Pricing Supplement No. 3047B
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
|
Registration
Statement No
.
333
–
206013
Rule
424
(
b
)(
2
)
|
|
Deutsche Bank AG
$1,000,000 Phoenix Autocallable
Securities Linked to the Least Performing of the S&P 500
®
Index
,
the EURO STOXX 50
®
Index, the Market Vectors
®
Gold Miners ETF and the iShares
®
MSCI Emerging Markets
ETF due May 16, 2019
|
|
·
|
The Phoenix Autocallable Securities (the
“
securities
”) are linked to the least performing of the S&P 500
®
Index, the EURO STOXX 50
®
Index (each one of the S&P
®
500 Index and the EURO STOXX 50
®
Index, an “
Index
,”
and collectively, the “
Indices
”), the Market Vectors
®
Gold Miners ETF and the iShares
®
MSCI Emerging Markets ETF (each one of the Market Vectors
®
Gold Miners ETF and the iShares
®
MSCI
Emerging Markets ETF, a “
Fund
,” together, the “
Funds
,” and together with the Indices, the
“
Underlyings
”) and may pay a Contingent Coupon of $11.3333 per $1,000 Face Amount of securities on the relevant
monthly Coupon Payment Dates, calculated based on a coupon rate of 13.60% per annum. Investors will receive a Contingent Coupon
on a Coupon Payment Date
only if
the Closing Levels of
all
the Underlyings on the applicable monthly
Observation Date are greater than or equal to their respective Coupon Barriers (equal to 65.00% of their respective Initial Levels).
Otherwise, no Contingent Coupon will be payable with respect to that Observation Date. The securities may not pay Contingent Coupons
on some or all of the Coupon Payment Dates and, therefore, should
not
be viewed as conventional debt securities with
periodic coupon payments.
|
|
·
|
The securities will
not
be automatically
called during the first six months after the Trade Date. The securities will be automatically called if the Closing Levels of all
the Underlyings on any quarterly Observation Date (starting from the sixth Observation Date and ending on the final Observation
Date) are greater than or equal to their respective Initial Levels. 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. The securities will cease to be outstanding following an Automatic Call and no Contingent
Coupon will accrue or be payable following the Call Settlement Date.
|
|
·
|
A Knock-Out Event will occur if the Closing
Level of
any
Underlying is less than its Knock-Out Level (equal to 65.00% of its Initial Level) 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 Level of the least performing Underlying, which we refer to as the “
Laggard
Underlying
,” is less than its Initial Level. The securities do not pay any dividends and investors should be willing
to lose some or all of their investment if the securities are not automatically called, but a Knock-Out Event has occurred.
Any
payment on the securities is subject to the credit of the Issuer
.
|
|
·
|
Senior unsecured obligations of Deutsche
Bank AG due May 16, 2019
|
|
·
|
Minimum purchase of $1,000. Minimum denominations
of $1,000 (the “
Face Amount
”) and integral multiples thereof.
|
|
·
|
The securities priced on February 12, 2018
(the “
Trade Date
”) and are expected to settle on February 15, 2018 (the “
Settlement Date
”).
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Issue Price:
|
100% of the Face Amount
|
Underlyings:
|
Underlying
|
Ticker Symbol
|
Initial Level
|
Coupon Barrier / Knock-Out Level
|
S&P 500
®
Index
|
SPX
|
2,656.00
|
1,726.40
|
EURO STOXX 50
®
Index
|
SX5E
|
3,368.25
|
2,189.36
|
Market Vectors
®
Gold Miners ETF
|
GDX
|
$21.97
|
$14.28
|
iShares
®
MSCI Emerging Markets ETF
|
EEM
|
$47.15
|
$30.65
|
(
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
–
13 of
this pricing supplement
.
The Issuer
’
s estimated value
of the securities on the Trade Date is $961.10 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
–
4
of this pricing supplement for additional information
.
By acquiring the securities
,
you
will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure
(
as defined below
)
by
the competent resolution authority
,
which may include the write down of all
,
or a portion
,
of any payment
on the securities or the conversion of the securities into ordinary shares or other instruments of ownership
.
If any Resolution
Measure becomes applicable to us
,
you may lose some or all of your investment in the securities
.
Please see
“
Resolution
Measures and Deemed Agreement
”
on page PS
–
5 of this pricing supplement for more information
.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this pricing supplement or the accompanying underlying supplement, product supplement, prospectus supplement or prospectus. Any
representation to the contrary is a criminal offense.
|
Price to Public
|
Discounts and Commissions
(1)
|
Proceeds to Us
|
Per Security
|
$1,000.00
|
$5.875
|
$994.125
|
Total
|
$1,000,000.00
|
$5,875.00
|
$994,125.00
|
|
(1)
|
For more detailed information about discounts and commissions, please see “Supplemental Plan
of Distribution (Conflicts of Interest)” in this pricing supplement. The securities will be sold with underwriting discounts
and commissions in an amount of $5.875 per $1,000 Face Amount of securities. Deutsche Bank Securities Inc. (“
DBSI
”)
will pay a fee of $3.375 per $1,000 Face Amount of securities to CAIS Capital LLC with respect to the securities for which CAIS
Capital LLC acts as introducing broker.
|
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
.
February 12, 2018
|
Deutsche Bank Securities
|
|
(
Key Terms continued from previous page
)
|
|
Contingent Coupon Feature:
|
·
If
the Closing Levels of
all
the Underlyings on any Observation Date are
greater than
or
equal to
their respective
Coupon Barriers
, Deutsche Bank AG will pay you the Contingent Coupon per $1,000 Face Amount of securities applicable to such
Observation Date on the related Coupon Payment Date.
·
If
the Closing Level of
any
Underlying on any Observation Date is
less than
its Coupon Barrier
, the Contingent Coupon
per $1,000 Face Amount of securities applicable to such Observation Date will not be payable and Deutsche Bank AG will not make
any payment to you on the related Coupon Payment Date.
Non-payment of any Contingent Coupon will also result in the occurrence
of a Knock-Out Event as described below.
The Contingent Coupon will be a
fixed amount as set forth in the table under “Contingent Coupon” below, calculated based on a coupon rate of 13.60%.
If the securities are automatically called prior to the Final Valuation Date, the applicable Contingent Coupon will be paid on
the corresponding Call Settlement Date and no further amounts will be paid on the securities.
|
Coupon Barrier:
|
For each Underlying, 65.00% of the Initial Level of such Underlying, as set forth in the table under “Underlyings” above
|
Observation Dates
1
:
|
Quarterly on the dates set forth in the table under “Contingent Coupon” below
|
Coupon Payment Dates
1
:
|
As set forth in the table under “Contingent Coupon” below. For the final Observation Date, the related Coupon Payment Date will be the Maturity Date.
|
Contingent Coupon:
|
The table below sets forth each Observation Date, Coupon Payment Date, Call Settlement Date and Contingent Coupon applicable to such Observation Date.
|
|
Observation Date
|
Coupon Payment Date
|
Call Settlement Date
|
Contingent Coupon
(per $1,000 Face Amount of
Securities)
|
|
March 12, 2018
|
March 15, 2018
|
|
$11.3333
|
|
April 12, 2018
|
April 17, 2018
|
|
$11.3333
|
|
May 14, 2018
|
May 17, 2018
|
|
$11.3333
|
|
June 12, 2018
|
June 15, 2018
|
|
$11.3333
|
|
July 12, 2018
|
July 17, 2018
|
|
$11.3333
|
|
August 13, 2018*
|
August 16, 2018
|
August 16, 2018
|
$11.3333
|
|
September 12, 2018
|
September 17, 2018
|
|
$11.3333
|
|
October 12, 2018
|
October 17, 2018
|
|
$11.3333
|
|
November 12, 2018*
|
November 15, 2018
|
November 15, 2018
|
$11.3333
|
|
December 12, 2018
|
December 17, 2018
|
|
$11.3333
|
|
January 14, 2019
|
January 17, 2019
|
|
$11.3333
|
|
February 12, 2019*
|
February 15, 2019
|
February 15, 2019
|
$11.3333
|
|
March 12, 2019
|
March 15, 2019
|
|
$11.3333
|
|
April 12, 2019
|
April 17, 2019
|
|
$11.3333
|
|
May 13, 2019*
(
Final Valuation Date
)
|
May 16, 2019
(
Maturity Date
)
|
May 16, 2019
(
Maturity Date
)
|
$11.3333
|
|
|
|
|
|
|
* The securities will be automatically called starting from the sixth Observation Date, which is August 13, 2018, and ending on the final Observation Date, which is May 13, 2019. Thus, the earliest expected first Call Settlement Date is August 16, 2018 and the last Call Settlement Date is May 16, 2019.
