
Underlying Return is positive, zero or negative. If the Final Level is less than the Initial Level by an amount greater than the
Buffer Amount, for each $1,000 Face Amount of securities, you will lose 1.25% of the Face Amount for every 1.00% by which the Final
Level is less than the Initial Level by an amount greater than the Buffer Amount.
In this circumstance
,
you will lose
some or all of your investment in the securities
.
Any payment on the securities is subject to our ability to satisfy our
obligations as they become due
.
|
|
·
|
THE RETURN ON YOUR SECURITIES IS LIMITED BY THE MAXIMUM RETURN
— If the Final Level
is greater than or equal to the Initial Level, for each $1,000 Face Amount of securities, you will receive at maturity $1,000 plus
an amount equal to $1,000
multiplied by
the lesser of (i) the Underlying Return times the Upside Leverage Factor and (ii)
the Maximum Return of 18.10%. Consequently, the maximum Payment at Maturity will be $1,181.00 for each $1,000 Face Amount of securities
you hold, regardless of any further increase in the level of the Underlying, which may be significant.
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·
|
THE SECURITIES DO NOT PAY ANY COUPONS
— Unlike ordinary debt securities, the securities
do not pay any coupons and do not guarantee any return of your investment at maturity.
|
|
·
|
THE SECURITIES ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK
AG
— The securities are senior unsecured obligations of Deutsche Bank AG and are not, either directly or indirectly,
an obligation of any third party. Any payment(s) to be made on the securities depends on the ability of Deutsche Bank AG to satisfy
its obligations as they
become
due. An actual or anticipated downgrade in Deutsche
Bank AG’s credit rating or increase in the credit spreads charged by the market for taking Deutsche Bank AG’s credit
risk will likely have an adverse effect on the value of the securities. As a result, the actual and perceived creditworthiness
of
|
Deutsche
Bank AG will affect the value of the securities and, in the event Deutsche Bank AG were to default on its obligations or become
subject to a Resolution Measure, you might not receive any amount(s) owed to you under the terms of the securities and you could
lose your entire investment.
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·
|
THE SECURITIES MAY BE WRITTEN DOWN
,
BE CONVERTED
INTO ORDINARY SHARES OR OTHER INSTRUMENTS OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION MEASURES
.
YOU MAY LOSE SOME
OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— Pursuant to the SRM Regulation, the Resolution
Act and other applicable rules and regulations described above under “Resolution Measures and Deemed Agreement,” the
securities are subject to the powers exercised by the competent resolution authority to impose Resolution Measures on us, which
may include: writing down, including to zero, any claim for payment on the securities; converting the securities into ordinary
shares of (i) the Issuer, (ii) any group entity or (iii) any bridge bank or other instruments of ownership of such entities qualifying
as common equity tier 1 capital; or applying any other resolution measure including, but not limited to, transferring the securities
to another entity, amending, modifying or varying the terms and conditions of the securities or cancelling the securities. The
competent resolution authority may apply Resolution Measures individually or in any combination.
|
The
German law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
, or the “
Resolution
Mechanism Act
”) provides that, in a German insolvency proceeding of the Issuer, certain specifically defined senior unsecured
debt instruments would rank junior to, without constituting subordinated debt, all other outstanding unsecured unsubordinated obligations
of the Issuer and be satisfied only if all such other senior unsecured obligations of the Issuer have been paid in full. This prioritization
would also be given effect if Resolution Measures are imposed on the Issuer, so that obligations under debt instruments that rank
junior in insolvency as described above would be written down or converted into common equity tier 1 instruments before any other
senior unsecured obligations of the Issuer are written down or converted. A large portion of our liabilities consist of senior
unsecured obligations that either fall outside the statutory definition of debt instruments that rank junior to other senior unsecured
obligations according to the Resolution Mechanism Act or are expressly exempted from such definition.
