|
Pricing Supplement
To underlying supplement No
.
1 dated August 17
,
2015
,
product supplement B
dated July 31
,
2015
,
prospectus supplement
dated July 31
,
2015 and
prospectus dated April
27
,
2016
|
Pricing
Supplement No. 2816B
Registration
Statement No
.
333
-
206013
Rule
424(b)(2)
|
|
|
|
|
The
information in this preliminary pricing supplement is not complete and may be changed
.
This preliminary pricing
supplement and the accompanying underlying supplement
,
product supplement
,
prospectus supplement and prospectus
do not constitute an offer to sell nor do they seek an offer to buy the notes in any jurisdiction where the offer or sale
is not permitted
.
Subject
to Completion. Dated April 7, 2017
|
Deutsche Bank
|
|
Structured
Investments
|
Deutsche Bank AG
$ Annual Review Notes Linked to the Least Performing of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF, the Technology Select Sector SPDR
®
Fund and the SPDR
®
S&P
®
Bank ETF due April 13, 2020
|
General
|
|
·
|
The notes are linked to the least performing of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF, the Technology Select Sector SPDR
®
Fund
and the SPDR
®
S&P
®
Bank ETF (each, an “
Underlying
”). The notes will be automatically
called if on either of the annual Review Dates the Closing Prices of
all
the Underlyings are greater than or equal to their
respective Initial Prices. If the notes are automatically called, investors will receive on the applicable Call Settlement Date
a positive return on the notes equal to the applicable Call Return based on a rate of 17.90% per annum. The notes will cease to
be outstanding following an automatic call and no further payments will be made following the Call Settlement Date.
|
|
|
·
|
If the notes are not automatically called and the Final Price of the
least performing
Underlying, which we refer to as the “
Laggard Underlying
,” is greater than or equal
to its Trigger Price (equal to 70.00% of its Initial Price), for each $1,000 Face Amount of notes, investors will receive at maturity
a positive return on the notes equal to the Digital Return of 53.70%. However, if the notes are not automatically called and the
Final Price of the Laggard Underlying is less than its Trigger Price, for each $1,000 Face Amount of notes, investors will lose
1.00% of the Face Amount for every 1.00% by which the Final Price of the Laggard Underlying is less than its Initial Price. The
notes do not pay any coupons or dividends and investors should be willing to lose a significant portion or all of their investment
if the notes are not automatically called and the Final Price of the Laggard Underlying is less than its Trigger Price. Any payment
on the notes is subject to the credit of the Issuer.
|
|
|
·
|
The first Review Date, and therefore the earliest date on which an
Automatic Call may be initiated, is April 20, 2018.
|
|
|
·
|
Senior unsecured obligations of Deutsche Bank AG due April 13, 2020.
|
|
|
·
|
Minimum purchase of $1,000. Minimum denominations of $1,000 (the “
Face
Amount
”) and integral multiples thereof.
|
|
|
·
|
The notes are expected to price on or about April 7, 2017 (the “
Trade
Date
”) and are expected to settle on or about April 12, 2017 (the “
Settlement Date
”).
|
Key
Terms
|
Issuer:
|
Deutsche
Bank AG, London Branch
|
|
Issue Price:
|
100%
of the Face Amount
|
|
Underlyings:
|
Underlying
|
Ticker
Symbol
|
Initial
Price
|
Trigger
Price
|
|
SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
|
XOP
|
$37.22
|
$26.05
|
|
Technology Select
Sector SPDR
®
Fund
|
XLK
|
$53.06
|
$37.14
|
|
|
SPDR
®
S&P
®
Bank ETF
|
KBE
|
$42.38
|
$29.67
|
|
|
|
|
|
|
(Key
Terms continued on next page)
Investing
in the notes 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 10 of this pricing supplement.
The
Issuer’s estimated value of the notes on the Trade Date is approximately $931.00 to $951.00 per $1,000 Face Amount of notes,
which is less than the Issue Price. Please see “Issuer’s Estimated Value of the Notes” on page 3 of this
pricing supplement for additional information.
By
acquiring the notes, 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 notes
or the conversion of the notes 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 notes. Please see “Resolution Measures and Deemed Agreement”
on page 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 notes 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
(1)
|
Fees
(1)(2)
|
Proceeds
to Issuer
|
|
Per
Note
|
$1,000.00
|
$15.00
|
$985.00
|
|
Total
|
$
|
$
|
$
|
|
|
(1)
|
JPMorgan
Chase Bank, N.A. and J.P. Morgan Securities LLC, which we refer to as JPMS LLC, or one of its affiliates will act as placement
agents for the notes. The placement agents will forgo fees for sales to fiduciary accounts. The total fees represent the amount
that the placement agents receive from sales to accounts other than such fiduciary accounts. The placement agents will receive
a fee from the Issuer that will not exceed $
15.00
per
$1,000 Face Amount of notes.
|
|
|
(2)
|
Please
see “Supplemental Plan of Distribution” in this pricing supplement for more information about fees.
|
The
notes 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
.
JPMorgan
Placement
Agent
April
, 2017
(Key
Terms continued from previous page)
|
Automatic Call:
|
The notes will be automatically called
by the Issuer if, on either of the Review Dates, the Closing Prices of
all
the Underlyings are greater than or equal
to their respective Initial Prices.
|
|
Payment upon an Automatic Call:
|
If the notes are automatically called,
you will receive a cash payment per $1,000 Face Amount of notes on the related Call Settlement Date equal to the Face Amount
plus
the product of the Face Amount and the applicable Call Return. The Call Returns are based on a rate of 17.90%
per annum. The notes will cease to be outstanding following an Automatic Call and no further payments will be made following
the Call Settlement Date. The Review Dates, Call Settlement Dates, Call Returns and the payment due upon an Automatic Call
applicable to each Review Date are set forth in the table below.
|
|
|
|
|
|
|
Review Date
|
Call Settlement
Date
|
Call Return
|
Payment upon an Automatic Call (per $1,000 Face Amount of notes)
|
|
April 20, 2018
|
April 25, 2018
|
17.90%
|
$1,179.00
|
|
April 5, 2019
|
April 10, 2019
|
35.80%
|
$1,358.00
|
|
|
|
Review Dates
1
:
|
Annually, on the dates set forth
in the table under “Payment upon an Automatic Call” above
|
|
Call Settlement Dates
1
:
|
As set forth in the table under “Payment
upon an Automatic Call” above
|
|
Payment at Maturity:
|
If the notes are not automatically
called, you will receive a cash payment at maturity, which will depend on the Final Price of the Laggard Underlying:
|
|
|
|
|
|
·
If
the Final Price of the Laggard Underlying is greater than or equal to its Trigger Price
, you will receive a cash payment
at maturity per $1,000 Face Amount of notes calculated as follows:
$1,000
+ ($1,000 x Digital Return)
|
|
|
·
If the Final Price
of the Laggard Underlying is less than its Trigger Price,
you will receive a cash payment at maturity per $1,000 Face
Amount of notes calculated as follows:
|
|
|
|
|
|
$1,000
+ ($1,000 x Underlying Return of the Laggard Underlying)
|
|
|
|
|
|
If the notes are not automatically
called and the Final Price of the Laggard Underlying is less than its Trigger Price, for each $1,000 Face Amount of notes,
you will lose 1.00% of the Face Amount for every 1.00% by which the Final Price of the Laggard Underlying is less than its
Initial Price. In this circumstance, you will lose a significant portion or all of your investment at maturity. Any payment
at maturity is subject to the credit of the Issuer.
|
|
Laggard Underlying:
|
The Underlying
with the lowest Underlying Return. If the calculation agent determines that any two or all three of the Underlyings have equal
lowest Underlying Returns, then the calculation agent will, in its sole discretion, designate one of such Underlyings as the
Laggard Underlying.
