Obligation Deutsch Bank London 0% ( US25190A7164 ) en USD

Deutsch Bank London

100 % ⇌

Allemagne

US25190A7164 ( en USD )

22/12/2017 - Obligation échue

Prospectus brochure de l'obligation Deutsche Bank (London Branch) US25190A7164 en USD 0%, échue

100 000 USD

124 778 000 USD

25190A716

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 US25190A7164, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 22/12/2017

L'Obligation émise par Deutsch Bank London ( Allemagne ) , en USD, avec le code ISIN US25190A7164, a été notée NR par l'agence de notation Moody's.

L'Obligation émise par Deutsch Bank London ( Allemagne ) , en USD, avec le code ISIN US25190A7164, a été notée NR par l'agence de notation Standard & Poor's ( S&P ).

424B2 1 dp52050_424b2-sun40.htm FORM 424(B)(2)
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered
Maximum Aggregate Offering
Amount of Registration

Price
Fee(1)
Autocallable Market-Linked Step Up Notes Linked to the EURO
$124,778,000
$14,499.20

STOXX 50® Index
(1)
Calculated in accordance with Rule 457(r) of the Securities Act of 1933.

File d Pursua nt t o Rule 4 2 4 (b)(2 )
Re gist ra t ion St a t e m e nt N o. 3 3 3 -1 8 4 1 9 3
(T o Prospe c t us da t e d Se pt e m be r 2 8 , 2 0 1 2 ,
Prospe c t us Supple m e nt da t e d Se pt e m be r 2 8 , 2 0 1 2
a nd Produc t Supple m e nt EQU I T Y I N DI CES SU N -1
da t e d M a rc h 5 , 2 0 1 4 )

12,477,800 Units
Pricing Date
December 19, 2014
$10 principal amount per unit
Settlement Date
January 2, 2015
Term Sheet No. SUN-40
Maturity Date
December 22, 2017
CUSIP No. 25190A716

Aut oc a lla ble M a rk e t -Link e d St e p U p N ot e s

Link e d t o t he EU RO ST OX X 5 0 ® I nde x

Maturity of approximately three years if not called prior to maturity

Automatic call of the notes per unit at $10 plus the applicable Call Premium ($1.31 on the first Observation Date, and $2.62 on the
second Observation Date) if the Index is flat or increases above 100% of the Starting Value on the relevant Observation Date

The Observation Dates will occur approximately thirteen months and two years after the pricing date

If the notes are not called, at maturity:

a return of 35% if the Index is flat or increases up to the Step Up Value

a return equal to the percentage increase in the Index if the Index increases above the Step Up Value

1-to-1 downside exposure to decreases in the Index, with up to 100% of your principal at risk

All payments are subject to the credit risk of Deutsche Bank AG

No periodic interest payments

Limited secondary market liquidity, with no exchange listing

T he not e s a re be ing issue d by De ut sc he Ba nk AG ("De ut sc he Ba nk ") t hrough it s London Bra nc h. T he re a re
im port a nt diffe re nc e s be t w e e n t he not e s a nd a c onve nt iona l de bt se c urit y, inc luding diffe re nt inve st m e nt
risk s a nd c e rt a in a ddit iona l c ost s. Se e "Risk Fa c t ors" be ginning on pa ge T S-7 of t his t e rm she e t a nd be ginning
on pa ge PS-7 of produc t supple m e nt EQU I T Y I N DI CES SU N -1 .

