Obligation Deutsch Bank London 0% ( US25155Q8472 ) en USD

Deutsch Bank London

100 % ▲

Allemagne

US25155Q8472 ( en USD )

30/04/2024 - Obligation échue

Prospectus brochure de l'obligation Deutsche Bank (London Branch) US25155Q8472 en USD 0%, échue

1 000 USD

12 463 000 USD

25155Q847

N/A

Deutsche Bank (London Branch) est une succursale de la Deutsche Bank AG, opérant à Londres et fournissant une gamme complète de services bancaires d'investissement et de gestion de fortune à une clientèle internationale.

L'Obligation émise par Deutsch Bank London ( Allemagne ) , en USD, avec le code ISIN US25155Q8472, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 30/04/2024

http://www.sec.gov/Archives/edgar/data/1159508/000095010314003053...
424B2 1 dp46035_424b2-1989b.htm FORM 424B2

PRICING SUPPLEMENT No. 1989B
Filed Pursuant to Rule 424(b)(2)
Registration Statement No. 333-184193
Dated April 28, 2014
$12,462,790 Deutsche Bank AG Trigger Performance Securities
Linked to the EURO STOXX 50® Index due April 30, 2024
Investment Description
The Trigger Performance Securities (the "Securities") are unsubordinated and unsecured obligations of Deutsche Bank AG,
London Branch (the "Issuer") with returns linked to the performance of the EURO STOXX 50® Index (the "Index"). If the Index
Return is positive, Deutsche Bank AG will repay the Face Amount of the Securities at maturity and pay a return equal to the
Index Return multiplied by the Participation Rate of 238.00%. If the Index Return is zero or negative and the Final Level is
greater than or equal to the Trigger Level, Deutsche Bank AG wil repay the Face Amount of the Securities at maturity. However,
if the Final Level is less than the Trigger Level, you will be fully exposed to the negative Index Return and Deutsche Bank AG will
pay you less than the Face Amount at maturity, resulting in a loss on the Face Amount to investors that is proportionate to the
percentage decline in the level of the Index. Investing in the Securities involves significant risks. You will not receive
coupon payments during the 10-year term of the Securities. You may lose a substantial portion or all of your initial
investment. You will not receive dividends or other distributions paid on any stocks included in the Index. The
contingent repayment of the Face Amount applies only if you hold the Securities to maturity. Any payment on the
Securities, including any repayment of the Face Amount provided at maturity, is subject to the creditworthiness of the
Issuer. If the Issuer were to default on its payment obligations, you might not receive any amounts owed to you under
the Securities and you could lose your entire investment.

Features
Key Dates
q Participation in
Trade Date
April 28, 2014
Positive Index
Returns: If the
Index Return is
positive, the
Issuer will repay
the Face Amount
of the Securities
Settlement Date1
April 30, 2014
at maturity and
pay a return equal
to the Index
Return multiplied
by the
Participation Rate.
If the Index Return Final Valuation Date2
April 24, 2024
is negative,
investors may be
exposed to the
decline in the
Index at maturity.

q Downside
Maturity Date2
April 30, 2024
Exposure with
Contingent
Repayment of
the Face Amount
at Maturity: If the
Index Return is

zero or negative
and the Final
Level is greater
than or equal to
the Trigger Level,
the Issuer wil
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repay the Face
Amount of the
1 We expect to deliver the Securities against payment on the second business day following the Trade Date.
Securities at
Under Rule 15c6-1 under the Securities Exchange Act of 1934, as amended (the "Exchange Act"), trades
maturity. However,
in the secondary market generally are required to settle in three business days, unless the parties to a trade
expressly agree otherwise.
if the Final Level is 2 See page 4 for additional details.
less than the
Trigger Level, the
Issuer will pay
less than the Face
Amount of the
Securities,
resulting in a loss
on the Face
Amount to
investors that is
proportionate to
the percentage
decline in the level
of the Index. The
contingent
repayment of the
Face Amount
applies only if
you hold the
Securities to
maturity. You
might lose some
or all of your
initial
investment. Any

payment on the

Securities is

subject to the
creditworthiness
of the Issuer. If
the Issuer were
to default on its
payment
obligations, you
might not
receive any
amounts owed to
you under the
Securities and
you could lose
your entire
investment.