Among
those unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt instruments
whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event
which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than
by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence
of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of
interest or the amount of the interest payments solely depends on a fixed or floating reference interest rate and is settled by
monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency proceedings
instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of the Issuer
outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect
to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued under the
prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the “
Structured Debt Securities
,”
and which do not, referred to herein as the “
Non
-
Structured Debt Securities
.” We expect the securities
offered herein to be classified as Structured Debt Securities, but the competent regulatory authority or court may classify the
securities differently. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect
to the Issuer, the Structured Debt Securities are expected to be among the unsecured unsubordinated obligations that would bear
losses after the Non-Structured Debt Securities as described above.
Nevertheless
,
you may lose some or all of your investment
in the securities if a Resolution Measure becomes applicable to us
. Imposition of a Resolution Measure would likely occur if
we become, or are deemed by the competent supervisory authority to have become, “non-viable” (as defined under the
then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable
to us. The Bank Recovery and Resolution Directive and the Resolution Act are intended to eliminate the need for public support
of troubled banks, and you should be aware that public support, if any, would only potentially be used by the competent supervisory
authority as a last resort after having assessed and exploited, to the maximum extent practicable, the resolution tools, including
the bail-in tool.
By
acquiring the securities, you would have no claim or other right against us arising out of any Resolution Measure and we would
have no obligation to make payments under the securities following the imposition of
a
Resolution Measure. In particular, the imposition of any Resolution Measure will not constitute a default or
an event of default under the
securities, under the Indenture or for the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act.
Furthermore, because the securities are subject to any Resolution Measure, secondary market trading in the securities may not
follow the trading behavior associated with similar types of securities issued by other financial institutions which may be or
have been subject to a Resolution Measure.
In
addition, by your acquisition of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable
law, any and all claims against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or the
indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that the
trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution
Measure by the competent resolution authority with respect to the securities.
Accordingly
,
you may have limited or circumscribed
rights to challenge any decision of the competent resolution authority to impose any Resolution Measure
.
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·
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THE ISSUER
’
S ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE WILL BE LESS THAN
THE ISSUE PRICE OF THE SECURITIES
— The Issuer’s estimated value of the securities on the Trade Date (as disclosed
on the cover of this pricing supplement) is less than the Issue Price of the securities. The difference between the Issue Price
and the Issuer’s estimated value of the securities on the Trade Date is due to the inclusion in the Issue Price of the agent’s
commissions, if any, and the cost of hedging our obligations under the securities through one or more of our
affiliates
.
Such hedging cost includes our or our affiliates’ expected cost of providing such hedge, as well as the profit we or our
affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge. The Issuer’s estimated
value of the securities is determined by reference to an internal funding rate and our pricing models. The internal funding rate
is typically lower than the rate we would pay when we issue conventional debt securities on equivalent terms. This difference in
funding rate, as well as the agent’s commissions, if any, and the estimated cost of hedging our obligations under the securities,
reduces the economic terms of the securities to you and is expected to adversely affect the price at which you may be able to sell
the securities in any secondary market. In addition, our internal pricing models are proprietary and rely in part on certain assumptions
about future events, which may prove to be incorrect. If at any time a third party dealer were to quote a price to purchase
your securities or otherwise value your securities, that price or value may differ materially from the estimated value of the securities
determined by reference to our internal funding rate and pricing models. This difference is due to, among other things, any
difference in funding rates, pricing models or assumptions used by any dealer who may purchase the securities in the secondary
market.
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·
|
INVESTING IN THE SECURITIES IS NOT THE SAME AS INVESTING IN THE STOCKS COMPOSING THE UNDERLYING
— The
return
on the securities may not reflect the return you would have realized
if you had directly invested in the stocks composing the Underlying. For instance, your return on the securities will be limited
to the Maximum Return, regardless of any increase in the level of the Underlying, which could be significant.