|
Automatic Call:
|
The securities will be automatically called by the Issuer if, on any quarterly Observation Date (starting from the sixth Observation Date and ending on the final Observation Date), the Closing Levels of
all
the Underlyings are greater than or equal to their respective Initial Levels. 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. The securities will cease to be outstanding following an Automatic Call and no Contingent Coupon will accrue or be payable following the Call Settlement Date.
|
Call Settlement Date
1
:
|
As set forth in the table under “Contingent Coupon” above. For the final Observation Date, the related Call Settlement Date will be the Maturity Date.
|
Knock-Out Event:
|
A Knock-Out Event occurs if, on
any
day during the Monitoring Period, the Closing Level of
any
Underlying is less than its Knock-Out Level.
|
Monitoring Period:
|
The period from, but excluding, the Trade Date to, and including, the Final Valuation Date
|
Knock-Out Level:
|
For each Underlying, 65.00% of the Initial Level of such Underlying, as set forth in the table under “Underlyings” above
|
Payment at Maturity:
|
If the securities are not automatically called, the payment you will receive at maturity will depend on whether or not a Knock-Out Event has occurred as well as the Final Level of the Laggard Underlying on the Final Valuation Date.
|
|
·
If a Knock
-
Out Event
has not
occurred
(
meaning the Closing Level of
each
Underlying is greater
than or equal to its Knock
-
Out Level on
all
days during the Monitoring Period
), regardless of the Final Level
of the Laggard Underlying, 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 a Knock
-
Out Event
has
occurred
(
meaning the Closing Level of
any
Underlying is less than its
Knock
-
Out Level on
at least one
day during the Monitoring Period
), 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)
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 Level of the Laggard Underlying is less than
its Initial Level
.
In this circumstance
,
you will lose a some or all of your investment at maturity
.
Any
payment at maturity is subject to the credit of the Issuer
.
|
(
Key Terms continued on next page
)
(
Key Terms continued from previous page
)
|
|
Laggard Underlying:
|
The Underlying with the lowest Underlying Return. If the calculation agent determines that any two, three or all four 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.
|
Underlying Return:
|
For each
Underlying, the performance of such Underlying from its Initial Level to its Final Level, calculated as follows:
Final
Level – Initial Level
Initial
Level
The
Underlying Return for each Underlying may be positive
,
zero or negative
.
|
Initial Level:
|
For each Underlying, the Closing Level of such Underlying on the Trade Date, as set forth in the table under “Underlyings” above
|
Final Level:
|
For each Underlying, the Closing Level of such Underlying on the Final Valuation Date
|
Closing Level:
|
For
each Fund, the closing price of one share of such Fund on the relevant date of calculation
multiplied by
the then-current
Share Adjustment Factor for such Fund, as determined by the calculation agent.
For each Index, the closing level of such
Index on the relevant date of calculation.
|
Share Adjustment Factor:
|
For each Fund, initially 1.0, subject to adjustment for certain actions affecting such Fund. See “Description of Securities — Anti-Dilution Adjustments for Funds” in the accompanying product supplement.
|
Trade Date:
|
February 12, 2018
|
Settlement Date:
|
February 15, 2018
|
Final Valuation Date
1
:
|
May 13, 2019
|
Maturity Date
1
:
|
May 16, 2019
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MJU6 / US25155MJU62
|
|
1
|
Subject to adjustment as described under “Description of Securities — Adjustments to
Valuation Dates and Payment Dates” in the accompanying product supplement. If an Observation Date is postponed, the related
Coupon Payment Date and Call Settlement Date, as applicable, will be postponed as described under “Description of Securities
— Adjustments to Valuation Dates and Payment Dates” in the accompanying product supplement.
|
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:
|
·
|
are deemed irrevocably
to have agreed, and you will agree: (i) to be bound by, to acknowledge and to accept any Resolution Measure and any amendment,
modification or variation of the terms and conditions of the securities to give effect to any Resolution Measure; (ii) that you
will have no claim or other right against us arising out of any Resolution Measure; and (iii) that the imposition of any Resolution
Measure will not constitute a default or an event of default under the securities, under the senior indenture dated November 22,
2006 among us, Law Debenture Trust Company of New York, as trustee, and Deutsche Bank Trust Company Americas, as issuing agent,
paying agent, authenticating agent and registrar, as amended and supplemented from time to time (the “
Indenture
”),
or for the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act of 1939, as amended (the “
Trust
Indenture Act
”);
|
|
·
|
waive, to the
fullest extent permitted by the Trust Indenture Act and applicable law, any and all claims against the trustee and the paying agent,
the issuing agent and the registrar (each, an “
indenture agent
”) for, agree not to initiate a suit against the
trustee or the indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any
action that the trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition
of a Resolution Measure by the competent resolution authority with respect to the securities; and
|
|
·
|
will be deemed
irrevocably to have: (i) consented to the imposition of any Resolution Measure as it may be imposed without any prior notice by
the competent resolution authority of its decision to exercise such power with respect to the securities; (ii) authorized, directed
and requested The Depository Trust Company (“
DTC
”) and any direct participant in DTC or other intermediary through
which you hold such securities to take any and all necessary action, if required, to implement the imposition of any Resolution
Measure with respect to the securities as it may be imposed, without any further action or direction on your part or on the part
of the trustee or the indenture agents; and (iii) acknowledged and accepted that the Resolution Measure provisions described herein
and in the “Resolution Measures” section of the accompanying prospectus are exhaustive on the matters described herein
and therein to the exclusion of any other agreements, arrangements or understandings between
|
you
and the Issuer relating to the terms and conditions of the securities.
This
is only a summary
,
for more information please see the accompanying prospectus dated April 27
,
2016
,
including
the risk factors beginning on page 13 of such prospectus
.
Additional Terms Specific to the Securities
You should read this pricing supplement
together with underlying supplement No. 1 dated August 17, 2015, product supplement B dated July 31, 2015, the prospectus supplement
dated July 31, 2015 relating to our Series A global notes of which these securities are a part and the prospectus dated April 27,
2016. Delaware Trust Company, which acquired the corporate trust business of Law Debenture Trust Company of New York, is the successor
trustee of the securities. When you read the accompanying underlying supplement, product supplement and prospectus supplement,
please note that all references in such supplements to the prospectus dated July 31, 2015, or to any sections therein, should refer
instead to the accompanying prospectus dated April 27, 2016 or to the corresponding sections of such prospectus, as applicable,
unless otherwise specified or the context otherwise requires. You may access these documents on the website of the Securities and
Exchange Commission (the “
SEC
”) at
.
www.sec.gov as follows (or if such address
has changed, by reviewing our filings for the relevant date on the SEC website):
|
·
|
Underlying supplement No. 1 dated August
17, 2015:
|
https://www.sec.gov/Archives/edgar/data/1159508/000095010315006546/crt_dp58829-424b2.pdf
|
·
|
Product supplement B dated July 31, 2015:
|
https://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
·
|
Prospectus supplement dated July 31, 2015:
|
https://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
|
·
|
Prospectus dated April 27, 2016:
|
https://www.sec.gov/Archives/edgar/data/1159508/000119312516559607/d181910d424b21.pdf
Our Central Index Key, or CIK, on the SEC
website is 0001159508. As used in this pricing supplement, “
we
,” “
us
” or “
our
”
refers to Deutsche Bank AG, including, as the context requires, acting through one of its branches.
This pricing supplement, together with the
documents listed above, contains the terms of the securities and supersedes all other prior or contemporaneous oral statements
as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures
for implementation, sample structures, brochures or other educational materials of ours. You should carefully consider, among other
things, the matters set forth in this pricing supplement and in “Risk Factors” in the accompanying product supplement,
prospectus supplement and prospectus, as the securities involve risks not associated with conventional debt securities. We urge
you to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the securities.
You may revoke your offer to purchase
the securities at any time prior to the time at which we accept such offer by notifying the applicable agent
.
We reserve
the right to change the terms of
,
or reject any offer to purchase
,
the securities prior to their issuance
.
We
will notify you in the event of any changes to the terms of the securities and you will be asked to accept such changes in connection
with your purchase of any securities
.
You may choose to reject such changes
,
in which case we may reject your offer
to purchase the securities
.
