By Angela McDaniels
Tacoma, Wash., April 3 - Deutsche Bank AG, London Branch priced $18.42 million of 0% rebalancing tracker notes due April 4, 2017 linked to a basket of 12 components, according to a 424B2 filing with the Securities and Exchange Commission.
The basket consists of the following:
• The iShares Barclays Aggregate Bond fund with an initial index notional exposure of $1,000;
• The Deutsche Bank Commodity Harvest-10 USD ERAC index with an initial index notional exposure of $500 and a rebalancing index weight of 10%;
• The Deutsche Bank Liquid Commodity Momentum index with an initial index notional exposure of $250 and a rebalancing index weight of 5%;
• The Deutsche Bank Commodity Apex 14 Net USD index with an initial index notional exposure of $500 and a rebalancing index weight of 10%;
• The Deutsche Bank Commodity Curve Alpha 10 ERAC index with an initial index notional exposure of $500 and a rebalancing index weight of 10%;
• The Deutsche Bank Equity Mean Reversion Alpha index with an initial index notional exposure of $500 and a rebalancing index weight of 10%;
• The Deutsche Bank Equity Mean Reversion Alpha Index Emerging Markets with an initial index notional exposure of $500 and a rebalancing index weight of 10%;
• The Deutsche Bank X-Alpha USD Excess Return index with an initial index notional exposure of $250 and a rebalancing index weight of 5%;
• The Deutsche Bank Haven Plus Excess Return index with an initial index notional exposure of $500 and a rebalancing index weight of 10%;
• The Deutsche Bank Muni Trends Plus index with an initial index notional exposure of $500 and a rebalancing index weight of 10%;
• The Deutsche Bank Global Ascent II USD (Series 2) index with an initial index notional exposure of $500 and a rebalancing index weight of 10%; and
• The Deutsche Bank Diversified Municipal Arbitrage 2 Plus index with an initial index notional exposure of $500 and a rebalancing index weight of 10%.
On quarterly passthrough payment dates, holders will receive an amount equal to the amount of dividends declared and paid by the bond fund during that quarter on a number of bond fund shares equal to $1,000 divided by the initial share price.
The indexes will be rebalanced on each quarterly observation date by resetting investors' notional exposure to each index to again reflect its respective rebalancing weight but at a level arrived at by taking into account the combined performance of the indexes over the previous three months, adjusted by their respective adjustment factors. Investors' notional exposure to the bond fund will not be adjusted.
The payout at maturity or upon redemption will be the sum of the notional exposures of the components minus $5,000.
The components' initial notional exposures total $6,000. On any quarterly observation date, the notional exposure for the bond fund will be $1,000 plus the fund's return. For the indexes (the "rebalancing indexes"), the index notional exposure is calculated as follows:
• If the reference level for that index is greater than zero, (a) (i) the sum of the index notional exposure for each of the rebalancing indexes on the immediately preceding observation date plus (ii) the sum of the additional index amount for each of the rebalancing indexes on that valuation date, multiplied by (b) the rebalancing index weight of the applicable rebalancing index, divided by (c) the sum of the rebalancing index weights of all the rebalancing indexes for which the respective reference level on such valuation date is greater than zero; or
• If the reference level for the relevant rebalancing index is equal to zero, $0.
On any date, the additional index amount for each of the rebalancing indexes is calculated as follows:
• If the index notional exposure for the relevant rebalancing index on the immediately preceding observation date is greater than zero, the product of (i) that index notional exposure and (ii) the period index return for that rebalancing index; or
• If the index notional exposure for the relevant rebalancing index on the immediately preceding observation date is equal to zero, $0.
The period index return is calculated using the index's level on the valuation date multiplied by an adjustment factor and its reference level on the immediately preceding observation date. The adjustment factor is a flat 0.25% plus 0.1% per year for the bond fund and 0.93% per year for the indexes.
The notes will be called if the total index notional exposure minus $5,000 on any day is less than $600. The notes are putable at any time subject to a 0.5% investor redemption fee.
Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Rebalancing tracker notes
|
| Underlying basket: | iShares Barclays Aggregate Bond fund, Deutsche Bank Commodity Harvest-10 USD ERAC index, Deutsche Bank Liquid Commodity Momentum index, Deutsche Bank Commodity Apex 14 Net USD index, Deutsche Bank Commodity Curve Alpha 10 ERAC index, Deutsche Bank Equity Mean Reversion Alpha index, Deutsche Bank Equity Mean Reversion Alpha Index Emerging Markets, Deutsche Bank X-Alpha USD Excess Return index, Deutsche Bank Haven Plus Excess Return index, Deutsche Bank Muni Trends Plus index, Deutsche Bank Global Ascent II USD (Series 2) index and Deutsche Bank Diversified Municipal Arbitrage 2 Plus index
|
| Amount: | $18,423,000
|
| Maturity: | April 4, 2017
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | The sum of the index notional exposures of the indexes minus $5,000
|
| Put option: | Subject to 0.5% investor redemption fee
|
| Call: | If the sum of the index notional exposures of the indexes minus $5,000 is less than $600 on any day
|
| Initial index levels: | $109.85 for bond fund; 519.9998 for Harvest index; 481.78 for Momentum index; 979.0013 for Apex 14 index; 1,666.0638 for Curve Alpha index; 207.28 for Emerald; 210.19 for Emerald EM; 2,012.57 for X-Alpha index; 304.09 for Haven index; 1,429.9711 for Muni Trends index; 873.5863 for Global Ascent index; 345.1838 for Muni Arbitrage index
|
| Pricing date: | March 30
|
| Settlement date: | April 4
|
| Agent: | Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas
|
| Fees: | 0.25%
|
| Cusip: | 2515A1H87
|
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