Pricing Supplement No. 3113B
To underlying
supplement No
.
1 dated August 31, 2018
product supplement
B dated August 21
,
2018
prospectus
supplement dated August 20
,
2018 and
prospectus
dated August 20
,
2018
|
Registration Statement No
.
333
–
226421
Rule 424
(
b
)(
2
)
|
The information in
this preliminary pricing supplement is not complete and may be changed
.
This preliminary pricing supplement and the accompanying
underlying supplement
,
product supplement
,
prospectus supplement and prospectus do not constitute an offer to sell
nor do they seek an offer to buy the securities in any jurisdiction where the offer or sale is not permitted
.
Subject to Completion.
Dated March 19, 2019
|
Deutsche Bank AG
$ Securities Linked to the Lesser Performing
of the iShares
®
MSCI EAFE ETF and the Russell 2000
®
Index due June 24, 2020
General
|
·
|
The securities are designed for investors
who seek a return at maturity linked to the lesser performing of the iShares
®
MSCI EAFE ETF (the “
Fund
”)
and the Russell 2000
®
Index (the “
Index
,” and each of the Fund and the Index, an “
Underlying
”).
In addition, the securities will pay Coupons on a monthly basis at a rate of 5.86% per annum as described below. If the Final Level
of the lesser performing Underlying, which we refer to as the “
Laggard Underlying
,” is greater than or equal
to its Knock-Out Level (equal to 80.00% of its Initial Level), investors will receive at maturity the Face Amount per $1,000 Face
Amount of securities (excluding any Coupon payment). However, if the Final Level of the Laggard Underlying is less than its Knock-Out
Level, for each $1,000 Face Amount of securities, investors will lose 1.25% of the Face Amount for every 1.00% by which the Final
Level of the Laggard Underlying is less than its Initial Level by an amount greater than the Buffer Amount. Investors should be
willing to lose some or all of their investment if the Final Level of
either
Underlying is less than its Knock-Out Level.
Any payment on the securities is subject to the credit of the Issuer.
|
|
·
|
Unsecured unsubordinated obligations of Deutsche Bank AG due June 24,
2020, ranking in priority to its senior non-preferred obligations
|
|
·
|
Minimum purchase of $1,000. Minimum denominations of $1,000 (the “
Face
Amount
”) and integral multiples thereof.
|
|
·
|
The securities are expected to price on or about March 19, 2019 (the
“
Trade Date
”) and are expected to settle on or about March 22, 2019 (the “
Settlement Date
”).
|
Key Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Issue Price:
|
100% of the Face Amount
|
Underlyings:
|
Underlying
|
Ticker Symbol
|
Initial Level
|
Knock-Out Level
|
|
iShares
®
MSCI EAFE ETF
|
EFA
|
$65.45
|
$52.36, equal to 80.00% of its Initial Level
|
|
Russell 2000
®
Index
|
RTY
|
1,563.932
|
1,251.146, equal to 80.00% of its Initial Level
|
Coupon:
|
The securities will pay Coupons monthly in arrears on an unadjusted basis on the Coupon Payment Dates in 15 equal installments based on the Coupon rate of 5.86% per annum. Each installment will equal $4.883 per $1,000 Face Amount of securities.
|
Coupon Payment Dates
1, 3
:
|
April 24, 2019, May 24, 2019, June 24, 2019, July 24, 2019, August 26, 2019, September 24, 2019, October 24, 2019, November 25, 2019, December 24, 2019, January 24, 2020, February 24, 2020, March 24, 2020, April 24, 2020, May 26, 2020 and June 24, 2020 (the
Maturity Date
).
|
Payment at Maturity:
|
Any
payment you receive at maturity will be determined as follows:
·
If a Knock-Out Event
does not
occur
, you will receive
a cash payment at maturity equal to the Face Amount per $1,000 Face Amount of securities (excluding any Coupon payment).
·
If a Knock-Out Event
occurs
, you will receive a cash
payment at maturity per $1,000 Face Amount of securities calculated as follows:
$1,000 + [$1,000 x (Underlying
Return of the Laggard Underlying + Buffer Amount) x Downside Participation Factor]
If a Knock
-
Out
Event occurs
,
for each $1
,
000 Face Amount of securities
,
you will lose 1.25% of the
Face Amount for every 1
.
00% by which the Final Level of the Laggard Underlying is less than its Initial Level by
an amount greater than the Buffer Amount
.
In this circumstance
,
you will lose some or all of your
investment at maturity
.
Any payment at maturity is subject to the credit of the Issuer
.
|
|
|
|
|
|
(
Key Terms continued
on next page
)
Investing in the securities involves
a number of risks
.
See
“
Risk Factors
”
beginning on page 8 of the accompanying product supplement
,
page PS
–5
of the accompanying prospectus supplement and page 19 of the accompanying prospectus and
“
Selected
Risk Considerations
”
beginning on page PS
–
10 of this pricing supplement
.
The Issuer
’
s estimated value
of the securities on the Trade Date is approximately $977.80 to $997.80 per $1
,
000 Face Amount of securities
,
which
is less than the Issue Price
.
Please see
“
Issuer
’
s Estimated Value of the Securities
”
on page PS
–
3 of this pricing supplement for additional information
.
By acquiring the securities
,
you
will be bound by and will be deemed to consent to the imposition of any Resolution Measure
(
as defined below
)
by
the competent resolution authority
,
which may include the write down of all
,
or a portion
,
of any payment
on the securities or the conversion of the securities into ordinary shares or other instruments of ownership
.
If any Resolution
Measure becomes applicable to us
,
you may lose some or all of your investment in the securities
.
Please see
“
Resolution
Measures and Deemed Agreement
”
on page PS
–
4 of this pricing supplement for more information
.
Neither the Securities and Exchange Commission
nor any state securities commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of
this pricing supplement or the accompanying underlying supplement, product supplement, prospectus supplement or prospectus. Any
representation to the contrary is a criminal offense.
|
Price to Public
|
Discounts and Commissions
(1)
|
Proceeds to Us
|
Per Security
|
$1,000.00
|
$0.00
|
$1,000.00
|
Total
|
$
|
$
|
$
|
|
(1)
|
For more detailed information about discounts and commissions, please see “Supplemental Plan
of Distribution (Conflicts of Interest)” in this pricing supplement. Deutsche Bank Securities Inc. (“
DBSI
”),
acting as agent for Deutsche Bank AG, will not receive a selling concession in connection with the sale of the securities. Investors
that purchase and hold the securities in fee-based advisory accounts may be charged fees based on the amount of assets held in
those accounts, including the securities.
|
The agent for this offering is our affiliate.