NOTICE TO INVESTORS: THE SECURITIES ARE SIGNIFICANTLY RISKIER THAN CONVENTIONAL DEBT SECURITIES.
THE ISSUER IS NOT NECESSARILY OBLIGATED TO REPAY YOUR INITIAL INVESTMENT IN THE SECURITIES AT
MATURITY, AND THE SECURITIES CAN HAVE DOWNSIDE MARKET RISK SIMILAR TO THE INDEX. THIS MARKET RISK
IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING AN OBLIGATION OF DEUTSCHE BANK AG. YOU
SHOULD NOT PURCHASE THE SECURITIES IF YOU DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE
SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE SECURITIES. THE SECURITIES WILL NOT BE LISTED ON ANY
SECURITIES EXCHANGE.

YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER "KEY RISKS" BEGINNING ON PAGE 5 OF THIS
PRICING SUPPLEMENT AND UNDER "RISK FACTORS" BEGINNING ON PAGE 7 OF THE ACCOMPANYING PRODUCT
SUPPLEMENT BEFORE PURCHASING ANY SECURITIES. EVENTS RELATING TO ANY OF THOSE RISKS, OR OTHER
RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR
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SECURITIES. YOU MAY LOSE SOME OR ALL OF YOUR INITIAL INVESTMENT IN THE SECURITIES.

Security Offering
We are offering Trigger Performance Securities Linked to the EURO STOXX 50® Index. The Securities are not subject to a
predetermined maximum gain and, accordingly, any return at maturity will be determined by the performance of the Index. The
Securities are our unsubordinated and unsecured obligations and are offered for a minimum investment of 100 Securities at the
price to public described below.
Index
Initial Level
Participation Rate
Trigger Level
CUSIP/ ISIN
1,582.92,
EURO STOXX 50® Index (Ticker:
equal to
3,165.84
238.00%
25155Q847 / US25155Q8472
SX5E)
50.00% of the
Initial Level
See "Additional Terms Specific to the Securities" in this pricing supplement. The Securities will have the terms
specified in underlying supplement No. 1 dated October 1, 2012, product supplement B dated September 28, 2012, the
prospectus supplement dated September 28, 2012 relating to our Series A global notes of which these Securities are a
part and the prospectus dated September 28, 2012, as modified and supplemented by this pricing supplement. The
terms of the Securities as set forth in this pricing supplement, to the extent they differ from those set forth in the
accompanying product supplement, will supersede the terms set forth in such product supplement.
The Issuer's estimated value of the Securities on the Trade Date is $9.203 per $10.00 Face Amount of Securities, which
is less than the Issue Price. Please see "Issuer's Estimated Value of the Securities" on the following page of this
pricing supplement for additional 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, the accompanying underlying supplement
No. 1, product supplement B, the prospectus supplement and the prospectus. Any representation to the contrary is a criminal
offense.
The Securities are not bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any
other governmental agency.
Price to
Discounts and
Offering of Securities
Public(1)
Commissions(1)
Proceeds to Us
Trigger Performance Securities linked to the EURO
STOXX 50® Index

Per Security
$10.00
$0.50
$9.50
Total
$12,462,790.00
$623,139.50
$11,839,650.50
(1)
For more information about discounts and commissions, please see "Supplemental Plan of Distribution (Conflicts of
Interest)" on the last page of this pricing supplement.
Deutsche Bank Securities Inc. ("DBSI") is our affiliate. For more information see "Supplemental Plan of Distribution (Conflicts of
Interest)" on the last page of this pricing supplement.
CALCULATION OF REGISTRATION FEE
Title of Each Class of Securities Offered
Maximum Aggregate Offering Price
Amount of Registration Fee
Notes
$12,462,790.00
$1,605.21
UBS Financial Services Inc.
Deutsche Bank Securities

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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 fol owing two components of the
Securities: (i) a bond and (i ) 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 the 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 typical y lower than the rate we would pay when we issue conventional debt securities on equivalent
terms. This difference in funding rate, as wel 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. The value of the embedded derivative(s) is
calculated based on our internal pricing models using relevant parameter inputs such as expected interest 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 wel 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 al , would general y 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 wil 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 (i ) 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
seventeen 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.