T he init ia l e st im a t e d va lue of t he not e s a s of t he pric ing da t e is $ 9 .6 3 pe r unit , w hic h is le ss t ha n t he public
offe ring pric e list e d be low . See "Summary" on the following page, "Risk Factors" beginning on page TS-7 of this term sheet and
"Structuring the Notes" on page TS-12 of this term sheet for additional information. The actual value of your notes at any time will
reflect many factors and cannot be predicted with accuracy.
_________________________

http://www.sec.gov/Archives/edgar/data/1159508/000095010314009000/dp52050_424b2-sun40.htm[12/24/2014 8:59:12 AM]

None of the Securities and Exchange Commission (the "SEC"), any state securities commission, or any other regulatory body has
approved or disapproved of these securities or determined if this Note Prospectus (as defined below) is truthful or complete. Any
representation to the contrary is a criminal offense.
_________________________

Per Unit

Total

Public offering price(1)
$ 10.00
$
124,778,000

Underwriting discount(1)
$ 0.20
$
2,457,560

Proceeds, before expenses, to Deutsche Bank
$ 9.80
$
122,282,440

(1) The public offering price and underwriting discount for an aggregate of 760,000 units purchased in a transaction of 500,000
units or more by an individual investor will be $9.95 per unit and $0.15 per unit, respectively.

T he not e s:
Are N ot FDI C I nsure d
Are N ot Ba nk Gua ra nt e e d
M a y Lose V a lue

M e rrill Lync h & Co.
December 19, 2014

Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due December 22, 2017

Summary

The Autocallable Market-Linked Step Up Notes Linked to the EURO STOXX 50® Index, due December 22, 2017 (the "notes") are our senior
unsecured obligations. The notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or secured by collateral. T he not e s
w ill ra nk e qua lly w it h a ll of our ot he r unse c ure d a nd unsubordina t e d de bt s e x c e pt for de bt s re quire d t o be pre fe rre d by
la w . Any pa ym e nt s due on t he not e s, inc luding a ny re pa ym e nt of princ ipa l, w ill be subje c t t o t he c re dit risk of
De ut sc he Ba nk . The notes will be automatically called at the applicable Call Amount if the Observation Level of the Market Measure, which is
the EURO STOXX 50® Index (the "Index"), is equal to or greater than the Call Level on the relevant Observation Date. If not called, at maturity, the
notes provide you with a Step Up Payment if the Ending Value of the Index is equal to or greater than its Starting Value, but is not greater than the
Step Up Value. If the Ending Value is greater than the Step Up Value, you will participate on a 1-for-1 basis in the increase in the level of the Index
above the Starting Value. If the Ending Value is less than the Starting Value, you will lose all or a portion of the principal amount of your notes.
Payments on the notes, including the amount you receive at maturity or upon an automatic call, will be calculated based on the $10 principal
amount per unit and will depend on our credit risk and the performance of the Index. See "Terms of the Notes" below.

On the cover page of this term sheet, we have provided the initial estimated value for the notes. Our initial estimated value of the notes was
determined based on our valuation of two theoretical components of the notes: (i) a theoretical bond component and (ii) a theoretical derivative
component. The value of the bond component of the notes is calculated based on an internal funding rate, which is determined primarily based on
the rates at which our conventional debt securities of comparable maturity may trade, adjusted to account for our funding needs and objectives for
the period matching the term of the notes. The value of the derivative component is calculated based on our internal pricing models using relevant
parameter inputs.

The economic terms of the notes (including the Call Premiums and Call Amounts) are based on the internal funding rate and the economic terms of
certain related hedging arrangements. 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 underwriting discount and the estimated cost of hedging our obligations
under the notes (which includes the hedging related charge described below) reduced the economic terms of the notes to you and the initial
estimated value of the notes on the pricing date. Due to these factors, the public offering price you pay to purchase the notes is greater than the
initial estimated value of the notes. For more information about the initial estimated value and the structuring of the notes, see "Structuring the
Notes" on page TS-12.

http://www.sec.gov/Archives/edgar/data/1159508/000095010314009000/dp52050_424b2-sun40.htm[12/24/2014 8:59:12 AM]

Terms of the Notes

I ssue r:
Deutsche Bank AG, London Branch
Ca ll Se t t le m e nt
Approximately the fifth business day following the