For more information, please see “Supplemental Plan of Distribution (Conflicts of Interest)” in this pricing supplement.
The securities are not deposits or savings
accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any other U
.
S
.
or foreign
governmental agency or instrumentality
.
March , 2019
(
Key Terms continued
from previous page
)
Knock-Out Event:
|
A Knock-Out Event will occur if the Final Level of the Laggard Underlying is less than its Knock-Out Level.
|
Knock-Out Level:
|
For each Underlying, 80.00% of the Initial Level of such Underlying, as set forth in the table under “Underlyings” above
|
Laggard Underlying:
|
The Underlying with the lower Underlying Return on the Final Valuation Date. If the calculation agent determines that the two Underlyings have equal Underlying Returns, then the calculation agent will, in its sole discretion, designate either of the 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
.
|
Buffer Amount:
|
20.00%
|
Downside Participation Factor:
|
125.00%
|
Initial Level:
|
For each Underlying, the Closing Level of such Underlying on March 18, 2019, as set forth in the table under “Underlyings” above.
The Initial Level for each Underlying is
not
the Closing Level of such Underlying on the Trade Date
.
|
Final Level:
|
For each Underlying, the Closing Level of such Underlying on the Final Valuation Date
|
Closing Level:
|
For the Fund, the closing
price of one share of the Fund on the relevant date of calculation
multiplied by
the then-current Share Adjustment Factor,
as determined by the calculation agent.
For the Index, the official
closing level of the Index as published on the applicable page of Bloomberg Professional
®
service or any successor
service (“
Bloomberg
”) on the relevant date of calculation. The Closing Level of the Index as published by Bloomberg
may be published to greater or fewer decimal places than the official closing level of the Index as published by the Index Sponsor
(as defined below). Accordingly, the Closing Level of the Index as published by Bloomberg may be slightly different from the official
closing level of that Index as published by the Index Sponsor.
|
Share Adjustment Factor:
|
Initially 1.0, subject to adjustment for certain actions affecting the Fund. See “Description of Securities — Anti-Dilution Adjustments for Funds” in the accompanying product supplement.
|
Office Substitution:
|
We may, without the consent of the holders or the trustee, designate our head office in Frankfurt as substitute for the London Branch through which we have acted to issue the securities with the same effect as if our head office had been originally named as the office through which we had acted to issue the securities for all purposes under the Indenture (as defined below) and the securities. Please see the risk factor “We may, without consent of the holders or the trustee, designate our head office in Frankfurt as the issuing office” in this pricing supplement for more information.
|
Trade Date
3
:
|
March 19, 2019
|
Settlement Date
3
:
|
March 22, 2019
|
Final Valuation Date
2, 3
:
|
June 19, 2020
|
Maturity Date
2, 3
:
|
June 24, 2020
|
Listing:
|
The securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MME8 / US25155MME83
|
|
1
|
Subject to adjustment as described under “Description of Securities — Periodic and
Contingent Coupons” in the accompanying product supplement.
|
|
2
|
Subject to adjustment as described under “Description of Securities — Adjustments to
Valuation Dates and Payment Dates” in the accompanying product supplement.
|
|
3
|
In the event that we make
any changes to the expected Trade Date or Settlement Date, the Coupon Payment Dates, Final Valuation Date and Maturity Date may
be changed so that the stated term of the securities remains the same.
|
Issuer
’
s Estimated Value of the Securities
The Issuer’s estimated value of the
securities is equal to the sum of our valuations of the following two components of the securities: (i) a bond and (ii) an embedded
derivative(s). The value of the bond component of the securities is calculated based on the present value of the stream of cash
payments associated with a conventional bond with a principal amount equal to the Face Amount of securities, discounted at an internal
funding rate, which is determined primarily based on our market-based yield curve, adjusted to account for our funding needs and
objectives for the period matching the term of the securities. The internal funding rate is typically lower than the rate we would
pay when we issue conventional debt securities on equivalent terms. This difference in funding rate, as well as the agent’s
commissions, if any, and the estimated cost of hedging our obligations under the securities, reduces the economic terms of the
securities to you and is expected to adversely affect the price at which you may be able to sell the securities in any secondary
market. The value of the embedded derivative(s) is calculated based on our internal pricing models using relevant parameter inputs
such as expected interest and dividend rates and mid-market levels of price and volatility of the assets underlying the securities
or any futures, options or swaps related to such underlying assets. Our internal pricing models are proprietary and rely in part
on certain assumptions about future events, which may prove to be incorrect.
The Issuer’s estimated value of the
securities on the Trade Date (as disclosed on the cover of this pricing supplement) is less than the Issue Price of the securities.
The difference between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date is due to the
inclusion in the Issue Price of the agent’s commissions, if any, and the cost of hedging our obligations under the securities
through one or more of our affiliates. Such hedging cost includes our or our affiliates’ expected cost of providing such
hedge, as well as the profit we or our affiliates expect to realize in consideration for assuming the risks inherent in providing
such hedge.
The Issuer’s estimated value of the
securities on the Trade Date does not represent the price at which we or any of our affiliates would be willing to purchase your
securities in the secondary market at any time. Assuming no changes in market conditions or our creditworthiness and other relevant
factors, the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary market
transactions, if at all, would generally be lower than both the Issue Price and the Issuer’s estimated value of the securities
on the Trade Date. Our purchase price, if any, in secondary market transactions will be based on the estimated value of the securities
determined by reference to (i) the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure
of our cost of funds and (ii) our pricing models at that time, less a bid spread determined after taking into account the size
of the repurchase, the nature of the assets underlying the securities and then-prevailing market conditions. The price we report
to financial reporting services and to distributors of our securities for use on customer account statements would generally be
determined on the same basis. However, during the period of approximately three months beginning from the Trade Date, we or
our affiliates may, in our sole discretion, increase the purchase price determined as described above by an amount equal to the
declining differential between the Issue Price and the Issuer’s estimated value of the securities on the Trade Date, prorated
over such period on a straight-line basis, for transactions that are individually and in the aggregate of the expected size for
ordinary secondary market repurchases.
