DB Deutsche Bank Aktiengesellschaft

Key Terms

( Key Terms continued on next page )

Investing in the securities involves a number of risks . See “ Risk Factors ” beginning on page 7 of the accompanying product supplement , page PS - 5 of the accompanying prospectus supplement and page 13 of the accompanying prospectus and “ Selected Risk Considerations ” beginning on page PS - 9 of this pricing supplement .

The Issuer ’ s estimated value of the securities on the Trade Date is approximately $962 . 50 to $982 . 50 per $1 , 000 Face Amount of securities , which is less than the Issue Price .  Please see “ Issuer ’ s Estimated Value of the Securities ” on page PS - 3 of this pricing supplement for additional information .

By acquiring the securities , you will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure (as defined below) by the competent resolution authority , which may include the write down of all , or a portion , of any payment on the securities or the conversion of the securities into ordinary shares or other instruments of ownership . If any Resolution Measure becomes applicable to us , you may lose some or all of your investment in the securities . Please see “ Resolution Measures and Deemed Agreement ” on page PS - 4 of this pricing supplement for more information .

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement, product supplement, prospectus supplement or prospectus. Any representation to the contrary is a criminal offense.

The agent for this offering is our affiliate. For more information, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.

The securities are not deposits or savings accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other U . S . or foreign governmental agency or instrumentality . 

Issuer ’ s Estimated Value of the Securities

The Issuer’s estimated value of the securities is equal to the sum of our valuations of the following two components of the securities: (i) a bond and (ii) an embedded derivative(s). The value of the bond component of the securities is calculated based on the present value of the stream of cash payments associated with a conventional bond with a principal amount equal to the Face Amount of securities, discounted at an internal funding rate, which is determined primarily based on our market-based yield curve, adjusted to account for our funding needs and objectives for the period matching the term of the securities. The internal funding rate is typically lower than the rate we would pay when we issue conventional debt securities on equivalent terms. This difference in funding rate, as well as the agent’s commissions, if any, and the estimated cost of hedging our obligations under the securities, reduces the economic terms of the securities to you and is expected to adversely affect the price at which you may be able to sell the securities in any secondary market. The value of the embedded derivative(s) is calculated based on our internal pricing models using relevant parameter inputs such as expected interest and dividend rates and mid-market levels of price and volatility of the assets underlying the securities or any futures, options or swaps related to such underlying assets. Our internal pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect.

The Issuer’s estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the securities. The difference between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations under the securities through one or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost of providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.

The Issuer’s estimated value of the securities on the Trade Date does not represent the price at which we or any of our affiliates would be willing to purchase your securities in the secondary market at any time. Assuming no changes in market conditions or our creditworthiness and other relevant factors, the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary market transactions, if at all, would generally be lower than both the Issue Price and the Issuer’s estimated value of the securities on the Trade Date. Our purchase price, if any, in secondary market transactions will be based on the estimated value of the securities determined by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our pricing models at that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the assets underlying the securities and then-prevailing market conditions. The price we report to financial reporting services and to distributors of our securities for use on customer account statements would generally be determined on the same basis. However, during the period of approximately six months beginning from the Trade Date, we or our affiliates may, in our sole discretion, increase the purchase price determined as described above by an amount equal to the declining differential between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date, prorated over such period on a straight-line basis, for transactions that are individually and in the aggregate of the expected size for ordinary secondary market repurchases.

Resolution Measures and Deemed Agreement

On May 15, 2014, the European Parliament and the Council of the European Union adopted a directive establishing a framework for the recovery and resolution of credit institutions and investment firms (commonly referred to as the “ Bank Recovery and Resolution Directive ”). The Bank Recovery and Resolution Directive required each member state of the European Union to adopt and publish by December 31, 2014 the laws, regulations and administrative provisions necessary to comply with the Bank Recovery and Resolution Directive. Germany adopted the Recovery and Resolution Act ( Sanierungs- und Abwicklungsgesetz , or the “ Resolution Act ”), which became effective on January 1, 2015. The Bank Recovery and Resolution Directive and the Resolution Act provided national resolution authorities with a set of resolution powers to intervene in the event that a bank is failing or likely to fail and certain other conditions are met. From January 1, 2016, the power to initiate resolution measures applicable to significant banking groups (such as Deutsche Bank Group) in the European Banking Union has been transferred to the European Single Resolution Board which, based on the European Union regulation establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund (the “ SRM Regulation ”), works in close cooperation with the European Central Bank, the European Commission and the national resolution authorities. Pursuant to the SRM Regulation, the Resolution Act and other applicable rules and regulations, the securities may be subject to any Resolution Measure by the competent resolution authority if we become, or are deemed by the competent supervisory authority to have become, “non-viable” (as defined under the then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable to us. By acquiring the securities, you will be bound by and deemed irrevocably to consent to the provisions set forth in the accompanying prospectus, which we have summarized below.