Da t e s:
applicable Observation Date, subject to
postponement if the related Observation Date is
postponed, as described on page PS-20 of
product supplement EQUITY INDICES SUN-1.
Princ ipa l
$10.00 per unit
Ca ll Pre m ium s:
$1.31 per unit if called on January 8, 2016 (which
Am ount :
represents a return of 13.10% over the principal

amount) and $2.62 per unit if called on December
23, 2016 (which represents a return of 26.20%
over the principal amount).
T e rm :
Approximately three years, if not called
Ending V a lue :
The closing level of the Market Measure on the

scheduled calculation day. The calculation day is
subject to postponement in the event of Market
Disruption Events, as described beginning on
page PS-21 of product supplement EQUITY
INDICES SUN-1.
M a rk e t M e a sure : The EURO STOXX 50® Index (Bloomberg symbol: St e p U p V a lue :
4,240.73 (135% of the Starting Value, rounded to

"SX5E"), a price return index.
two decimal places).
St a rt ing V a lue :
3,141.28
St e p U p
$3.50 per unit, which represents a return of 35%

Pa ym e nt :
over the principal amount.
Obse rva t ion
The closing level of the Market Measure on the
T hre shold V a lue : 3,141.28 (100% of the Starting Value).
Le ve l:
applicable Observation Date.

Obse rva t ion
January 8, 2016 and December 23, 2016, subject
Ca lc ula t ion Da y: December 15, 2017
Da t e s:
to postponement in the event of Market Disruption

Events, as described on page PS-20 of product
supplement EQUITY INDICES SUN-1.
Ca ll Le ve l:
100% of the Starting Value
Fe e s a nd
The underwriting discount of $0.20 per unit listed

Cha rge s:
on the cover page and the hedging related charge
of $0.075 per unit described in "Structuring the
Notes" on page TS-12.
Ca ll Am ount s
$11.31 if called on January 8, 2016 and $12.62 if
Ca lc ula t ion
Merrill Lynch, Pierce, Fenner & Smith
(pe r U nit ):
called on December 23, 2016
Age nt :
Incorporated ("MLPF&S") and Deutsche Bank,

acting jointly.

Autocallable Market-Linked Step Up Notes
TS-2

Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due December 22, 2017

Determining Payment on the Notes
Aut om a t ic Ca ll Provision
The notes will be called automatically on an Observation Date if the Observation Level on that Observation Date is equal to or greater than the Call
Level. If the notes are called, you will receive $10 per unit plus the applicable Call Premium.
http://www.sec.gov/Archives/edgar/data/1159508/000095010314009000/dp52050_424b2-sun40.htm[12/24/2014 8:59:12 AM]

Re de m pt ion Am ount De t e rm ina t ion
If the notes are not automatically called, on the maturity date, you will receive a cash payment per unit determined as follows:

Because the Threshold Value for the notes is equal to the Starting
Value, you will lose all or a portion of your investment if the
Ending Value is less than the Starting Value.

Autocallable Market-Linked Step Up Notes
TS-3

Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due December 22, 2017

The terms and risks of the notes are contained in this term sheet and in the following:

Product supplement EQUITY INDICES SUN-1 dated March 5, 2014:
http://www.sec.gov/Archives/edgar/data/1159508/000095010314001639/crt_dp44544-424b2.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

These documents (together, the "Note Prospectus") have been filed as part of a registration statement with the SEC, which may,
without cost, be accessed on the SEC website as indicated above or obtained from MLPF&S by calling 1-866-500-5408. Before you
http://www.sec.gov/Archives/edgar/data/1159508/000095010314009000/dp52050_424b2-sun40.htm[12/24/2014 8:59:12 AM]

invest, you should read the Note Prospectus, including this term sheet, for information about us and this offering. Any prior or
contemporaneous oral statements and any other written materials you may have received are superseded by the Note Prospectus.
Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement EQUITY INDICES SUN-
1. Unless otherwise indicated or unless the context requires otherwise, all references in this document to "we," "us," "our," or similar
references are to Deutsche Bank. The trustee has appointed Deutsche Bank Trust Company Americas as its authenticating agent with
respect to our Series A global notes.
Investor Considerations

Y ou m a y w ish t o c onside r a n inve st m e nt in t he not e s
T he not e s m a y not be a n a ppropria t e inve st m e nt for
if:
you if:

You are willing to receive a return on your investment

You want to hold your notes for the full term.
capped at the return represented by the applicable Call

Premium if the relevant Observation Level is equal to or
You believe that the notes will not be automatically called
greater than the Call Level.
and the Index will decrease from the Starting Value to the

Ending Value.
You anticipate that the notes will be automatically called or

the Index will increase from the Starting Value to the Ending
You seek principal protection or preservation of capital.
Value.