Resolution Measures and Deemed Agreement
On May 15, 2014, the European Parliament
and the Council of the European Union adopted a directive establishing a framework for the recovery and resolution of credit institutions
and investment firms (commonly referred to as the “
Bank Recovery and Resolution Directive
”), which was implemented
into German law by the German Recovery and Resolution Act (
Sanierungs
-
und Abwicklungsgesetz
, or, as amended, 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 was 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 will be deemed irrevocably to consent to the provisions set forth in the accompanying prospectus, which
we have summarized below.
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 issue to or confer on the holders (including the beneficial owners) such ordinary
shares or instruments); 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, Delaware Trust Company,
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
any of the indenture agents takes, or abstains 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 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 August 20, 2018, including the risk
factors beginning on page 19 of such prospectus
.
Additional Terms Specific to the Securities
You should read this pricing supplement
together with underlying supplement No. 1 dated August 31, 2018, product supplement B dated August 21, 2018, the prospectus supplement
dated August 20, 2018 relating to our Series A global notes of which these securities are a part and the prospectus dated August
20, 2018. 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 31, 2018
:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010318010218/crt_dp94668-424b2.pdf
|
·
|
Product
supplement B dated August 21, 2018:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010318009866/crt_dp94661-424b2.pdf
|
·
|
Prospectus
supplement dated August 20, 2018:
|
http://www.sec.gov/Archives/edgar/data/1159508/000095010318009813/dp94664_424b2-prosupsa.htm
|
·
|
Prospectus
dated August 20, 2018:
|
http://www.sec.gov/Archives/edgar/data/1159508/000119312518252721/d567315d424b21.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 table below illustrates the hypothetical
Payments at Maturity per $1,000 Face Amount of securities for a hypothetical range of performances for the Laggard Underlying (excluding
any Coupon payment). The table and the hypothetical examples set forth below reflect the Buffer Amount of 20.00%, the Downside
Participation Factor of 125.00% and, for each Underlying, the Knock-Out Level of 80.00% of the Initial Level for such Underlying.
The actual Initial Level and Knock-Out Level for each Underlying are set forth on the cover of this pricing supplement. The following
results are based
solely
on the hypothetical examples cited. You should consider carefully whether the securities are suitable
to your investment goals. The numbers appearing in the table and examples below may have been rounded for ease of analysis.
We make no representation or warranty
as to which of the Underlyings will be the Laggard Underlying for purposes of calculating the Payment at Maturity
.
The Laggard
Underlying may not be the only Underlying that caused the Knock
-
Out Event
.
Hypothetical
Underlying
Return
of the Laggard Underlying
(%)
|
Hypothetical
Payment at
Maturity
($) (
excluding
Coupon payments)
|
Hypothetical
Return on
the Securities
(%) (
excluding
Coupon payments)
|
100.00%
|
$1,000.00
|
0.00%
|
90.00%
|
$1,000.00
|
0.00%
|
80.00%
|
$1,000.00
|
0.00%
|
70.00%
|
$1,000.00
|
0.00%
|
60.00%
|
$1,000.00
|
0.00%
|
50.00%
|
$1,000.00
|
0.00%
|
40.00%
|
$1,000.00
|
0.00%
|
30.00%
|
$1,000.00
|
0.00%
|
20.00%
|
$1,000.00
|
0.00%
|
10.00%
|
$1,000.00
|
0.00%
|
5.00%
|
$1,000.00
|
0.00%
|
0.00%
|
$1,000.00
|
0.00%
|
-5.00%
|
$1,000.00
|
0.00%
|
-10.00%
|
$1,000.00
|
0.00%
|
-
20.00%
|
$1
,
000
.
00
|
0
.
00%
|
-21.00%
|
$987.50
|
-1.25%
|
-30.00%
|
$875.00
|
-12.50%
|
-40.00%
|
$750.00
|
-25.00%
|
-50.00%
|
$625.00
|
-37.50%
|
-60.00%
|
$500.00
|
-50.00%
|
-70.00%
|
$375.00
|
-62.50%
|
-80.00%
|
$250.00
|
-75.00%
|
-90.00%
|
$125.00
|
-87.50%
|
-100.00%
|
$0.00
|
-100.00%
|
Hypothetical Examples of Amounts Payable at Maturity
The following hypothetical examples illustrate
how the Payments at Maturity set forth in the table above are calculated and reflect the Coupon rate of 5.86% per annum.
Example 1
:
The Final Levels of
both Underlyings are greater than their respective Knock
-
Out Levels
,
resulting in an Underlying Return of the Laggard
Underlying of 20
.
00%
. Because the Final Levels of both Underlyings are greater than their respective Knock-Out Levels,
a Knock-Out Event does not occur. As a result, even though the Underlying Return of the Laggard Underlying is 20.00%, the investor
receives a Payment at Maturity of $1,000.00 per $1,000 Face Amount of securities (excluding Coupon payments). In addition, the
investor will receive Coupon payments totaling $73.25 per $1,000 Face Amount of securities over the term of the securities.
Example 2
:
The Final Levels of
both Underlyings are greater than their respective Knock
-
Out Levels
,
resulting in an Underlying Return of the Laggard
Underlying of
-
10
.
00%
. Because the Final Levels of both
Underlyings are greater than their respective
Knock-Out Levels, a Knock-Out Event does not occur. As a result, even though the Underlying Return of the Laggard Underlying is
-10.00%, the investor receives a Payment at Maturity of $1,000.00 per $1,000 Face Amount of securities (excluding Coupon payments).
In addition, the investor will receive Coupon payments totaling $73.25 per $1,000 Face Amount of securities over the term of the
securities.
Example 3
:
The Final Level of
the Laggard Underlying is less than its Knock
-
Out Level
,
resulting in an Underlying Return of the Laggard Underlying
of
-
50
.
00%
,
while the Final Level of the other Underlying is greater than its Initial Level
. Because the
Final Level of the Laggard Underlying is less than its Knock-Out Level, a Knock-Out Event occurs. As a result, even though the
Final Level of the other Underlying is greater than its Initial Level, for each $1,000 Face Amount of securities, the investor
loses 1.25% of the Face Amount for every 1.00% by which the Final Level of the Laggard Underlying is less than its Initial Level
by an amount greater than the Buffer Amount. Accordingly, the investor receives a Payment at Maturity of approximately $625.00
per $1,000 Face Amount of securities (excluding Coupon payments), calculated as follows:
$1,000 + [$1,000 x
(Underlying Return of the Laggard Underlying + Buffer Amount) x Downside Participation Factor]
$1,000 + [$1,000 x (-50.00% + 20.00%) x 125.00%]
= $625.00
In addition, the investor will receive Coupon
payments totaling $73.25 per $1,000 Face Amount of securities over the term of the securities.