By acquiring the securities, you will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure by the competent resolution authority. Under the relevant resolution laws and regulations as applicable to us from time to time, the securities may be subject to the powers exercised by the competent resolution authority to: (i) write down, including to zero, any payment (or delivery obligations) on the securities; (ii) convert the securities into ordinary shares of (a) the Issuer, (b) any group entity or (c) any bridge bank or other instruments of ownership of such entities qualifying as common equity tier 1 capital; and/or (iii) apply any other resolution measure including, but not limited to, any transfer of the securities to another entity, the amendment, modification or variation of the terms and conditions of the securities or the cancellation of the securities. We refer to each of these measures as a “ Resolution Measure .” A “group entity” refers to an entity that is included in the corporate group subject to a Resolution Measure. A “bridge bank” refers to a newly chartered German bank that would receive some or all of our assets, liabilities and material contracts, including those attributable to our branches and subsidiaries, in a resolution proceeding.

Furthermore, by acquiring the securities, you:

This is only a summary , for more information please see the accompanying prospectus dated April 27 , 2016 , including the risk factors beginning on page 13 of such prospectus .

Additional Terms Specific to the Securities

You should read this pricing supplement together with underlying supplement No. 1 dated August 17, 2015, product supplement B dated July 31, 2015, the prospectus supplement dated July 31, 2015 relating to our Series A global notes of which these securities are a part and the prospectus dated April 27, 2016. Delaware Trust Company, which acquired the corporate trust business of Law Debenture Trust Company of New York, is the successor trustee of the securities. When you read the accompanying underlying supplement, product supplement and prospectus supplement, please note that all references in such supplements to the prospectus dated July 31, 2015, or to any sections therein, should refer instead to the accompanying prospectus dated April 27, 2016 or to the corresponding sections of such prospectus, as applicable, unless otherwise specified or the context otherwise requires. You may access these documents on the website of the Securities and Exchange Commission (the “ SEC ”) at . www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):

http://www.sec.gov/Archives/edgar/data/1159508/000095010315006546/crt_dp58829-424b2.pdf

http://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf

http://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf

https://www.sec.gov/Archives/edgar/data/1159508/000119312516559607/d181910d424b21.pdf

Our Central Index Key, or CIK, on the SEC website is 0001159508. As used in this pricing supplement, “ we ,” “ us ” or “ our ” refers to Deutsche Bank AG, including, as the context requires, acting through one of its branches.

This pricing supplement, together with the documents listed above, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other things, the matters set forth in this pricing supplement and in “Risk Factors” in the accompanying product supplement, prospectus supplement and prospectus, as the securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the securities.

You may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the applicable agent . We reserve the right to change the terms of , or reject any offer to purchase , the securities prior to their issuance . We will notify you in the event of any changes to the terms of the securities and you will be asked to accept such changes in connection with your purchase of any securities . You may also choose to reject such changes , in which case we may reject your offer to purchase the securities .

Hypothetical Examples

The table below illustrates the Payments at Maturity per $1,000 Face Amount of securities for a hypothetical range of performances of the Laggard Underlying. The table, graph and hypothetical examples set forth below assume a Maximum Return of 50.00% (the midpoint of the range set forth on the cover) and reflect the Upside Leverage Factor of 200.00% and, for each Underlying, the Trigger Level equal to 70.00% of the Initial Level of such Underlying. The actual Maximum Return and the actual Initial Level and Trigger Level for each Underlying will be determined on the Trade Date. The table, graph and hypothetical examples set forth below are for illustrative purposes only. The actual return applicable to a purchaser of the securities will be based solely on the Underlying Return of the Laggard Underlying on the Final Valuation Date. The numbers appearing in the table and examples below may have been rounded for ease of analysis. You should consider carefully whether the securities are suitable to your investment goals.

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 .

Payout Graph

Hypothetical Examples of Amounts Payable at Maturity

The following hypothetical examples illustrate how the payments on the securities set forth in the table and graph above are calculated.