You seek interest payments or other current income on your
You are willing to risk a loss of principal and return if the
investment.
Index decreases from the Starting Value to the Ending

Value.
You want to receive dividends or other distributions paid on

the stocks included in the Index.
You are willing to forgo the interest payments that are paid

on conventional interest bearing debt securities.
You seek an investment for which there will be a liquid

secondary market.
You are willing to forgo dividends or other benefits of owning

the stocks included in the Index.
You are unwilling or are unable to take market risk on the

notes or to take our credit risk as issuer of the notes.
You are willing to accept a limited market for sales prior to
maturity, and understand that the market prices for the
notes, if any, will be affected by various factors, including
our actual and perceived creditworthiness, the internal
funding rate and fees and charges on the notes.

You are willing to assume our credit risk, as issuer of the
notes, for all payments under the notes, including the
Redemption Amount.

We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

Autocallable Market-Linked Step Up Notes
TS-4

Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due December 22, 2017
Hypothetical Payout Profile and Examples of
Payments at Maturity

T he se hypot he t ic a l va lue s show a pa yout profile a t m a t urit y, w hic h w ould only a pply if t he not e s a re not
c a lle d on a ny Obse rva t ion Da t e .
http://www.sec.gov/Archives/edgar/data/1159508/000095010314009000/dp52050_424b2-sun40.htm[12/24/2014 8:59:12 AM]

M a rk e t -Link e d St e p U p N ot e s
This graph reflects the returns on the notes, based on the
Threshold Value of 100% of the Starting Value, the Step Up
Payment of $3.50 and the Step Up Value of 135% of the Starting
Value. The green line reflects the returns on the notes, while the
dotted gray line reflects the returns of a direct investment in the
stocks included in the Index, excluding dividends.

This graph has been prepared for purposes of illustration only.

The following table and examples are for purposes of illustration only. They are based on hypothetical values and show hypothetical
returns on the notes, assuming the notes are not called on any Observation Date. They illustrate the calculation of the Redemption
Amount and total rate of return based on a hypothetical Starting Value of 100, a Threshold Value of 100, a Step Up Value of 135, the
Step Up Payment of $3.50 per unit and a range of hypothetical Ending Values. T he a c t ua l a m ount you re c e ive a nd t he
re sult ing t ot a l ra t e of re t urn w ill de pe nd on t he a c t ua l St a rt ing V a lue , T hre shold V a lue , Ending V a lue , St e p U p
V a lue , w he t he r t he not e s a re c a lle d on a n Obse rva t ion Da t e , a nd w he t he r you hold t he not e s t o m a t urit y. The
following examples do not take into account any tax consequences from investing in the notes.

For recent actual levels of the Market Measure, see "The Index" section below. The Index is a price return index and as such the
Ending Value will not include any income generated by dividends paid on the stocks included in the Index, which you would otherwise
be entitled to receive if you invested in those stocks directly. In addition, all payments on the notes are subject to issuer credit risk.

