Subject
to Completion. Dated December 12, 2017
Deutsche
Bank AG
$ Trigger Return Enhanced
Securities Linked to the Lesser Performing of the iShares
®
MSCI EAFE ETF and the EURO STOXX 50
®
Index due January 13
,
2023
General
|
·
|
The
Trigger Return Enhanced Securities Linked to the Lesser Performing of the iShares
®
MSCI EAFE ETF and the EURO STOXX 50
®
Index due January 13, 2023
(the “
securities
”) are designed for investors who seek a return at
maturity of at least 300.00% (to be determined on the Trade Date) of any increase in
the price or level, as applicable, of the lesser performing of the iShares
®
MSCI EAFE ETF (the “
Fund
”) and the EURO STOXX 50
®
Index (the “
Index
,” and each of the Fund and the Index, an “
Underlying
”).
If the Final Level of the lesser performing Underlying, which we refer to as the “
Laggard
Underlying
,” is less than its Initial Level but greater than or equal to its
Trigger Level (equal to 50.00% of its Initial Level), investors will receive a cash payment
per $1,000 Face Amount of securities at maturity equal to the Face Amount. However, if
the Final Level of the Laggard Underlying is less than its Trigger Level, for each $1,000
Face Amount of securities, investors will lose 1.00% of the Face Amount for every 1.00%
by which the Final Level of the Laggard Underlying is less than its Initial Level. The
securities do not pay any coupons or dividends and investors should be willing to lose
a significant portion or all of their investment if the Final Level of
either
Underlying is less than its Trigger Level. Any payment on the securities is subject to
the credit of the Issuer.
|
|
·
|
Senior
unsecured obligations of Deutsche Bank AG due January 13, 2023
|
|
·
|
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 January 10, 2018 (the “
Trade Date
”)
and are expected to settle on or about January 16, 2018 (the “
Settlement Date
”).
|
Key
Terms
Issuer:
|
Deutsche Bank AG, London Branch
|
Issue Price:
|
100% of the Face Amount
|
Underlyings:
|
Underlying
|
Ticker Symbol
|
Initial Level
‡
|
Trigger Level
‡
|
iShares
®
MSCI EAFE ETF
|
EFA
|
$
|
$
|
EURO STOXX 50
®
Index
|
SX5E
|
|
|
‡
The Initial Level and Trigger Level for each Underlying will be determined on the Trade Date.
|
(
Key
Terms continued on next page
)
†
|
This amended and restated preliminary pricing supplement amends and restates preliminary pricing supplement No. 2985B in its entirety. We refer to this amended and restated preliminary pricing supplement as “pricing supplement.”
|
Investing
in the securities involves a number of risks
.
See
“
Risk Factors
”
beginning on page 7 of the accompanying
product supplement
,
page PS
–
5 of the accompanying prospectus supplement and page 13 of the accompanying prospectus
and
“
Selected Risk Considerations
”
beginning on page PS
–
10 of this pricing supplement
.
The
Issuer
’
s estimated value of the securities on the Trade Date is approximately $931
.
50 to $951
.
50 per
$1
,
000 Face Amount of securities
,
which is less than the Issue Price
.
Please see
“
Issuer
’
s
Estimated Value of the Securities
”
on page PS
–
3 of this pricing supplement for additional information
.
By
acquiring the securities
,
you will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure
(
as defined below
)
by the competent resolution authority
,
which may include the write down of all
,
or
a portion
,
of any payment on the securities or the conversion of the securities into ordinary shares or other instruments
of ownership
.
If any Resolution Measure becomes applicable to us
,
you may lose some or all of your investment in
the securities
.
Please see
“
Resolution Measures and Deemed Agreement
”
on page PS
–
4
of this pricing supplement for more information
.
Neither
the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the securities or passed
upon the accuracy or the adequacy of this pricing supplement or the accompanying underlying supplement, product supplement, prospectus
supplement or prospectus. Any representation to the contrary is a criminal offense.
|
Price to Public
|
Discounts and Commissions
(1)
|
Proceeds to Us
|
Per
Security
|
$1,000.00
|
$26.25
|
$973.75
|
Total
|
$
|
$
|
$
|
|
(1)
|
For
more detailed information about discounts and commissions, please see “Supplemental
Plan of Distribution (Conflicts of Interest)” in this pricing supplement. The securities
will be sold with varying underwriting discounts and commissions in an amount not to
exceed $26.25 per $1,000 Face Amount of securities. Deutsche Bank Securities Inc. (“
DBSI
”)
may pay a fee of up to $20.00 per $1,000 Face Amount of securities to CAIS Capital LLC
with respect to the securities for which CAIS Capital LLC acts as introducing broker.
|
The
agent for this offering is our affiliate. For more information, please see “Supplemental Plan of Distribution (Conflicts
of Interest)” in this pricing supplement.
The
securities are not deposits or savings accounts and are not insured or guaranteed by the Federal Deposit Insurance Corporation
or any other U
.
S
.
or foreign governmental agency or instrumentality
.
Deutsche Bank Securities
January , 2017
|
(
Key
Terms continued from previous page
)
Payment
at Maturity:
|
•
If
the Final Level of the Laggard Underlying is
greater than
or
equal to
its Initial Level
, you will receive a cash
payment per $1,000 Face Amount of securities at maturity calculated as follows:
$1,000 +
($1,000 x Underlying Return of the Laggard Underlying x Upside Leverage Factor)
•
If
the Final Level of the Laggard Underlying is
less than
its Initial Level but
greater than
or
equal to
its
Trigger Level
, you will receive a cash payment per $1,000 Face Amount of securities at maturity equal to the Face Amount.