Example 4
:
The Final Levels of
both Underlyings are less than their respective Knock
-
Out Levels
,
resulting in an Underlying Return of the Laggard
Underlying of
-
60
.
00%
. Because the Final Level of the Laggard Underlying is less than its Knock-Out Level, a
Knock-Out Event occurs. As a result, for each $1,000 Face Amount of securities, the investor loses 1.25% of the Face Amount for
every 1.00% by which the Final Level of the Laggard Underlying is less than its Initial Level by an amount greater than the Buffer
Amount. Accordingly, the investor receives a Payment at Maturity of approximately $500.00 per $1,000 Face Amount of securities
(excluding Coupon payments), calculated as follows:
$1,000 + [$1,000 x
(Underlying Return of the Laggard Underlying + Buffer Amount) x Downside Participation Factor]
$1,000 + [$1,000 x (-60.00% + 20.00%) x 125.00%]
= $500.00
In addition, the investor will receive Coupon
payments totaling $73.25 per $1,000 Face Amount of securities over the term of the securities.
Selected Purchase Considerations
|
·
|
THE SECURITIES OFFER A HIGHER COUPON
IN EXCHANGE FOR EXPOSURE TO DOWNSIDE RISK OF THE LAGGARD UNDERLYING
— The securities will pay Coupons on a monthly basis
at a rate of 5.86% per annum. This rate may be higher than the yield on debt securities of comparable maturity issued by us or
an issuer with a comparable credit rating because you are taking downside risk with respect to the Laggard Underlying if it declines
below its Knock-Out Level.
Any payment on the securities is subject to our ability to satisfy our obligations as they become
due
.
|
|
·
|
COUPON PAYMENTS
— The securities
will pay Coupons monthly in arrears on an unadjusted basis on the Coupon Payment Dates in 15 equal installments based on the Coupon
rate of 5.86% per annum. Each installment will equal $4.883 per $1,000 Face Amount of securities. The Coupon Payment Dates are
April 24, 2019, May 24, 2019, June 24, 2019, July 24, 2019, August 26, 2019, September 24, 2019, October 24, 2019, November 25,
2019, December 24, 2019, January 24, 2020, February 24, 2020, March 24, 2020, April 24, 2020, May 26, 2020 and June 24, 2020.
|
|
·
|
RETURN LINKED TO THE LESSER PERFORMING
OF THE TWO UNDERLYINGS
— The return on the securities, which may be positive, zero or negative, is linked to the lesser
performing of the iShares
®
MSCI EAFE ETF and the Russell 2000
®
Index as described herein. If a Knock-Out
Event occurs, the Payment at Maturity you receive, if any, will be determined by reference to the performance of the Laggard Underlying.
|
iShares
®
MSCI
EAFE ETF
The iShares
®
MSCI
EAFE 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 EAFE ETF. The iShares
®
MSCI EAFE 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 European, Australasian and Far Eastern markets, as measured by the MSCI EAFE
®
Index (the “
Tracked Index
”). The iShares
®
MSCI EAFE ETF trades on the NYSE Arca under the ticker
symbol “EFA.” The investment advisor to the iShares
®
MSCI EAFE ETF is Blackrock Fund Advisors (the “
Fund
Advisor
”).
This is only a summary of the iShares
®
MSCI EAFE ETF
.
For more information
on the iShares
®
MSCI EAFE ETF
,
including information concerning its composition, calculation methodology
and adjustment policy
,
please see the section entitled “The iShares Exchange Traded Funds — iShares
®
MSCI EAFE ETF
”
in the accompanying underlying supplement No
.
1 dated August 31, 2018
.
For more information
on the MSCI EAFE
®
Index
,
please see the section entitled “The MSCI Indices — The MSCI
EAFE
®
Index
”
in the accompanying underlying supplement No
.
1 dated August 31, 2018
.
Russell 2000
®
Index
The Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. The Russell 2000
®
Index measures the composite price performance of stocks of approximately 2,000 companies domiciled in the U.S. and its territories
and consists of the smallest 2,000 companies included in the Russell 3000
®
Index. The Russell 2000
®
Index represents approximately 10% of the total market capitalization of the Russell 3000
®
Index.
This is only
a summary of the Russell 2000
®
Index
.
For more information on the Russell 2000
®
Index
,
including information concerning its composition
,
calculation methodology and adjustment policy
,
please
see the section entitled “The Russell Indices — The Russell 2000
®
Index
”
in the
accompanying underlying supplement No
.
1 dated August 31, 2018
.
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·
|
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. Our special tax counsel, Davis Polk & Wardwell LLP, believes that it is reasonable to treat a
security for U.S. federal income tax purposes as a put option (the “
Put Option
”) written by you to us with respect
to the Laggard Underlying, secured by a cash deposit equal to the Issue Price of the security (the “
Deposit
”),
which will have an annual yield based on our cost of borrowing. Our special tax counsel has advised, however, that it is unable
to conclude that it is more likely than not that this treatment will be upheld, and that alternative treatments are possible that
could materially and adversely affect the timing and character of income or loss on your securities. Generally, if this treatment
is respected, only a portion of each Coupon payment will be attributable to interest on the Deposit; the remainder will represent
premium attributable to your grant of the Put Option (“
Put Premium
”). Interest on the Deposit will be taxed
as ordinary interest income, while the Put Premium will not be taken into account prior to the maturity or other taxable disposition
of your securities. We will provide the annual yield on the Deposit in the pricing supplement for the securities.
|
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. While it is not clear
whether the securities would be viewed as similar to the typical prepaid forward contract described in the notice, any Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the securities, possibly with retroactive effect.
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 recently
proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization), no withholding
will apply to payments of gross proceeds (other than any amount treated as U.S.-source interest or other U.S.-source "fixed
or determinable annual or periodical" income). 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, 2021 that do not have a delta of one
with respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each an “
Underlying
Security
”). Based on certain determinations made by us, we expect that Section 871(m) will not apply to the securities
with regard to non-U.S. holders. Our determination is not binding on the IRS, and the IRS may disagree with this determination.
Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other
transactions with respect to an Underlying Security. If necessary, further information regarding the potential application of Section
871(m) will be provided in the pricing supplement for the securities. You should consult your tax adviser regarding the potential
application of Section 871(m) to the securities.