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|
·
|
IF THE LEVEL OF THE UNDERLYING CHANGES
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN
THE SAME MANNER
— Your securities may trade quite differently from the level of the Underlying. Changes in the level
of the Underlying may not result in comparable changes in the value of your securities.
|
|
·
|
NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not
have any voting rights or rights to receive
c
ash dividends or other distributions
or other rights that holders of the stocks composing the Underlying would have.
|
|
·
|
THE UNDERLYING REFLECTS THE PRICE RETURN OF THE STOCKS COMPOSING THE UNDERLYING
,
NOT
THEIR TOTAL RETURN INCLUDING ALL DIVIDENDS AND OTHER DISTRIBUTIONS
— The return on the securities is based on the performance
of the Underlying, which reflects the changes in the market prices of the stocks composing the Underlying. The Underlying is not,
however, a “total return” index, which, in addition to reflecting the price returns of the stocks composing the Underlying,
would also reflect the reinvestment of all dividends and other distributions paid on such component stocks.
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|
·
|
THE SPONSOR OF THE UNDERLYING MAY ADJUST THE UNDERLYING IN WAYS THAT AFFECT THE LEVEL OF THE
UNDERLYING AND HAS NO OBLIGATION TO CONSIDER YOUR INTERESTS
— The sponsor of the Underlying (the
“
Index Sponsor
”) is responsible for calculating and maintaining the
|
Underlying. The Index Sponsor
can add, delete or substitute the components of the Underlying or make other methodological changes that could change the level
of the Underlying. You should realize that the changing of such Underlying components may affect the Underlying, as a newly added
component may perform significantly better or worse than the component it replaces. Additionally, the Index Sponsor may alter,
discontinue or suspend calculation or dissemination of the Underlying. Any of these actions could adversely affect the level of
the Underlying and, thus, the value of, and your return on, the securities. The Index Sponsor has no obligation to consider your
interests in calculating or revising the Underlying.
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·
|
PAST PERFORMANCE OF THE UNDERLYING IS NO GUIDE TO FUTURE PERFORMANCE
— The actual
performance of the Underlying over the term of the securities may bear little relation to the historical closing levels of the
Underlying and/or the hypothetical examples set forth elsewhere in this pricing supplement. We cannot predict the future performance
of the Underlying or whether the performance of the Underlying will result in the return of any of your investment.
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·
|
ASSUMING NO CHANGES IN MARKET CONDITIONS AND OTHER RELEVANT FACTORS
,
THE PRICE YOU MAY
RECEIVE FOR YOUR SECURITIES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER
’
S
ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE
— While the payment(s) on the securities described in this pricing
supplement is based on the full Face Amount of securities, the Issuer’s estimated value of the securities on the Trade Date
(as disclosed on the cover of this pricing supplement) is less than the Issue Price of the securities. The Issuer’s estimated
value of the securities on the Trade Date does not represent the price at which we or any of our affiliates would be willing to
purchase your securities in the secondary market at any time. Assuming no changes in market conditions or our creditworthiness
and other relevant factors, the price, if any, at which we or our affiliates would be willing to purchase the securities from you
in secondary market transactions, if at all, would generally be lower than both the Issue Price and the Issuer’s estimated
value of the securities on the Trade Date. Our purchase price, if any, in secondary market transactions would be based on the estimated
value of the securities determined by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another
appropriate measure of our cost of funds and (ii) our pricing models at that time, less a bid spread determined after taking into
account the size of the repurchase, the nature of the assets underlying the securities and then-prevailing market conditions. The
price we report to financial reporting services and to distributors of our securities for use on customer account statements would
generally be determined on the same basis. However, during the period of approximately three months beginning from the Trade Date,
we or our affiliates may, in our sole discretion, increase the purchase price determined as described above by an amount equal
to the declining differential between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date,
prorated over such period on a straight-line basis, for transactions that are individually and in the aggregate of the expected
size for ordinary secondary market repurchases.