•
If
the Final Level of the Laggard Underlying is
less than
its Trigger Level
, you will receive a cash payment per $1,000
Face Amount of securities at maturity calculated as follows:
$1,000 + ($1,000 x Underlying
Return of the Laggard Underlying)
If
the Final Level of the Laggard Underlying is less than its Trigger Level
,
you will be fully exposed to the negative Underlying
Return of the Laggard Underlying and
,
for each $1
,
000 Face Amount of securities
,
you will lose 1.00% of the
Face Amount for every 1
.
00% by which the Final Level of the Laggard Underlying is less than its Initial Level
.
In
this circumstance
,
you will lose a significant portion or all of your investment at maturity
.
Any payment at maturity
is subject to the credit of the Issuer
.
|
Trigger
Level:
|
For
each Underlying, 50.00% 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. 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
.
|
Upside
Leverage Factor:
|
At
least 300.00% (to be determined on the Trade Date)
|
Initial
Level:
|
For each Underlying, the Closing Level of such Underlying on the Trade Date, as set forth in the table under “Underlyings” above
|
Final
Level:
|
For each Underlying, the Closing Level of such Underlying on the Final Valuation Date
|
Closing
Level:
|
For 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 closing level of the Index on the relevant date of calculation.
|
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.
|
Trade
Date
2
:
|
January 10, 2018
|
Settlement
Date
2
:
|
January 16, 2018
|
Final
Valuation Date
1, 2
:
|
January 10, 2023
|
Maturity
Date
1, 2
:
|
January 13, 2023
|
Listing:
|
The
securities will not be listed on any securities exchange.
|
CUSIP / ISIN:
|
25155MGJ4
/ US25155MGJ45
|
|
1
|
Subject
to adjustment as described under “Description of Securities — Adjustments to Valuation Dates and Payment Dates”
in the accompanying product supplement.
|
|
2
|
In
the event that we make any changes to the expected Trade Date or Settlement Date, the 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
six months beginning from the Trade Date, we or our affiliates may, in our sole discretion, increase the purchase price determined
as described above by an amount equal to the declining differential between the Issue Price and the Issuer’s estimated value
of the securities on the Trade Date, prorated over such period on a straight-line basis, for transactions that are individually
and in the aggregate of the expected size for ordinary secondary market repurchases.
Resolution
Measures and Deemed Agreement
On May 15, 2014, the European
Parliament and the Council of the European Union adopted a directive establishing a framework for the recovery and resolution of
credit institutions and investment firms (commonly referred to as the “
Bank Recovery and Resolution Directive
”).
The Bank Recovery and Resolution Directive required each member state of the European Union to adopt and publish by December 31,
2014 the laws, regulations and administrative provisions necessary to comply with the Bank Recovery and Resolution Directive. Germany
adopted the Recovery and Resolution Act (
Sanierungs
-
und Abwicklungsgesetz
, or the “
Resolution Act
”),
which became effective on January 1, 2015. The Bank Recovery and Resolution Directive and the Resolution Act provided national
resolution authorities with a set of resolution powers to intervene in the event that a bank is failing or likely to fail and certain
other conditions are met. From January 1, 2016, the power to initiate resolution measures applicable to significant banking groups
(such as Deutsche Bank Group) in the European Banking Union has been transferred to the European Single Resolution Board which,
based on the European Union regulation establishing uniform rules and a uniform procedure for the resolution of credit institutions
and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund (the “
SRM
Regulation
”), works in close cooperation with the European Central Bank, the European Commission and the national resolution
authorities. Pursuant to the SRM Regulation, the Resolution Act and other applicable rules and regulations, the securities may
be subject to any Resolution Measure by the competent resolution authority if we become, or are deemed by the competent supervisory
authority to have become, “non-viable” (as defined under the then applicable law) and are unable to continue our regulated
banking activities without a Resolution Measure becoming applicable to us. By acquiring the securities, you will be bound by and
deemed irrevocably to consent to the provisions set forth in the accompanying prospectus, which we have summarized below.
By acquiring the securities,
you will be bound by and deemed irrevocably to consent to the imposition of any Resolution Measure by the competent resolution
authority. Under the relevant resolution laws and regulations as applicable to us from time to time, the securities may be subject
to the powers exercised by the competent resolution authority to: (i) write down, including to zero, any payment (or delivery obligations)
on the securities; (ii) convert the securities into ordinary shares of (a) the Issuer, (b) any group entity or (c) any bridge bank
or other instruments of ownership of such entities qualifying as common equity tier 1 capital; and/or (iii) apply any other resolution
measure including, but not limited to, any transfer of the securities to another entity, the amendment, modification or variation
of the terms and conditions of the securities or the cancellation of the securities. We refer to each of these measures as a “
Resolution
Measure
.” A “group entity” refers to an entity that is included in the corporate group subject to a Resolution
Measure. A “bridge bank” refers to a newly chartered German bank that would receive some or all of our assets, liabilities
and material contracts, including those attributable to our branches and subsidiaries, in a resolution proceeding.
