|
Phoenix Autocallable
Securities Linked to the Lesser Performing of the SPDR
®
S&P
®
Oil & Gas Exploration &
Production ETF and the Financial Select Sector SPDR
®
Fund
|
Indicative
Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Issue Price:
|
100% of the Face Amount
|
Maturity / Tenor:
|
Approximately 1 year and 6 months
|
Underlyings:
|
The lesser performing of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF and the Financial Select Sector SPDR
®
Fund (each, a “
Fund
,” and together, the “
Underlyings
”)
|
Contingent Coupon:
|
If the Closing Prices of
both
Underlyings on any Observation Date are
greater than
or
equal to
their respective Coupon Barriers
, Deutsche Bank
AG will pay you the Contingent Coupon of between $27.50 and $32.50 (to be determined on the Trade Date) per $1,000 Face Amount
of securities on the related Coupon Payment Date.
If the Closing Price of
either
Underlying on any Observation Date is
less than
its Coupon Barrier,
Deutsche Bank AG will not make any payment
to you on the related Coupon Payment Date.
|
Automatic Call:
|
The securities will be automatically called by the Issuer if, on any quarterly Observation Date, the Closing Prices of
both
Underlyings are greater than or equal to their respective Initial Prices. If the securities are automatically called, you will receive a cash payment per $1,000 Face Amount of securities on the Call Settlement Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date.
|
Payment at Maturity:
|
If the securities are not automatically
called and a Knock
-
Out Event
has not
occurred
, you will receive a cash payment per $1,000 Face Amount of securities
at maturity equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date.
If the securities are not automatically
called and a Knock
-
Out Event
has
occurred
, you will receive a cash payment per $1,000 Face Amount of securities
at maturity calculated as follows,
plus
any Contingent Coupon that may be due on such date:
$1,000 + ($1,000 x Underlying
Return of the Laggard Underlying)
|
Underlying Return:
|
For each Underlying, the performance of such Underlying from
its Initial Price to its Final Price, calculated as follows:
Final Price –
Initial Price
Initial Price
|
Initial Price:
|
For each Underlying, the Closing Price of such Underlying on the Trade Date
|
Final Price:
|
For each Underlying, the Closing Price of such Underlying on the Final Valuation Date
|
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 for such Underlying, as determined by the calculation agent.
|
Coupon Barrier:
|
For each Underlying, 70.00% of the Initial Price of such Underlying
|
Knock-Out Price:
|
For each Underlying, 70.00% of the Initial Price of such Underlying
|
CUSIP/ISIN:
|
25155MJK8 / US25155MJK80
|
Discounts and Commissions:
|
The securities will be sold with varying underwriting discounts and commissions in an amount not to exceed $20.25 per $1,000 Face Amount of securities. Deutsche Bank Securities Inc. (“
DBSI
”) may pay a referral fee of $1.50 per $1,000 Face Amount of securities. For more information, please see Supplemental Plan of Distribution (Conflicts of Interest)” in the accompanying preliminary pricing supplement 3038B.
|
Agent:
|
Deutsche Bank Securities Inc.
|
The Issuer’s estimated value of the
securities on the Trade Date is approximately $938.10 to $958.10 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 the accompanying preliminary
pricing supplement No. 3038B 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” in the accompanying
preliminary pricing supplement No. 3038B for more information.
For more information regarding
this offering, please refer to the preliminary pricing supplement No. 3038B on the SEC website at
https://www.sec.gov/Archives/edgar/data/1159508/000095010318001598/dp86332_424b2-ts3038b.htm
|
The securities pay a Contingent Coupon on a quarterly Coupon Payment Date
only if
the Closing Prices of
both
Underlyings on the applicable Observation Date are greater than or equal to their respective Coupon Barriers. The securities will be automatically called if the Closing Prices of both Underlyings on any quarterly Observation Date are greater than or equal to their respective Initial Prices. If the securities are automatically called, investors will receive a cash payment per $1,000 Face Amount of securities on the Call Settlement Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date. A “
Knock-Out Event
” will occur if the Closing Price of
either
Underlying is less than its Knock-Out Price on
any
day from, but excluding, the Trade Date to, and including, the Final Valuation Date. If the securities are not automatically called and a Knock-Out Event
has not
occurred, investors will receive a cash payment per $1,000 Face Amount of securities at maturity equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date. However, if the securities are not automatically called, but a Knock-Out Event
has
occurred, for each $1,000 Face Amount of securities, investors will lose 1.00% of the Face Amount for every 1.00% by which the Final Price of the lesser performing Underlying, which we refer to as the “
Laggard Underlying
,” is less than its Initial Price. Any payment on the securities is subject to the credit of the Issuer.