|
In addition
to the factors discussed above, the value of the securities and our purchase price in secondary market transactions after the Trade
Date, if any, will vary based on many economic and market factors, including our creditworthiness, and cannot be predicted with
accuracy. These changes may adversely affect the value of your securities, including the price you may receive in any secondary
market transactions. Any sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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·
|
THE SECURITIES WILL NOT BE LISTED AND THERE WILL LIKELY BE LIMITED LIQUIDITY
— The
securities will not be listed on any securities exchange. There may be little or no secondary market for the securities. We
or our affiliates intend to act as market makers for the securities but are not required to do so and may cease such market making
activities at any time. Even if there is a secondary market, it may not provide enough liquidity to allow you to sell the
securities when you wish to do so or at a price advantageous to you. Because we do not expect other dealers to make a secondary
market for the securities, the price at which you may be able to sell your securities is likely to depend on the price, if any,
at which we or our affiliates are willing to buy the securities. If, at any time, we or our affiliates do not act as market
makers, it is likely that there would be little or no secondary market in the securities. If you have to sell your securities
prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss, even in cases where the level
of the Underlying has increased since the Trade Date.
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·
|
MANY ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE SECURITIES
— While we
expect that, generally, the level of the Underlying will affect the value of the securities more than any other single factor,
the value of the securities prior to maturity will also be affected by a number of other factors that may either offset or magnify
each other, including:
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|
·
|
the expected volatility of the Underlying;
|
|
·
|
the time remaining to the maturity of the securities;
|
|
·
|
the market prices and dividend rates of the stocks composing
the Underlying;
|
|
·
|
the composition of the Underlying;
|
|
·
|
interest rates and yields in the markets generally;
|
|
·
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that
affect the Underlying 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 level of the Underlying
remains unchanged from the Initial Level, and any sale prior to the Maturity Date could result in a substantial loss to you. You
must hold the securities to maturity to receive the stated payout from the Issuer.
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·
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TRADING AND OTHER TRANSACTIONS BY US OR OUR AFFILIATES
IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE SECURITIES
— We or our affiliates expect to hedge
our exposure from the securities by entering into equity and equity derivative transactions, such as over-the-counter options,
futures
or exchange-traded instruments. We or our affiliates may also engage in trading
in instruments linked or related to the Underlying on a regular basis as part of our or their general broker-dealer and other businesses,
for proprietary accounts, for other accounts under management or to facilitate transactions for customers, including block transactions.
Such trading and hedging activities may adversely affect the level of the Underlying and, therefore, make it less likely that you
will receive a positive return on your investment in the securities. It is possible that we or our affiliates could receive substantial
returns from these hedging and trading activities while the value of the securities declines. We or our affiliates may also issue
or underwrite other securities or financial or derivative instruments with returns linked or related to the Underlying. To the
extent that we or our affiliates serve as issuer, agent or underwriter for such securities or financial or derivative instruments,
our or our affiliates’ interests with respect to such products may be adverse to those of the holders of the securities.
Introducing competing products into the marketplace in this manner could adversely affect the level of the Underlying and
the value of the securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that differ
from, or are in direct opposition to, investors’ trading and investment strategies related to the securities. Furthermore,
because DBSI or one of its affiliates is expected to conduct trading and hedging activities for us in connection with the securities,
DBSI or such affiliate may profit in connection with such trading and hedging activities and such profit, if any, will be in addition
to any compensation that DBSI receives for the sale of the securities to you. You should be aware that the potential to earn a
profit in connection with hedging activities may create a further incentive for DBSI to sell the securities to you in addition
to any compensation they would receive for the sale of the securities.
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·
|
WE OR OUR AFFILIATES MAY PUBLISH RESEARCH
,
EXPRESS
OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE SECURITIES
.