|
|
Digital Return:
|
53.70%,
which reflects the maximum return on the notes. Accordingly, the maximum Payment at Maturity will be $1,537.00 per $1,000
Face Amount of notes.
|
|
Trigger Price:
|
For each Underlying, 70.00% of its
Initial Price, as set forth in the table under “Underlyings” above
|
|
Underlying Return:
|
For each Underlying, the Underlying
Return will be calculated as follows:
|
|
|
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|
Final
Price – Initial Price
|
|
|
Initial
Price
|
|
|
|
|
Initial Price:
|
For each Underlying, the Closing
Price of such Underlying on the Trade Date, as set forth in the table under “Underlying” above
|
|
Final Price:
|
For each Underlying, the arithmetic
average of the Closing Prices of such Underlying on each of the five Averaging Dates
|
|
Closing Price:
|
For each Underlying, the closing
price of one share of such Underlying on the relevant date of calculation
multiplied by
the then-current Share Adjustment
Factor, as determined by the calculation agent
|
|
Share Adjustment Factor:
|
For each Underlying, initially 1.0,
subject to adjustment for certain actions affecting such Underlying. See “Description of Securities — Anti-Dilution
Adjustments for Funds” in the accompanying product supplement.
|
|
Trade Date:
|
April 7, 2017
|
|
Settlement Date:
|
April 12, 2017
|
|
Averaging Dates
1
:
|
April 1, 2020, April 2, 2020, April
3, 2020, April 6, 2020 and April 7, 2020
|
|
Maturity Date
1
:
|
April 13, 2020
|
|
Listing:
|
The notes will not be listed on any
securities exchange.
|
|
CUSIP / ISIN:
|
25155MAN1 / US25155MAN11
|
|
|
|
|
|
1
|
Subject
to adjustment as described under “Description of Securities — Adjustments
to Valuation Dates and Payment Dates” in the accompanying product supplement. If
a Review Date is postponed, the related Call Settlement Date will be postponed accordingly
as described under “Description of Securities — Adjustments to Valuation
Dates and Payment Dates” in the accompanying product supplement.
|
Issuer’s
Estimated Value of the Notes
The
Issuer’s estimated value of the notes is equal to the sum of our valuations of the following two components of the notes:
(i) a bond and (ii) an embedded derivative(s). The value of the bond component of the notes is calculated based on the present
value of the stream of cash payments associated with a conventional bond with a principal amount equal to the Face Amount of notes,
discounted at an internal funding rate, which is determined primarily based on our market-based yield curve, adjusted to account
for our funding needs and objectives for the period matching the term of the notes. The internal funding rate is typically lower
than the rate we would pay when we issue conventional debt securities on equivalent terms. This difference in funding rate, as
well as the agent’s commissions, if any, and the estimated cost of hedging our obligations under the notes, reduces the
economic terms of the notes to you and is expected to adversely affect the price at which you may be able to sell the notes in
any secondary market. The value of the embedded derivative(s) is calculated based on our internal pricing models using relevant
parameter inputs such as expected interest and dividend rates and mid-market levels of price and volatility of the assets underlying
the notes or any futures, options or swaps related to such underlying assets. Our internal pricing models are proprietary and
rely in part on certain assumptions about future events, which may prove to be incorrect.
The
Issuer’s estimated value of the notes on the Trade Date (as disclosed on the cover of this pricing supplement) is less than
the Issue Price of the notes. The difference between the Issue Price and the Issuer’s estimated value of the notes on the
Trade Date is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations
under the notes through one or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost of
providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent
in providing such hedge.
The
Issuer’s estimated value of the notes on the Trade Date does not represent the price at which we or any of our affiliates
would be willing to purchase your notes in the secondary market at any time. Assuming no changes in market conditions or our creditworthiness
and other relevant factors, the price, if any, at which we or our affiliates would be willing to purchase the notes from you in
secondary market transactions, if at all, would generally be lower than both the Issue Price and the Issuer’s estimated
value of the notes on the Trade Date. Our purchase price, if any, in secondary market transactions will be based on the estimated
value of the notes determined by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another
appropriate measure of our cost of funds and (ii) our pricing models at that time, less a bid spread determined after taking into
account the size of the repurchase, the nature of the assets underlying the notes and then-prevailing market conditions. The price
we report to financial reporting services and to distributors of our notes for use on customer account statements would generally
be determined on the same basis. However, during the period of approximately six months beginning from the Trade Date, we or our
affiliates may, in our sole discretion, increase the purchase price determined as described above by an amount equal to the declining
differential between the Issue Price and the Issuer’s estimated value of the notes on the Trade Date, prorated over such
period on a straight-line basis, for transactions that are individually and in the aggregate of the expected size for ordinary
secondary market repurchases.
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 notes may be subject to any Resolution Measure by the competent resolution authority if we become, or are deemed by the competent
supervisory authority to have become, “non-viable” (as defined under the then applicable law) and are unable to continue
our regulated banking activities without a Resolution Measure becoming applicable to us. By acquiring the notes, 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 notes, 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 notes 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 notes; (ii) convert the notes into ordinary shares of (a) the Issuer, (b) any group entity or (c)
any bridge bank or other instruments of ownership of such entities qualifying as common equity tier 1 capital; and/or (iii) apply
any other resolution measure including, but not limited to, any transfer of the notes to another entity, the amendment, modification
or variation of the terms and conditions of the notes or the cancellation of the notes. 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 notes, 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 notes 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 notes, 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 notes;
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 notes; (ii) authorized, directed
and requested The Depository Trust Company (“
DTC
”) and any direct
participant in DTC or other intermediary through which you hold such notes to take any
and all necessary action, if required, to implement the imposition of any Resolution
Measure with respect to the notes 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 notes.
|
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 Notes
You
should read this pricing supplement together with underlying supplement No. 1 dated August 17, 2015, product supplement B dated
July 31, 2015, the prospectus supplement dated July 31, 2015 relating to our Series A global notes of which these notes are a
part and the prospectus dated April 27, 2016. Delaware Trust Company, which acquired the corporate trust business of Law Debenture
Trust Company of New York, is the successor trustee of the notes. When you read the accompanying underlying supplement, product
supplement and prospectus supplement, please note that all references in such supplements to the prospectus dated July 31, 2015,
or to any sections therein, should refer instead to the accompanying prospectus dated April 27, 2016 or to the corresponding sections
of such prospectus, as applicable, unless otherwise specified or the context otherwise requires. You may access these documents
on the website of the Securities and Exchange Commission (the “
SEC
”) at
.
www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
|
|
·
|
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 notes 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 notes 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 notes.
You
may revoke your offer to purchase the notes 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 notes prior to their
issuance
.
We will notify you in the event of any changes to the terms of the notes and you will be asked to accept such
changes in connection with your purchase of any notes
.
You may also choose to reject such changes
,
in which case
we may reject your offer to purchase the notes
.
Hypothetical
Examples
The
table and hypothetical examples set forth below are for illustrative purposes only.
The
actual returns applicable to a purchaser of the notes will be determined on the relevant Review Date or on the Averaging Dates,
as applicable.
The following results are based solely on the hypothetical examples cited
below. You should consider carefully whether the notes are suitable to your investment goals. The numbers appearing in the tables
and hypothetical examples below may have been rounded for ease of analysis.
The
following table illustrates the hypothetical payments on the notes upon an Automatic Call or at maturity. The table below is based
on the following terms of the notes:
|
Trigger Price*:
|
For each Underlying, 70.00% of its Initial Price
|
|
Call Returns:
|
17.90% and 35.80% for the first and second Review Dates, respectively
|
|
Digital Return:
|
53.70%
|
* The
actual Initial Price and Trigger Price for each Underlying are set forth on the cover of this pricing supplement.