Example 1 : The Final Levels of both Underlyings are greater than their respective Initial Levels , resulting in an Underlying Return of the Laggard Underlying of 40 . 00% . Because the Final Level of the Laggard Underlying is greater than its Initial Level and the Underlying Return of the Laggard Underlying multiplied by the Upside Leverage Factor is greater than the Maximum Return, the investor receives a Payment at Maturity of $1,500.00 per $1,000 Face Amount of securities, the maximum payment on the securities, calculated as follows:

$1,000 + [$1,000 x (the lesser of (i) Underlying Return of the Laggard Underlying x Upside Leverage Factor and
(ii) Maximum Return)]
$1,000 + ($1,000 x 50.00%) = $1,500.00

Example 2 : The Final Levels of both Underlyings are greater than their respective Initial Levels , resulting in an Underlying Return of the Laggard Underlying of 10 . 00% . Because the Final Level of the Laggard Underlying is greater than its Initial Level and the Underlying Return of the Laggard Underlying multiplied by the Upside Leverage Factor is less than the Maximum Return, the investor receives a Payment at Maturity of $1,200.00 per $1,000 Face Amount of securities, calculated as follows:

$1,000 + [$1,000 x (the lesser of (i) Underlying Return of the Laggard Underlying x Upside Leverage Factor
and (ii) Maximum Return)]
$1,000 + ($1,000 x 10.00% x 200.00%) = $1,200.00

Example 3 : The Final Level of the Laggard Underlying is less than its Initial Level , resulting in an Underlying Return of the Laggard Underlying of - 5 . 00% , while the Final Level of the other Underlying is greater than its Initial Level by 40.00% . Because the Final Level of the Laggard Underlying is less than its Initial Level but greater than its Trigger Level (equal to 70.00% of its Initial Level), the investor receives a Payment at Maturity of $1,025.00 per $1,000 Face Amount of securities, reflecting 50.00% of the absolute value of the Underlying Return of the Laggard Underlying, calculated as follows:

$1,000 + ($1,000 x Absolute Return x 50.00%)
$1,000 + ($1,000 x |-5.00|% x 50.00%) = $1,025.00

In this example, even though the Final Level of the other Underlying is greater than its Initial Level by 40.00%, because the Payment at Maturity is determined solely by reference to the performance of the Laggard Underlying, the investor will receive a return of only 2.50% on the securities equal to 50.00% of the absolute value of the Underlying Return of the Laggard Underlying.

Example 4 : The Final Level of the Laggard Underlying is less than its Initial Level , resulting in an Underlying Return of the Laggard Underlying of - 20 . 00% , while the Final Level of the other Underlying is greater than its Initial Level by 5.00% . Because the Final Level of the Laggard Underlying is less than its Initial Level but greater than its Trigger Level (equal to 70.00% of its Initial Level), the investor receives a Payment at Maturity of $1,100.00 per $1,000 Face Amount of securities, reflecting 50.00% of the absolute value of the Underlying Return of the Laggard Underlying, calculated as follows:

$1,000 + ($1,000 x Absolute Return x 50.00%)
$1,000 + ($1,000 x |-20.00|% x 50.00%) = $1,100.00

In this example, because the Payment at Maturity is determined solely by reference to the performance of the Laggard Underlying, the investor will receive a return of 10.00% on the securities equal to 50.00% of the absolute value of the Underlying Return of the Laggard Underlying, which is greater than the 5.00% increase of the Final Level of the other underlying from its Initial Level.

Example 5 : The Final Level of the Laggard Underlying is less than its Initial Level , resulting in an Underlying Return of the Laggard Underlying of - 50 . 00%, while the Final Level of the other Underlying is greater than its Initial Level by 20.00% . Because the Final Level of the Laggard Underlying is less than its Trigger Level, the investor receives a Payment at Maturity of $500.00 per $1,000 Face Amount of securities, calculated as follows:

$1,000 + ($1,000 x Underlying Return of the Laggard Underlying)
$1,000 + ($1,000 x -50.00% ) = $500.00

In this example, even though the Final Level of the other Underlying is greater than its Initial Level by 20.00%, because the Payment at Maturity is determined solely by reference to the performance of the Laggard Underlying, the investor will lose 50.00% of its investment at maturity, reflecting a 1.00% loss of its investment for every 1.00% by which the Final Level of the Laggard Underlying is less than its Initial Level.

