By Marisa Wong
Milwaukee, April 13 - Deutsche Bank AG, London Branch priced $4.13 million of 0% principal-protected notes due April 14, 2015 linked to the S&P 500 Monthly Risk Control 12% Excess Return index, according to a 424B2 with the Securities and Exchange Commission.
The payout at maturity will be par plus 105% of any index gain. Investors will receive at least par.
The index is a target volatility index that seeks to achieve a 12% volatility level in the S&P 500 Total Return index by adjusting the exposure to the base index based on its observed historic volatility. It is rebalanced monthly and uses a mathematical algorithm to adjust its weighting between the base index and a cash component.
The index tracks the return of the base index over and above a short-term money market investment. Thus the index return is equal to that of the weighted position in the base index less the associated borrowing costs based on the federal funds rate.
Deutsche Bank Securities Inc. is the agent.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Principal-protected notes
|
| Underlying index: | S&P 500 Risk Control 12% Excess Return index
|
| Amount: | $4.13 million
|
| Maturity: | April 14, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 105% of the index return, with a floor of par
|
| Initial index level: | 103.817
|
| Pricing date: | April 9
|
| Settlement date: | April 14
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | 0.75%
|
| Cusip: | 2515A0Y64
|
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