|
|
n
|
Opportunity to receive
a higher, though contingent, coupon than the yield on ordinary debt securities of comparable maturity
|
|
n
|
Potential early
exit if an automatic call occurs
|
|
n
|
Limited downside
protection if the securities are not automatically called and a Knock-Out Event has not occurred
|
|
n
|
Full downside exposure
If the securities are not automatically called and a Knock-Out Event has occurred
|
|
n
|
You will lose some
or all of your investment in the securities if the securities are not automatically called and a Knock-Out Event occurs
|
|
n
|
You will not participate
in any increase in the prices of the Underlyings, which may be significant
|
|
n
|
You may not receive
any Contingent Coupons if the Closing Price of either Underlying is less than its Coupon Barrier on each Observation Date
|
|
n
|
The terms of the
securities could be as short as three months if the securities are automatically called
|
|
n
|
The risk that you
will receive no Contingent Coupons or lose some or all of your investment in the securities is greater than in similar securities
that are linked to the performance of just one of the Underlyings
|
|
n
|
Unlike ordinary
debt securities, the securities do not pay any dividends and do not guarantee any return on your initial investment at maturity.
|
|
n
|
Any payment on the
securities is subject to the credit of the Issuer.
|
|
n
|
The Issuer (or its
affiliates) intends to offer to purchase the securities in the secondary market but is not required to do so. Accordingly, you
should be able and willing to hold your securities to maturity.
|
|
n
|
Additional risk
factors can be found below.
|
Trade Date: February
23, 2018
Settlement Date: February
28, 2018
Observation Dates: Quarterly
Coupon Payment Dates/Call
Settlement Dates: Quarterly
Final Valuation Date:
August 23, 2019
Maturity Date: August
28, 2019
*Please see the accompanying
preliminary pricing supplement No. 3038B for additional information.
|
Fact Sheet for Preliminary Pricing Supplement No. 3038B
Filed Pursuant to Rule 433
Registration Statement No. 333-206013
Dated February 6, 2018
NOT FDIC / NCUA INSURED OR GUARANTEED
MAY LOSE VALUE
NO BANK GUARANTEE * NOT A DEPOSIT
NOT INSURED OR GUARANTEED BY ANY FEDERAL
GOVERNMENTAL AGENCY
Calculating the Payment
at Maturity
If the securities are not automatically called, for every $1,000
Face Amount of securities, investors will receive at maturity an amount (excluding any Contingent Coupon) determined as follows.
Any payment on the securities is subject to the credit of the Issuer.
Hypothetical Examples
If the securities are automatically called, the investor will
receive a cash payment per $1,000 Face Amount of securities equal to the Face Amount
plus
any Contingent Coupon that may
be due. If the securities are not automatically called, the return on the securities will depend on whether a Knock-Out Event has
occurred as well as the Underlying Return of the Laggard Underlying. The hypothetical returns set forth below reflect $1,000 of
Face Amount of securities and the Coupon Barrier and Knock-Out Price for each Underlying of 70.00% of its Initial Price.
The
actual Initial Price, Coupon Barrier and Knock-Out Price for each Underlying will be determined on the Trade Date.
Hypothetical
Underlying Return of the Laggard Underlying
(
%
)
|
A Knock
-
Out Event
Has Not
Occurred
|
A Knock
-
Out Event
Has
Occurred
|
Hypothetical
Payment at Maturity
($) (
excluding
any Contingent Coupon)
|
Hypothetical
Return on the Securities
(
%
) (
excluding
any Contingent Coupon)
|
Hypothetical
Payment at Maturity
($) (
excluding
any Contingent Coupon)
|
Hypothetical
Return on the Securities
(
%
) (
excluding
any Contingent Coupon)
|
100.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
90.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
80.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
70.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
60.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
50.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
40.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
30.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
20.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
10.00%
|
N/A
|
N/A
|
N/A
|
N/A
|
0
.
00%
|
N/A
|
N/A
|
N/A
|
N/A
|
-1.00%
|
$1,000.00
|
0.00%
|
$990.00
|
-1.00%
|
-10.00%
|
$1,000.00
|
0.00%
|
$900.00
|
-10.00%
|
-20.00%
|
$1,000.00
|
0.00%
|
$800.00
|
-20.00%
|
-
30
.
00%
|
$1
,
000
.
00
|
0
.