Hypothetical Examples
The tables and hypothetical examples set
forth below are for illustrative purposes only. The actual return applicable to a purchaser of the securities will depend on the
Closing Levels of the Underlyings on each day during the Monitoring Period and the Observation Dates (including the Final Valuation
Date). The following results are based
solely
on the hypothetical examples cited below. You should consider carefully whether
the securities are suitable to your investment goals. The numbers appearing in the tables and hypothetical examples below may have
been rounded for ease of analysis and it has been assumed that no event affecting any Fund has occurred during the term of the
securities that would cause the calculation agent to adjust its Share Adjustment Factor.
If the securities
are
automatically
called
:
The following table illustrates the hypothetical
payment due upon an Automatic Call (excluding any Contingent Coupon payment) per $1,000 Face Amount of securities on each of the
quarterly Observation Dates (starting from the sixth Observation Date and ending on the final Observation Date).
Observation Date
|
Potential
Call Settlement Date
|
Hypothetical
Payment upon an Automatic Call
($)
(per $1,000 Face Amount of securities)
|
August 13, 2018
|
August 16, 2018
|
$1,000.00
|
November 12, 2018
|
November 15, 2018
|
$1,000.00
|
February 12, 2019
|
February 15, 2019
|
$1,000.00
|
May
13, 2019
(
Final
Valuation Date
)
|
May
16, 2019
(
Maturity
Date
)
|
$1,000.00
|
The securities will not be automatically
called during the first six months after the Trade Date. Beginning six months after the Trade Date, if the securities are called
on a quarterly Observation Date set forth above, you will receive a cash payment per $1,000 Face Amount of securities on the Call
Settlement Date equal to the Face Amount
plus
any Contingent Coupon that may be due on such date. The securities will cease
to be outstanding following an Automatic Call and no Contingent Coupon will accrue or be payable following the Call Settlement
Date.
If the securities
are not
automatically called
:
The following table illustrates the hypothetical
Payments at Maturity (excluding any Contingent Coupon) per $1,000 Face Amount of securities for a hypothetical range of performances
of the Laggard Underlying if the securities are
not
automatically called
.
The
hypothetical Payments at Maturity set forth in the table below reflect the Coupon Barrier and Knock-Out Level for each Underlying
equal to 65.00% of its Initial Level. The actual Initial Level, Coupon Barrier and Knock-Out Level for each Underlying are set
forth on the cover of this pricing supplement
.
We make no representation or warranty
as to which of the Underlyings will be the Laggard Underlying for purposes of calculating the Payment at Maturity
.
Hypothetical
Underlying Return of the Laggard Underlying
(
%
)
|
A Knock
-
Out Event
Has Not
Occurred
|
A Knock
-
Out Event
Has
Occurred
|
Hypothetical
Payment at Maturity
($) (
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%
|
-
35
.
00%
|
$1
,
000
.
00
|
0
.
00%
|
$650.00
|
-35.00%
|
-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%
|
N/A: Not applicable because (i) the securities
will be automatically called if the Final Level of the Laggard Underlying is greater than or equal to its Initial Level or (ii)
a Knock-Out Event occurs if the Closing Level of any Underlying is less than its Knock-Out Level on any day during the Monitoring
Period,
including
on the Final Valuation Date.
The following hypothetical examples illustrate
how the payments on the securities set forth in the tables immediately above are calculated as well as how the payment of any Contingent
Coupons will be determined. The examples below reflect the Contingent Coupon of $11.3333 that may be payable on one or more of
the Coupon Payment Dates.
Example 1
:
The Closing Levels
of all the Underlyings are greater than their respective Initial Levels on the first through sixth Observation Dates.
Because
the securities will not be automatically called during the first six months after the Trade Date, the securities will not be called
on the first through fifth Observation Dates. Because the Closing Levels of all the Underlyings on the sixth Observation Date are
greater than their respective Initial Levels, the securities are automatically called on the sixth Observation Date and the investor
will receive on the Call Settlement Date a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any Contingent
Coupon).
Because the Closing Levels of
all
the Underlyings on the first through sixth Observation Dates are greater than their respective Coupon Barriers (equal to 65.00%
of their respective Initial Levels), the investor will receive the Contingent Coupon of $11.3333 on the first through fifth Coupon
Payment Dates and on the Call Settlement Date. As a result, the investor will receive a total of $1,067.9998 per $1,000 Face Amount
of securities over the approximately six months the securities were outstanding before they were automatically called. There are
no further payments on the securities.
Example 2
:
The Closing Levels
of all the Underlyings are less than their Initial Levels but greater than their respective Coupon Barriers on the first through
eighth Observation Dates and greater than their respective Initial Levels on the ninth Observation Date
. Because the Closing
Levels of all the Underlyings on the ninth Observation Date are greater than their respective Initial Levels, the securities are
automatically called on the ninth Observation Date. Thus, the investor will receive on the Call Settlement Date a cash payment
of $1,000.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon).
Because the Closing Levels of
all
the Underlyings on the first through ninth Observation Dates are greater than their respective Coupon Barriers, the investor will
receive the Contingent Coupon of $11.3333 on the first through eighth Observation Dates and on the Call Settlement Date. As a result,
the investor will receive a total of $1,101.9997 per $1,000 Face Amount of securities over the approximately nine months the securities
were outstanding before they were automatically called. There are no further payments on the securities.
Example 3
:
The Closing Level of
at least one Underlyings is less than its Coupon Barrier on each Observation Date prior to the final Observation Date, but the
Closing Levels of all the Underlyings are greater than their respective Initial Levels on the final Observation Date
. Because
the Closing Level of
at least one
Underlying is less than its Initial Level on each quarterly Observation Date (starting
from the sixth Observation Date and ending on the twelfth Observation Date), the securities are not automatically called prior
to the final Observation Date. Because the Closing Levels of all the Underlyings on the final Observation Date are greater than
their respective Initial Levels, the securities are automatically called on the final Observation Date. Thus, the investor will
receive on the Call Settlement Date a cash payment of $1,000.00 per $1,000 Face Amount of securities (excluding any Contingent
Coupon).
Because the Closing Levels of
all
the Underlyings on the final Observation Date are greater than their respective Coupon Barriers, but the Closing Level of
at
least one
Underlying is less than its Coupon Barrier on each of the other Observation Dates, the investor will receive
the Contingent Coupon of $11.3333 on the Call Settlement Date, but not on the other Coupon Payment Dates. As a result, the investor
will receive a total of $1,011.3333 per $1,000 Face Amount of securities over the approximately one year and three month term of
the securities.
Example 4
:
The Closing Levels
of all the Underlyings are less than their Initial Levels but equal to or greater than
their respective Coupon Barriers on each
Observation Date and a Knock
-
Out Event
has
not occurred. 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%
. Because the Closing
Level of at least one Underlying is less than its Initial Level on each quarterly Observation Date (starting from the sixth Observation
Date and ending on the final Observation Date), the securities are not automatically called. Because the Closing Levels of all
the Underlying were greater than their respective Knock-Out Levels on all days during the Monitoring Period, a Knock-Out Event
has not occurred. Because a Knock-Out Event has not occurred, the investor will receive on the Maturity Date a cash payment of
$1,000.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon).
Because the Closing Levels of
all
the Underlyings are greater than their respective Coupon Barriers on each Observation Date, the investor will receive the Contingent
Coupon on each Coupon Payment Date and on the Maturity Date. As a result, the investor will receive a total of $1,169.9995 per
$1,000 Face Amount of securities over the approximately one year and three month term of the securities.
Example 5
:
The Closing Level of
at least one Underlying is less than its Coupon Barrier on each Observation Date and a Knock
-
Out Event
has
occurred. The Final Level of the Laggard Underlying is less than its Initial Level
,
resulting in an Underlying Return of
the Laggard Underlying of
-
70
.
00%
. Because the Closing Level of at least one Underlying is less than its Initial
Level on each quarterly Observation Date (starting from the sixth Observation Date and ending on the final Observation Date), the
securities are not automatically called. Because the Closing Level of at least one Underlying was less than its Knock-Out Level
on at least one day during the Monitoring Period, a Knock-Out Event has occurred. Because a Knock-Out Event has occurred, the investor
will receive on the Maturity Date a cash payment of $300.00 per $1,000 Face Amount of securities (excluding any Contingent Coupon),
calculated as follows:
$1,000
+ ($1,000 x Underlying Return of the Laggard Underlying)
$1,000
+ ($1,000 x -70.00%) = $300.00
Because the Closing Level of
at least
one
Underlying is less than its Coupon Barrier on each Observation Date (including the final Observation Date), the investor
will not receive any Contingent Coupon over the entire term of the securities. As a result, the investor will receive only $300.00
per $1,000 Face Amount of securities over the approximately one year and three month term of the securities.