Pe rc e nt a ge Cha nge from

t he St a rt ing V a lue t o t he
Re de m pt ion Am ount pe r
T ot a l Ra t e of Re t urn on t he
Ending V a lue
Ending V a lue

U nit
N ot e s
0.00

-100.00%

$0.00

-100.00%

50.00

-50.00%

$5.00

-50.00%

60.00

-40.00%

$6.00

-40.00%

70.00

-30.00%

$7.00

-30.00%

80.00

-20.00%

$8.00

-20.00%

90.00

-10.00%

$9.00

-10.00%

95.00

-5.00%

$9.50

-5.00%

100.00(1)(2)

0.00%

$13.50(3)

35.00%

102.00

2.00%

$13.50

35.00%

105.00

5.00%

$13.50

35.00%

110.00

10.00%

$13.50

35.00%

120.00

20.00%

$13.50

35.00%

130.00

30.00%

$13.50

35.00%

135.00(4)

35.00%

$13.50

35.00%

140.00

40.00%

$14.00

40.00%

150.00

50.00%

$15.00

50.00%

160.00

60.00%

$16.00

60.00%

(1)
The hypot he t ic a l Starting Value of 100 used in these examples has been chosen for illustrative purposes only. The actual
Starting Value is 3,141.28, which was the closing level of the Market Measure on the pricing date.

(2)
This is the hypot he t ic a l Threshold Value.

(3)
This amount represents the sum of the principal amount and the Step Up Payment of $3.50.

(4)
This is the hypot he t ic a l Step Up Value.

Autocallable Market-Linked Step Up Notes
TS-5

http://www.sec.gov/Archives/edgar/data/1159508/000095010314009000/dp52050_424b2-sun40.htm[12/24/2014 8:59:12 AM]

Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due December 22, 2017
Re de m pt ion Am ount Ca lc ula t ion Ex a m ple s

Ex a m ple 1

The Ending Value is 90.00, or 90.00% of the Starting Value:
Starting Value:
100.00
Threshold Value:
100.00
Ending Value:
90.00
Redemption Amount per unit

Ex a m ple 2

The Ending Value is 110.00, or 110.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
135.00
Ending Value:
110.00
$10.00 + 3.50 = $13.50 Redemption Amount per unit, the principal amount plus the Step Up Payment, since the Ending
Value is equal to or greater than the Starting Value, but less than the Step Up Value.

Ex a m ple 3

The Ending Value is 140.00, or 140.00% of the Starting Value:
Starting Value:
100.00
Step Up Value:
135.00
Ending Value:
140.00
Redemption Amount per unit

Autocallable Market-Linked Step Up Notes
TS-6

Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due December 22, 2017

Risk Factors

There are important differences between the notes and a conventional debt security. An investment in the notes involves significant
risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the "Risk
Factors" sections beginning on page PS-7 of product supplement EQUITY INDICES SUN-1 and page PS-3 of the prospectus
supplement identified above. We also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest
in the notes.

http://www.sec.gov/Archives/edgar/data/1159508/000095010314009000/dp52050_424b2-sun40.htm[12/24/2014 8:59:12 AM]

If the notes are not automatically called, depending on the performance of the Index as measured shortly before the maturity
date, your investment may result in a loss; there is no guaranteed return of principal.

Your return on the notes may be less than the yield you could earn by owning a conventional fixed or floating rate debt
security of comparable maturity.

Payments on the notes are subject to our credit risk, and actual or perceived changes in our creditworthiness are expected to
affect the value of the notes. If we become insolvent or are unable to pay our obligations, you may lose your entire
investment.

If the notes are called, your investment return is limited to the return represented by the applicable Call Premium.

Your investment return, if any, may be less than a comparable investment directly in the stocks included in the Index.

The initial estimated value of the notes is an estimate only, determined as of a particular point in time 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 of comparable maturity. As a result of this difference, the initial estimated value of the notes
would likely be lower if it were based on the rate we would pay when we issue conventional debt securities of comparable
maturity. This difference in funding rate, as well as the underwriting discount and the estimated cost of hedging our obligations
under the notes (which includes the hedging related charge described below), reduces the economic terms of the notes to
you.

Our internal pricing models consider relevant parameter inputs such as expected interest rates and mid-market levels of price
and volatility of the assets underlying the notes or any futures, options or swaps related to such underlying assets. Our pricing
models are proprietary and rely in part on certain forecasts about future events, which may prove to be incorrect. Because our
pricing models may differ from other financial institutions' valuation models, and because funding rates taken into account by
other financial institutions (including those with similar creditworthiness) may vary materially from the internal funding rate used
by us, our initial estimated value of the notes may not be comparable to the initial estimated values of similar notes of other
financial institutions.