00%
|
$700.00
|
-30.00%
|
-40.00%
|
N/A
|
N/A
|
$600.00
|
-40.00%
|
-50.00%
|
N/A
|
N/A
|
$500.00
|
-50.00%
|
-60.00%
|
N/A
|
N/A
|
$400.00
|
-60.00%
|
-70.00%
|
N/A
|
N/A
|
$300.00
|
-70.00%
|
-80.00%
|
N/A
|
N/A
|
$200.00
|
-80.00%
|
-90.00%
|
N/A
|
N/A
|
$100.00
|
-90.00%
|
-100.00%
|
N/A
|
N/A
|
$0.00
|
-100.00%
|
YOUR INVESTMENT IN THE SECURITIES MAY
RESULT IN A LOSS
— The securities do not guarantee any return of your investment. The return on the securities at maturity
will depend on whether the securities are automatically called and whether a Knock-Out Event has occurred as well as the performance
of the Laggard Underlying. If the securities are not automatically called, you will receive a cash payment per $1,000 Face Amount
of securities on the Maturity Date equal to the Face Amount
plus
the Contingent Coupon otherwise due on such date
only
if
a Knock-Out Event
has not
occurred. However, if the securities are not automatically called, but a Knock-Out
Event
has
occurred, for each $1,000 Face Amount of securities, you will lose 1.00% of the Face Amount for every 1.00% by
which the Final Price of the Laggard Underlying is less than its Initial Price.
In this circumstance
,
you will lose some
or all of your investment at maturity
.
Any payment on the securities is subject to our ability to satisfy our obligations
as they become due
.
YOUR RETURN ON THE SECURITIES IS LIMITED
TO THE FACE AMOUNT PLUS CONTINGENT COUPONS
(
IF ANY
)
AND YOU WILL NOT PARTICIPATE IN ANY INCREASE IN THE PRICES OF
THE UNDERLYINGS
— The securities will not pay more than the Face Amount
plus
any Contingent Coupons that may be
due for each $1,000 Face Amount of securities. You will not participate in any increase in the prices of the Underlyings even if
the Final Prices of
both
Underlyings are greater than their respective Initial Prices. The maximum payment upon an
Automatic Call or at maturity, as applicable, will be the Face Amount per $1,000 Face Amount of securities (excluding any Contingent
Coupons), regardless of any increase in the price of either Underlying, which may be significant.
YOU MAY NOT RECEIVE ANY CONTINGENT COUPONS
— The securities may not pay Contingent Coupons on some or all of the Coupon Payment Dates and, therefore, should
not
be viewed as conventional debt securities with periodic coupon payments. If the Closing Price of either Underlying on any Observation
Date is less than its Coupon Barrier, you will not receive the Contingent Coupon applicable to such Observation Date. If the Closing
Price of either Underlying is less than its Coupon Barrier on each of the Observation Dates, you will not receive any Contingent
Coupons during the entire term of the securities and, therefore, you will not receive a positive return on your investment. Because
the Knock-Out Price for each Underlying is the same as its Coupon Barrier, a Knock-Out Event will occur upon non-payment of any
Contingent Coupon. Generally, non-payment of Contingent Coupons coincides with a greater risk of losing some or all of your investment
in the securities, because the price(s) of one or both of the Underlyings tend to be lower than their respective Knock-Out Prices,
which are equal to their respective Coupon Barriers.
REINVESTMENT RISK
— If
the securities are automatically called, the term of the securities may be reduced to as short as approximately three months. There
is no guarantee that you would be able to reinvest the proceeds from an investment in the securities at a comparable return for
a similar level of risk in the event the securities are automatically called prior to the Maturity Date.
IF THE SECURITIES ARE NOT AUTOMATICALLY
CALLED
,
YOUR PAYMENT AT MATURITY WILL DEPEND ON WHETHER A KNOCK-OUT EVENT HAS OCCURRED AND THE FINAL PRICE OF THE LAGGARD
UNDERLYING
— If the securities are not automatically called, the Payment at Maturity will depend on whether a Knock-Out
Event has occurred and, if a Knock-Out Event has occurred, the Payment at Maturity will be determined by reference to the Final
Price of the Laggard Underlying, in each case without taking into consideration the performance of the other Underlying.
A HIGHER CONTINGENT COUPON OR A LOWER
COUPON BARRIER OR KNOCK
-
OUT PRICE FOR EACH UNDERLYING MAY REFLECT A GREATER EXPECTED VOLATILITY OF ONE OR BOTH
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 securities are set, the greater
the expectation is at that time that the Closing Price of at least one Underlying may be less than its Coupon Barrier on an Observation
Date (resulting in a missed Contingent Coupon) or less than its Knock-Out Price on any day during the Monitoring Period (resulting
in the occurrence of a Knock-Out Event). In addition, the economic terms of the securities, including the Contingent Coupon, the
Coupon Barriers and the Knock-Out Prices, are based, in part, on the expected volatility of the Underlyings at the time the terms
of the securities are set, where higher expected volatility will generally lead to a higher Contingent Coupon or a lower Coupon
Barrier or Knock-Out Price for each Underlying. Accordingly, a higher Contingent Coupon as compared with the coupon on our conventional
fixed income securities with a similar maturity or the coupon on our other similarly structured securities will generally indicate
a greater risk of loss, while a lower Coupon Barrier or Knock-Out Price for each Underlying as compared with otherwise comparable
securities does not necessarily indicate that the securities have a greater likelihood of paying Contingent Coupons or returning
your investment at maturity. You should be willing to accept the downside market risk of each Underlying and the potential loss
of some or all of your investment at maturity.