Selected Purchase Considerations
|
·
|
THE SECURITIES MAY OFFER A HIGHER
,
THOUGH CONTINGENT
,
COUPON THAN THE YIELD ON DEBT SECURITIES OF COMPARABLE MATURITY ISSUED BY US OR AN ISSUER WITH A COMPARABLE
CREDIT RATING
— The securities will pay a Contingent Coupon
only if
the Closing Levels of
all
the Underlyings are greater than or equal to their respective Coupon Barriers on the applicable monthly Observation Date. Payment
of a Contingent Coupon may result in a higher yield than that received on debt securities of comparable maturity issued by us or
an issuer with a comparable credit rating,
but
is subject to the risk that the Closing Level of
any
Underlying will be less than its Coupon Barrier on an Observation Date and the resulting forfeiture of the Contingent Coupon for
that entire period, as well as the risk of losing some or all of your investment if the securities are not automatically called,
but a Knock-Out Event has occurred.
Any payment on the securities is subject to our ability to satisfy our obligations as they
become due
.
|
|
·
|
LIMITED PROTECTION AGAINST LOSS
— 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. 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 Level of the Laggard Underlying
is less than its Initial Level.
In this circumstance
,
you will lose some or all of your investment in the securities
at maturity
.
|
|
·
|
POTENTIAL EARLY EXIT AS A RESULT OF
THE AUTOMATIC CALL FEATURE
— While the original term of the securities is approximately one year and three months, the
securities will be automatically called if the Closing Levels of all the Underlyings on any quarterly Observation Date (starting
from the sixth Observation Date and ending on the final Observation Date) are greater than or equal to their respective Initial
Levels, and 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. Therefore, the term of the securities could be as short as
approximately six months. No Contingent Coupon will accrue or be payable following an Automatic Call. For the avoidance of doubt,
the discounts and commissions described on the cover of this pricing supplement will not be rebated or subject to amortization
if the securities are automatically called.
|
|
·
|
CONTINGENT COUPONS
— Unless
the securities are previously automatically called, the Contingent Coupon, if any, will be paid in arrears on the relevant Coupon
Payment Date
only if
the Closing Levels of
all
the Underlyings on the applicable monthly Observation
Date are greater than or equal to their respective Coupon Barriers.
If the Closing Level of at least one Underlying on each
Observation Date is less than its Coupon Barrier
,
you will not receive any Contingent Coupons for the entire term of the
securities
.
|
|
·
|
RETURN LINKED TO THE LEAST PERFORMING
OF THE FOUR UNDERLYINGS
— The return on the securities, which may be positive, zero or negative, is linked to the least
performing of the S&P 500
®
Index, the EURO STOXX 50
®
Index, the Market Vectors
®
Gold Miners ETF and the iShares
®
MSCI Emerging Markets ETF as described herein. If the securities are not automatically
called, the Payment at Maturity you receive, if any, will be determined
solely
by reference to the performance of the Laggard
Underlying.
|
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.
In addition, as of July 31, 2017, the securities of companies with multiple share class structures are no longer eligible to be
added to the S&P 500
®
Index. This change does not affect securities that were already included in the S&P
500
®
Index as of July 31, 2017 or any new public company spun off from such a constituent.
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 U
.
S
.
Indices — The S&P
500
®
Index
”
in the accompanying underlying supplement No
.
1 dated August 17
,
2015
.
EURO
STOXX 50
®
Index
The EURO STOXX 50
®
Index is composed of the stocks of 50 major companies in the Eurozone. These companies include market sector leaders from within
the 19 EURO STOXX
®
Supersector indices, which represent the Eurozone portion of the STOXX Europe 600
®
Supersector indices. The STOXX Europe 600
®
Supersector indices contain the 600 largest stocks traded on the major
exchanges of 18 European countries.
This is only a summary of the EURO STOXX 50
®
Index
.
For more
information on the EURO STOXX 50
®
Index
,
including information concerning its composition
,
calculation
methodology and adjustment policy
,
please see the section entitled “The STOXX Indices — The EURO STOXX 50
®
Index” in the accompanying underlying supplement No
.
1 dated August 17
,
2015
.
Market Vectors
®
Gold Miners ETF
The Market Vectors
®
Gold Miners ETF is an exchange-traded fund and an investment portfolio of the Market Vectors ETF Trust, a registered investment
company. Van Eck Associates Corporation (“
Van Eck
”) is the investment adviser to the Market Vectors
®
Gold Miners ETF. The Market Vectors
®
Gold Miners ETF seeks to provide investment results that replicate as closely
as possible the price and yield performance, before fees and expenses, of the NYSE Arca Gold Miners Index. The NYSE Arca Gold Miners
Index is a modified market capitalization weighted index composed of publicly traded companies worldwide involved primarily in
mining for gold and silver ore, representing a diversified blend of small-, mid-, and large-capitalization stocks. The Market Vectors
®
Gold Miners ETF is an exchange traded fund that trades on the NYSE Arca under the ticker symbol “GDX.” The Market Vectors
®
Gold Miners ETF may not fully replicate or may in certain circumstances diverge significantly from the performance of the NYSE
Arca Gold Miners Index due to the temporary unavailability of certain securities in the secondary market, the performance of any
derivative instruments contained in the Market Vectors
®
Gold Miners ETF or due to other circumstances.
This section
is only a summary of the Market Vectors
®
Gold Miners ETF. For more information on the Market Vectors
®
Gold Miners ETF, including information concerning calculation methodology and adjustment policy, please see the section entitled
“Market Vectors ETF Trust — The Market Vectors
®
Gold Miners ETF” in the accompanying Underlying
Supplement No. 1 dated August 17, 2015.
iShares
®
MSCI Emerging Markets ETF
The
iShares
®
MSCI Emerging Markets ETF is an exchange-traded fund managed by iShares
®
Trust, a registered
investment company. The iShares
®
Trust consists of numerous separate investment portfolios, including the iShares
®
MSCI Emerging Markets ETF. The iShares
®
MSCI Emerging Markets ETF seeks to provide investment results that correspond
generally to the price and yield performance, before fees and expenses, of publicly traded securities in the MSCI Emerging Markets
Index
SM
. The MSCI Emerging Markets Index
SM
is designed to measure
equity
market performance in the global emerging markets. Shares of the iShares
®
MSCI Emerging Markets ETF trade on NYSE
Arca under the ticker symbol “EEM.” The iShares
®
MSCI Emerging Markets ETF may not fully replicate or
may in certain circumstances diverge significantly from the performance of the MSCI Emerging Markets Index
SM
due to
the temporary unavailability of certain securities in the secondary markets, the performance of any derivative instruments contained
in the iShares
®
MSCI Emerging Markets ETF, the fees and expenses of the iShares
®
MSCI Emerging Markets
ETF or due to other circumstances.
This is only a summary of the iShares
®
MSCI Emerging Markets ETF
.
For more information on the iShares
®
MSCI Emerging Markets ETF
,
please see the section entitled “The
iShares Exchange Traded Funds
—
iShares
®
MSCI Emerging Markets ETF
”
in the accompanying
underlying supplement No
.
1 dated August 17
,
2015
.
|
·
|
TAX CONSEQUENCES
— Due to
the lack of direct legal authority, there is substantial uncertainty regarding the U.S. federal income tax consequences of an investment
in the securities. In determining our responsibilities for information reporting and withholding, if any, we intend to treat the
securities as prepaid financial contracts that are not debt, with associated contingent coupons that constitute ordinary income
and that, when paid to a non-U.S. holder, are generally subject to 30% (or lower treaty rate) withholding. Our special tax counsel,
Davis Polk & Wardwell LLP, has advised that while it believes this treatment to be reasonable, it is unable to conclude that
it is more likely than not that this treatment will be upheld, and that other reasonable treatments are possible that could materially
affect the timing and character of income or loss on your securities. If this treatment is respected, you generally should recognize
short-term capital gain or loss on the taxable disposition of your securities (including retirement), unless you have held the
securities for more than one year, in which case your gain or loss should be long-term capital gain or loss. However, it is likely
that any sales proceeds that are attributable to the next succeeding contingent coupon after it has been fixed will be treated
as ordinary income and also possible that any sales proceeds attributable to the next succeeding contingent coupon prior to the
time it has been fixed will be treated as ordinary income.
|
In 2007, the U.S. Treasury Department
and the Internal Revenue Service (the “
IRS
”) released a notice requesting comments on various issues regarding
the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in
particular on whether beneficial owners of these instruments should be required to accrue income over the term of their investment.