You should review carefully the
section of the accompanying product supplement entitled “U.S. Federal Income Tax Consequences.” The preceding discussion,
when read in combination with that section, constitutes the full opinion of our special tax counsel regarding the material U.S.
federal income tax consequences of owning and disposing of the securities.
Under current law, the United
Kingdom will not impose withholding tax on payments made with respect to the securities.
For a discussion of certain German
tax considerations relating to the securities, you should refer to the section in the accompanying prospectus supplement entitled
“Taxation by Germany of Non-Resident Holders.”
You should consult your tax
adviser regarding the U
.
S
.
federal tax consequences of an investment in the securities
(
including possible
alternative treatments and the issues presented by the 2007 notice
),
as well as tax consequences arising under the laws
of any state
,
local or non
-
U
.
S
.
taxing jurisdiction
.
Selected Risk Considerations
An investment in the securities involves
significant risks. Investing in the securities is not equivalent to investing directly in the 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.
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·
|
YOUR INVESTMENT IN THE SECURITIES MAY
RESULT IN A LOSS
— The securities do not guarantee any return of your investment. The Payment at Maturity is linked
to the performance of the Laggard Underlying. If the Final Level of
either
Underlying is less than its Knock-Out Level,
a Knock-Out Event will have occurred. If a Knock-Out Event occurs, you will lose 1.25% of your investment for every 1.00% by which
the Final Level of the Laggard Underlying is less than its Initial Level by an amount
greater than
the Buffer Amount.
In
this circumstance
,
you will lose some or all of your investment at maturity
.
Any payment on the securities is subject
to our ability to satisfy our obligations as they become due
.
|
|
·
|
THE RETURN ON THE SECURITIES IS LIMITED
TO THE FACE AMOUNT PLUS COUPON PAYMENTS AND YOU WILL NOT PARTICIPATE IN ANY INCREASE IN THE PRICE OR LEVEL
,
AS APPLICABLE
,
OF EITHER UNDERLYING
— The securities will not pay more than the Face Amount, in addition to the Coupon payments,
for each $1,000 Face Amount of securities. You will not participate in any increase in the price or level, as applicable, of either
Underlying, even if the Final Levels of both Underlyings are greater than their respective Initial Levels. The maximum payment
at maturity will be the Face Amount
|
per $1,000 Face Amount of securities (excluding Coupon payments), regardless of any increase
in the price or level, as applicable, of either Underlying, which may be significant.
|
·
|
IF A KNOCK
-
OUT EVENT OCCURS
,
YOUR PAYMENT AT MATURITY WILL BE DETERMINED BY THE FINAL LEVEL OF THE LAGGARD UNDERLYING
— If a Knock-Out Event occurs,
the Payment at Maturity will be determined by reference to the Final Level of the Laggard Underlying, without taking into consideration
the performance of the other Underlying.
|
|
·
|
A HIGHER COUPON RATE OR A LOWER KNOCK
-
OUT
LEVEL FOR EACH UNDERLYING MAY REFLECT A GREATER EXPECTED VOLATILITY OF ONE OR BOTH 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 at least one Underlying may close below its Knock-Out Level on the Final Valuation Date (resulting in a loss
of some or all of your investment). In addition, the economic terms of the securities, including the Coupon rate 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 Coupon rate or a lower Knock-Out Level for each Underlying. Accordingly,
a higher Coupon rate 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 Knock-Out Level for
each Underlying as compared with otherwise comparable securities does not necessarily indicate that the securities have a greater
likelihood of returning your investment at maturity. You should be willing to accept the downside market risk of each Underlying
and the potential loss of some or all of your investment at maturity.
|
|
·
|
THE SECURITIES ARE SUBJECT TO THE CREDIT
OF DEUTSCHE BANK AG
— The securities are unsecured unsubordinated obligations of Deutsche Bank AG, ranking in priority
to its senior non-preferred obligations, and are not, either directly or indirectly, an obligation of any third party. Any payment(s)
to be made on the securities depends on the ability of Deutsche Bank AG to satisfy its obligations as they become due. An actual
or anticipated downgrade in Deutsche Bank AG’s credit rating or increase in the credit spreads charged by the market for
taking Deutsche Bank AG’s credit risk will likely have an adverse effect on the value of the securities. As a result, the
actual and perceived creditworthiness of Deutsche Bank AG will affect the value of the securities and, in the event Deutsche Bank
AG were to default on its obligations or become subject to a Resolution Measure, you might not receive any amount(s) owed to you
under the terms of the securities and you could lose your entire investment.
|
|
·
|
THE SECURITIES
MAY BE WRITTEN DOWN
,
BE CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION
MEASURES
.
YOU MAY LOSE SOME OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— 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.
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 such 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, it will be difficult
to predict when, if at all, a Resolution Measure might become applicable to us in our individual case. Accordingly, 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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·
|
OUR
SENIOR
DEBT SECURITIES, INCLUDING THE SECURITIES OFFERED HEREIN, WILL CONSTITUTE “SENIOR PREFERRED” DEBT SECURITIES AND WOULD
BEAR LOSSES AFTER OUR “SENIOR NON-PREFERRED” DEBT INSTRUMENTS IF INSOLVENCY PROCEEDINGS ARE OPENED AGAINST US OR IF
RESOLUTION MEASURES ARE IMPOSED ON US
—
German law provides that, in a German insolvency proceeding of an 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 German law or are expressly exempted from such definition.
|
Among those unsecured unsubordinated
obligations that do not constitute debt instruments are instruments with an initial maturity of less than one year as well as senior
unsecured instruments of indebtedness 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 customary
fixed or floating reference interest rate and is settled by monetary payment. In a German insolvency proceeding or in the event
of the imposition of Resolution Measures with respect to us, 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.
Beginning January 1, 2017, according
to the German Banking Act, our non-structured senior unsecured debt instruments have become subordinated, by operation of law,
to all of our other outstanding unsecured unsubordinated obligations, including debt instruments issued prior to January 1, 2017.
We refer to the debt instruments subject to such subordination as “senior non-preferred” debt and the debt to which
they are subordinated as “senior preferred” debt. To harmonize the ranking of unsecured debt instruments issued by
banks in the European Union, a directive amending the Bank Recovery and Resolution Directive was published on December 27, 2017.