Furthermore, by acquiring
the securities, you:
|
•
|
are deemed irrevocably to have agreed, and you will agree: (i) to
be bound by, to acknowledge and to accept any Resolution Measure and any amendment, modification or variation of the terms and
conditions of the securities to give effect to any Resolution Measure; (ii) that you will have no claim or other right against
us arising out of any Resolution Measure; and (iii) that the imposition of any Resolution Measure will not constitute a default
or an event of default under the securities, under the senior indenture dated November 22, 2006 among us, Law Debenture Trust Company
of New York, as trustee, and Deutsche Bank Trust Company Americas, as issuing agent, paying agent, authenticating agent and registrar,
as amended and supplemented from time to time (the “
Indenture
”), or for the purposes of, but only to the fullest
extent permitted by, the Trust Indenture Act of 1939, as amended (the “
Trust Indenture Act
”);
|
|
•
|
waive, to the fullest extent permitted by the Trust Indenture
Act and applicable law, any and all claims against the trustee and the paying agent, the issuing agent and the registrar (each,
an “
indenture agent
”) for, agree not to initiate a suit against the trustee or the indenture agents in respect
of, and agree that the trustee and the indenture agents will not be liable for, any action that the trustee or the indenture agents
take, or abstain from taking, in either case in accordance with the imposition of a Resolution Measure by the competent resolution
authority with respect to the securities; and
|
|
•
|
will be deemed irrevocably to have: (i) consented to the imposition
of any Resolution Measure as it may be imposed without any prior notice by the competent resolution authority of its decision to
exercise such power with respect to the securities; (ii) authorized, directed and requested The Depository Trust Company (“
DTC
”)
and any direct participant in DTC or other intermediary through which you hold such securities to take any and all necessary action,
if required, to implement the imposition of any Resolution Measure with respect to the securities as it may be imposed, without
any further action or direction on your part or on the part of the trustee or the indenture agents; and (iii) acknowledged and
accepted that the Resolution Measure provisions described herein and in the “Resolution Measures” section of the accompanying
prospectus are exhaustive on the
|
matters described herein and therein to the exclusion of any other agreements, arrangements or
understandings between you and the Issuer relating to the terms and conditions of the securities.
This
is only a summary
,
for more information please see the accompanying prospectus dated April 27
,
2016, including the
risk factors beginning on page 13 of such prospectus
.
Additional
Terms Specific to the Securities
You
should read this pricing supplement together with underlying supplement No. 1 dated August 17, 2015, product supplement B dated
July 31, 2015, the prospectus supplement dated July 31, 2015 relating to our Series A global notes of which these securities are
a part and the prospectus dated April 27, 2016. Delaware Trust Company, which acquired the corporate trust business of Law Debenture
Trust Company of New York, is the successor trustee of the securities. When you read the accompanying underlying supplement, product
supplement and prospectus supplement, please note that all references in such supplements to the prospectus dated July 31, 2015,
or to any sections therein, should refer instead to the accompanying prospectus dated April 27, 2016 or to the corresponding sections
of such prospectus, as applicable, unless otherwise specified or the context otherwise requires. You may access these documents
on the website of the Securities and Exchange Commission (the “
SEC
”) at
.
www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
|
•
|
Underlying supplement No. 1 dated August
17, 2015:
|
https://www.sec.gov/Archives/edgar/data/1159508/000095010315006546/crt_dp58829-424b2.pdf
|
•
|
Product supplement B dated July 31, 2015:
|
https://www.sec.gov/Archives/edgar/data/1159508/000095010315006059/crt_dp58181-424b2.pdf
|
•
|
Prospectus supplement dated July 31, 2015:
|
https://www.sec.gov/Archives/edgar/data/1159508/000095010315006048/crt-dp58161_424b2.pdf
|
•
|
Prospectus dated April 27, 2016:
|
https://www.sec.gov/Archives/edgar/data/1159508/000119312516559607/d181910d424b21.pdf
Our
Central Index Key, or CIK, on the SEC website is 0001159508. As used in this pricing supplement, “
we
,” “
us
”
or “
our
” refers to Deutsche Bank AG, including, as the context requires, acting through one of its branches.
This
pricing supplement, together with the documents listed above, contains the terms of the securities and supersedes all other prior
or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence,
trade ideas, structures for implementation, sample structures, brochures or other educational materials of ours. You should carefully
consider, among other things, the matters set forth in this pricing supplement and in “Risk Factors” in the accompanying
product supplement, prospectus supplement and prospectus, as the securities involve risks not associated with conventional debt
securities. We urge you to consult your investment, legal, tax, accounting and other advisers before deciding to invest in the
securities.
You
may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the applicable
agent
.
We reserve the right to change the terms of
,
or reject any offer to purchase
,
the securities prior
to their issuance
.
We will notify you in the event of any changes to the terms of the securities and you will be asked to
accept such changes in connection with your purchase of any securities
.
You may choose to reject such changes
,
in
which case we may reject your offer to purchase the securities
.
Hypothetical
Examples
The
following table illustrates a range of hypothetical Payments at Maturity on the securities. The table and the hypothetical examples
set forth below assume an Upside Leverage Factor of 300.00% and reflect the Trigger Level for each Underlying equal to 50.00%
of its Initial Level. The actual Upside Leverage Factor and the actual Initial Level and Trigger Level for each Underlying will
be determined on the Trade Date. The table and hypothetical examples set forth below are for illustrative purposes only. The actual
return applicable to a purchaser of the securities will be based on the Underlying Return of the Laggard Underlying, determined
using the Closing Level of the Laggard Underlying on the Final Valuation Date. You should consider carefully whether the securities
are suitable to your investment goals. The numbers appearing in the table and hypothetical examples below may have been rounded
for ease of analysis and it has been assumed that no event affecting the Fund has occurred during the term of the securities that
would cause the calculation agent to adjust the Share Adjustment Factor. We make no representation or warranty as to which of
the Underlyings will be the Laggard Underlying for purposes of calculating the Payment at Maturity.