It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments;
the relevance of factors such as the nature of the underlying property to which the instruments are linked; and the degree, if
any, to which income (including any mandated accruals) realized by non-U.S. persons should be subject to withholding tax. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially affect the tax consequences of an investment in the securities, possibly with
retroactive effect.
As discussed in the section of
the accompanying product supplement entitled “U.S. Federal Income Tax Consequences — ‘FATCA’ Legislation,”
it would be prudent to assume that an applicable withholding agent will treat payments in respect of the securities and gross proceeds
from any taxable disposition of a security (including retirement) as subject to withholding under FATCA. However, under a recent
IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated as interest) from
the taxable disposition of a security occurring before January 1, 2019. You should consult your tax adviser regarding the potential
application of FATCA to the securities.
The discussions above and in the
accompanying product supplement do not address the consequences to taxpayers subject to special tax accounting rules under Section
451(b).
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, a recent IRS notice excludes from the scope
of Section 871(m) instruments issued prior to January 1, 2019 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, our special tax counsel is of the opinion that Section 871(m) should 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. You should consult your tax adviser regarding the potential application of
Section 871(m) to the securities.
You should review carefully the
section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel regarding the material U.S.
federal income tax consequences of owning and disposing of the securities.
Under current law, the United
Kingdom will not impose withholding tax on payments made with respect to the securities.
For a discussion of certain German
tax considerations relating to the securities, you should refer to the section in the accompanying prospectus supplement entitled
“Taxation by Germany of Non-Resident Holders.”
You should consult your tax
adviser regarding the U
.
S
.
federal tax consequences of an investment in the securities
(
including possible
alternative treatments and the issues presented by the 2007 notice
),
as well as tax consequences arising under the laws
of any state
,
local or non
-
U
.
S
.
taxing jurisdiction
.
Selected
Risk Considerations
An investment in the securities involves
significant risks. Investing in the securities is not equivalent to investing directly in the Underlyings or in any of the components
of 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 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 Level of the Laggard Underlying is less than its Initial Level.
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
.
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·
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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 OR
LEVELS
,
AS APPLICABLE
,
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 or levels, as applicable, of any Underlyings even if the Final Levels of
all
the Underlyings are greater than
their respective Initial Levels. 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 or level, as applicable,
of any Underlyings, which may be significant.
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·
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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 Level of any 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
Level of any 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 Level 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) or level(s), as applicable, of one or more of the Underlyings tend to be lower than their
respective Knock-Out Levels, which are equal to their respective Coupon Barriers.
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·
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REINVESTMENT RISK
— If
the securities are automatically called, the term of the securities may be reduced to as short as approximately six 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.
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·
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IF THE SECURITIES ARE NOT AUTOMATICALLY
CALLED
,
YOUR PAYMENT AT MATURITY WILL DEPEND ON WHETHER A KNOCK-OUT EVENT HAS OCCURRED AND THE FINAL LEVEL 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 Level of the Laggard Underlying, in each case without taking into consideration the performance of the other Underlyings.
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·
|
A HIGHER CONTINGENT COUPON OR A LOWER
COUPON BARRIER OR KNOCK
-
OUT LEVEL 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 securities
are set, the greater the expectation is at that time that Closing Level 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 Level 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 Levels, 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 Level 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 Level 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.
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THE SECURITIES ARE SUBJECT TO THE CREDIT
OF DEUTSCHE BANK AG
— The securities are senior unsecured obligations of Deutsche Bank AG and are not, either directly
or indirectly, an obligation of any third party. Any payment(s) to be made on the securities depends on the ability of Deutsche
Bank AG to satisfy its obligations as they become due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating
or increase in the credit spreads charged by the market for taking Deutsche Bank AG’s credit risk will likely have an adverse
effect on the value of the securities. As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the
value of the securities and, in the event Deutsche Bank AG were to default on its obligations or become subject to a Resolution
Measure, you might not receive any amount(s) owed to you under the terms of the securities and you could lose your entire investment.
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·
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THE SECURITIES
MAY BE WRITTEN DOWN
,
BE CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION
MEASURES
.
YOU MAY LOSE SOME OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— Pursuant
to the SRM Regulation, the Resolution Act and other applicable rules and regulations described above under “Resolution Measures
and Deemed Agreement,” the securities are subject to the powers exercised by the competent resolution authority to impose
Resolution Measures on us, which may include: writing down, including to zero, any claim for payment on the securities; converting
the securities into ordinary shares of (i) the Issuer, (ii) any group entity or (iii) any bridge bank or other instruments of ownership
of such entities qualifying as common equity tier 1 capital; or applying any other resolution measure including, but not limited
to, transferring the securities to another entity, amending, modifying or varying the terms and conditions of the securities or
cancelling the securities. The competent resolution authority may apply Resolution Measures individually or in any combination.
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The
German law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
, or the “
Resolution
Mechanism Act
”) provides that, in a German insolvency proceeding of the Issuer, certain specifically defined senior unsecured
debt instruments would rank junior to, without constituting subordinated debt, all other outstanding unsecured unsubordinated obligations
of the Issuer and be satisfied only if all such other senior unsecured obligations of the Issuer have been paid in full. This prioritization
would also be given effect if Resolution Measures are imposed on the Issuer, so that obligations under debt instruments that rank
junior in insolvency as described above would be written down or converted into common equity tier 1 instruments before any other
senior unsecured obligations of the Issuer are written down or converted. A large portion of our liabilities consist of senior
unsecured obligations that either fall outside the statutory definition of debt instruments that rank junior to other senior unsecured
obligations according to the Resolution Mechanism Act or are expressly exempted from such definition.
Among
those unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt instruments
whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence of an event
which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way other than
by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence or non-occurrence
of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless the payment of
interest or the amount of the interest payments solely depends on a fixed or floating reference interest
rate
and is settled by monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency
proceedings instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments of
the Issuer outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures
with respect to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued
under the prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the “
Structured Debt
Securities
,” and which do not, referred to herein as the “
Non
-
Structured Debt Securities
.”
We expect the securities offered herein to be classified as Structured Debt Securities, but the competent regulatory authority
or court may classify the securities differently. In a German insolvency proceeding or in the event of the imposition of Resolution
Measures with respect to the Issuer, the Structured Debt Securities are expected to be among the unsecured unsubordinated obligations
that would bear losses after the Non-Structured Debt Securities as described above.
Nevertheless
,
you may lose some or
all of your investment in the securities if a Resolution Measure becomes applicable to us
. Imposition of a Resolution Measure
would likely occur if we become, or are deemed by the competent supervisory authority to have become, “non-viable”
(as defined under the then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure
becoming applicable to us. The Bank Recovery and Resolution Directive and the Resolution Act are intended to eliminate the need
for public support of troubled banks, and you should be aware that public support, if any, would only potentially be used by the
competent supervisory authority as a last resort after having assessed and exploited, to the maximum extent practicable, the resolution
tools, including the bail-in tool.
By
acquiring the securities, you would have no claim or other right against us arising out of any Resolution Measure and we would
have no obligation to make payments under the securities following the imposition of a Resolution Measure. In particular, the imposition
of any Resolution Measure will not constitute a default or an event of default under the securities, under the Indenture or for
the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act. Furthermore, because the securities are
subject to any Resolution Measure, secondary market trading in the securities may not follow the trading behavior associated with
similar types of securities issued by other financial institutions which may be or have been subject to a Resolution Measure.
In
addition, by your acquisition of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable
law, any and all claims against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or the
indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that the
trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution
Measure by the competent resolution authority with respect to the securities.
Accordingly
,
you may have limited or circumscribed
rights to challenge any decision of the competent resolution authority to impose any Resolution Measure
.
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·
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THE ISSUER
’
S ESTIMATED
VALUE OF THE SECURITIES ON THE TRADE DATE WILL BE LESS THAN THE ISSUE PRICE OF THE SECURITIES
— The Issuer’s estimated
value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of
the securities. The difference between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date
is due to the inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations under
the securities through one or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost of
providing such hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent
in providing such hedge. The Issuer’s estimated value of the securities is determined by reference to an internal funding
rate and our pricing models. The internal funding rate is typically lower than the rate we would pay when we issue conventional
debt securities on equivalent terms. This difference in funding rate, as well as the agent’s commissions, if any, and the
estimated cost of hedging our obligations under the securities, reduces the economic terms of the securities to you and is expected
to adversely affect the price at which you may be able to sell the securities in any secondary market. In addition, our internal
pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. If
at any time a third party dealer were to quote a price to purchase your securities or otherwise value your securities, that price
or value may differ materially from the estimated value of the securities determined by reference to our internal funding rate
and pricing models. This difference is due to, among other things, any difference in funding rates, pricing models or assumptions
used by any dealer who may purchase the securities in the secondary market.