There
will be only one payment on the notes, either at maturity or, due to an Automatic Call, on a Call Settlement Date. An entry of
“N/A” indicates that the notes would not be called on the applicable Review Date and no payment would be made on the
corresponding Call Settlement Date.
We make no representation or warranty as to which of the Underlyings will be the Laggard
Underlying for purposes of calculating the Payment at Maturity.
|
Hypothetical
Appreciation / Depreciation of the Least Performing Underlying (%)
|
Hypothetical
Return at First Review Date (%)**
|
Hypothetical
Return at Second Review Date (%)**
|
Hypothetical
Return on the Notes at Maturity (%)
|
Hypothetical
Payment at Maturity ($)
|
|
100.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
90.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
80.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
70.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
60.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
50.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
40.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
30.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
20.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
10.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
0.00%
|
17.90%
|
35.80%
|
53.70%
|
$1,537.00
|
|
-10.00%
|
N/A
|
N/A
|
53.70%
|
$1,537.00
|
|
-20.00%
|
N/A
|
N/A
|
53.70%
|
$1,537.00
|
|
-30.00%
|
N/A
|
N/A
|
53.70%
|
$1,537.00
|
|
-31.00%
|
N/A
|
N/A
|
-31.00%
|
$690.00
|
|
-40.00%
|
N/A
|
N/A
|
-40.00%
|
$600.00
|
|
-50.00%
|
N/A
|
N/A
|
-50.00%
|
$500.00
|
|
-60.00%
|
N/A
|
N/A
|
-60.00%
|
$400.00
|
|
-70.00%
|
N/A
|
N/A
|
-70.00%
|
$300.00
|
|
-80.00%
|
N/A
|
N/A
|
-80.00%
|
$200.00
|
|
-90.00%
|
N/A
|
N/A
|
-90.00%
|
$100.00
|
|
-100.00%
|
N/A
|
N/A
|
-100.00%
|
$0.00
|
|
** If
the notes are automatically called, payable on the related Call Settlement Date.
|
The
following hypothetical examples illustrate how the returns set forth in the table above are calculated.
Example
1: The Closing Prices of all the Underlyings are greater than their respective Initial Prices on the first Review Date.
Because
the Closing Prices of
all
the Underlyings on the first Review Date are greater than their respective Initial Prices, the
notes are automatically called on the first Review Date and the investor will receive on the related Call Settlement Date a cash
payment of $1,179.00 per $1,000 Face Amount of notes. There will be no further payments on the notes.
Example
2: The Closing Price of at least one Underlying is less than its Initial Price on the first Review Date and the Closing Prices
of all the Underlyings are greater than their respective Initial Prices on the second Review Date.
Because the Closing Price
of at least one Underlying is less than its Initial Price on the first Review Date, the notes are not automatically called on
the first Review Date. Because the Closing Prices of
all
the Underlyings are greater than their respective Initial Prices
on the second Review Date, the notes are automatically called on the second Review Date and the investor will receive on the related
Call Settlement Date a cash payment of $1,358.00 per $1,000 Face Amount of notes. There will be no further payments on the notes.
Example
3: The Closing Price of at least one Underlying is less than its Initial Price on each Review Date and the Final Price of the
Laggard Underlying is greater than its Trigger Price, resulting in an Underlying Return of the Laggard Underlying of 60.00%.
Because
the Closing Price of at least one Underlying is less than its Initial Price on each Review Date, the notes are not automatically
called. Because the Final Price of the Laggard Underlying is greater than its Trigger Price (equal to 70.00% of its Initial Price),
despite the Underlying Return of the Laggard Underlying being greater than the Digital Return, the investor will receive on the
Maturity Date a cash payment of $1,537.00 per $1,000 Face Amount of notes, calculated as follows:
$1,000
+ ($1,000 x Digital Return)
$1,000
+ ($1,000 x 53.70%) = $1,537.00
Example
4: The Closing Price of at least one Underlying is less than its Initial Price on each Review Date and the Final Price of the
Laggard Underlying is greater than its Trigger Price, resulting in an Underlying Return of the Laggard Underlying of -20.00%.
Because the Closing Price of at least one Underlying is less than its Initial Price on each Review Date, the notes are not
automatically called. Because the Final Price of the Laggard Underlying is greater than its Trigger Price, the investor will receive
on the Maturity Date a cash payment of $1,537.00 per $1,000 Face Amount of notes, calculated as follows:
$1,000
+ ($1,000 x Digital Return)
$1,000
+ ($1,000 x 53.70%) = $1,537.00
Example
5: The Closing Price of at least one Underlying is less than its Initial Price on each Review Date and the Final Price of the
Laggard Underlying is less than its Trigger Price (while the Final Prices of the other Underlyings are greater than their respective
Initial Prices), resulting in an Underlying Return of the Laggard Underlying of -50.00%.
Because the Closing Price of at least
one Underlying is less than its Initial Price on each Review Date, the notes are not automatically called. Because the Final Price
of the Laggard Underlying is less than its Trigger Price, despite the Final Prices of the other Underlyings being greater than
their respective Initial Prices, the investor will receive on the Maturity Date a cash payment of $500.00 per $1,000 Face Amount
of notes, calculated as follows:
$1,000
+ ($1,000 x Underlying Return of the Laggard Underlying)
$1,000
+ ($1,000 x -50.00%) = $500.00
Example
6: The Closing Price of at least one Underlying is less than its Initial Price on each Review Date and the Final Prices of all
the Underlyings are less than their respective Initial Prices, with the Final Price of the Laggard Underlying being less than
its Trigger Price, resulting in an Underlying Return of the Laggard Underlying of -70.00%.
Because the Closing Price of at
least one Underlying is less than its Initial Price on each Review Date, the notes are not automatically called. Because the Final
Price of the Laggard Underlying is less than its Trigger Price, the investor will receive on the Maturity Date a cash payment
of $300.00 per $1,000 Face Amount of notes, calculated as follows:
$1,000
+ ($1,000 x Underlying Return of the Laggard Underlying)
$1,000
+ ($1,000 x -70.00%) = $300.00
Selected
Purchase Considerations
|
|
·
|
STEP-UP
APPRECIATION POTENTIAL
— If the Closing Prices of
all
the Underlyings
on any annual Review Date are greater than or equal to their respective Initial Prices,
the notes will be automatically called. If the notes are automatically called, you will
receive on the applicable Call Settlement Date a cash payment per $1,000 Face Amount
of notes equal to the Face Amount
plus
the product of the Face Amount and the
applicable Call Return based on a rate of 17.90% per annum. Even if the notes are not
automatically called, if the Final Price of the Laggard Underlying is greater than or
equal to its Trigger Price, you will receive on the Maturity Date a positive return on
the notes equal to the Digital Return of 53.70%. In this circumstance, you would receive
on the Maturity Date the maximum Payment at Maturity of $1,537.00 per $1,000 Face Amount
of notes.
Any payment on the notes is subject to our ability to satisfy our obligations
as they become due.
|
|
|
·
|
LIMITED
PROTECTION AGAINST LOSS
— If the notes are not automatically called and the
Final Price of the Laggard Underlying is greater than or equal to its Trigger Price,
you will receive at maturity a positive return on the notes equal to the Digital Return.
However, if the notes are not automatically called and the Final Price of the Laggard
Underlying is less than its Trigger Price, for each $1,000 Face Amount of notes, you
will lose 1.00% of the Face Amount for every 1.00% by which the Final Price of the Laggard
Underlying is less than its Initial Price.