The relevant changes were implemented into German law by amending Section 46f(5) to (9) of the German Banking Act. The German Banking
Act in its form before the amendments of July 21, 2018, as described above, remains applicable to debt instruments issued prior
to July 21, 2018. Accordingly, debt instruments constituting “senior non-preferred” debt prior to the changes continue
to rank as senior non-preferred debt even if they do not contain an express reference to their lower ranking as required for issuances
from and after July 21, 2018.
Following the effectiveness of
the changes to the German Banking Act on July 21, 2018, our structured senior debt securities (including the securities offered
herein) continue to constitute “senior preferred” debt securities. In addition, we are now able to issue “non-structured”
senior debt securities as “senior preferred” debt securities, ranking
pari passu
with our structured senior
debt securities, which was not possible before the changes became effective. Such new senior preferred debt securities, whether
“structured” or “non-structured,” rank
pari passu
with, among other obligations, debt instruments
with an initial term of less than one year, derivatives and, generally, corporate deposits (unless they rank even more senior).
Accordingly, (i) our non-structured
senior debt securities that were issued before July 21, 2018 and subordinated by operation of law and (ii) our eligible liabilities
senior debt securities that constitute our unsecured unsubordinated non-preferred obligations rank junior to our structured senior
debt securities issued before July 21, 2018 and our senior debt securities (including the securities offered herein) that were
issued on or after July 21, 2018. If insolvency proceedings are opened against us or if Resolution Measures are imposed on us,
our “senior preferred” debt securities (including the securities offered herein) are expected to be among the unsecured
unsubordinated obligations that would bear losses after our “senior non-preferred” debt instruments, including the
non-structured senior debt securities issued before July 21, 2018 and the eligible liabilities senior debt securities, as described
above.
Nevertheless, you may lose some or all of your investment in the securities offered herein if insolvency proceedings
are opened against us or a Resolution Measure becomes applicable to us.
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·
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WE MAY, WITHOUT CONSENT OF THE HOLDERS
OR THE TRUSTEE, DESIGNATE OUR HEAD OFFICE IN FRANKFURT AS THE ISSUING OFFICE
— The securities will be issued through
our London Branch on the Settlement Date. However, we may, without the consent of the holders or the trustee, designate our head
office in Frankfurt as substitute for the London Branch through which we have acted to issue the securities with the same effect
as if our head office had been originally named as the office through which we had acted to issue the securities for all purposes
under the Indenture and the securities. This means that, with effect from the substitution date, our head office in Frankfurt will
assume all of the obligations of the London Branch as principal obligor under the securities. In order to give effect to such a
substitution, we will give notice of the substitution to the trustee and the holders of the securities.
|
If we designate our head office
in Frankfurt as substitute for the London Branch in accordance with the “Office Substitution” right as described above
and in the Indenture, as of the date of this pricing supplement, this substitution should not be treated as a taxable event to
investors in the securities. A change in applicable law may adversely affect the U.S. federal tax consequences of this substitution.
You should consult your tax adviser regarding the U.S. federal tax consequences of this substitution, as well as tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
|
·
|
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 either Underlying, which could be significant.
|
|
·
|
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. Changes
in the prices or levels, as applicable, of the Underlyings may not result in comparable changes in the value of your securities.
|
|
·
|
NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or rights to receive cash dividends or other distributions
or other rights that holders of the shares of the Fund or the securities composing the Underlyings would have.
|
|
·
|
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 at Maturity will be determined by reference to the performance
of the Laggard Underlying without taking into consideration the performance of the other Underlying. Unlike an instrument with
a return linked to a basket, in which risk is mitigated and diversified among all of the basket components, you will be exposed
equally to the risks related to each Underlying and your return will be based on the performance of the Laggard Underlying, as
measured on the Final Valuation Date. Poor performance by either Underlying over the term of the securities may adversely affect
your return on the securities and will not be offset or mitigated by a positive performance by the other Underlying.
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|
·
|
BECAUSE THE SECURITIES ARE LINKED TO
THE LESSER PERFORMING OF THE TWO UNDERLYINGS, YOU ARE EXPOSED TO A GREATER RISK OF LOSING SOME OR ALL OF YOUR INVESTMENT THAN IF
THE SECURITIES WERE LINKED TO JUST ONE UNDERLYING
— The risk that you will lose some or all of your investment in the
securities is greater than in substantially similar securities that are linked to the performance of just one of the Underlyings.
With two Underlyings, it is more likely that the Final Level of at least one Underlying will be less than its Knock-Out Level than
if the securities were linked to only one Underlying, and therefore, it is more likely that you 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 Final Level of at least one Underlying to
be less than its Knock-Out Level is even greater. Although the correlation of the Underlyings’ performance may change over
the term of the securities, the Coupon rate and the 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 Coupon rate or lower Knock-Out Levels for each
Underlying is generally associated with a lower correlation of the Underlyings, which reflects a greater potential for loss on
your investment at maturity.
|
|
·
|
THE INDEX REFLECTS THE PRICE RETURN
OF THE STOCKS COMPOSING THE INDEX
,
NOT THEIR TOTAL RETURN INCLUDING ALL DIVIDENDS AND OTHER DISTRIBUTIONS
— The
Index reflects the changes in the market prices of its component stocks. The Index is not, 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 Index.
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|
·
|
THE SPONSOR OF THE INDEX MAY ADJUST
THE INDEX IN WAYS THAT AFFECT THE LEVEL OF THE INDEX AND HAS NO OBLIGATION TO CONSIDER YOUR INTERESTS
— The sponsor of
the Index (the “
Index Sponsor
”) is responsible for calculating and maintaining the Index. The Index Sponsor
can add, delete or substitute the components of the Index or make other methodological changes that could change the level of the
Index. You should realize that the changing of such Index components may affect the 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 Index. Any of these actions could adversely affect the level of the Index and, thus, the value
of, and your return on, the securities. The Index Sponsor has no obligation to consider your interests in calculating or revising
the Index.
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·
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THE SECURITIES ARE SUBJECT TO RISKS
ASSOCIATED WITH SMALL
-
CAPITALIZATION COMPANIES
— The stocks composing the Index are issued by companies with relatively
small market capitalization. These companies often have greater stock price volatility, lower trading volume and less liquidity
than large-capitalization companies and, therefore, the level of the Index may be more volatile than the levels of indices that
consist of large-capitalization stocks. Stock prices of small-capitalization companies are also generally more vulnerable than
those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companies
may be thinly traded. In addition, small-capitalization companies are typically less well-established and less stable financially
than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel.