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INVESTING IN THE SECURITIES IS NOT THE
SAME AS INVESTING IN THE UNDERLYINGS OR THE SECURITIES COMPOSING THE UNDERLYINGS
— The return on the securities may not
reflect the return you would have realized if you had directly invested in the Underlyings or the securities composing 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 or level, as applicable, of any Underlyings, which could be significant.
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IF THE PRICES OR LEVELS
,
AS APPLICABLE
,
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 or levels, as applicable, of the Underlyings and the securities composing the Underlyings.
Changes in the prices or levels, as applicable, of the Underlyings and the securities composing the Underlyings may not result
in comparable changes in the value of your securities.
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·
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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 Funds or the securities composing the Underlyings would have.
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·
|
YOUR INVESTMENT IS EXPOSED TO A DECLINE
IN THE PRICE OR LEVEL
,
AS APPLICABLE
,
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
any
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 any other Underlying.
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·
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BECAUSE THE SECURITIES ARE LINKED TO
THE LEAST PERFORMING OF THE FOUR 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 four Underlyings, it is more likely that the
Closing Level of at least one Underlying will be less than its Knock-Out Level on at least one day during the Monitoring Period
(resulting in the occurrence of a Knock-Out Event) and the Closing Level of at least one Underlying will be less than its Coupon
Barrier on an Observation Date or its Initial Level 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 Level of at least one Underlying
to be less than its Knock-Out Level 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 Levels 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
Level 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.
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·
|
EACH INDEX REFLECTS THE PRICE RETURN
OF ITS COMPONENT STOCKS
,
NOT THEIR TOTAL RETURN INCLUDING ALL DIVIDENDS AND OTHER DISTRIBUTIONS
— Each Index reflects
the changes in the market prices of its component stocks. Neither Index is, however, a “total return” index, which,
in addition to reflecting those price returns, would also reflect the reinvestment of all dividends and other distributions paid
on the stocks composing the relevant Index.
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·
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THE SPONSOR OF EACH INDEX MAY ADJUST
THE RELEVANT INDEX IN WAYS THAT AFFECT THE LEVEL OF SUCH INDEX AND HAS NO OBLIGATION TO CONSIDER YOUR INTERESTS
— The
sponsor of each Index (each, an “
Index Sponsor
”) is responsible for calculating and maintaining the relevant
Index. Each Index Sponsor can add, delete or substitute the components of the relevant Index or make other methodological changes
that could change the level of such Index. You should realize that the changing of such Index components may affect such Index,
as a newly added component may perform significantly better or worse than the component it replaces. Additionally, the Index Sponsor
may alter, discontinue or suspend calculation or dissemination of the relevant Index. Any of these actions could adversely affect
the level of such Index and, thus, the value of, and your return on, the securities. The Index Sponsors have no obligation to consider
your interests in calculating or revising the relevant Indices.
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·
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WE ARE ONE OF THE COMPANIES THAT MAKE
UP THE EURO STOXX 50
®
INDEX
— We are one of the companies that make up the EURO STOXX 50
®
Index. To our knowledge, we are not currently affiliated with any of the other companies the equity securities of which are represented
in the EURO STOXX 50
®
Index. As a result, we will have no ability to control the actions of such other companies,
including actions that could affect the value of the equity securities composing the EURO STOXX 50
®
Index or your
securities. None of the other companies
|
represented in the EURO STOXX
50
®
Index will be involved in this offering in any way. Neither they nor we will have any obligation to consider
your interests as a holder of the securities in taking any corporate actions that might affect the value of your securities.
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THERE ARE RISKS ASSOCIATED WITH INVESTMENTS
LINKED TO THE VALUES OF EQUITY SECURITIES ISSUED BY NON
-
U
.
S
.
COMPANIES
— The EURO STOXX 50
®
Index and the Funds include component stocks that are issued by companies incorporated outside of the U.S. Because the component
stocks also trade outside the U.S., the securities are subject to the risks associated with non-U.S. securities markets. Generally,
non-U.S. securities markets may be less liquid and more volatile than U.S. securities markets and market developments may affect
non-U.S. securities markets differently than U.S. securities markets, which may adversely affect the level of the EURO STOXX 50
®
Index and/or the prices of the Funds, and thus, the value of your securities. Furthermore, there are risks associated with investments
linked to the values of equity securities issued by non-U.S. companies. There is generally less publicly available information
about non-U.S. companies than about those U.S. companies that are subject to the reporting requirements of the SEC, and non-U.S.
companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable
to U.S. reporting companies. In addition, the prices of equity securities issued by non-U.S. companies may be adversely affected
by political, economic, financial and social factors that may be unique to the particular countries in which the non-U.S. companies
are incorporated. These factors include the possibility of recent or future changes in a non-U.S. government’s economic and
fiscal policies (including any direct or indirect intervention to stabilize the economy and/or securities market of the country
of such non-U.S. government), the presence, and extent, of cross shareholdings in non-U.S. companies, the possible imposition of,
or changes in, currency exchange laws or other non-U.S. laws or restrictions applicable to non-U.S. companies or investments in
non-U.S. securities and the possibility of fluctuations in the rate of exchange between currencies. Moreover, certain aspects of
a particular non-U.S. economy may differ favorably or unfavorably from the U.S. economy in important respects, such as growth of
gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. Specifically, the stocks included
in the EURO STOXX 50
®
Index are issued by companies located in countries within the Eurozone, some of which are
and have been experiencing economic stress.
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THE PERFORMANCE OF THE EURO STOXX 50
®
INDEX WILL NOT BE ADJUSTED FOR CHANGES IN THE EURO RELATIVE TO THE U.S. DOLLAR
— The EURO STOXX 50
®
Index
is composed of stocks denominated in euro. Because the level of the EURO STOXX 50
®
Index is also calculated in euro
(and not in U.S. dollars), the performance of the EURO STOXX 50
®
Index will not be adjusted for exchange rate fluctuations
between the U.S. dollar and the euro. Therefore, if the euro strengthens or weakens relative to the U.S. dollar over the term of
the securities, you will not receive any additional payment or incur any reduction in your return on the securities.
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·
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THE SECURITIES ARE SUBJECT TO CURRENCY
EXCHANGE RATE RISK
— Because the Funds invest in stocks denominated in foreign currencies but their shares are denominated
in U.S. dollars, changes in currency exchange rates may negatively impact a Fund’s return. Of particular importance to currency
exchange rate risk are:
|
|
o
|
existing and expected rates of inflation;
|
|
o
|
existing and expected interest rates;
|
|
o
|
political, civil or military unrest;
|
|
o
|
the balance of payments between the countries represented in a Fund and the U.S.; and
|
|
o
|
the extent of governmental surpluses or deficits in the countries represented in a Fund and the
U.S.
|
All of these factors are in turn
sensitive to the monetary, fiscal and trade policies pursued by the governments of the countries represented in such Fund, the
U.S. and other countries important to international trade and finance. An investor’s net exposure to currency exchange rate
risk will depend on the extent to which the currencies represented in such Fund strengthen or weaken against the U.S. dollar and
the relative weight of each currency represented in such Fund. If, taking into account such weighting, the U.S. dollar strengthens
against the component currencies as a whole, the price of a Fund will be adversely affected and the value of the securities may
be reduced. Additionally, the volatility and/or correlation (including the direction and extent of such correlation) of the exchange
rates between the U.S. dollar and the currencies represented in a Fund could adversely affect the value of the securities.