In this circumstance, you will lose a significant
portion or all of your investment in the notes.
|
|
|
·
|
POTENTIAL
EARLY EXIT WITH APPRECIATION AS A RESULT OF THE AUTOMATIC CALL FEATURE
— While
the original term of the notes is approximately three years, the
notes
will be automatically called if the Closing Prices of
all
the Underlyings
on either annual Review Date are greater than or equal to their respective Initial Prices,
and you will receive the applicable payment corresponding to that Review Date, as set
forth on the cover of this pricing supplement. 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 notes are automatically called.
|
|
|
·
|
RETURN
LINKED TO THE LEAST PERFORMING OF THE THREE UNDERLYINGS
— The return on the
notes, which may be positive, zero or negative, is linked to the least performing of
the SPDR
®
S&P
®
Oil & Gas Exploration & Production
ETF, the Technology Select Sector SPDR
®
Fund and the SPDR
®
S&P
®
Bank ETF, as described herein. If the notes are not automatically
called, the Payment at Maturity will be determined
solely
by reference to the
performance of the Laggard Underlying.
|
SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
The SPDR
®
S&P
®
Oil & Gas Exploration and Production ETF is an exchange-traded fund managed by SPDR
®
Series Trust, a registered
investment company. The SPDR
®
Series Trust consists of numerous separate investment portfolios, including the SPDR
®
S&P
®
Oil & Gas Exploration and Production ETF. SSgA Funds Management, Inc. is the investment adviser of
the SPDR
®
S&P
®
Oil & Gas Exploration and Production ETF. The SPDR
®
S&P
®
Oil & Gas Exploration and Production ETF seeks to provide investment results that correspond generally to the total return
performance, before fees and expenses, of the S&P
®
Oil & Gas Exploration & Production Select Industry
Index
®
, which represents the oil and gas exploration and production sub-industry portion of the U.S. equity market.
The SPDR
®
S&P
®
Oil & Gas Exploration and Production ETF trades on the NYSE Arca under the
ticker symbol “XOP.”
This is only a summary of the SPDR
®
S&P
®
Oil & Gas Exploration
and Production ETF. For more information on the SPDR
®
S&P
®
Oil & Gas Exploration and Production
ETF
,
please see the section entitled “The Select Industry SPDR Exchange Traded Funds — The SPDR
®
S&P
®
Oil & Gas Exploration and Production ETF” in the accompanying underlying supplement
No. 1 dated August 17, 2015
.
For more information on the S&P
®
Oil & Gas Exploration & Production
Select Industry Index
®
,
please see the section entitled “The S&P Dow Jones Indices — The
S&P Select Industry Indices — The S&P
®
Oil & Gas Exploration & Production Select Industry
Index
®
”
in the accompanying underlying supplement No
.
1 dated August 17
,
2015
.
Technology
Select Sector SPDR
®
Fund
The
Technology Select Sector SPDR
®
Fund is an exchange-traded fund managed by the Select Sector SPDR
®
Trust, a registered investment company. The Select Sector SPDR
®
Trust consists of numerous separate investment
portfolios, including the Technology Select Sector SPDR
®
Fund. SSgA Funds Management, Inc. is the investment adviser
of the Technology Select Sector SPDR
®
Fund. The Technology Select Sector SPDR
®
Fund seeks to provide
investment results that correspond generally to the level and yield performance, before fees and expenses, of the Technology Select
Sector Index, which represents the technology sector of the U.S. equity market. The Technology Select Sector SPDR
®
Fund trades on the NYSE Arca under the ticker symbol “XLK.”
This is only a summary of the Technology Select Sector
SPDR
®
Fund. For more information on the Technology Select Sector SPDR
®
Fund
,
please see the
section entitled “The Select Sector SPDR Exchange Traded Funds — The Technology Select Sector SPDR
®
Fund” in the accompanying underlying supplement No. 1 dated August 17, 2015
.
For more information on the Technology
Select Sector Index
,
please see the section entitled “The S&P Dow Jones Indices — The S&P Select Sector
Indices — The Technology Select Sector Index
”
in the accompanying underlying supplement No
.
1 dated
August 17
,
2015
.
SPDR
®
S&P
®
Bank ETF
The
SPDR
®
S&P
®
Bank ETF
is an exchange-traded fund
managed by SPDR
®
Series Trust, a registered investment company. The SPDR
®
Series Trust consists
of numerous separate investment portfolios, including the
SPDR
®
S&P
®
Bank ETF
. SSgA Funds Management, Inc. is the investment adviser of the
SPDR
®
S&P
®
Bank ETF
. The
SPDR
®
S&P
®
Bank ETF
seeks to provide investment results that, before fees and expenses, correspond generally to the total return
performance of the S&P
®
Banks Select Industry
®
Index, which represents the performance of the
bank sub-industry portion of the S&P
®
Total Market Index. The
SPDR
®
S&P
®
Bank ETF
trades on the NYSE Arca under
the ticker symbol “KBE.”
This is only a summary of the SPDR
®
S&P
®
Bank ETF. For
more information on the SPDR
®
S&P
®
Bank ETF
,
please see the section entitled “The
SPDR
®
S&P
®
Bank ETF” in this pricing supplement
.
|
|
·
|
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 notes 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 notes and (ii) the gain or loss on your notes should be capital gain or loss
and should be long-term capital gain or loss if you have held the notes 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 notes 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 notes, possibly with retroactive
effect.
Withholding
under legislation commonly referred to as “FATCA” might (if the notes were recharacterized as debt instruments) apply
to amounts treated as interest paid with respect to the notes, as well as to payments of gross proceeds of a taxable disposition,
including upon an automatic call or at maturity, of a note. 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 notes.
Section
871(m) of the Code and Treasury regulations promulgated thereunder (“
Section 871
(
m
)”) generally impose
a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to non-U.S. holders with
respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides
certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements
set forth in the applicable Treasury regulations (such an index, a “
Qualified Index
”). Additionally, the applicable
regulations exclude from the scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to
underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “
Underlying
Security
”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to the notes with
regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section
871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m)
will be provided in the pricing supplement for the notes. You should consult your tax adviser regarding the potential application
of Section 871(m) to the notes.
You
should review carefully the section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.”
The preceding discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel
regarding the material U.S. federal income tax consequences of owning and disposing of the notes.
Under
current law, the United Kingdom will not impose withholding tax on payments made with respect to the notes.
For
a discussion of certain German tax considerations relating to the notes, you should refer to the section in the accompanying prospectus
supplement entitled “Taxation by Germany of Non-Resident Holders.”
You
should consult your tax adviser regarding the U.S. federal tax consequences of an investment in the notes (including possible
alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
Selected
Risk Considerations
An investment
in the notes involves significant risks. Investing in the notes is not equivalent to investing directly in the Underlyings or
in any of the component securities held by the Underlyings. In addition to these selected risk considerations, you should review
the “Risk Factors” sections of the accompanying product supplement, prospectus supplement and prospectus.
|
|
·
|
YOUR
INVESTMENT IN THE NOTES MAY RESULT IN A LOSS
— The notes do not guarantee any
return on your investment. The return of the notes at maturity is linked to the performance
of the Laggard Underlying and will depend on whether the notes are automatically called
and whether the Final Price of the Laggard Underlying is less than its Trigger Price.
If the notes are not automatically called and the Final Price of the Laggard Underlying
is less than its Trigger Price, for each $1,000 Face Amount of notes, you will lose 1.00%
of the Face Amount for every 1.00% by which the Final Price of the Laggard Underlying
is less than its Initial Price. In this circumstance, you will lose a significant portion
or all of your investment at maturity.