THE
SECURITIES ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK AG
— The securities are senior unsecured obligations of Deutsche
Bank AG and are not, either directly or indirectly, an obligation of any third party. Any payment(s) to be made on the securities
depends on the ability of Deutsche Bank AG to satisfy its obligations as they
become
due.
An actual or anticipated downgrade in Deutsche Bank AG’s credit rating or increase in the credit spreads charged by the market
for taking Deutsche Bank AG’s credit risk will likely have an adverse effect on the value of the securities. As a result,
the actual and perceived creditworthiness of Deutsche Bank AG will affect the value of the securities and, in the event Deutsche
Bank AG were to default on its obligations or become subject to a Resolution Measure, you might not receive any amount(s) owed
to you under the terms of the securities and you could lose your entire investment.
THE
SECURITIES MAY BE WRITTEN DOWN
,
BE CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS OF OWNERSHIP OR BECOME SUBJECT TO
OTHER RESOLUTION MEASURES
.
YOU MAY LOSE SOME OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— 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
”). Pursuant to the SRM Regulation, the Resolution Act and
other applicable rules and regulations, the securities are subject to the powers exercised by the competent resolution authority
to impose Resolution Measures on us. A “
Resolution Measure
” may include:
writing
down, including to zero, any claim for payment on the securities; converting the securities into ordinary shares of (i) the Issuer,
(ii) any group entity or (iii) any bridge bank or other instruments of ownership of such entities qualifying as common equity tier
1 capital; or applying any other resolution measure including, but not limited to, transferring the securities to another entity,
amending, modifying or varying the terms and conditions of the securities or cancelling the securities. The competent resolution
authority may apply Resolution Measures individually or in any combination.
The
German law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
, or the “
Resolution
Mechanism Act
”) provides that, in a German insolvency proceeding of the Issuer, certain specifically defined senior unsecured
debt instruments would rank junior to, without constituting subordinated debt, all other outstanding unsecured unsubordinated obligations
of the Issuer and be satisfied only if all such other senior unsecured obligations of the Issuer have been paid in full. This prioritization
would also be given effect if Resolution Measures are imposed on the Issuer, so that obligations under debt instruments that rank
junior in insolvency as described above would be written down or converted into common equity tier 1 instruments before any other
senior unsecured obligations of the Issuer are written down or converted. A large portion of our liabilities consist of senior
unsecured obligations that either fall outside the statutory definition of debt instruments that rank junior to other senior unsecured
obligations according to the Resolution Mechanism Act or are expressly exempted from such definition.
Among
those unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt instruments
whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event
which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than
by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence
of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of
interest or the amount of the interest payments solely depends on a fixed or floating reference interest rate and is settled by
monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency proceedings
instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of the Issuer
outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect
to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued under the
prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the “
Structured Debt Securities
,”
and which do not, referred to herein as the “
Non
-
Structured Debt Securities
.” We expect the securities
offered herein to be classified as Structured Debt Securities, but the competent regulatory authority or court may classify the
securities differently. In a German insolvency proceeding or in the event of the imposition of Resolution Measures with respect
to the Issuer, the Structured Debt Securities are expected to be among the unsecured unsubordinated obligations that would bear
losses after the Non-Structured Debt Securities as described above.
Nevertheless
,
you may lose some or all of your investment
in the securities if a Resolution Measure becomes applicable to us
. Imposition of a Resolution Measure would likely occur if
we become, or are deemed by the competent supervisory authority to have become, “non-viable” (as defined under the
then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure becoming applicable
to us. The Bank Recovery and Resolution Directive and the Resolution Act are intended to eliminate the need for public support
of troubled banks, and you should be aware that public support, if any, would only potentially be used by the competent supervisory
authority as a last resort after having assessed and exploited, to the maximum extent practicable, the resolution tools, including
the bail-in tool.
By
acquiring the securities, you would have no claim or other right against us arising out of any Resolution Measure and we would
have no obligation to make payments under the securities following the imposition of a Resolution Measure. In particular, the imposition
of any Resolution Measure will not constitute a default or an event of default under the securities, under the senior 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
”). Furthermore, because the securities are subject to any Resolution Measure, secondary market trading
in the securities may not follow the trading behavior associated with similar types of securities issued by other financial institutions
which may be or have been subject to a Resolution Measure.