Hypothetical
Underlying Return of the Laggard Underlying
(%)
|
Hypothetical
Payment at Maturity
($)
|
Hypothetical
Return on the Securities
(%)
|
100.00%
|
$4,000.00
|
300.00%
|
75.00%
|
$3,225.00
|
225.00%
|
50.00%
|
$2,500.00
|
150.00%
|
40.00%
|
$2,200.00
|
120.00%
|
30.00%
|
$1,900.00
|
90.00%
|
20.00%
|
$1,600.00
|
60.00%
|
10.00%
|
$1,300.00
|
30.00%
|
5.00%
|
$1,150.00
|
15.00%
|
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%
|
-30.00%
|
$1,000.00
|
0.00%
|
-40.00%
|
$1,000.00
|
0.00%
|
-
50
.
00%
|
$
1
,
000
.
00
|
0
.
00%
|
-51.00%
|
$490.00
|
-51.00%
|
-60.00%
|
$400.00
|
-60.00%
|
-70.00%
|
$300.00
|
-70.00%
|
-80.00%
|
$200.00
|
-80.00%
|
-90.00%
|
$100.00
|
-90.00%
|
-100.00%
|
$0.00
|
-100.00%
|
Hypothetical
Examples of Amounts Payable at Maturity
The
following hypothetical examples illustrate how the payments on the securities at maturity set forth in the table above are calculated.
Example
1
:
The Final Level of the Laggard Underlying is
greater than
its Initial Level
,
resulting in an Underlying
Return of the Laggard Underlying of 30
.
00%
. Because the Final Level of the Laggard Underlying is greater than its Initial
Level, the investor receives a Payment at Maturity of $1,900.00 per $1,000 Face Amount of securities, calculated as follows:
$1,000
+ ($1,000 x Underlying Return of the Laggard Underlying x Upside Leverage Factor)
$1,000
+ ($1,000 x 30.00% x 300.00%) = $1,900.00
Example
2
:
The Final Level of the Laggard Underlying is
less than
its Initial Level but
greater than
its Trigger
Level
,
resulting in an Underlying Return of the Laggard Underlying of
-
5
.
00%
. Because the Final Level
of the Laggard Underlying is less than its Initial Level but greater than its Trigger Level, the investor receives a Payment at
Maturity of $1,000.00 per $1,000 Face Amount of securities.
Example 3
:
While the Final Level
of one Underlying is greater than its Initial Level
,
the Final Level of the Laggard Underlying is
less than
its Trigger
Level
,
resulting in an Underlying Return of the Laggard Underlying of
-
70
.
00%
. Even though the Final Level
of one Underlying is greater than its Initial Level, because the Payment at Maturity is determined by reference to the Final Level
of the Laggard Underlying and the Final Level of the Laggard Underlying is less than its Trigger Level, the investor receives a
Payment at Maturity of $300.00 per $1,000 Face Amount of securities, calculated as follows:
$1,000
+ ($1,000 x Underlying Return of the Laggard Underlying)
$1,000
+ ($1,000 x -70.00%) = $300.00
Selected
Purchase Considerations
|
·
|
UNCAPPED APPRECIATION POTENTIAL
—
The securities provide the opportunity to receive enhanced returns by
multiplying
a positive Underlying Return of the Laggard
Underlying by the Upside Leverage Factor of at least 300.00% (to be determined on the Trade Date).
Any payment on the securities
is subject to our ability to satisfy our obligations as they become due
.
|
|
·
|
LIMITED PROTECTION AGAINST LOSS
—
If the Final Level of the Laggard Underlying is less than its Initial Level but greater than or equal to its Trigger Level, you
will receive a cash payment per $1,000 Face Amount of securities at maturity equal to the Face Amount. However, if the Final Level
of the Laggard Underlying is less than its Trigger Level, for each $1,000 Face Amount of securities, you will lose 1.00% of the
Face Amount for every 1.00% by which the Final Level of the Laggard Underlying is less than its Initial Level. In this circumstance,
you will lose a significant portion or all of your investment in the securities at maturity.
|
|
·
|
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 EURO STOXX 50
®
Index as described herein.
|
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 17
,
2015
.
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 17
,
2015
.
EURO
STOXX 50
®
Index
The EURO STOXX
50
®
Index is composed of the stocks of 50 major companies in the Eurozone. These companies include market sector
leaders from within the 19 EURO STOXX
®
Supersector indices, which represent the Eurozone portion of the STOXX Europe
600
®
Supersector indices. The STOXX Europe 600
®
Supersector indices contain the 600 largest stocks
traded on the major exchanges of 18 European countries.
This is only a summary of the EURO STOXX 50
®
Index
.
For more information on the EURO STOXX 50
®
Index
,
including information concerning its composition
,
calculation methodology and adjustment policy
,
please see the section entitled “The STOXX Indices — The EURO
STOXX 50
®
Index” in the accompanying underlying supplement No
.
1 dated August 17
,
2015
.
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TAX
CONSEQUENCES
— In the opinion of our special tax counsel, Davis Polk & Wardwell LLP,
which is based on prevailing market conditions, it is more likely than not that the securities will be treated for U.S. federal
income tax purposes as prepaid financial contracts that are not debt. Generally, if this treatment is respected, (i) you should
not recognize taxable income or loss prior to the maturity or other taxable disposition of your securities and (ii) subject to
the potential
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application of the “constructive
ownership” regime discussed below, the gain or loss on your securities should be capital gain or loss and should be long-term
capital gain or loss if you have held the securities for more than one year. The Internal Revenue Service (the “
IRS
”)
or a court might not agree with this treatment, however, in which case the timing and character of income or loss on your securities
could be materially and adversely affected.