Any payment on the notes is subject to our
ability to satisfy our obligations as they become due.
|
|
|
·
|
THE
RETURN ON THE NOTES IS LIMITED
— If the notes are automatically called, the
return on the notes will be limited by the pre-specified Call Return on the relevant
Review Date, regardless of the performance of the Underlyings. In addition, since the
notes could be called as early as the first Review Date, the term of your investment
could be as short as approximately one year and your return on the notes would be less
than what you would have received if the notes were called on a later Review Date. If
the notes are not automatically called and the Final Price of the Laggard Underlying
is greater than or equal to its Trigger Price, you will receive a positive return on
the notes equal to the Digital Return. In this circumstance, your positive return on
the notes will be limited to 53.70%. However, if the notes are not automatically called
and the Final Price of the Laggard Underlying is less than its Trigger Price, for each
$1,000 Face Amount of notes, you will lose 1.00% of the Face Amount for every 1.00% by
which the Final Price of the Laggard Underlying is less than its Initial Price. Therefore,
the return on the notes is limited regardless of whether the notes are automatically
called or not.
|
|
|
·
|
REINVESTMENT
RISK
— If the notes are automatically called, the term of the notes 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 notes at a comparable return
for a similar level of risk in the event the notes are automatically called prior to
the Maturity Date.
|
|
|
·
|
IF
THE NOTES ARE NOT AUTOMATICALLY CALLED, YOUR PAYMENT AT MATURITY WILL BE DETERMINED SOLELY
BY THE FINAL PRICE OF THE LAGGARD UNDERLYING
— If the notes are not automatically
called, the Payment at Maturity will be determined solely by reference to the Final Price
of the Laggard Underlying, without taking into consideration the Final Prices of the
other Underlyings.
|
|
|
·
|
A
HIGHER DIGITAL/CALL RETURN OR A LOWER TRIGGER PRICE FOR EACH UNDERLYING MAY REFLECT A
GREATER EXPECTED VOLATILITY OF ONE OR MORE OF THE UNDERLYINGS, 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 notes are set on the Trade Date, the greater the expectation
is at that time that at least one of the Underlyings may close below its Trigger Price
on the Final Valuation Date (resulting in a loss of a significant portion or all of your
initial investment). In addition, the economic terms of the notes, including the Trigger
Prices and the Digital/Call Return, are based, in part, on the expected volatility of
the Underlyings at the time the terms of the notes are set on the Trade Date, where higher
expected volatility will generally lead to a higher Digital/Call Return or a lower Trigger
Price for each Underlying. Accordingly, a higher Digital/Call Return as compared with
the expected return on our conventional fixed income securities with a similar maturity
or the expected return on our other similarly structured securities will generally indicate
a greater risk of loss, while a lower Trigger Price for each Underlying as compared with
otherwise comparable securities does not necessarily indicate that the notes have a greater
likelihood of returning your investment at maturity. You should be willing to accept
the downside market risk of each Underlying and the potential loss of a significant portion
or all of your initial investment at maturity.
|
|
|
·
|
THE
NOTES DO NOT PAY ANY COUPONS
— Unlike ordinary debt securities, the notes do
not pay any coupons and do not guarantee any return of your investment at maturity.
|
|
|
·
|
THE
NOTES ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK AG
— The notes 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 notes depends on the
ability of Deutsche Bank AG to satisfy its obligations as they become due. An actual
or anticipated downgrade in Deutsche Bank AG’s credit rating or increase in the
credit spreads charged by the market for taking Deutsche Bank AG’s credit risk
will likely have an adverse effect on the value of the notes. As a result, the actual
and perceived creditworthiness of Deutsche Bank AG will affect the value of the notes
and, in the event Deutsche Bank AG were to default on its obligations or become subject
to a Resolution Measure, you might not receive any amount(s) owed to you under the terms
of the notes and you could lose your entire investment.
|
|
|
·
|
THE
NOTES MAY BE WRITTEN DOWN
,
BE CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS
OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION MEASURES
.
YOU MAY LOSE SOME
OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— Pursuant
to the SRM Regulation, the Resolution Act and other applicable rules and regulations
described above under “Resolution Measures and Deemed Agreement,” the notes
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 notes; converting the notes 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 notes to another entity, amending, modifying or
varying the terms and conditions of the notes or cancelling the notes. 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 notes offered herein to be classified as Structured Debt Securities, but the
competent regulatory authority or court may classify the notes 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
notes
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 notes, 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 notes 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 notes, under the Indenture or for the
purposes of, but only to the fullest extent permitted by, the Trust Indenture Act. Furthermore, because the notes are subject
to any Resolution Measure, secondary market trading in the notes 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 notes, 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 notes.
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 NOTES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE
PRICE OF THE NOTES
— The Issuer’s estimated value of the notes on the
Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue
Price of the notes. The difference between the Issue Price and the Issuer’s
estimated value of the notes on the Trade Date is due to the inclusion in the Issue Price
of the agent’s commissions, if any, and the cost of hedging our obligations under
the notes through one or more of our affiliates. Such hedging cost includes our or our
affiliates’ expected cost of providing such hedge, as well as the profit we or
our affiliates expect to realize in consideration for assuming the risks inherent in
providing such hedge. The Issuer’s estimated value of the notes is determined by
reference to an internal funding rate and our pricing models. The internal funding rate
is typically lower than the rate we would pay when we issue conventional debt securities
on equivalent terms. This difference in funding rate, as well as the agent’s commissions,
if any, and the estimated cost of hedging our obligations under the notes, reduces the
economic terms of the notes to you and is expected to adversely affect the price at which
you may be able to sell the notes in any secondary market. In addition, our internal
pricing models are proprietary and rely in part on certain assumptions about future events,
which may prove to be incorrect. If at any time a third party dealer were to quote
a price to purchase your notes or otherwise value your notes, that price or value may
differ materially from the estimated value of the notes determined by reference to our
internal funding rate and pricing models. This difference is due to, among other
things, any difference in funding rates, pricing models or assumptions used by any dealer
who may purchase the notes in the secondary market.
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INVESTING
IN THE NOTES IS NOT THE SAME AS INVESTING IN THE SHARES OF THE UNDERLYINGS OR THE COMPONENT
SECURITIES HELD BY THE UNDERLYING
—The return on your notes may not reflect
the return you would have realized if you had directly invested in the shares of the
Underlyings or the component securities held by the Underlyings. For instance, your return
on the notes is
solely
dependent upon the performance of the least performing
Underlying, and you will not participate in any potential increase in the prices of the
Underlyings, which could be significant.
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IF
THE PRICES OF THE UNDERLYINGS CHANGE, THE VALUE OF YOUR NOTES MAY NOT CHANGE IN THE SAME
MANNER
— Your notes may trade quite differently from the prices of the Underlyings
and the component securities held by the Underlyings. Changes in the prices of the Underlyings
and the component securities held by the Underlyings may not result in comparable changes
in the value of your notes.
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·
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NO
DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the notes, you will not
have any voting rights or rights to receive cash dividends or other distributions or
other rights that holders of the component securities held by the Underlyings or holders
of shares of the Underlyings would have.
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YOUR
INVESTMENT IS EXPOSED TO A DECLINE IN THE PRICE OF EACH UNDERLYING
— Your return
on the notes is not linked to a basket consisting of the Underlyings. Rather, any payment
on the notes will be determined solely by reference to the performance of the least performing
of the three Underlyings. Unlike an instrument with a return linked to a basket, in which
risk is mitigated and diversified among all of the basket components, you will be exposed
equally to the risks related to each of the Underlyings and your return will be based
on the least performing of the Underlyings, as measured on each Review Date and the Averaging
Dates. A negative performance by any of the Underlyings over the term of the notes may
adversely affect your return on the notes and will not be offset or mitigated by a positive
performance by the other Underlyings.
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BECAUSE
THE NOTES ARE LINKED TO THE LEAST PERFORMING OF THE THREE UNDERLYINGS, YOU ARE EXPOSED
TO A GREATER RISK OF LOSING A SIGNIFICANT PORTION OR ALL OF YOUR INVESTMENT THAN IF THE
NOTES WERE LINKED TO JUST ONE UNDERLYING
— The risk that you will lose a significant
portion or all of your initial investment in the notes is greater than in substantially
similar securities that are linked to the performance of just one of the Underlyings.