In
addition, by your acquisition of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable
law, any and all claims against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or the
indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that the
trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution
Measure by the competent resolution authority with respect to the securities.
Accordingly
,
you may have limited or circumscribed
rights to challenge any decision of the competent resolution authority to impose any Resolution Measure
.
THE ISSUER
’
S ESTIMATED VALUE
OF THE SECURITIES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE SECURITIES
— The Issuer’s estimated
value of the securities on the Trade Date (as disclosed on the cover of this fact sheet) is less than the Issue Price of the securities.
The difference between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date is due to the
inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations under the securities
through one or more of our
affiliates
. Such hedging cost includes our or our affiliates’
expected cost of providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming
the risks inherent in providing such hedge. The Issuer’s estimated value of the securities is determined by reference to
an internal funding rate and our pricing models. The internal funding rate is typically lower than the rate we would pay when we
issue conventional debt securities on equivalent terms. This difference in funding rate, as well as the agent’s commissions,
if any, and the estimated cost of hedging our obligations under the securities, reduces the economic terms of the securities to
you and is expected to adversely affect the price at which you may be able to sell the securities in any secondary market. In addition,
our internal pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be
incorrect. If at any time a third party dealer were to quote a price to purchase your securities or otherwise value your securities,
that price or value may differ materially from the estimated value of the securities determined by reference to our internal funding
rate and pricing models. This difference is due to, among other things, any difference in funding rates, pricing models or
assumptions used by any dealer who may purchase the securities in the secondary market.
INVESTING IN THE SECURITIES IS NOT THE
SAME AS INVESTING IN THE UNDERLYINGS OR THE COMPONENT SECURITIES HELD BY THE UNDERLYINGS
— The return on the securities
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, any Payment at Maturity on the securities is dependent on the performance of
the Laggard Underlying, and you will not participate in any potential increase in the price of either Underlying, which could be
significant.
IF THE PRICES OF THE UNDERLYINGS CHANGE
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME MANNER
— Your securities 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 securities.
NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or rights to receive cash dividends or other distributions
or other rights that holders of shares of the Underlyings or the component securities held by the Underlyings would have.
YOUR INVESTMENT IS EXPOSED TO A DECLINE
IN THE PRICE OF EACH UNDERLYING
— Your return on the securities, if any, is not linked to a basket consisting of the
Underlyings. Rather, any payment on the securities will be determined by reference to the performance of
each
individual
Underlying. Unlike an instrument with a return linked to a basket, in which risk is mitigated and diversified among all of the
basket components, you will be exposed equally to the risks related to each Underlying. 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 any positive
performance by the other Underlying.
BECAUSE THE SECURITIES ARE LINKED TO
THE LESSER PERFORMING OF THE TWO UNDERLYINGS
,
YOU ARE EXPOSED TO A GREATER RISK OF RECEIVING NO CONTINGENT COUPONS OR LOSING
SOME OR ALL OF YOUR INVESTMENT THAN IF THE SECURITIES WERE LINKED TO JUST ONE UNDERLYING
— The risk that you will not
receive any Contingent Coupons and/or lose some or all of your investment in the securities is greater than in substantially similar
securities that are linked to the performance of just one of the Underlyings. With two Underlyings, it is more likely that the
Closing Price of at least one Underlying will be less than its Knock-Out Price on at least one day during the Monitoring Period
(resulting in the occurrence of a Knock-Out Event) and the Closing Price of at least one Underlying will be less than its Coupon
Barrier on an Observation Date or its Initial Price on the Final Valuation Date, than if the securities were linked to only one
Underlying, and therefore, it is more likely that you will not receive some Contingent Coupons and will receive a Payment at Maturity
that is less than your 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 Closing Price of at least one Underlying
to be less than its Knock-Out Price any day during the Monitoring Period or less than its Coupon Barrier on any Observation Date,
respectively, is even greater. Although the correlation of the Underlyings’ performance may change over the term of the securities,
the Contingent Coupon, Coupon Barriers and Knock-Out Prices are determined, in part, based on the correlation of the Underlyings’
performance at the time when the terms of the securities are finalized. A higher Contingent Coupon or lower Coupon Barrier or Knock-Out
Price for each Underlying is generally associated with a lower correlation of the Underlyings, which reflects a greater potential
for loss on your investment at maturity.
THE COMPONENT 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 component 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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·
|
worldwide and domestic supplies of, and
demand for, crude oil and natural gas;
|
|
·
|
the cost of exploring for, developing,
producing, refining and marketing crude oil and natural gas;
|
|
·
|
changes in weather patterns and climatic
changes;
|
|
·
|
the ability of the members of Organization
of Petroleum Exporting Countries and other producing nations to agree to and maintain production levels;
|
|
·
|
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;
|
|
·
|
the price and availability of alternative
and competing fuels;
|
|
·
|
domestic and foreign governmental regulations
and taxes; and
|
|
·
|
general economic conditions worldwide.
|
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 thus, the price of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF to decline
during the term of the securities.