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·
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THE SECURITIES
ARE SUBJECT TO EMERGING MARKETS RISK
— The value of the securities is subject to the political and economic risks of
emerging market countries by linking to the performance of the iShares
®
MSCI Emerging Markets ETF. The stocks included
in the iShares
®
MSCI Emerging Markets ETF include stocks of companies that are located in emerging market countries
and whose securities trade on the exchanges of
|
emerging
market countries. In recent years, some emerging markets have undergone significant political, economic and social upheaval. Such
far-reaching changes have resulted in constitutional and social tensions and, in some cases, instability and reaction against market
reforms has occurred. With respect to any emerging market nation, there is the possibility of nationalization, expropriation or
confiscation, political changes, government regulation and social instability. Future political changes may adversely affect the
economic conditions of an emerging market nation. Political or economic instability could adversely affect the value of the securities
and the amount payable to you at maturity
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·
|
RISKS ASSOCIATED WITH INVESTMENTS IN
SECURITIES WITH CONCENTRATION IN THE GOLD AND SILVER MINING INDUSTRY
—The stocks composing the NYSE Arca Gold Miners
Index and that are generally tracked by the Market Vectors
®
Gold Miners ETF are stocks of companies primarily engaged
in the mining of gold and silver ore. The performance of the component securities held by the Market Vectors
®
Gold
Miners ETF may not always correlate with the performance of Gold or Silver as a commodity. In addition, the component securities
held by the Market Vectors
®
Gold Miners ETF may be subject to increased price volatility as they are linked to a
single industry and may be more susceptible to economic, market, political or regulatory occurrences affecting that industry. Because
the Market Vectors
®
Gold Miners ETF primarily invests in stocks, American Depositary Receipts (“
ADRs
”)
and Global Depositary Receipts (“
GDRs
”) of companies that are involved in the gold mining industry, and to a
lesser extent the silver mining industry, the component securities held by the Market Vectors
®
Gold Miners ETF are
subject to certain risks associated with such companies. The Market Vectors
®
Gold Miners ETF measures the performance
of shares of gold and silver mining companies and not the spot price of gold or silver specifically.
|
Gold mining companies are highly
dependent on the price of gold and subject to competition pressures that may have a significant effect on their financial condition.
Gold prices are subject to volatile price movements over short periods of time and are affected by numerous factors. These include
economic factors, including, among other things, the structure of and confidence in the global monetary system, expectations of
the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of
gold is generally quoted), interest rates and gold borrowing and lending rates, and global or regional economic, financial, political,
regulatory, judicial or other events. Gold prices may also be affected by industry factors such as industrial and jewelry demand,
lending, sales and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral
institutions which hold gold, levels of gold production and production costs, and short-term changes in supply and demand because
of trading activities in the gold market.
Silver mining companies are highly
dependent on the price of silver. Silver prices can fluctuate widely and may be affected by numerous factors. These include general
economic trends, technical developments, substitution issues and regulation, as well as specific factors including industrial and
jewelry demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the currency in which
the price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers,
global or regional political or economic events, and production costs and disruptions in major silver producing countries such
as Peru, Mexico and China.
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·
|
The Policies
of the INVESTMENT ADVISOR OF EACH FUND and Changes that Affect A FUND or ITS Tracked IndEX Could Adversely Affect the Value of
the SECURITIES
— The policies of the investment advisor
of each Fund concerning the calculation of such Fund’s net asset value (“
NAV
”), additions, deletions or
substitutions of securities or other assets or financial measures held by such Fund, substitution of the tracked index of such
Fund and the manner in which changes affecting how such tracked index is calculated are reflected in such Fund could adversely
affect the price of the shares of such Fund 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 Fund changes these policies, for
example, by changing the manner in which such investment advisor calculates such Fund’s NAV, or if such investment advisor
discontinues or suspends calculation or publication of such Fund’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 Level of a Fund 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 Level of such Fund and the Payment at Maturity in a manner it considers appropriate
in its sole discretion.
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·
|
The Performance
of A FUND
,
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 a Fund
may not match the performances of its tracked index due to a number of factors. For instance, a Fund may not hold all or substantially
all of the securities included in its tracked index and the investment advisors of a Fund may invest a portion of such Fund’s
assets in securities not included in such Fund’s tracked index. Therefore, the performance of a Fund is generally linked,
in part, to assets other than the
|
securities included in its tracked
index. Additionally, the performance of a Fund will reflect transaction costs and fees that are not included in the calculation
of its tracked index.
In addition, because the shares
of a Fund are traded on a securities exchange and are subject to supply and demand, the performance of one share of a Fund may
differ from the performance of its tracked index or such Fund’s NAV per share. Furthermore, during periods of market volatility,
securities or other assets held by a Fund 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 a Fund
and/or create, redeem or hedge shares of a Fund. In such circumstances, the prices at which market participants are willing to
buy and sell shares of a Fund may be significantly lower than such Fund’s NAV and the liquidity of the shares of a Fund may
be materially and adversely affected. Consequently, the performance of a Fund may deviate significantly from the performance of
its tracked index or such Fund’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 a Fund when it deviates significantly from
the performance of its tracked index or such Fund’s NAV per share. If this occurs, the value of, and your return on, the
securities 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 Fund, 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 Fund. The calculation agent is not required,
however, to make such adjustments in response to all events that could affect the shares of such Fund. 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 a Fund 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 Fund 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.
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THERE IS NO AFFILIATION BETWEEN THE
FUNDS OR THE UNDERLYING STOCK ISSUERS AND US AND WE HAVE NOT PARTICIPATED IN THE PREPARATION OF
,
OR VERIFIED
,
ANY
INFORMATION ABOUT THE FUNDS OR THE UNDERLYING STOCK ISSUERS —
We are not affiliated with the Funds or the issuers of
the component stocks held by the Funds 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 Funds 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. A Fund 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 Fund, which may adversely affect the value of your securities.
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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 securities
may bear little relation to the historical closing prices or levels, as applicable, 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 SECURITIES IN SECONDARY MARKET TRANSACTIONS WOULD GENERALLY
BE LOWER THAN BOTH THE ISSUE PRICE AND THE ISSUER
’
S ESTIMATED VALUE OF THE SECURITIES ON THE TRADE DATE
—
While the payment(s) on the securities described in this pricing supplement is based on the full Face Amount of securities, the
Issuer’s estimated value of the securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less
than the Issue Price of the securities. The Issuer’s estimated value of the securities on the Trade Date does not represent
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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.
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THE SECURITIES WILL NOT BE LISTED AND
THERE WILL LIKELY BE LIMITED LIQUIDITY
— The securities will not be listed on any securities exchange. There may be little
or no secondary market for the securities. We or our affiliates intend to act as market makers for the securities but are not required
to do so and may cease such market making activities at any time. Even if there is a secondary market, it may not provide enough
liquidity to allow you to sell the securities when you wish to do so or at a price advantageous to you. Because we do not expect
other dealers to make a secondary market for the securities, the price at which you may be able to sell your securities is likely
to depend on the price, if any, at which we or our affiliates are willing to buy the securities. If, at any time, we or our affiliates
do not act as market makers, it is likely that there would be little or no secondary market in the securities. If you have to sell
your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial loss, even in cases
where the prices or levels, as applicable, of the Underlyings have increased since the Trade Date.
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·
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MANY ECONOMIC AND MARKET FACTORS WILL
AFFECT THE VALUE OF THE SECURITIES
— While we expect that, generally, the prices or levels, as applicable, 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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o
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whether the Closing Level of any Underlying on any Observation Date is less than its Coupon Barrier;
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o
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whether the Closing Level of any Underlying is less than its Knock-Out Level on any day during
the Monitoring Period, thereby causing a Knock-Out Event;
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|
o
|
the expected volatility of the Underlyings;
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o
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the time remaining to the maturity of the securities;
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o
|
the market prices and dividend rates of the shares of the Funds and the securities composing the
Underlyings;
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o
|
the composition of the Underlyings;
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o
|
the occurrence of certain events affecting one or both of the Funds that may or may not require
an anti-dilution adjustment;
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o
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the exchange rates between the U.S. dollar and the non-U.S. currencies that the stocks held by
the Funds are traded in;
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o
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interest rates and yields in the markets generally;
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o
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geopolitical conditions and economic, financial, political, regulatory or judicial events that
affect any of the Underlyings, the Tracked Indices of the Funds or the markets generally;
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o
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supply and demand for the securities; and
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o
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our creditworthiness, including actual or anticipated downgrades in our credit ratings.
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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 or levels, as applicable,
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.
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TRADING AND OTHER TRANSACTIONS BY US
OR OUR AFFILIATES IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE SECURITIES
— We or our affiliates
expect to hedge our exposure from the securities by entering into equity and equity derivative transactions, such as over-the-counter
options, futures or exchange-traded instruments. We or our affiliates may also engage in trading in instruments linked or related
to the 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 or levels, as applicable, of one or more 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
or levels, as applicable, of one or more 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.
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WE OR OUR AFFILIATES MAY PUBLISH RESEARCH
,
EXPRESS OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE SECURITIES
.
ANY SUCH
RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE PRICES OR LEVELS
,
AS APPLICABLE
,
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 or levels, as applicable, 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.