With
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three
Underlyings, it is more likely that the Final Price of the Laggard Underlying will be less than its Trigger Price than if the
notes were linked to only one of the Underlyings, and therefore, it is more likely that you will receive a Payment at Maturity
that is significantly less than your initial investment. In addition, the performance of the Underlyings may not be correlated.
If the performance of the Underlyings is not correlated, or is negatively correlated, the potential for the Final Price of the
Laggard Underlying to be less than its Trigger Price is even greater. Although the correlation of the Underlyings’ performance
may change over the term of the notes, the Trigger Price is determined, in part, based on the correlation of the Underlyings’
performance at the time when the terms of the notes are finalized. A lower Trigger Price is generally associated with a lower
correlation of the Underlyings, which reflects a greater potential for loss on your investment at maturity.
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THE
EQUITY SECURITIES HELD BY THE SPDR
®
S&P
®
OIL &
GAS EXPLORATION & PRODUCTION ETF ARE SUBJECT TO RISKS ASSOCIATED WITH THE OIL AND
GAS EXPLORATION AND PRODUCTION SECTOR
—
All or substantially all of the equity securities held by the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF are issued by
companies whose primary business is directly associated with the exploration and production
of oil and gas. The oil and gas industry is significantly affected by a number of factors
that influence worldwide economic conditions and oil prices, such as natural disasters,
supply disruptions, geopolitical events and other factors that may offset or magnify
each other, including:
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employment
levels and job growth;
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·
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worldwide
and domestic supplies of, and demand for, crude oil and natural gas;
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·
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the
cost of exploring for, developing, producing, refining and marketing crude oil and natural gas;
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·
|
changes
in weather patterns and climatic changes;
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·
|
the
ability of the members of Organization of Petroleum Exporting Countries and other producing nations to agree to and maintain production
levels;
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the
worldwide military and political environment, uncertainty or instability resulting from an escalation or additional outbreak of
armed hostilities or further acts of terrorism in the United States, or elsewhere;
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the
price and availability of alternative and competing fuels;
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domestic
and foreign governmental regulations and taxes; and
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general
economic conditions worldwide.
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These
factors or the absence of such factors could cause a downturn in the oil and natural gas industries generally or regionally and
could cause the value of some or all of the component securities held by the SPDR
®
S&P
®
Oil
& Gas Exploration & Production ETF and the price of the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF to decline during the term of the notes.
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THE
EQUITY SECURITIES HELD BY THE TECHNOLOGY SELECT SECTOR SPDR
®
FUND ARE
SUBJECT TO RISKS ASSOCIATED WITH THE TECHNOLOGY SECTOR
— All or substantially
all of the equity securities held by the Technology Select Sector SPDR
®
Fund are issued by companies whose primary line of business is directly associated with
the technology sector. The value of stocks of technology companies and companies that
rely heavily on technology is particularly vulnerable to rapid changes in technology
product cycles, rapid product obsolescence, government regulation and competition, both
domestically and internationally, including competition from foreign competitors with
lower production costs. Stocks of technology companies and companies that rely heavily
on technology, especially those of smaller, less-seasoned companies, tend to be more
volatile than the overall market. Technology companies are heavily dependent on patent
and intellectual property rights, the loss or impairment of which may adversely affect
profitability. Additionally, companies in the technology sector may face dramatic and
often unpredictable changes in growth rates and competition for the services of qualified
personnel. These factors or the absence of such factors could cause a downturn in the
technology sector and could cause the value of some or all of the component securities
held by the Technology Select Sector SPDR
®
Fund and the price of the Technology
Select Sector SPDR
®
Fund to decline during the term of the notes.
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THE
EQUITY SECURITIES HELD BY THE SPDR
®
S&P
®
BANK ETF ARE
SUBJECT TO RISKS ASSOCIATED WITH THE BANKING SECTOR
— All or substantially
all of the equity securities held by the SPDR
®
S&P
®
Bank ETF are issued by companies whose primary line of business is directly associated
with the banking sector. The performance of companies in the
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banking
sector may be affected by governmental regulation that may limit the amount and types of loans and other financial commitments
that banks can make, the interest rates and fees they can charge and the amount of capital they must maintain. Profitability is
largely dependent on the availability and cost of capital funds, and can fluctuate significantly when interest rates change. Credit
losses resulting from financial difficulties of borrowers can negatively impact the banking sector. Banks may also be subject
to severe price competition. The regional banking industry is highly competitive, and thus, failure to maintain or increase market
share may adversely affect profitability. These factors or the absence of such factors could cause a downturn in the bank industries
and could cause the value of some or all of the component securities held by the SPDR
®
S&P
®
Bank ETF and the price of the SPDR
®
S&P
®
Bank ETF to decline during the term of the notes.
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THE
POLICIES OF THE RESPECTIVE INVESTMENT ADVISOR OF EACH UNDERLYING AND CHANGES THAT AFFECT
ANY UNDERLYING OR ITS TRACKED INDEX COULD ADVERSELY AFFECT THE VALUE OF THE NOTES —
The policies of the respective investment advisor of each Underlying concerning the
calculation of such Underlying’s net asset value (“
NAV
”), additions,
deletions or substitutions of securities or other assets or financial measures held by
such Underlying, substitution of the tracked index of such Underlying and the manner
in which changes affecting how such tracked index is calculated are reflected in such
Underlying could adversely affect the price of the shares of such Underlying and, therefore,
the value of, and your return on, the notes. The value of, and your return on, the notes
could also be adversely affected if an investment advisor of an Underlying changes its
policies, for example, by changing the manner in which such investment advisor calculates
such Underlying’s NAV, or if such investment advisor discontinues or suspends calculation
or publication of such Underlying’s NAV, in which case it may become difficult
to determine the value of the notes. If events such as these occur or if the Closing
Prices of the Underlyings are not available on either Review Date or an Averaging Date
because of a market disruption event or for any other reason, the calculation agent,
in certain circumstances, may determine the Closing Prices of the Underlyings and the
Payment at Maturity in a manner it considers appropriate in its sole discretion.
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The
Performances of the Underlyings
,
Particularly During Periods of Market Volatility
,
May Not Match the Performances of THEIR RESPECTIVE Tracked INDICES or THEIR Net Asset
Value per Share
—
The performance of the Underlyings may not match the performances of their respective
tracked indices due to a number of factors. For instance, the Underlyings may not hold
all or substantially all of the securities included in their respective tracked indices
and the respective investment advisors of the Underlyings may invest a portion of their
respective Underlying’s assets in securities not included in such Underlying’s
tracked index. Therefore, the performances of the Underlyings are generally linked, in
part, to assets other than the securities included in their respective tracked indices.
Additionally,
the
performances of the Underlyings
will reflect transaction costs and fees that are not included in the calculation of their
respective tracked indices.
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In
addition, because the shares of the Underlyings are traded on securities exchanges and are subject to supply and demand, the performance
of one share of each Underlying may differ from the performance of its respective tracked index or the Underlying’s NAV
per share. Furthermore, during periods of market volatility, securities or other assets held by the Underlyings 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 Underlyings and/or create, redeem or hedge shares of the
Underlyings. In such circumstances, the prices at which market participants are willing to buy and sell shares of the Underlyings
may be significantly lower than each Underlying’s NAV and the liquidity of the shares of the Underlyings may be materially
and adversely affected. Consequently, the performances of the Underlyings may deviate significantly from the performances of their
respective tracked indices or each Underlying’s NAV per share. These circumstances may or may not constitute market disruption
events and, in either case, your return on the notes may be determined based on the prices of the shares of the Underlyings when
they deviate significantly from the performance of their respective tracked indices or each Underlying’s NAV per share.
If this occurs, the value of, and your return on, the notes may be materially and adversely affected.