The public offering price you pay for the notes exceeds the initial estimated value. The difference is due to the inclusion in the
public offering price of the underwriting discount and the estimated cost of hedging our obligations under the notes (which
includes the hedging related charge described below), all as further described in "Structuring the Notes" on page TS-12.
These factors are expected to reduce the price at which you may be able to sell the notes in any secondary market and,
together with various credit, market and economic factors over the term of the notes, including changes in the level of the
Index, will affect the value of the notes in complex and unpredictable ways.

The initial estimated value of the notes on the pricing date does not represent the price at which we, MLPF&S, or any of our
respective affiliates would be willing to purchase your notes 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, MLPF&S, or any of our
respective affiliates would be willing to purchase the notes from you in secondary market transactions, if at all, would generally
be lower than both the public offering price and the initial estimated value of the notes on the pricing date. MLPF&S has
advised us that any repurchases by them or their affiliates will be made at prices determined by reference to their pricing
models and at their discretion. These prices will include MLPF&S's trading commissions and mark-ups and may differ
materially from the initial estimated value of the notes determined by reference to our internal funding rate and pricing models.

A trading market is not expected to develop for the notes. None of us, MLPF&S, or any of our respective affiliates is obligated
to make a market for, or to repurchase, the notes. There is no assurance that any party will be willing to purchase your notes
at any price in any secondary market.

Our business, hedging and trading activities, and those of MLPF&S and our respective affiliates (including trading in securities
of companies included in the Index), and any hedging and trading activities we, MLPF&S or our respective affiliates engage in
for our clients' accounts, may affect the market value and return of the notes and may create conflicts of interest with you. Our
economic interests in determining the initial estimated value of the notes on the pricing date and the price, if any, at which we
or our affiliates would be willing to purchase the notes from you in secondary market transactions, are potentially adverse to
your interests as an investor in the notes.

The Index sponsor may adjust the Index in a way that affects its level, and has no obligation to consider your interests.

You will have no rights of a holder of the securities represented by the Index, and you will not be entitled to receive securities
or dividends or other distributions by the issuers of those securities.
http://www.sec.gov/Archives/edgar/data/1159508/000095010314009000/dp52050_424b2-sun40.htm[12/24/2014 8:59:12 AM]

Autocallable Market-Linked Step Up Notes
TS-7

Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due December 22, 2017

While we, MLPF&S or our respective affiliates may from time to time own securities of companies included in the Index,
except to the extent that our ordinary shares are included in the Index, we, MLPF&S and our respective affiliates do not
control any other company included in the Index, and are not responsible for any disclosure made by any other company.

Your return on the notes may be affected by factors affecting international securities markets, specifically changes in the
Eurozone. In addition, although you will not obtain the benefit of any increase in the value of the euro against the U.S. dollar
which you would have received if you had owned the securities in the index during the term of your notes, the value of the
notes may be adversely affected by general exchange rate movements in the market.

There may be potential conflicts of interest involving the calculation agent. We have the right to appoint and remove the
calculation agent.

The U.S. federal income tax consequences of an investment in the notes are uncertain, and may be adverse to you. See
"Summary Tax Consequences" below and "U.S. Federal Income Tax Consequences" beginning on page PS-28 of product
supplement EQUITY INDICES SUN-1.
Other Terms of the Notes

The following definition shall supersede and replace the definition of "Market Measure Business Day" set forth in product supplement
EQUITY INDICES SUN-1.

M a rk e t M e a sure Busine ss Da y

A "Market Measure Business Day" means a day on which:

(A) the Eurex (or any successor) is open for trading; and

(B) the Index or any successor thereto is calculated and published.