ANY SUCH RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE LEVEL OF THE UNDERLYING AND THE VALUE OF THE SECURITIES
— We
or our affiliates may publish research from time to time on financial markets and other matters that could adversely affect the
level of the Underlying and the value of the securities or express opinions or provide recommendations that are inconsistent with
purchasing or holding the securities. Any research, opinions or recommendations expressed by us or our affiliates may not be consistent
with each other and may be modified from time to time without notice. You should make your own independent investigation of the
merits of investing in the securities and the Underlying.
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·
|
POTENTIAL CONFLICTS OF INTEREST
— We and our
affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation agent, hedging
our obligations under the securities and determining the Issuer’s estimated value of the securities on the Trade Date and
the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary market transactions.
In performing these roles, our economic interests and those of our affiliates are potentially adverse to your interests as an investor
in the
securities
. The calculation agent will determine, among other
|
things,
all values, prices and levels required to be determined for the purposes of the securities on any relevant date or time. The calculation
agent will also be responsible for determining whether a market disruption event has occurred. Any determination by the calculation
agent could adversely affect the return on the securities.
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·
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THE U
.
S
.
FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES ARE
UNCERTAIN
— There is no direct legal authority regarding the proper U.S. federal income tax treatment of the securities,
and we do not plan to request a ruling from the IRS. Consequently, significant aspects of the tax treatment of the securities are
uncertain, and the IRS or a court might not agree with the treatment of the securities as prepaid financial contracts that are
not debt. If the IRS were successful in asserting an alternative treatment for the securities, the tax consequences of ownership
and disposition of the securities could be materially and adversely affected. In addition, as described above under “Tax
Consequences,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding
the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. Any Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of
an investment in the securities, possibly with retroactive effect. You should review carefully the section of the accompanying
product supplement entitled “U.S. Federal Income Tax Consequences,” and consult your tax adviser regarding the U.S.
federal tax consequences of an investment in the securities (including possible alternative treatments and the issues presented
by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
The securities
may
be suitable
for you if:
|
·
|
You seek an investment with a return linked to the performance of the Underlying as described herein;
|
|
·
|
You are willing to invest in the securities based on the Upside Leverage Factor, the Downside Participation
Factor, the Maximum Return and the Buffer Amount;
|
|
·
|
You are willing to lose some or all of your initial investment;
|
|
·
|
You are willing and able to hold the securities to maturity;
|
|
·
|
You are willing to accept our credit risk;
|
|
·
|
You do not seek current income from this investment; and
|
|
·
|
You do not seek an investment for which there will be an active secondary market.
|
The securities may
not
be suitable
for you if:
|
·
|
You do not seek an investment with a return linked to the performance of the Underlying as described
herein;
|
|
·
|
You are unwilling to invest in the securities based on the Upside Leverage Factor, the Downside
Participation Factor, the Maximum Return and the Buffer Amount;
|
|
·
|
You seek an investment that is protected against the loss of some or all of your initial investment;
|
|
·
|
You seek an investment with uncapped upside returns;
|
|
·
|
You are unwilling or unable to hold the securities to maturity;
|
|
·
|
You are unwilling to be exposed to our credit risk;
|
|
·
|
You seek current income from your investments; or
|
|
·
|
You seek an investment for which there will be an active secondary market.
|
Historical Information
The following graph sets forth the historical
performance of the Underlying based on its daily closing levels from April 4, 2012 through April 4, 2017. The Initial Level is
2,360.16, equal to the closing level of the S&P 500
®
Index on April 4, 2017. The graph below also indicates
by a broken line the closing level that would result in a percentage decline from the Initial Level that is equal to the Buffer
Amount of 20.00%. We obtained the historical closing levels below from Bloomberg L.P. and we have not participated in the preparation
of, or verified, such information.
The historical closing levels of the Underlying should not be taken as an indication of future
performance and no assurance can be given as to the closing level of the Underlying on the Final Valuation Date
.
We cannot
give you assurance that the performance of the Underlying will result in the return of any of your initial investment
.