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ANTI
-
DILUTION
PROTECTION IS LIMITED AND THE CALCULATION AGENT MAY MAKE ADJUSTMENTS IN ADDITION TO
,
OR THAT DIFFER FROM
,
THOSE SET FORTH IN THE ACCOMPANYING PRODUCT SUPPLEMENT
— For each Underlying, the calculation agent will make adjustments to the relevant
Share Adjustment Factor, which will initially be set at 1.0, for certain events affecting
the shares of such Underlying. The calculation agent is not required, however, to make
such adjustments in response to all events that could affect the shares of the Underlyings.
If an event occurs that does not require the calculation agent to make an adjustment,
the value of the notes 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 notes that are in addition to, or that differ from, those described in the
accompanying product supplement to reflect changes occurring in relation to the relevant
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
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materially
adverse to investors in the notes. 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 notes.
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THERE
IS NO AFFILIATION BETWEEN THE UNDERLYINGS OR THE UNDERLYING STOCK ISSUERS AND US AND
WE HAVE NOT PARTICIPATED IN THE PREPARATION OF
,
OR VERIFIED
,
ANY INFORMATION
ABOUT THE UNDERLYINGS OR THE UNDERLYING STOCK ISSUERS
— We are not affiliated
with the Underlyings or the issuers of the component stocks held by the Underlyings or
underlying their respective tracked indices (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 notes, 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 notes.
The Underlyings have 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 notes.
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PAST
PERFORMANCE OF THE UNDERLYINGS IS NO GUIDE TO FUTURE PERFORMANCE
— The
actual performance of the Underlyings over the term of the notes may bear little relation
to the historical closing prices of the Underlyings and/or the hypothetical examples
set forth elsewhere in this pricing supplement. We cannot predict the future performance
of the Underlyings or whether the performance of the Underlyings will result in the return
of any of your investment.
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ASSUMING
NO CHANGES IN MARKET CONDITIONS AND OTHER RELEVANT FACTORS, THE PRICE YOU MAY RECEIVE
FOR YOUR NOTES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY BE LOWER THAN BOTH THE
ISSUE PRICE AND THE ISSUER’S ESTIMATED VALUE OF THE NOTES ON THE TRADE DATE
— While the payment(s) on the notes described in this pricing supplement is based
on the full Face Amount of notes, the Issuer’s estimated value of the notes on
the Trade Date (as disclosed on the cover of this pricing supplement) is less than the
Issue Price of the notes. The Issuer’s estimated value of the notes on the Trade
Date does not represent the price at which we or any of our affiliates would be willing
to purchase your notes in the secondary market at any time. Assuming no changes in market
conditions or our creditworthiness and other relevant factors, the price, if any, at
which we or our affiliates would be willing to purchase the notes from you in secondary
market transactions, if at all, would generally be lower than both the Issue Price and
the Issuer’s estimated value of the notes on the Trade Date. Our purchase price,
if any, in secondary market transactions would be based on the estimated value of the
notes determined by reference to (i) the then-prevailing internal funding rate (adjusted
by a spread) or another appropriate measure of our cost of funds and (ii) our pricing
models at that time, less a bid spread determined after taking into account the size
of the repurchase, the nature of the assets underlying the notes and then-prevailing
market conditions. The price we report to financial reporting services and to distributors
of our notes for use on customer account statements would generally be determined on
the same basis. However, during the period of approximately six months beginning from
the Trade Date, we or our affiliates may, in our sole discretion, increase the purchase
price determined as described above by an amount equal to the declining differential
between the Issue Price and the Issuer’s estimated value of the notes on the Trade
Date, prorated over such period on a straight-line basis, for transactions that are individually
and in the aggregate of the expected size for ordinary secondary market repurchases.
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In
addition to the factors discussed above, the value of the notes and our purchase price in secondary market transactions after
the Trade Date, if any, will vary based on many economic and market factors, including our creditworthiness, and cannot be predicted
with accuracy. These changes may adversely affect the value of your notes, including the price you may receive in any secondary
market transactions. Any sale prior to the Maturity Date could result in a substantial loss to you. The notes are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your notes to maturity.
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THE
NOTES WILL NOT BE LISTED AND THERE WILL LIKELY BE LIMITED LIQUIDITY
— The notes
will not be listed on any securities exchange. There may be little or no secondary market
for the notes. We or our affiliates intend to act as market makers for the notes but
are not required to do so and may cease such market making activities at any time. Even
if there is a secondary market, it may not provide enough liquidity to allow you to sell
the notes when you wish to do so or at a price advantageous to you. Because we do not
expect other dealers to make a secondary market for the notes, the price at which you
may be able to sell your notes is likely to depend on the price, if any, at which we
or our affiliates are willing to buy the notes. If, at any time, we or our affiliates
do not act as market makers, it is likely that
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there
would be little or no secondary market in the notes. If you have to sell your notes prior to maturity, you may not be able to
do so or you may have to sell them at a substantial loss, even in cases where the prices of the Underlyings have increased since
the Trade Date.
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MANY
ECONOMIC AND MARKET FACTORS WILL AFFECT THE VALUE OF THE NOTES
— While we expect
that, generally, the prices of the Underlyings will affect the value of the notes more
than any other single factor, the value of the notes prior to maturity will also be affected
by a number of other factors that may either offset or magnify each other, including:
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the
expected volatility of the Underlyings;
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|
the
time remaining to the maturity of the notes;
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|
the
market prices and dividend rates of the shares of the Underlyings and the component securities held by the Underlyings;
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the
composition of the Underlyings;
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the
occurrence of certain events affecting one or more of the Underlyings that may or may not requires an anti-dilution adjustment;
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|
interest
rates and yields in the markets generally;
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geopolitical
conditions and economic, financial, political, regulatory or judicial events that affect any of the Underlyings, their respective
tracked indices or the markets generally;
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supply
and demand for the notes; and
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our
creditworthiness, including actual or anticipated downgrades in our credit ratings.
|
During
the term of the notes, it is possible that their value may decline significantly due to the factors described above even if the
prices of the Underlyings remain unchanged from their respective Initial Prices, and any sale prior to the Maturity Date could
result in a substantial loss to you. You must hold the notes to maturity to receive the stated payout from the Issuer.
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TRADING
AND OTHER TRANSACTIONS BY US, JPMORGAN CHASE & CO. OR OUR OR ITS AFFILIATES IN THE
EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE NOTES
— We
or our affiliates expect to hedge our exposure from the notes by entering into equity
and equity derivative transactions, such as over-the-counter options, futures or exchange-traded
instruments. We, JPMorgan Chase & Co. or our or its affiliates may also engage in
trading in instruments linked or related to the Underlyings on a regular basis as part
of our or their general broker-dealer and other businesses, for proprietary accounts,
for other accounts under management or to facilitate transactions for customers, including
block transactions. Such trading and hedging activities may adversely affect the prices
of one or more of the Underlyings and, therefore, make it less likely that you will receive
a positive return on your investment in the notes. It is possible that we, JPMorgan Chase
& Co. or our or its affiliates could receive substantial returns from these hedging
and trading activities while the value of the notes declines. We, JPMorgan Chase &
Co. or our or its affiliates may also issue or underwrite other securities or financial
or derivative instruments with returns linked or related to the Underlyings. To the extent
that we, JPMorgan Chase & Co. or our or its affiliates serve as issuer, agent or
underwriter for such securities or financial or derivative instruments, our, JPMorgan
Chase & Co.’s or our or its affiliates’ interests with respect to such
products may be adverse to those of the holders of the notes. Introducing competing products
into the marketplace in this manner could adversely affect the prices of one or more
of the Underlyings and the value of the notes. Any of the foregoing activities described
in this paragraph may reflect trading strategies that differ from, or are in direct opposition
to, investors’ trading and investment strategies related to the notes.