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Additional Terms Specific to the Securities
You should read this pricing supplement, together with the underlying supplement No. 1 dated October 1, 2012, product
supplement B dated September 28, 2012, the prospectus supplement dated September 28, 2012 relating to our Series A global
notes of which these Securities are a part and the prospectus dated September 28, 2012. You may access these documents on
the SEC website of the Securities and Exchange Commission (the "SEC") at www.sec.gov as fol ows (or if such address has
changed, by reviewing our filings for the relevant date on the SEC website):

¨
Underlying supplement No. 1 dated October 1, 2012:
http://www.sec.gov/Archives/edgar/data/1159508/000095010312005120/crt_dp33209-424b2.pdf

¨
Product supplement B dated September 28, 2012:
http://www.sec.gov/Archives/edgar/data/1159508/000095010312005077/crt_dp33020-424b2.pdf

¨
Prospectus supplement dated September 28, 2012:
http://www.sec.gov/Archives/edgar/data/1159508/000119312512409437/d414995d424b21.pdf

¨
Prospectus dated September 28, 2012:
http://www.sec.gov/Archives/edgar/data/1159508/000119312512409372/d413728d424b21.pdf

Deutsche Bank AG has filed a registration statement (including a prospectus) with the Securities and Exchange Commission, for
the offering to which this pricing supplement relates. Before you invest in the Securities offered hereby, you should read these
documents and any other documents relating to this offering that Deutsche Bank AG has filed with the SEC for more complete
information about Deutsche Bank AG and this offering. You may obtain these documents without cost by visiting EDGAR on the
SEC website at www.sec.gov. Our Central Index Key, or CIK, on the SEC website is 0001159508. Alternatively, Deutsche Bank
AG, any agent or any dealer participating in this offering wil arrange to send you the prospectus, prospectus supplement,
product supplement, underlying supplement and this pricing supplement if you so request by calling toll-free 1-800-311-4409.

References to "Deutsche Bank AG," "we," "our" and "us" refer to Deutsche Bank AG, including, as the context requires, acting
through one of its branches. In this pricing supplement, "Securities" refers to the Trigger Performance Securities that are offered
hereby, unless the context otherwise requires.

The terms of the Securities as set forth in this pricing supplement, to the extent they differ from those set forth in the
accompanying product supplement, will supersede the terms set forth in such product supplement.

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 "Key Risks" in this pricing
supplement and "Risk Factors" in the accompanying product supplement, 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.

Investor Suitability
The suitability considerations identified below are not exhaustive. Whether or not the Securities are a suitable investment for you
will depend on your individual circumstances, and you should reach an investment decision only after you and your investment,
legal, tax, accounting and other advisors have careful y considered the suitability of an investment in the Securities in light of your
particular circumstances. You should also review "Key Risks" on page 5 of this pricing supplement and "Risk Factors" on page 7
of the accompanying product supplement.

The Securities may be suitable for you if, among other

The Securities may not be suitable for you if, among
considerations:
other considerations:

¨ You ful y understand the risks inherent in an investment in
¨ You do not ful y understand the risks inherent in an
the Securities, including the risk of loss of your entire
investment in the Securities, including the risk of loss of
initial investment.
your entire initial investment.

¨ You can tolerate a loss of all or a substantial portion of
¨ You require an investment designed to guarantee a ful
your initial investment and are willing to make an
return of the Face Amount at maturity.
investment that may have similar downside market risk

as a hypothetical investment in the Index or in the stocks
¨ You cannot tolerate the loss of all or a substantial portion
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included in the Index.
of your initial investment, and you are not willing to make

an investment that may have similar downside market
¨ You believe that the level of the Index will increase over
risk as a hypothetical investment in the Index or in the
the term of the Securities.
stocks included in the Index.

¨ You are willing to invest in the Securities based on the
¨ You believe that the level of the Index will decline during
Participation Rate indicated on the cover hereof.
the term of the Securities and is likely to close below the

Trigger Level on the Final Valuation Date.
¨ You can tolerate fluctuations in the price of the Securities

prior to maturity that may be similar to or exceed the
¨ You are unwilling to invest in the Securities based on the
downside fluctuations in the level of the Index.
Participation Rate indicated on the cover hereof.

¨ You do not seek current income from your investment and
¨ You cannot tolerate fluctuations in the price of the
are willing to forgo any dividends or any other
Securities prior to maturity that may be similar to or
distributions paid on the stocks included in the Index.
exceed the downside fluctuations in the level of the Index.