Autocallable Market-Linked Step Up Notes
TS-8

Autocallable Market-Linked Step Up Notes
Linked to the EURO STOXX 50® Index, due December 22, 2017
The Index

We have derived all information contained in this term sheet regarding the Index, including, without limitation, its make-up, method of
calculation and changes in its components, from publicly available information. We have not participated in the preparation of, or
verified, such publicly available information. Such information reflects the policies of, and is subject to change by STOXX Limited
("STOXX" or the "Index sponsor"). The Index is calculated, maintained and published by STOXX Limited. STOXX Limited has no
obligation to continue to publish, and may discontinue publication of, the Index. The consequences of STOXX discontinuing publication
of the Index are discussed in the section entitled "Description of the Notes - Discontinuance of an Index" beginning on page PS-22 of
product supplement EQUITY INDICES SUN-1. None of us, the calculation agent, or MLPF&S accepts any responsibility for the
calculation, maintenance, or publication of the Index or any successor index.
http://www.sec.gov/Archives/edgar/data/1159508/000095010314009000/dp52050_424b2-sun40.htm[12/24/2014 8:59:12 AM]

The Index was created by STOXX Limited, which is owned by Deutsche Boerse AG and SIX Group AG. Publication of the Index
began on February 28, 1998, based on an initial index value of 1,000 on December 31, 1991. The Index is published in The Wall
Street Journal and disseminated on the STOXX Limited website. On March 1, 2010, STOXX Limited announced the removal of the
"Dow Jones" prefix from all of its indices, including the Index.

I nde x Com posit ion a nd M a int e na nc e

The Index is composed of 50 component stocks of 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 17 European countries. The component stocks have a high degree of
liquidity and represent the largest companies across all market sectors. The Index is calculated in euros.

The composition of the Index is reviewed annually, based on the closing stock data on the last trading day in August. The component
stocks are announced the first trading day in September. Changes to the component stocks are implemented on the third Friday in
September and are effective the following trading day. Changes in the composition of the Index are made to ensure that the Index
includes the 50 market sector leaders from within the Euro STOXX Index.

The free float factors for each component stock used to calculate the Index, as described below, are reviewed, calculated and
implemented on a quarterly basis and are fixed until the next quarterly review. Each component's weight is capped at 10% of the
index's total free float market capitalization.

The Index is also reviewed on an ongoing basis. Corporate actions (including initial public offerings, mergers and takeovers, spin-offs,
delistings and bankruptcy) that affect the Index composition are immediately reviewed. Any changes are announced, implemented and
effective in line with the type of corporate action and the magnitude of the effect.

Ca lc ula t ion of t he I nde x

The Index is calculated with the Laspeyres formula, which measures the aggregate price changes in the component stocks against a
fixed base quantity weight. The formula for calculating the Index value can be expressed as follows:

free float market capitalization of the Index
Index =
Divisor

The "free float market capitalization of the Index" is equal to the sum of the products of the closing price, market capitalization and
free float factor for each component stock as of the time the Index is being calculated.

The divisor for the Index is adjusted to maintain the continuity of the Index values across changes due to corporate actions. The
following is a summary of the adjustments to any component stock made for corporate actions and the effect of such adjustment on
the divisor, where an index divisor may decrease (Ñ) or increase (D) or keep constant () when corporate actions occur for a
component stock. Assuming shareholders receive "B" new shares for every "A" share held for the following corporate actions:

Corpora t e
Divisor
Ac t ion
Adjust m e nt Form ula
Ñ
Cash dividend
adjusted price = closing level dividend announced by company × (1 withholding tax)
(applied for return
index only)

D
Special Cash
adjusted price = closing level dividend announced by company × (1 withholding tax)
dividend (applied
for price return
index only)

Split and Reverse
adjusted price = closing level × A/B
Split

new number of shares = old number of shares × B/A

Autocallable Market-Linked Step Up Notes
TS-9

http://www.sec.gov/Archives/edgar/data/1159508/000095010314009000/dp52050_424b2-sun40.htm[12/24/2014 8:59:12 AM]

Document Outline

#1">
- #1">