THE COMPONENT SECURITIES HELD BY THE
FINANCIAL SELECT SECTOR SPDR
®
FUND ARE SUBJECT TO RISKS ASSOCIATED WITH THE FINANCIAL SECTOR —
All or
substantially all of the component securities held by the Financial Select Sector SPDR
®
Fund are issued by companies
whose primary business is directly associated with the financial sector, including companies from the following sub-industries:
banks, thrifts and mortgage finance, diversified financial services, consumer finance, capital markets, mortgage REITs and insurance.
Financial services companies are subject
to extensive government regulation which may limit both the amounts and types of loans and other financial commitments they can
make, the interest rates and fees they can charge, the scope of their activities, the prices 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 or due to increased competition. In addition, deterioration of the credit markets generally
may cause an adverse impact in a broad range of markets, including U.S. and international credit and interbank money markets generally,
thereby affecting a wide range of financial institutions and markets. Certain events in the financial sector may cause an unusually
high degree of volatility in the financial markets, both domestic and foreign, and cause certain financial services companies to
incur large losses. Securities of financial services companies may experience a dramatic decline in value when such companies experience
substantial declines in the valuations of their assets, take action to raise capital (such as the issuance of debt or equity securities),
or cease operations.
Credit losses resulting from financial difficulties
of borrowers and financial losses associated with investment activities can negatively impact the sector. Insurance companies may
be subject to severe price competition. Adverse economic, business or political developments affecting real estate could have a
major effect on the value of mortgage
REITs. Declining real estate values could
adversely affect financial institutions engaging in mortgage finance or other lending or investing activities directly or indirectly
connected with the value of real estate.
The factors described above affect the financial
sector generally and could cause the value of some or all of the component securities held by the Financial Select Sector SPDR
®
Fund, and thus, the price of the Financial Select Sector SPDR
®
Fund to decline during the term of the securities.
The
Policies of the INVESTMENT ADVISOR OF EACH UNDERLYING and Changes that Affect AN UNDERLYING or ITS Tracked IndEX Could Adversely
Affect the Value of the SECURITIES
— The policies of the 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 securities. The value of, and your return
on, the securities could also be adversely affected if the investment advisor of an Underlying changes these 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 securities. If events such as these occur or if the Closing Price of an Underlying is not available on an Observation Date
(including the Final Valuation Date) because of a market disruption event or for any other reason, the calculation agent, in certain
circumstances, may determine the Closing Price of such Underlying and the Payment at Maturity in a manner it considers appropriate
in its sole discretion.
The
Performance of AN UNDERLYING
,
Particularly During Periods of Market Volatility
,
May Not Match the Performance of
ITS Tracked INDEX or ITS NET ASSET VALUE per Share
— The performance of an Underlying may not match the performances
of its tracked index due to a number of factors. For instance, an Underlying may not hold all or substantially all of the securities
included in its tracked index and the investment advisors of an Underlying may invest a portion of such Underlying’s assets
in securities not included in such Underlying’s tracked index. Therefore, the performance of an Underlying is generally linked,
in part, to assets other than the securities included in its tracked index. Additionally, the performance of an Underlying will
reflect transaction costs and fees that are not included in the calculation of its tracked index.
In addition, because the shares of an Underlying
are traded on a securities exchange and are subject to supply and demand, the performance of one share of an Underlying may differ
from the performance of its tracked index or such Underlying’s NAV per share. Furthermore, during periods of market volatility,
securities or other assets held by an Underlying may become unavailable in the secondary market due to reduced liquidity or suspensions
of, or limitations on, trading, making it difficult for market participants to accurately calculate the NAV per share of an Underlying
and/or create, redeem or hedge shares of an Underlying. In such circumstances, the prices at which market participants are willing
to buy and sell shares of an Underlying may be significantly lower than such Underlying’s NAV and the liquidity of the shares
of an Underlying may be materially and adversely affected. Consequently, the performance of an Underlying may deviate significantly
from the performance of its tracked index or such Underlying’s NAV per share. These circumstances may or may not constitute
market disruption events and, in either case, your return on the securities may be determined based on the price of an Underlying
when it deviates significantly from the performance of its tracked index or such Underlying’s NAV per share. If this occurs,
the value of, and your return on, the securities may be materially and adversely affected.