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WE,
JPMORGAN CHASE & CO
.
OR OUR OR ITS AFFILIATES MAY PUBLISH RESEARCH
,
EXPRESS
OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING
THE NOTES
.
ANY SUCH RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY
AFFECT THE PRICES OF THE UNDERLYINGS AND THE VALUE OF THE NOTES
— We, JPMorgan
Chase & Co. or our or its affiliates may publish research from time to time on financial
markets and other matters that could adversely affect the prices of the Underlyings and
the value of the notes, or express opinions or provide recommendations that are inconsistent
with purchasing or holding the notes. Any research, opinions or recommendations expressed
by us, JPMorgan Chase & Co. or our or its affiliates may not be consistent with each
other and may be modified from time to time without notice. You should make your own
independent investigation of the merits of investing in the notes and the Underlyings.
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POTENTIAL
CONFLICTS OF INTEREST
— We and our affiliates play a variety of roles in connection
with the issuance of the notes, including acting as calculation agent, hedging our obligations
under the notes and determining the Issuer’s estimated value of the notes on the
Trade Date and the price, if any, at which we or our affiliates would be willing to purchase
the notes from you in secondary market transactions. In performing these roles, our economic
interests and those of our affiliates are potentially adverse to your interests as an
investor in the notes. The calculation agent will determine, among other things, all
values, prices and levels required to be determined for the purposes of the notes on
any relevant date or time. The calculation agent also has some discretion about certain
adjustments to the Share Adjustment Factor for each Underlying 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 Underlyings that affect whether the notes are automatically
called. Any determination by the calculation agent could adversely affect the return
on the notes.
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THE
U.S. FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE NOTES ARE UNCERTAIN
—
There is no direct legal authority regarding the proper U.S. federal income tax treatment
of the notes, and we do not plan to request a ruling from the IRS. Consequently, significant
aspects of the tax treatment of the notes are uncertain, and the IRS or a court might
not agree with the treatment of the notes as prepaid financial contracts that are not
debt. If the IRS were successful in asserting an alternative treatment for the notes,
the tax consequences of ownership and disposition of the notes could be materially 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 notes, possibly with retroactive effect.
You should review carefully the section of the accompanying product supplement entitled
“U.S. Federal Income Tax Consequences,” and consult your tax adviser regarding
the U.S. federal tax consequences of an investment in the notes (including possible alternative
treatments and the issues presented by the 2007 notice), as well as tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
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Use
of Proceeds and Hedging
Part
of the net proceeds we receive from the sale of the notes will be used in connection with hedging our obligations under the notes
through one or more of our affiliates. The hedging or trading activities of our affiliates on or prior to the Trade Date, a Review
Date or an Averaging Date could adversely affect the price of one or more of the Underlyings and, as a result, could decrease
the possibility of your notes being automatically called or the amount you may receive on the notes at maturity.
The
SPDR
®
S&P
®
Bank ETF
We
have derived all information contained in this pricing supplement regarding the SPDR
®
S&P
®
Bank
ETF, including, without limitation, information concerning its make-up, method of calculation and adjustment policy, 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. The SPDR
®
S&P
®
Bank ETF is an investment portfolio maintained and managed by SSgA Funds Management, Inc., which
is the investment advisor to the SPDR
®
S&P
®
Bank ETF. The SPDR
®
S&P
®
Bank ETF is an exchange-traded fund that trades on the NYSE Arca under the ticker symbol “KBE.”
SPDR
®
Series Trust is a registered investment company that consists of numerous separate investment portfolios, including the
SPDR
®
S&P
®
Bank ETF. Information provided to, or filed with, the SEC by SPDR
®
Series Trust pursuant to the Securities Exchange Act of 1934, as amended, or 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
.
http://www.sec.gov.
.
For additional information regarding
SPDR
®
Series Trust, SSgA Funds Management, Inc. and the SPDR
®
S&P
®
Bank ETF,
please see the SPDR
®
Series Trust’s prospectus.
The
SPDR
®
S&P
®
Bank ETF seeks to provide investment results that correspond generally to the total
return performance, before fees and expenses, of the S&P
®
Banks Select Industry
®
Index, which
represents the technology sector of the U.S. equity market. In seeking to track the performance of the S&P
®
Banks Select Industry
®
Index, the SPDR
®
S&P
®
Bank ETF employs a sampling strategy,
which means that the SPDR
®
S&P
®
Bank ETF is not required to purchase all of the securities represented
in the S&P
®
Banks Select Industry
®
Index. Instead, the SPDR
®
S&P
®
Bank ETF may purchase a subset of the securities represented in the S&P
®
Banks Select Industry
®
Index in an effort to hold a portfolio of securities with generally the same risk and return characteristics of the S&P
®
Banks Select Industry
®
Index. Under normal market conditions, the SPDR
®
S&P
®
Bank ETF generally invests substantially all, but at least 80%, of its total assets in the securities composing the S&P
®
Banks Select Industry
®
Index.
The
S&P
®
Banks Select Industry
®
Index is a modified equally-weighted index that is designed to measure
the performance of the bank sub-industry portion of the S&P
®
Total Market Index. The S&P
®
Total Market Index offers broad market exposure to companies of all market capitalization, including all common equities listed
on the NYSE (including NYSE Arca), the NYSE MKT, the NASDAQ Global Select Market, the NASDAQ Select Market and the NASDAQ Capital
Market. Only U.S. companies are eligible for inclusion in the S&P
®
Total Market Index. The companies included
in the S&P
®
Banks Select Industry
®
Index are selected on the basis of being classified under
the Global Industry Classification Standard (GICS) as Asset Management & Custody Banks, Diversified Banks, Regional Banks,
Other Diversified Financial Services and Thrifts & Mortgage Finance companies as well as meeting float-adjusted liquidity
ratio and float-adjusted market capitalization requirements. The S&P
®
Banks Select Industry
®
Index is reported by Bloomberg under the ticker symbol “SPSIBK.”
This is only a summary of the S&P
®
Banks Select Industry
®
Index. For more information regarding the composition, calculation methodology and
adjustment policy for the S&P
®
Banks Select Industry
®
Index, please see the section entitled
“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 graphs set forth the historical performances of the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF, the Technology Select Sector SPDR
®
Fund and the SPDR
®
S&P
®
Bank
ETF based on their respective daily closing prices from April 7, 2012 through April 7, 2017. The closing price of each Underlying
on April 7, 2017, and therefore the Initial Price of each Underlying, is, (i) with respect to the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF, $37.22, (ii) with respect to the Technology Select Sector SPDR Fund, $53.06
and (iii) with respect to the SPDR
®
S&P
®
Bank ETF, $42.38. The graphs also shows the Trigger
Price of each Underlying of (i) with respect to the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF, $26.05, equal to 70.00% of its Initial Price, (ii) with respect to the Technology Select Sector SPDR
®
Fund, $37.14, equal to 70.00% of its Initial Price and (iii) with respect to the SPDR
®
S&P
®
Bank ETF, $29.67, equal to 70.00% of its Initial Price. We obtained the historical closing prices of the Underlyings below
from Bloomberg L.P. and we have not participated in the preparation of, or verified, such information.
The historical closing
prices of the Underlyings should not be taken as an indication of future performance and no assurance can be given as to the Closing
Prices of the Underlyings on any of the Review Dates or the Averaging Dates. We cannot give you assurance that the performance
of the Underlyings will result in the return of any of your initial investment.
Supplemental Plan of Distribution
JPMorgan
Chase Bank, N.A. and JPMS LLC or one of its affiliates will act as placement agents for the notes. The placement agents will receive
a fee from the Issuer that will not exceed $
15.00
per
$1,000 Face Amount of notes, but will forgo any fees for sales to certain fiduciary accounts. See “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement.
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