Such small-capitalization companies tend to have lower revenues, less diverse product lines, smaller shares of their product or
service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible
to adverse developments related to their products. These companies may also be more susceptible to adverse developments related
to their products or services.
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·
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The Performance
of the fund
,
Particularly During Periods of Market Volatility
,
May Not Match the Performance of THE Tracked Index
or ITS NET ASSET VALUE per Share
— The performance of
the Fund may not match the performance of the Tracked Index due to a number of factors. For instance, the Fund may not hold all
or substantially all of the securities included in the Tracked Index and the Fund Advisor may invest a portion of the Fund’s
assets in securities not included in the Tracked Index. Therefore, the performance of the Fund is generally linked, in part, to
assets other than the securities included in the Tracked Index. Additionally, the performance of the Fund will reflect transaction
costs and fees that are not included in the calculation of the Tracked Index.
|
In addition, because the shares
of the Fund are traded on a securities exchange and are subject to supply and demand, the performance of one share of the Fund
may differ from the performance of the Tracked Index or the Fund’s net asset value (“
NAV
”) per share.
Furthermore, during periods of market volatility, securities or other assets held by the 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 the Fund and/or create, redeem or hedge shares of the Fund. In such circumstances, the prices at
which market participants are willing to buy and sell shares of the Fund may be significantly lower than the Fund’s NAV and
the liquidity of the shares of the Fund may be materially and adversely affected. Consequently, the performance of the Fund may
deviate significantly from the performance of the Tracked Index or the 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 the Fund when it deviates significantly from the performance of the Tracked Index or the 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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·
|
THE POLICIES OF THE SPONSOR OF THE FUND AND CHANGES THAT AFFECT THE FUND OR THE TRACKED INDEX COULD
ADVERSELY AFFECT THE VALUE OF THE SECURITIES —
The policies of a Sponsor of the Fund concerning
the calculation of the Fund’s NAV, additions, deletions or substitutions of securities or other assets or financial measures
held by the Fund, substitution of the Tracked Index and the manner in which changes affecting how the Tracked Index are reflected
in the Fund could adversely affect the price of the shares of the 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 Fund Advisor changes these policies, for
example, by changing the manner in which it calculates the Fund’s NAV, or if the Fund Advisor discontinues or suspends calculation
or publication of the 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 the Fund is not available on 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 the Fund and
the Payment at Maturity in a manner it considers appropriate in its sole discretion.
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Further, under
continuous listing standards adopted by the applicable exchange on which it is listed, the Fund will be required to confirm on
an ongoing basis that the components of the Tracked Index satisfy the applicable listing requirements. In the event that the Tracked
Index does not comply with the applicable listing requirements, the Fund would be required to rectify the non-compliance by requesting
that the
sponsor of the Fund’s Tracked Index modify the Tracked Index, adopting a substitute Tracked Index or obtaining relief
from the SEC. There can be no assurance that the sponsor of the Tracked Index would modify the Tracked Index or that relief would
be obtained from the SEC and, therefore, non-compliance with the continuous listing standards may result in the Fund being delisted
by the applicable exchange. If the Fund were delisted by the applicable exchange, the calculation agent would calculate the appropriate
Closing Level applicable, of one share of the Fund based on the closing level of the Tracked Index, which may adversely affect
the value of the securities and any payment on the securities.
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·
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THE VALUE OF THE SECURITIES WILL NOT REFLECT DIVIDENDS OR OTHER DISTRIBUTIONS ON THE FUND —
The value of the securities will not reflect the value of actually owning shares of the Fund
and receiving the dividends or other distributions paid on the Fund (except in the limited circumstances set forth under “Description
of Securities — Anti-Dilution Adjustments — Anti-Dilution Adjustments for Funds” in the accompanying product
supplement). This is because the calculation agent will calculate any payment on the securities, in whole or in part, by reference
to the prices of the Fund without taking into consideration the value of dividends or other distributions paid on the Fund.
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·
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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
— The calculation agent will make adjustments to the Share Adjustment Factor, which will initially
be set at 1.0, for certain events affecting the shares of the Fund. The calculation agent is not required, however, to make such
adjustments in response to all events that could affect the shares of the 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 the Share Adjustment Factor 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 the 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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·
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THE SECURITIES ARE SUBJECT TO CURRENCY
EXCHANGE RATE RISK
— Because the Fund invests in stocks denominated in foreign currencies but its shares are denominated
in U.S. dollars, changes in currency exchange rates may negatively impact the Fund’s return. Of particular importance to
currency exchange rate risk are:
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o
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existing and expected rates of inflation;
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|
o
|
existing and expected interest rates;
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|
o
|
political, civil or military unrest;
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|
o
|
the balance of payments between the countries represented
in the Fund and the U.S.; and
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|
o
|
the extent of governmental surpluses or deficits in the
countries represented in the 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 the 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 the Fund strengthen or weaken against the U.S. dollar and the
relative weight of each currency represented in the Fund. If, taking into account such weighting, the U.S. dollar strengthens against
the component currencies as a whole, the price of the 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 the Fund could adversely affect the value of the securities.
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·
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THERE ARE RISKS ASSOCIATED WITH INVESTMENTS
LINKED TO THE VALUES OF EQUITY SECURITIES ISSUED BY NON
-
U
.
S
.
COMPANIES
— The Fund holds 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 price of the Fund and 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.
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THERE IS NO AFFILIATION BETWEEN THE
FUND OR THE UNDERLYING STOCK ISSUERS AND US AND WE HAVE NOT PARTICIPATED IN THE PREPARATION OF
,
OR VERIFIED
,
ANY
INFORMATION ABOUT THE FUND OR THE UNDERLYING STOCK ISSUERS
— We are not affiliated with the Fund or the other issuers
of the component stocks held by the Fund or included in the Tracked Index (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 Fund 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. The 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, which may adversely affect the value of your securities.
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·
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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
the price at which we or any of our affiliates would be willing to purchase your securities in the secondary market at any time.