ANTI
-
DILUTION PROTECTION IS LIMITED
AND THE CALCULATION AGENT MAY MAKE ADJUSTMENTS IN ADDITION TO
,
OR THAT DIFFER FROM
,
THOSE SET FORTH IN THE ACCOMPANYING
PRODUCT SUPPLEMENT —
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 such Underlying. If such
an event occurs that does not require the calculation agent to make an adjustment, the value of the securities may be materially
and adversely affected. In addition, you should be aware that the calculation agent may, at its sole discretion, make adjustments
to each Share Adjustment Factor for an Underlying or any other terms of the securities that are in addition to, or that differ
from, those described in the accompanying product supplement to reflect changes occurring in relation to such Underlying in circumstances
where the calculation agent determines that it is appropriate to reflect those changes to ensure an equitable result. Any alterations
to the specified anti-dilution adjustments described in the accompanying product supplement may be materially adverse to investors
in the securities. You should read “Description of Securities — Anti-Dilution Adjustments for Funds” in the accompanying
product supplement in order to understand the adjustments that may be made to the securities.
THERE IS NO AFFILIATION BETWEEN THE 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 included in 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 securities, should make
your own investigation into the Underlying Stocks and the Underlying Stock Issuers. Neither the Underlyings nor any of the Underlying
Stock Issuers is involved in this offering in any way and none of them has any obligation of any sort with respect to your securities.
An Underlying has no obligation to take your interests into consideration for any reason, including when taking any actions that
would require the calculation agent to adjust the Share Adjustment Factor for such Underlying, which may adversely affect the value
of your securities.
PAST PERFORMANCE OF THE UNDERLYINGS IS
NO GUIDE TO FUTURE PERFORMANCE
— The actual performance of the Underlyings over the term of the securities
may bear little relation to the historical closing prices of the Underlyings and/or the hypothetical examples set forth elsewhere
in this fact sheet. 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.
ASSUMING NO CHANGES IN MARKET CONDITIONS
AND OTHER RELEVANT FACTORS
,
THE PRICE YOU MAY RECEIVE FOR YOUR SECURITIES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY
BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER
’
S ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE
—
While the payment(s) on the securities described in this fact sheet is based on the full Face Amount of securities, the Issuer’s
estimated value of the securities on the Trade Date (as disclosed on the cover of this fact
sheet) is less than the Issue Price of the
securities. The Issuer’s estimated value of the securities on the Trade Date does not represent the price at which we or
any of our affiliates would be willing to purchase your securities in the secondary market at any time. Assuming no changes in
market conditions or our creditworthiness and other relevant factors, the price, if any, at which we or our affiliates would be
willing to purchase the securities from you in secondary market transactions, if at all, would generally be lower than both the
Issue Price and the Issuer’s estimated value of the securities on the Trade Date. Our purchase price, if any, in secondary
market transactions would be based on the estimated value of the securities determined by reference to (i) the then-prevailing
internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our pricing models at
that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the assets underlying
the securities and then-prevailing market conditions. The price we report to financial reporting services and to distributors of
our securities for use on customer account statements would generally be determined on the same basis. However, during the period
of approximately 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.
In addition to the factors discussed above,
the value of the securities and our purchase price in secondary market transactions after the Trade Date, if any, will vary based
on many economic and market factors, including our creditworthiness, and cannot be predicted with accuracy. These changes may adversely
affect the value of your securities, including the price you may receive in any secondary market transactions. Any sale prior to
the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading instruments.
Accordingly, you should be able and willing to hold your securities to maturity.
THE SECURITIES WILL NOT BE LISTED AND
THERE WILL LIKELY BE LIMITED LIQUIDITY
— The securities will not be listed on any securities exchange. There may be little
or no secondary market for the securities. We or our affiliates intend to act as market makers for the securities but are not required
to do so and may cease such market making activities at any time. Even if there is a secondary market, it may not provide enough
liquidity to allow you to sell the securities when you wish to do so or at a price advantageous to you. Because we do not expect
other dealers to make a secondary market for the securities, the price at which you may be able to sell your securities is likely
to depend on the price, if any, at which we or our affiliates are willing to buy the securities. If, at any time, we or our affiliates
do not act as market makers, it is likely that there would be little or no secondary market in the securities. If you have to sell
your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss, even in cases
where the prices of the Underlyings have increased since the Trade Date.