Even if the
treatment of the securities as prepaid financial contracts is respected, purchasing a security could be treated as entering into
a “constructive ownership transaction” within the meaning of Section 1260 of the Internal Revenue Code (“
Section
1260
”). In that case, all or a portion of any long-term capital gain you would otherwise recognize upon the taxable disposition
of the security would be recharacterized as ordinary income to the extent such gain exceeded the “net underlying long-term
capital gain” as defined in Section 1260. Any long-term capital gain recharacterized as ordinary income would be treated
as accruing at a constant rate over the period you held the security, and you would be subject to a notional interest charge in
respect of the deemed tax liability on the income treated as accruing in prior tax years. Due to the lack of direct legal authority,
our special tax counsel is unable to opine as to whether or how Section 1260 applies to the securities.
In 2007, the
U.S. Treasury Department and the IRS released a notice requesting comments on various issues regarding the U.S. federal income
tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether beneficial
owners of these instruments should be required to accrue income over the term of their investment. It also asks for comments on
a number of related topics, including the character of income or loss with respect to these instruments; the relevance of factors
such as the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. persons should be subject to withholding tax; and whether these instruments are or
should be subject to the “constructive ownership” regime discussed above. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect.
Withholding
under legislation commonly referred to as “FATCA” might (if the securities were recharacterized as debt instruments)
apply to amounts treated as interest paid with respect to the securities, as well as to the payment of gross proceeds of a taxable
disposition, including redemption at maturity, of a securities. However, under a recent IRS notice, this regime will not apply
to payments of gross proceeds (other than any amount treated as interest) with respect to dispositions occurring before January
1, 2019. You should consult your tax adviser regarding the potential application of FATCA to the securities.
Section 871(m)
of the Code and Treasury regulations promulgated thereunder (“
Section 871
(
m
)”) generally impose a 30%
withholding tax (unless an income tax treaty applies) on dividend equivalents paid or deemed paid to non-U.S. holders with respect
to certain financial instruments linked to U.S. equities or indices that include U.S. equities. Section 871(m) provides certain
exceptions to this withholding regime, including for instruments linked to certain broad-based indices that meet requirements set
forth in the applicable Treasury regulations (such an index, a “
Qualified Index
”). Additionally, a recent IRS
notice excludes from the scope of Section 871(m) instruments issued prior to January 1, 2019 that do not have a delta of one with
respect to underlying securities that could pay U.S.-source dividends for U.S. federal income tax purposes (each, an “
Underlying
Security
”). Based on certain determinations made by us, 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
,
the potential application of the
“
constructive ownership
”
regime
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 return on the securities at maturity
is linked to the performance of the Laggard Underlying and will depend on whether, and the extent to which, the Underlying Return
of the Laggard Underlying is positive, zero or negative. If the Final Level of the Laggard Underlying is less than its Trigger
Level, for each $1,000 Face Amount of securities, you will lose 1.00% of the Face Amount for every 1.00% by which the Final Level
of the Laggard Underlying is less than its Initial Level.
In this circumstance
,
you will lose a significant portion or
all of your investment at maturity
.
Any payment on the securities is subject to our ability to satisfy our obligations as
they become due
.
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THE SECURITIES DO NOT PAY ANY COUPONS
— Unlike ordinary debt securities, the securities do not pay any coupons and do not guarantee any return of your investment
at maturity.
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YOUR PAYMENT AT MATURITY WILL BE DETERMINED
BY THE FINAL LEVEL OF THE LAGGARD UNDERLYING
— 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.
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THE SECURITIES
ARE SUBJECT TO THE CREDIT OF DEUTSCHE BANK AG
— The securities are senior unsecured obligations of Deutsche Bank AG and
are not, either directly or indirectly, an obligation of any third party. Any payment(s) to be made on the securities depends on
the ability of Deutsche Bank AG to satisfy its obligations as they
become
due. An actual or anticipated downgrade in Deutsche Bank AG’s credit rating or increase
in the credit spreads charged by the market for taking Deutsche Bank AG’s credit risk will likely have an adverse effect
on the value of the securities. As a result, the actual and perceived creditworthiness of Deutsche Bank AG will affect the value
of the securities and, in the event Deutsche Bank AG were to default on its obligations or become subject to a Resolution Measure,
you might not receive any amount(s) owed to you under the terms of the securities and you could lose your entire investment.
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THE SECURITIES
MAY BE WRITTEN DOWN
,
BE CONVERTED INTO ORDINARY SHARES OR OTHER INSTRUMENTS OF OWNERSHIP OR BECOME SUBJECT TO OTHER RESOLUTION
MEASURES
.
YOU MAY LOSE SOME OR ALL OF YOUR INVESTMENT IF ANY SUCH MEASURE BECOMES APPLICABLE TO US
— Pursuant
to the SRM Regulation, the Resolution Act and other applicable rules and regulations described above under “Resolution Measures
and Deemed Agreement,” the securities are subject to the powers exercised by the competent resolution authority to impose
Resolution Measures on us, which may include: writing down, including to zero, any claim for payment on the securities; converting
the securities into ordinary shares of (i) the Issuer, (ii) any group entity or (iii) any bridge bank or other instruments of ownership
of such entities qualifying as common equity tier 1 capital; or applying any other resolution measure including, but not limited
to, transferring the securities to another entity, amending, modifying or varying the terms and conditions of the securities or
cancelling the securities. The competent resolution authority may apply Resolution Measures individually or in any combination.
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The
German law on the mechanism for the resolution of banks of November 2, 2015 (
Abwicklungsmechanismusgesetz
, or the “
Resolution
Mechanism Act
”) provides that, in a German
insolvency proceeding of the Issuer, certain specifically defined senior unsecured debt instruments would rank junior to, without
constituting subordinated debt, all other outstanding unsecured unsubordinated obligations of the Issuer and be satisfied only
if all such other senior unsecured obligations of the Issuer have been paid in full. This prioritization would also be given effect
if Resolution Measures are imposed on the Issuer, so that obligations under debt instruments that rank junior in insolvency as
described above would be written down or converted into common equity tier 1 instruments before any other senior unsecured obligations
of the Issuer are written down or converted. A large portion of our liabilities consist of senior unsecured obligations that either
fall outside the statutory definition of debt instruments that rank junior to other senior unsecured obligations according to
the Resolution Mechanism Act or are expressly exempted from such definition.