Assuming no changes in market conditions or our creditworthiness and other relevant factors, the price, if any, at which we or
our affiliates would be willing to purchase the securities
|
from you in secondary market transactions, if at all, would generally
be lower than both the Issue Price and the Issuer’s estimated value of the securities on the Trade Date. Our purchase price,
if any, in secondary market transactions would be based on the estimated value of the securities determined by reference to (i)
the then-prevailing internal funding rate (adjusted by a spread) or another appropriate measure of our cost of funds and (ii) our
pricing models at that time, less a bid spread determined after taking into account the size of the repurchase, the nature of the
assets underlying the securities and then-prevailing market conditions. The price we report to financial reporting services and
to distributors of our securities for use on customer account statements would generally be determined on the same basis. However,
during the period of approximately three months beginning from the Trade Date, we or our affiliates may, in our sole discretion,
increase the purchase price determined as described above by an amount equal to the declining differential between the Issue Price
and the Issuer’s estimated value of the securities on the Trade Date, prorated over such period on a straight-line basis,
for transactions that are individually and in the aggregate of the expected size for ordinary secondary market repurchases.
In addition to the factors discussed
above, the value of the securities and our purchase price in secondary market transactions after the Trade Date, if any, will vary
based on many economic and market factors, including our creditworthiness, and cannot be predicted with accuracy. These changes
may adversely affect the value of your securities, including the price you may receive in any secondary market transactions. Any
sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed to be short-term trading
instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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·
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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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the expected volatility of the Underlyings;
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o
|
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 Fund 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 the Fund 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 Fund are traded in;
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o
|
interest rates and yields in the markets generally;
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o
|
geopolitical conditions and economic, financial, political,
regulatory or judicial events that affect either Underlying, the Tracked Index 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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·
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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 both Underlyings and, therefore, make it
less likely that you will receive a positive return on your investment in the securities. It is possible that we or our affiliates
could receive substantial returns from these hedging and trading activities while the value of the securities declines. We or our
affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related
to the Underlyings. To the extent that we or our affiliates serve as issuer, agent or underwriter for such securities or financial
or derivative instruments, our or our affiliates’ interests with respect to such products may be adverse to those of the
holders of the securities. Introducing competing products into the marketplace in this manner could adversely affect the prices
or levels, as applicable, of one or both Underlyings and the value of the securities. Any of the foregoing activities described
in this paragraph may reflect trading strategies that differ from, or are in direct opposition to, investors’ trading and
investment strategies related to the securities. Furthermore, because DBSI or one of its affiliates is expected to conduct trading
and hedging activities for us in connection with the securities, DBSI or such affiliate may profit in connection with such trading
and hedging activities and such profit, if any, will be in addition to any compensation that DBSI receives for the sale of the
securities to you. You should be aware that the potential to earn a profit in connection with hedging activities may create a further
incentive for DBSI to sell the securities to you in addition to any compensation they would receive for the sale of the securities.
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·
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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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·
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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 Factor and will be responsible for
determining whether a market disruption event has occurred as well as, in some circumstances, the prices or levels, as applicable,
related to the Underlyings that affect 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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·
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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, and the IRS or a court might not
agree with the treatment of the securities as Put Options secured by Deposits. If the IRS were successful in asserting an alternative
treatment for the securities, the tax consequences of ownership and disposition of the securities could be materially and adversely
affected. In addition, as described above under “Tax Consequences,” in 2007 the U.S. Treasury Department and the IRS
released a notice requesting comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward
contracts” and similar instruments. While it is not clear whether the securities would be viewed as similar to the typical
prepaid forward contract described in the notice, any Treasury regulations or other guidance promulgated after consideration of
these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. You should review carefully the section of the accompanying product supplement entitled “U.S. Federal Income Tax
Consequences” and consult your tax adviser regarding the U.S. federal tax consequences of an investment in the securities
(including possible alternative treatments and the issues presented by the 2007 notice), as well as tax consequences arising under
the laws of any state, local or non-U.S. taxing jurisdiction.
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Historical Information
The following graphs set forth the historical
performances of the iShares
®
MSCI EAFE ETF and the Russell 2000
®
Index based on their daily closing
prices or levels, as applicable, from March 18, 2014 through March 18, 2019. The closing price of the iShares
®
MSCI
EAFE ETF on March 18, 2019 was $65.45. The closing level of the Russell 2000
®
Index on March 18, 2019 was 1,563.932.
Each graph below also indicates by a broken line the Knock-Out Level equal to 80.00% of the closing price or level, as applicable,
of the relevant Underlying on March 18, 2019. We obtained the historical closing prices and levels of the Underlyings below from
Bloomberg 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
prices or levels, as applicable, of the Underlyings on the Final Valuation Date
.
We cannot give you assurance that the performance
of the Underlyings will result in the return of any of your investment
.
Correlation
of the Underlyings
The
following graph sets forth the historical performances of the iShares
®
MSCI EAFE ETF and the Russell 2000
®
Index from March 18, 2014 through March 18, 2019, 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 March 18, 2014 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 March 18, 2014 and (2) multiplying by 100.00.
We
obtained the closing prices and levels used to determine the normalized closing prices and 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
prices or levels, as applicable, of the Underlyings on 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 Underlying 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 other. For additional information, please see “Selected Risk Considerations — Because the
securities are linked to the least performing of the two Underlyings, you are exposed to a greater risk of 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 the Final Level of at least one of the Underlyings may be less than its Knock-Out
Level. This is because the less positively correlated a pair of Underlyings are, the greater the likelihood that the level 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 Final Level of one or both of those Underlyings
may be less than its Knock-Out Level as the levels of both of those Underlyings may decrease together.
Deutsche
Bank AG determined the Coupon rate and Knock-Out Levels 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 is reflected in a higher Coupon rate and/or lower Knock-Out Levels than would be payable on securities linked
to 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, 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.
The securities are not intended to be offered,
sold or otherwise made available to and should not be offered, sold or otherwise made available to any retail investor in the European
Economic Area. For these purposes, (a) a retail investor means a person who is one (or more) of: (i) a retail client as defined
in point (11) of Article 4(1) of Directive 2014/65/EU (as amended, “
MiFID II
”); (ii) a customer within the meaning
of Directive (EU) 2016/97, where that customer would not qualify as a professional client as defined in point (10) of Article 4(1)
of MiFID II; or (iii) not a qualified investor as defined in the Directive 2003/71/EC; and (b) the expression “offer”
includes the communication in any form and by any means of sufficient information on the terms of the offer and the securities
to be offered so as to enable an investor to decide to purchase or subscribe the securities. Consequently no key information document
required by Regulation (EU) No 1286/2014 (as amended, the “
PRIIPs Regulation
”) for offering or selling the securities
or otherwise making them available to retail investors in the European Economic Area has been prepared and therefore offering or
selling the securities or otherwise making them available to any retail investor in the European Economic Area may be unlawful
under the PRIIPs Regulation.
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.
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