Example 6 : The Final Levels of both Underlyings are less than their respective Initial Levels , resulting in an Underlying Return of the Laggard Underlying of - 70 . 00% . Because the Final Level of the Laggard Underlying is less than its Trigger Level, the investor receives a Payment at Maturity of $300.00 per $1,000 Face Amount of securities, calculated as follows:

$1,000 + ($1,000 x Underlying Return of the Laggard Underlying)
$1,000 + ($1,000 x -70.00%) = $300.00

Selected Purchase Considerations

S&P 500 ^® Index

The S&P 500 ^® Index is intended to provide a performance benchmark for the U.S. equity markets. The calculation of the level of the S&P 500 ^® Index is based on the relative value of the aggregate market value of the shares of 500 companies as of a particular time as compared to the aggregate average market value of the shares of 500 similar companies during the base period of the years 1941 through 1943. This is only a summary of the S&P 500 ^® Index. For more information on the S&P 500 ^® Index , including information concerning its composition , calculation methodology and adjustment policy , please see the section entitled “The S&P Dow Jones Indices — The S&P 500 ^® Index” in the accompanying underlying supplement No . 1 dated August 17 , 2015 .

Russell 2000 ^® Index

The Russell 2000 ^® Index is designed to track the performance of the small capitalization segment of the U.S. equity market. The Russell 2000 ^® Index measures the composite price performance of stocks of approximately 2,000 companies domiciled in the U.S. and its territories and consists of the smallest 2,000 companies included in the Russell 3000 ^® Index. The Russell 2000 ^® Index represents approximately 10% of the total market capitalization of the Russell 3000 ^® Index. This is only a summary of the Russell 2000 ^®

Index . For more information on the Russell 2000 ^® Index , including information concerning its composition , calculation methodology and adjustment policy , please see the section entitled “The Russell Indices — The Russell 2000 ^® Index” in the accompanying underlying supplement No . 1 dated August 17 , 2015 .

In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether beneficial owners of these instruments should be required to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. persons should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” regime, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose a notional interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect.

Withholding under legislation commonly referred to as “FATCA” might (if the securities were recharacterized as debt instruments) apply to amounts treated as interest paid with respect to the securities, as well as to the payment of gross proceeds of a taxable disposition, including redemption at maturity, of a security. However, under a recent IRS notice, this regime will not apply to payments of gross proceeds (other than any amount treated as interest) with respect to dispositions occurring before January 1, 2019. You should consult your tax adviser regarding the potential application of FATCA to the securities.

Section 871(m) of the Code and Treasury regulations promulgated thereunder (“ Section 871 ( m )”) generally impose a 30% withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to non-U.S. holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set forth in the applicable Treasury regulations (such an index, a “ Qualified Index ”). Additionally, the applicable regulations exclude from the scope of Section 871(m) instruments issued in 2017 that do not have a delta of one with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “ Underlying Security ”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to the securities with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. If necessary, further information regarding the potential application of Section 871(m) will be provided in the pricing supplement for the securities. You should consult your tax adviser regarding the potential application of Section 871(m) to the securities.

You should review carefully the section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion, when read in combination with that section, constitutes the full opinion of our special tax counsel regarding the material U.S. federal income tax consequences of owning and disposing of the securities.

Under current law, the United Kingdom will not impose withholding tax on payments made with respect to the securities.

For a discussion of certain German tax considerations relating to the securities, you should refer to the section in the accompanying prospectus supplement entitled “Taxation by Germany of Non-Resident Holders.”

You should consult your tax adviser regarding the U . S . federal tax consequences of an investment in the securities ( including possible alternative treatments and the issues presented by the 2007 notice ), as well as tax consequences arising under the laws of any state , local or non - U . S . taxing jurisdiction .

Selected Risk Considerations

An investment in the securities involves significant risks. Investing in the securities is not equivalent to hypothetically investing in the Underlyings or directly investing in the stocks composing 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.

AG’s credit rating or increase in the credit spreads charged by the market for taking Deutsche Bank AG’s credit risk will likely have an adverse effect on the value of the securities. As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the value of the securities and, in the event Deutsche Bank AG were to default on its obligations or become subject to a Resolution Measure, you might not receive any amount(s) owed to you under the terms of the securities and you could lose your entire investment.

The German law on the mechanism for the resolution of banks of November 2, 2015 ( Abwicklungsmechanismusgesetz , or the “ Resolution Mechanism Act ”) provides that, in a German insolvency proceeding of the Issuer, certain specifically defined senior unsecured debt instruments would rank junior to, without constituting subordinated debt, all other outstanding unsecured unsubordinated obligations of the Issuer and be satisfied only if all such other senior unsecured obligations of the Issuer have been paid in full. This prioritization would also be given effect if Resolution Measures are imposed on the Issuer, so that obligations under debt instruments that rank junior in insolvency as described above would be written down or converted into common equity tier 1 instruments before any other senior unsecured obligations of the Issuer are written down or converted. A large portion of our liabilities consist of senior unsecured obligations that either fall outside the statutory definition of debt instruments that rank junior to other senior unsecured obligations according to the Resolution Mechanism Act or are expressly exempted from such definition.