¨ You seek an investment with exposure to companies in the
¨ You seek current income from this investment or prefer to
Eurozone.
receive any dividends and any other distributions paid on

the stocks included in the Index.
¨ You are willing and able to hold the Securities to the

Maturity Date, as set forth on the cover of this pricing
¨ You do not seek an investment with exposure to
supplement, and accept that there may be little or no
companies in the Eurozone.
secondary market for the Securities.

¨ You are unwilling or unable to hold the Securities to the
¨ You are willing to assume the credit risk of Deutsche Bank
Maturity Date, as set forth on the cover of this pricing
AG for all payments under the Securities, and understand
supplement, or you seek an investment for which there
that if Deutsche Bank AG defaults on its obligations you
will be an active secondary market.
might not receive any amounts due to you, including any

repayment of the Face Amount.
¨ You are not willing to assume the credit risk of Deutsche
Bank AG for al payments under the Securities, including
any repayment of the Face Amount.

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Final Terms
Issuer
Deutsche Bank AG, London Branch
Issue Price
100% of the Face Amount per Security
Face Amount
$10.00 per Security. The Payment at Maturity will be based on the Face Amount
Term
10 years
Trade Date
April 28, 2014
Settlement Date
April 30, 2014
Final Valuation Date1
April 24, 2024
Maturity Date1, 2
April 30, 2024
Index
EURO STOXX 50® Index (Ticker: SX5E)
Trigger Level
1,582.92, equal to 50% of the Initial Level
Participation Rate
238.00%
Payment at Maturity (per If the Index Return is positive, Deutsche Bank AG will pay you a cash payment per $10.00 Face
$10.00 Face Amount of
Amount of Securities that provides you with the Face Amount of $10.00 plus a return equal to the
Securities)
Index Return multiplied by the Participation Rate, calculated as follows:

$10.00 + ($10.00 × Index Return × Participation Rate)

If the Index Return is zero or negative and the Final Level is greater than or equal to the
Trigger Level on the Final Valuation Date, Deutsche Bank AG will pay you a cash payment of
$10.00 per $10.00 Face Amount of Securities.

If the Final Level is less than the Trigger Level on the Final Valuation Date, Deutsche Bank AG
will pay you a cash payment at maturity less than the Face Amount of $10.00 per $10.00 Face
Amount of Securities, resulting in a loss on the Face Amount that is proportionate to the percentage
decline in the level of the Index, calculated as fol ows:

$10.00 + ($10.00 × Index Return)

In this scenario, you will lose a substantial portion or all of the Face Amount in an amount
proportionate to the percentage decline in the Index.
Index Return

Final Level Initial Level
Initial Level
Initial Level
3,165.84, equal to the closing level of the Index on the Trade Date
Final Level
The closing level of the Index on the Final Valuation Date

INVESTING IN THE SECURITIES INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE A SUBSTANTIAL PORTION OR ALL
OF YOUR INITIAL INVESTMENT. ANY PAYMENT ON THE SECURITIES, INCLUDING ANY REPAYMENT OF THE FACE
AMOUNT AT MATURITY, IS SUBJECT TO THE CREDITWORTHINESS OF THE ISSUER. IF DEUTSCHE BANK AG WERE
TO DEFAULT ON ITS PAYMENT OBLIGATIONS, YOU MIGHT NOT RECEIVE ANY AMOUNTS OWED TO YOU UNDER
THE SECURITIES AND YOU COULD LOSE YOUR ENTIRE INVESTMENT.

Investment Timeline

The closing level of the Index (Initial Level) is observed, the Participation Rate is set
Trade Date:
and the Trigger Level is determined.

The Final Level and Index Return are determined on the Final Valuation Date.

If the Index Return is positive, Deutsche Bank AG will pay you a cash payment
Maturity Date:
per $10.00 Face Amount of Securities that provides you with the Face Amount of
$10.00 plus a return equal to the Index Return multiplied by the Participation Rate,
calculated as fol ows:

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$10.00 + ($10.00 x Index Return x Participation Rate)

If the Index Return is zero or negative and the Final Level is greater than or
equal to the Trigger Level on the Final Valuation Date, Deutsche Bank AG wil
pay you a cash payment of $10.00 per $10.00 Face Amount of Securities.

If the Final Level is less than the Trigger Level on the Final Valuation Date,
Deutsche Bank AG will pay you a cash payment at maturity less than the Face
Amount of $10.00 per $10.00 Face Amount of Securities, resulting in a loss on the
Face Amount that is proportionate to the percentage decline in the level of the Index,
calculated as fol ows:

$10.00 + ($10.00 × Index Return)

In this scenario, you will lose a substantial portion or all of the Face Amount
in an amount proportionate to the percentage decline in the Index.