Among
those unsecured unsubordinated obligations that are expressly exempted are money market instruments and senior unsecured debt
instruments whose terms provide that (i) the repayment or the amount of the repayment depends on the occurrence or non-occurrence
of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued or is settled in a way
other than by monetary payment, or (ii) the payment of interest or the amount of the interest payments depends on the occurrence
or non-occurrence of an event which is uncertain at the point in time when the senior unsecured debt instruments are issued unless
the payment of interest or the amount of the interest payments solely depends on a fixed or floating reference interest rate and
is settled by monetary payment. This order of priority introduced by the Resolution Mechanism Act would apply in German insolvency
proceedings instituted, or when Resolution Measures are imposed, on or after January 1, 2017 with effect for debt instruments
of the Issuer outstanding at that time. In a German insolvency proceeding or in the event of the imposition of Resolution Measures
with respect to the Issuer, the competent regulatory authority or court would determine which of our senior debt securities issued
under the prospectus have the terms described in clauses (i) or (ii) above, referred to herein as the “
Structured Debt
Securities
,” and which do not, referred to herein as the “
Non
-
Structured Debt Securities
.”
We expect the securities offered herein to be classified as Structured Debt Securities, but the competent regulatory authority
or court may classify the securities differently. In a German insolvency proceeding or in the event of the imposition of Resolution
Measures with respect to the Issuer, the Structured Debt Securities are expected to be among the unsecured unsubordinated obligations
that would bear losses after the Non-Structured Debt Securities as described above.
Nevertheless
,
you may lose some
or all of your investment in the securities if a Resolution Measure becomes applicable to us
. Imposition of a Resolution Measure
would likely occur if we become, or are deemed by the competent supervisory authority to have become, “non-viable”
(as defined under the then applicable law) and are unable to continue our regulated banking activities without a Resolution Measure
becoming applicable to us. The Bank Recovery and Resolution Directive and the Resolution Act are intended to eliminate the need
for public support of troubled banks, and you should be aware that public support, if any, would only potentially be used by the
competent supervisory authority as a last resort after having assessed and exploited, to the maximum extent practicable, the resolution
tools, including the bail-in tool.
By
acquiring the securities, you would have no claim or other right against us arising out of any Resolution Measure and we would
have no obligation to make payments under the securities following the imposition of a Resolution Measure. In particular, the
imposition of any Resolution Measure will not constitute a default or an event of default under the securities, under the Indenture
or for the purposes of, but only to the fullest extent permitted by, the Trust Indenture Act. Furthermore, because the securities
are subject to any Resolution Measure, secondary market trading in the securities may not follow the trading behavior associated
with similar types of securities issued by other financial institutions which may be or have been subject to a Resolution Measure.
In
addition, by your acquisition of the securities, you waive, to the fullest extent permitted by the Trust Indenture Act and applicable
law, any and all claims against the trustee and the indenture agents for, agree not to initiate a suit against the trustee or
the indenture agents in respect of, and agree that the trustee and the indenture agents will not be liable for, any action that
the trustee or the indenture agents take, or abstain from taking, in either case in accordance with the imposition of a Resolution
Measure by the competent resolution authority with respect to the securities.
Accordingly
,
you may have limited or circumscribed
rights to challenge any decision of the competent resolution authority to impose any Resolution Measure
.
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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
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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 the other Underlying, which could be significant.
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IF THE PRICES
OR LEVELS
,
AS APPLICABLE
,
OF THE UNDERLYINGS CHANGE
,
THE VALUE OF YOUR SECURITIES MAY NOT CHANGE IN THE SAME
MANNER
— Your securities may trade quite differently from the prices or levels, as applicable, of the Underlyings. Changes
in the prices or levels, as applicable, of the Underlyings may not result in comparable changes in the value of your securities.
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NO DIVIDEND PAYMENTS OR VOTING RIGHTS
— As a holder of the securities, you will not have any voting rights or rights to receive
c
ash
dividends or other distributions or other rights that holders of the shares of the Fund or the securities composing the Underlyings
would have.
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YOUR INVESTMENT IS EXPOSED TO A DECLINE
IN THE PRICE OR LEVEL
,
AS APPLICABLE
,
OF EACH UNDERLYING
— Your return on the securities, if any, is not
linked to a basket consisting of the Underlyings. Rather, any Payment at Maturity will be determined by reference to the performance
of
each
individual Underlying. Unlike an instrument with a return linked to a basket, in which risk is mitigated and diversified
among all of the basket components, you will be exposed equally to the risks related to each Underlying 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 a significant portion 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 Trigger 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 significantly 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 Trigger Level is even greater. Although the correlation of the Underlyings’
performance may change over the term of the securities, the Trigger 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 lower Trigger Level for an Underlying
is generally associated with a lower correlation of the Underlyings, which reflects a greater potential for loss on your investment
at maturity.
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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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THERE ARE RISKS ASSOCIATED WITH INVESTMENTS
IN SECURITIES LINKED TO THE VALUES OF EQUITY SECURITIES ISSUED BY NON
-
U
.
S
.