MANY ECONOMIC AND MARKET FACTORS WILL
AFFECT THE VALUE OF THE SECURITIES
— While we expect that, generally, the prices of the Underlyings will affect the value
of the securities more than any other single factor, the value of the securities prior to maturity will also be affected by a number
of other factors that may either offset or magnify each other, including:
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·
|
whether the Closing Price of either Underlying
on any Observation Date is less than its Coupon Barrier;
|
|
·
|
whether the Closing Price of either Underlying
is less than its Knock-Out Price on any day during the Monitoring Period, thereby causing a Knock-Out Event;
|
|
·
|
the expected volatility of the Underlyings;
|
|
·
|
the time remaining to the maturity of the
securities;
|
|
·
|
the market prices and dividend rates of
the shares of the Underlyings and the component securities held by the Underlyings;
|
|
·
|
the composition of the Underlyings;
|
|
·
|
the occurrence of certain events affecting
one or both of the Underlyings that may or may not require an anti-dilution adjustment;
|
|
·
|
interest rates and yields in the markets
generally;
|
|
·
|
geopolitical conditions and economic, financial,
political, regulatory or judicial events that affect any of the Underlyings, the Tracked Indices of the Underlyings or the markets
generally;
|
|
·
|
supply and demand for the securities; and
|
|
·
|
our creditworthiness, including actual
or anticipated downgrades in our credit ratings.
|
During the term of the securities, it is
possible that their value may decline significantly due to the factors described above even if the 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 securities to maturity to receive the stated payout from the Issuer.
TRADING AND OTHER TRANSACTIONS BY US
OR OUR AFFILIATES IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE SECURITIES
— We or our affiliates
expect to hedge our exposure from the securities by entering into equity and equity derivative transactions, such as over-the-counter
options, futures or exchange-traded instruments. We or our affiliates may also engage in trading in instruments linked or related
to the 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 both Underlyings and, therefore, make it less likely that you will
receive a positive return on your investment in the securities. It is possible that we or our affiliates could receive substantial
returns from these hedging and trading activities while the value of the securities declines. We or our affiliates may also issue
or underwrite other securities or financial or derivative instruments with returns linked or related to the Underlyings. To the
extent that we or our affiliates serve as issuer, agent or underwriter for such securities or financial or derivative instruments,
our or our affiliates’ interests with respect to such products may be adverse to those of the holders of the securities.
Introducing competing products into the marketplace in this manner could adversely affect the prices of one or both Underlyings
and the value of the securities. Any of the foregoing activities described in this paragraph may reflect trading strategies that
differ from, or are in direct opposition to, investors’ trading and investment strategies related to the securities. Furthermore,
because DBSI or one of its affiliates is expected to conduct trading and hedging activities for us in connection with the securities,
DBSI or such affiliate may profit in connection with such trading and hedging activities and such profit, if any, will be in addition
to any compensation that DBSI receives for the sale of the securities to you. You should be aware that the potential to earn a
profit in connection
with hedging activities may create a further
incentive for DBSI to sell the securities to you in addition to any compensation they would receive for the sale of the securities.
WE OR OUR AFFILIATES MAY PUBLISH RESEARCH
,
EXPRESS OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE SECURITIES
.
ANY SUCH
RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE PRICES OF THE UNDERLYINGS AND THE VALUE OF THE SECURITIES
—
We or our affiliates may publish research from time to time on financial markets and other matters that could adversely affect
the prices of the Underlyings and the value of the securities, or express opinions or provide recommendations that are inconsistent
with purchasing or holding the securities. Any research, opinions or recommendations expressed by us or our affiliates may not
be consistent with each other and may be modified from time to time without notice. You should make your own independent investigation
of the merits of investing in the securities and the Underlyings.
POTENTIAL CONFLICTS OF INTEREST
—
We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation
agent, hedging our obligations under the securities and determining the Issuer’s estimated value of the securities on the
Trade Date and the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary
market transactions. In performing these roles, our economic interests and those of our affiliates are potentially adverse to your
interests as an investor in the securities. The calculation agent will determine, among other things, all values, prices and levels
required to be determined for the purposes of the securities on any relevant date or time. The calculation agent also has some
discretion about certain adjustments to the Share Adjustment Factors and will be responsible for determining whether a market disruption
event has occurred as well as, in some circumstances, the prices related to the Underlyings that affect whether the securities
are automatically called, whether Contingent Coupons are paid and whether a Knock-Out Event has occurred. Any determination by
the calculation agent could adversely affect the return on the securities.
THERE IS SUBSTANTIAL UNCERTAINTY REGARDING
THE U
.
S
.
FEDERAL INCOME TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES
— There is no direct legal
authority regarding the proper U.S. federal income tax treatment of the securities, and we do not plan to request a ruling from
the IRS. Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not
agree with the treatment of the securities as prepaid financial contracts that are not debt, with associated contingent coupons,
as described in the accompanying preliminary pricing supplement No. 3038B under “Tax Consequences.” If the IRS were
successful in asserting an alternative treatment for the securities, the tax consequences of ownership and disposition of the securities
could be materially affected. In addition, as described above under “Tax Consequences,” in 2007 the U.S. Treasury Department
and the IRS released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. Any Treasury regulations or other guidance promulgated after consideration of
these issues could materially affect the tax consequences of an investment in the securities, possibly with retroactive effect.
You should review carefully the section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences,”
and consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities (including possible
alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
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