Among those unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt instruments whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of interest or the amount of the interest payments solely depends on a fixed or floating reference interest rate and is settled by monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency proceedings instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of the Issuer outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued under the prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the “ Structured Debt Securities ,” and which do not, referred to herein as the “ Non - Structured Debt Securities .” We expect the securities offered herein to be classified as Structured Debt Securities, but the competent regulatory authority or court may classify the securities differently. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect to the Issuer, the Structured Debt Securities are expected to be among the unsecured unsubordinated obligations that would bear losses after the Non-Structured Debt Securities as described above. Nevertheless , you may lose some or all of your investment in the securities if a Resolution Measure becomes applicable to us . Imposition of a Resolution Measure would likely occur if we become, or are deemed by the competent supervisory authority to have become, “non-viable” (as defined under the then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable to us. The Bank Recovery and Resolution Directive and the Resolution Act are intended to eliminate the need for public support of troubled banks, and you should be aware that public support, if any, would only

potentially be used by the competent supervisory authority as a last resort after having assessed and exploited, to the maximum extent practicable, the resolution tools, including the bail-in tool.

By acquiring the securities, you would have no claim or other right against us arising out of any Resolution Measure and we would have no obligation to make payments under the securities following the imposition of a Resolution Measure. In particular, the imposition of any Resolution Measure will not constitute a default or an event of default under the securities, under the Indenture or for the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act. Furthermore, because the securities are subject to any Resolution Measure, secondary market trading in the securities may not follow the trading behavior associated with similar types of securities issued by other financial institutions which may be or have been subject to a Resolution Measure.

In addition, by your acquisition of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable law, any and all claims against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or the indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that the trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution Measure by the competent resolution authority with respect to the securities. Accordingly , you may have limited or circumscribed rights to challenge any decision of the competent resolution authority to impose any Resolution Measure .

payment on the securities will be determined solely by reference to the performance of the Laggard Underlying without taking into consideration the performance of the other Underlying. Unlike an instrument with a return linked to a basket, in which risk is mitigated and diversified among all of the basket components, you will be exposed equally to the risks related to each of the Underlyings and your return will be based solely on the performance of the Laggard Underlying, as measured on the Final Valuation Date. Poor performance by either Underlying over the term of the securities may adversely affect your return on the securities and will not be offset or mitigated by a positive performance by the other Underlying.

In addition to the factors discussed above, the value of the securities and our purchase price in secondary market transactions after the Trade Date, if any, will vary based on many economic and market factors, including our creditworthiness, and cannot be predicted with accuracy. These changes may adversely affect the value of your securities, including the price you may receive in any secondary market transactions. Any sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.

During the term of the securities, it is possible that their value may decline significantly due to the factors described above even if the levels of the Underlyings remain unchanged from their respective Initial Levels, and any sale prior to the Maturity Date could result in a substantial loss to you. You must hold the securities to maturity to receive the stated payout from the Issuer.

determining whether a market disruption event has occurred. Any determination by the calculation agent could adversely affect the return on the securities.

Historical Information

The following graphs set forth the historical performances of the S&P 500 ^® Index and the Russell 2000 ^® Index based on their daily closing levels from June 20, 2012 through June 20, 2017. The closing level of the S&P 500 ^® Index on June 20, 2017 was 2,437.03. The closing level of the Russell 2000 ^® Index on June 20, 2017 was 1,402.968. The graphs below also indicate by a broken line the hypothetical Trigger Level for each Underlying equal to, (i) with respect to the S&P 500 ^® Index , 70.00% of 2,437.03, which was the closing level of the S&P 500 ^® Index on June 20, 2017 and, (ii) with respect to the Russell 2000 ^® Index , 70.00% of 1,402.968, which was the closing level of the Russell 2000 ^® Index on June 20, 2017. We obtained the historical closing levels of the Underlyings below from Bloomberg L.P. and we have not participated in the preparation of, or verified, such information.

The historical closing levels of the Underlyings should not be taken as an indication of future performance and no assurance can be given as to the closing levels of the Underlyings on the Final Valuation Date . We cannot give you assurance that the performance of the Underlyings will result in the return of any of your initial investment .

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