COMPANIES
— Both Underlyings
include component stocks that are issued by companies incorporated outside of the U.S. Because the component stocks also trade
outside the U.S., the securities are subject to the risks associated with non-U.S. securities markets. Generally, non-U.S. securities
markets may be less liquid and more volatile than U.S. securities markets and market developments may affect non-U.S. securities
markets differently than U.S. securities markets, which may adversely affect the price or level, as applicable, of one or both
Underlyings, and thus, the value of your securities. Furthermore, there are risks associated with investments in securities linked
to the values of equity securities issued by non-U.S. companies. There is generally less publicly available information about non-U.S.
companies than about those U.S. companies that are subject to the reporting requirements of the SEC, and non-U.S. companies are
subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting
companies. In addition, the prices of equity securities issued by non-U.S. companies may be adversely affected by political, economic,
financial and social factors that may be unique to the particular countries in which the non-U.S. companies are incorporated. These
factors include the possibility of recent or future changes in a non-U.S. government’s economic and fiscal policies (including
any direct or indirect intervention to stabilize the economy and/or securities market of the country of such non-U.S. government),
the presence, and extent, of cross shareholdings in non-U.S. companies, the possible imposition of, or changes in, currency exchange
laws or other non-U.S. laws or restrictions applicable to non-U.S. companies or investments in non-U.S. securities and the possibility
of fluctuations in the rate of exchange between currencies. Moreover, certain aspects of a particular non-U.S. economy may differ
favorably or unfavorably from the U.S. economy in important respects, such as growth of gross national product, rate of inflation,
capital reinvestment, resources and self-sufficiency. Specifically, the stocks included in the Index are issued by companies located
in countries within the Eurozone, some of which are and have been experiencing economic stress.
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THE PERFORMANCE OF THE INDEX WILL NOT
BE ADJUSTED FOR CHANGES IN THE EURO RELATIVE TO THE U.S. DOLLAR
— The Index is composed of stocks denominated in euro.
Because the level of the Index is also calculated in euro (and not in U.S. dollars), the performance of the Index will not be adjusted
for exchange rate fluctuations between the U.S. dollar and the euro. Therefore, if the euro strengthens or weakens relative to
the U.S. dollar over the term of the securities, you will not receive any additional payment or incur any reduction in your return
on the securities.
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WE ARE ONE OF THE COMPANIES THAT MAKE
UP THE INDEX
— We are one of the companies that make up the Index. To our knowledge, we are not currently affiliated
with any of the other companies the equity securities of which are represented in the Index. As a result, we will have no ability
to control the actions of such other companies, including actions that could affect the value of the equity securities composing
the Index or your securities. None of the other companies represented in the Index will be involved in the offering of the securities
in any way. Neither they nor we will have any obligation to consider your interests as a holder of the securities in taking any
corporate actions that might affect the value of your securities.
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The Policies
of the FUND ADVISOR and Changes that Affect the fund or THe Tracked Index Could Adversely Affect the Value of the securities
— The policies of the Fund Advisor concerning the calculation of
the Fund’s net asset value (“
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 is calculated 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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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.
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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 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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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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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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existing and expected rates of inflation;
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existing and expected interest rates;
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political, civil or military unrest;
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the balance of payments between the countries represented
in the Fund and the U.S.; and
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the extent of governmental surpluses or deficits in the
countries represented in the Fund and the U.S.
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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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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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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
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spread determined after taking into account the size of the repurchase, the nature of the
assets underlying the securities and then-prevailing market conditions. The price we report to financial reporting services and
to distributors of our securities for use on customer account statements would generally be determined on the same basis. However,
during the period of approximately six months beginning from the Trade Date, we or our affiliates may, in our sole discretion,
increase the purchase price determined as described above by an amount equal to the declining differential between the Issue Price
and the Issuer’s estimated value of the securities on the Trade Date, prorated over such period on a straight-line basis,
for transactions that are individually and in the aggregate of the expected size for ordinary secondary market repurchases.
In
addition to the factors discussed above, the value of the securities and our purchase price in secondary market transactions after
the Trade Date, if any, will vary based on many economic and market factors, including our creditworthiness, and cannot be predicted
with accuracy. These changes may adversely affect the value of your securities, including the price you may receive in any secondary
market transactions. Any sale prior to the Maturity Date could result in a substantial loss to you. The securities are not designed
to be short-term trading instruments. Accordingly, you should be able and willing to hold your securities to maturity.
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THE SECURITIES WILL NOT BE LISTED AND
THERE WILL LIKELY BE LIMITED LIQUIDITY
— The securities will not be listed on any securities exchange. There may be little
or no secondary market for the securities. We or our affiliates intend to act as market makers for the securities but are
not required to do so and may cease such market making activities at any time. Even if there is a secondary market, it may
not provide enough liquidity to allow you to sell the securities when you wish to do so or at a price advantageous to you. Because
we do not expect other dealers to make a secondary market for the securities, the price at which you may be able to sell your securities
is likely to depend on the price, if any, at which we or our affiliates are willing to buy the securities. If, at any time,
we or our affiliates do not act as market makers, it is likely that there would be little or no secondary market in the securities. If
you have to sell your securities prior to maturity, you may not be able to do so or you may have to sell them at a substantial
loss, even in cases where the prices or levels, as applicable, of the Underlyings have increased since the Trade Date.
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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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the expected volatility of the Underlyings;
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the time remaining to the maturity of the securities;
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the market prices and dividend rates of the shares of
the Fund and the securities composing the Underlyings;
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the composition of the Underlyings;
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the occurrence of certain events affecting the Fund that
may or may not require an anti-dilution adjustment;
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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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interest rates and yields in the markets generally;
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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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supply and demand for the securities; and
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our creditworthiness, including actual or anticipated
downgrades in our credit ratings.