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POTENTIAL CONFLICTS OF INTEREST
— We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation
agent, hedging our obligations under the securities and determining the Issuer’s estimated value of the securities on the
Trade Date and the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary
market transactions. In performing these roles, our economic interests and those of our affiliates are potentially adverse to your
interests as an investor in the securities. The calculation agent will determine, among other things, all values, prices and levels
required to be determined for the purposes of the securities on any relevant date or time. The calculation agent 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 or levels 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.
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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,
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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 above under “Tax Consequences.” If the IRS were successful in asserting an alternative treatment for the
securities, the tax consequences of ownership and disposition of the securities could be materially affected. In addition, as described
above under “Tax Consequences,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting comments
on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
Any Treasury regulations or other guidance promulgated after consideration of these issues could materially affect the tax consequences
of an investment in the securities, possibly with retroactive effect. You should review carefully the section of the accompanying
product supplement entitled “U.S. Federal Income Tax Consequences,” and consult your tax adviser regarding the U.S.
federal tax consequences of an investment in the securities (including possible alternative treatments and the issues presented
by the 2007 notice), as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Historical Information
The following graphs set forth the historical
performances of the S&P 500
®
Index, the EURO STOXX 50
®
Index, the Market Vectors
®
Gold Miners ETF and the iShares
®
MSCI Emerging Markets ETF based on their daily closing prices or levels, as applicable,
from February 12, 2013 through February 12, 2018. The closing level of the S&P 500
®
Index on February 12, 2018
was 2,656.00. The closing level of the EURO STOXX 50
®
Index on February 12, 2018 was 3,368.25. The closing price
of the Market Vectors
®
Gold Miners ETF on February 12, 2018 was $21.97. The closing price of the iShares
®
MSCI Emerging Markets ETF on February 12, 2018 was $47.15. Each graph below also indicates by a broken line the Coupon Barrier
and Knock-Out Level equal to 65.00% of the closing price or level, as applicable, of the relevant Underlying on February 12, 2018.
We obtained the historical closing prices
and 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 prices and 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 any day during the Monitoring Period and on the Observation
Dates (including the Final Valuation Date). We cannot give you assurance that the performance of the Underlyings will result in
the return of any of your investment
.
Correlation of the Underlyings
The
following graph sets forth the historical performances of
the S&P 500
®
Index, the EURO STOXX 50
®
Index, the Market Vectors
®
Gold Miners ETF and the iShares
®
MSCI Emerging Markets ETF
from
February 12, 2013 through February 12, 2018, based on the daily closing prices or levels, as applicable, of the Underlyings
.
For comparison purposes, each Underlying has been normalized to have a closing level of 100.00
on February 12, 2013 by (1)
dividing
the closing price or level, as applicable, of that Underlying on each day
by the closing price or level, as applicable, of that Underlying on February 12, 2013 and (2)
multiplying
by 100.00.
However, d
ue to adjustments made in 2014 to the index tracked by the iShares
®
MSCI Emerging Markets ETF,
the historical performance of the iShares
®
MSCI Emerging Markets ETF may be of limited value in assessing its anticipated
future performance. Please see “Selected Risk Considerations — Past performance of the Underlyings is no guide to future
performance” in this pricing supplement for more information.
We
obtained the closing prices and levels used to determine the normalized closing levels set forth below from Bloomberg, without
verification. Historical performance of the Underlyings should not be taken as an indication of future performance. Future performance
of the Underlyings may differ significantly from historical performance and no assurance can be given as to the Closing Levels
of the Underlyings on any day during the Monitoring Period and on the Observation Dates (including the Final Valuation Date). We
cannot give you assurance that the performances of the Underlyings will result in the return of any of your investment.
The
closer the relationship of the daily returns of a pair of Underlyings over a given period, the more positively correlated those
Underlyings are. The graph above illustrates the historical performance of each Underlying relative to the other Underlyings over
the time period shown and provides an indication of how close the relative performance of the daily returns of one Underlying has
historically been to the others. For additional information, please see “Selected Risk Considerations — Because the
securities are linked to the least performing of the four 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” in this pricing
supplement. The lower (or more negative) the correlation between two Underlyings,
the
less likely it is that those Underlyings will move in the same direction and, therefore, the greater the potential that a Knock-Out
Event may occur or that the Final Level of at least one of the Underlyings may be less than its Initial Price. This is because
the less positively correlated a pair of Underlyings are, the greater the likelihood that the price or level, as applicable, of
at least one of the Underlyings will decrease. This results in a greater potential for a loss of some or all of your investment
at maturity. However, even if two Underlyings have a higher positive correlation, the Closing Level of one or both of those Underlyings
on any day during the Monitoring Period may be less than its Knock-Out Level or the Final Level of any of those Underlyings may
be less than its Initial Level, as applicable, as the prices or levels, as applicable, of both of those Underlyings may decrease
together.
In
addition, for each additional Underlying to which the securities are linked, there is a greater potential for one pair of Underlyings
to have low or negative correlation. Therefore, the greater the number of Underlyings, the greater the potential for a loss of
some or all of your investment at maturity. We determined the Contingent Coupon, Knock-Out Levels and Coupon Barriers for the securities
based, in part, on the correlation among the Underlyings, calculated using internal models at the time the terms of the securities
were set. As discussed above, increased risk resulting from lower correlation or from a greater number of underlyings is reflected
in a higher Contingent Coupon than would be payable on, or lower Knock-Out Levels or Coupon Barriers for each Underlying than would
be offered for, securities linked to fewer underlyings that have a higher degree of correlation.
Supplemental Plan of Distribution
(
Conflicts of Interest
)
DBSI, acting as agent for Deutsche Bank
AG, will not receive a selling concession in connection with the sale of the securities. DBSI will pay custodial fees to other
broker-dealers of 0.25% or $2.50 per $1,000 Face Amount of securities and will pay a fee of 0.3375% or $3.375 per $1,000 Face Amount
of securities to CAIS Capital LLC with respect to the securities for which CAIS Capital LLC acts as introducing broker. Deutsche
Bank AG will reimburse DBSI for such custodial fees and fee paid to CAIS Capital LLC.
DBSI, the agent for this offering, is our
affiliate. Because DBSI is both our affiliate and a member of the Financial Industry Regulatory Authority, Inc. (“
FINRA
”),
the underwriting arrangement for this offering must comply with the requirements of FINRA Rule 5121 regarding a FINRA member firm’s
distribution of the securities of an affiliate and related conflicts of interest. In accordance with FINRA Rule 5121, DBSI may
not make sales in offerings of the securities to any of its discretionary accounts without the prior written approval of the customer.
See “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
Settlement
We expect to deliver the securities against
payment for the securities on the Settlement Date indicated above, which is expected to be a day that is greater than two business
days following the Trade Date. Under Rule 15c6–1 of the Securities Exchange Act of 1934, as amended, trades in the secondary
market generally are required to settle in two business days, unless the parties to a trade expressly agree otherwise. Accordingly,
if the Settlement Date is more than two business days after the Trade Date, purchasers who wish to transact in the securities more
than two business days prior to the Settlement Date will be required to specify alternative settlement arrangements to prevent
a failed settlement.
Validity of the Securities
In the opinion of Davis Polk & Wardwell
LLP, as special United States products counsel to the Issuer, when the securities offered by this pricing supplement have been
executed and issued by the Issuer and authenticated by the authenticating agent, acting on behalf of the trustee pursuant to the
Indenture, and delivered against payment as contemplated herein, such securities will be valid and binding obligations of the Issuer,
enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation,
concepts of good faith, fair dealing and the lack of bad faith) and possible judicial or regulatory actions giving effect to governmental
actions or foreign laws affecting creditors’ rights,
provided
that such counsel expresses no opinion as to the effect
of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above. This opinion
is given as of the date hereof and is limited to the laws of the State of New York. Insofar as this opinion involves matters governed
by German law, Davis Polk & Wardwell LLP has relied, without independent investigation, on the opinion of Group Legal Services
of Deutsche Bank AG, dated as of January 1, 2016, filed as an exhibit to the opinion of Davis Polk & Wardwell LLP, and this
opinion is subject to the same assumptions, qualifications and limitations with respect to such matters as are contained in such
opinion of Group Legal Services of Deutsche Bank AG. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Indenture and the authentication of the securities by the authenticating agent and
the validity, binding nature and enforceability of the Indenture with respect to the trustee, all as stated in the opinion of Davis
Polk & Wardwell LLP dated as of January 1, 2016, which has been filed by the Issuer on Form 6–K dated January 4, 2016.
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