1
Subject to postponement as described under "Description of Securities -- Adjustments to Valuation Dates and Payment
Dates" in the accompanying product supplement.
2
Notwithstanding what is provided under "Description of Securities -- Adjustments to Valuation Dates and Payment Dates" in
the accompanying product supplement, in the event the Final Valuation Date is postponed, the Maturity Date will be the
fourth business day after the Final Valuation Date as postponed.

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Key Risks
An investment in the Securities involves significant risks. Investing in the Securities is not equivalent to investing directly in the
Index or in any of the stocks composing the Index. Some of the risks that apply to an investment in the Securities are
summarized below, but we urge you to read the more detailed explanation of risks relating to the Securities general y in the "Risk
Factors" section of the accompanying product supplement. We also urge you to consult your investment, legal, tax, accounting
and other advisers before you invest in the Securities.

¨
Your Investment in the Securities May Result in a Loss of Your Initial Investment -- The Securities differ from ordinary
debt securities in that Deutsche Bank AG wil not necessarily pay you your initial investment in the Securities at maturity. The
return on the Securities at maturity is linked to the performance of the Index and will depend on whether, and the extent to
which, the Index Return is positive or negative and if the Index Return is negative, whether the Final Level is less than the
Trigger Level. If the Final Level is less than the Trigger Level, you will be fully exposed to any negative Index Return, and
Deutsche Bank AG will pay you less than the ful Face Amount at maturity, resulting in a loss on the Face Amount that is
proportionate to the percentage decline in the level of the Index. Accordingly, you will lose a significant portion or all of
your initial investment if the Final Level is less than the Trigger Level.

¨
Contingent Repayment of Your Initial Investment Applies Only if You Hold the Securities to Maturity -- You should be
willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, you
may have to sel them at a loss relative to your initial investment even if the level of the Index at such time is greater than the
Trigger Level at the time of sale. You can receive the ful potential benefit of the Trigger Level only if you hold your
Securities to maturity.

¨
The Participation Rate Applies Only at Maturity -- You should be wil ing to hold your Securities to maturity. If you are
able to sel your Securities prior to maturity in the secondary market, the price you receive will likely not reflect the full effect
of the Participation Rate and the return you realize may be less than the Index's return even if such return is positive. You
can receive the ful benefit of the Participation Rate only if you hold your Securities to maturity.

¨
No Coupon Payments -- Deutsche Bank AG will not pay any coupon payments with respect to the Securities.

¨
Risks Relating to the Credit of the Issuer -- The Securities are unsubordinated and unsecured obligations of the Issuer,
Deutsche Bank AG, and are not, either directly or indirectly, an obligation of any third party. Any payment to be made on the
Securities, including any repayment of your initial investment at maturity, depends on the ability of Deutsche Bank AG to
satisfy its obligations as they come 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 our 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, you might not receive any amount owed to you under
the terms of the Securities and you could lose your entire investment.

¨
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 typical y lower than the rate we
would pay when we issue conventional debt securities on equivalent terms. This difference in funding rate, as wel 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. 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.

¨
There Are Risks Associated With Investments in Securities Linked to the Values of Equity Securities Issued by
Non-U.S. Companies -- The Index includes component stocks that are issued by companies incorporated outside of the
U.S. Because the Index includes component stocks traded outside the U.S., the Securities are subject to the risks
associated with non-U.S. securities markets. General y, non-U.S. securities markets may be more volatile than U.S.
securities markets, and market developments may affect non-U.S. securities markets differently than U.S. securities
markets, which may adversely affect the level of the Index and the value of your Securities. Furthermore, there are risks
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associated with investments in securities linked to the values of equity securities issued by non-U.S. companies. There is
general y 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. Specifical y, the stocks included in the Index
are issued by companies located within the Eurozone, some of which are and have been experiencing economic stress.

¨
The Index Return Will Not Be Adjusted for Changes in the Euro Relative to the U.S. Dollar -- The Index is composed
of stocks denominated in, and the level of the Index is calculated in, Euros. Because the level of the Index is calculated in
Euros 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 appreciates or depreciates relative to the U.S. dol ar over the term of the
Securities, you wil not receive any additional payment or incur any reduction in your return, if any, at maturity.

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