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During
the term of the securities, it is possible that their value may decline significantly due to the factors described above even
if the prices or levels, as applicable, of the Underlyings remain unchanged from their respective Initial Levels, and any sale
prior to the Maturity Date could result in a substantial loss to you. You must hold the securities to maturity to receive the
stated payout from the Issuer.
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TRADING AND OTHER TRANSACTIONS BY US
OR OUR AFFILIATES IN THE EQUITY AND EQUITY DERIVATIVE MARKETS MAY IMPAIR THE VALUE OF THE SECURITIES
— We or our affiliates
expect to hedge our exposure from the securities by entering into equity and equity derivative transactions, such as over-the-counter
options, futures or exchange-traded instruments. We or our affiliates may also engage in trading in instruments linked or related
to the Underlyings on a regular basis as part of our or their general broker-dealer and other businesses, for proprietary accounts,
for other accounts under management or to facilitate transactions for customers, including block transactions. Such trading and
hedging activities may adversely affect the prices or levels, as applicable, of one or 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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WE OR OUR AFFILIATES MAY PUBLISH RESEARCH
,
EXPRESS OPINIONS OR PROVIDE RECOMMENDATIONS THAT ARE INCONSISTENT WITH INVESTING IN OR HOLDING THE SECURITIES
.
ANY SUCH
RESEARCH
,
OPINIONS OR RECOMMENDATIONS COULD ADVERSELY AFFECT THE PRICES OR LEVELS
,
AS APPLICABLE
,
OF THE UNDERLYINGS
AND THE VALUE OF THE SECURITIES
— We or our affiliates may publish research from time to time on financial markets
and other matters that could adversely affect the prices or levels, as applicable, of the Underlyings and the value of the securities,
or express opinions or provide recommendations that are inconsistent with purchasing or holding the securities. Any research, opinions
or recommendations expressed by us or our affiliates may not be consistent with each other and may be modified from time to time
without notice. You should make your own independent investigation of the merits of investing in the securities and the Underlyings.
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POTENTIAL CONFLICTS OF INTEREST
—
We and our affiliates play a variety of roles in connection with the issuance of the securities, including acting as calculation
agent, hedging our obligations under the securities and determining the Issuer’s estimated value of the securities on the
Trade Date and the price, if any, at which we or our affiliates would be willing to purchase the securities from you in secondary
market transactions. In performing these roles, our economic interests and those of our affiliates are potentially adverse to your
interests as an investor in the securities. The calculation agent will determine, among other things,
all
values, prices and levels required to be determined for the purposes of the securities on any relevant date or time
. The
calculation agent also has some discretion about certain adjustments to the Share Adjustment Factor and will be responsible for
determining whether a market disruption event has occurred. Any determination by the calculation agent could adversely affect the
return on the securities.
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THE U
.
S
.
FEDERAL INCOME
TAX CONSEQUENCES OF AN INVESTMENT IN THE SECURITIES ARE UNCERTAIN
— There is no direct legal
authority regarding the proper U.S. federal income tax treatment of the securities, and we do not plan to request a ruling from
the IRS. Consequently, significant aspects of the tax treatment of the securities are uncertain, and the IRS or a court might not
agree with the treatment of the securities as prepaid financial contracts that are not debt. If the IRS were successful
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in asserting
an alternative treatment for the securities, the tax consequences of ownership and disposition of the securities could be materially
and adversely affected.
Even
if the treatment of the securities as prepaid financial contracts is respected, purchasing a security could be treated as entering
into a “constructive ownership transaction.” In that case, all or a portion of any long-term capital gain you would
otherwise recognize on the taxable disposition of the security would be recharacterized as ordinary income to the extent such
gain exceeded the “net underlying long-term capital gain,” and a notional interest charge would apply with respect
to the deemed tax liability that would have been incurred if such income had accrued at a constant rate over the period you held
the security.
As
described above under “Tax Consequences,” in 2007 the U.S. Treasury Department and the IRS released a notice requesting
comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. Any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the 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,
the potential application of the “constructive ownership” regime and the issues presented by the 2007 notice), as
well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Historical
Information
The
following graphs set forth the historical performances of the iShares
®
MSCI EAFE ETF and the EURO STOXX 50
®
Index based on their daily closing prices or levels, as applicable, from December 7, 2012 through December 7, 2017. The
closing price of the iShares
®
MSCI EAFE ETF on December 7, 2017 was $69.47. The closing level of the EURO STOXX
50
®
Index on December 7, 2017 was 3,573.13. Each graph below also indicates by a broken line a hypothetical Trigger
Level equal to 50.00% of the closing price or level, as applicable, of the relevant Underlying on December 7, 2017. The actual
Initial Level and Trigger Level for each Underlying will be determined on the Trade Date. We obtained the historical closing prices
and levels of the Underlyings below from Bloomberg L.P. and we have not participated in the preparation of, or verified, such
information.
The historical closing prices and levels of the Underlyings should not be taken as an indication of future performance
and no assurance can be given as to the Closing Levels of the Underlyings on 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 EURO STOXX 50
®
Index
from December 7, 2012 through December 7, 2017, 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 December 7, 2012 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 December 7, 2012 and (2)
multiplying
by
100.00.
We
obtained the closing prices and levels used to determine the normalized closing levels set forth below from Bloomberg, without
verification. Historical performance of the Underlyings should not be taken as an indication of future performance. Future performance
of the Underlyings may differ significantly from historical performance and no assurance can be given as to the closing prices
or levels, as applicable, of the Underlyings during the term of the securities. 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 “Key Risks — 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” 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 Trigger 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 a significant portion 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 Trigger Level as the levels of both of those Underlyings may decrease together.
Deutsche Bank AG determined
the Trigger 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 lower Trigger Level for each Underlying than would be offered
for notes linked to underlyings that have a higher degree of correlation.