Deutsche Bank to price performance tracking securities linked to UBS Seasonal Exposure Total Return

By Angela McDaniels

Tacoma, Wash., Sept. 6 - Deutsche Bank AG, London Branch plans to price 0% performance tracking securities due Sept. 29, 2017 linked to the UBS Seasonal Exposure Total Return index, according to an FWP filing with the Securities and Exchange Commission.

The index is designed to reflect a trading strategy that adjusts its exposure to the Dow Jones Industrial Average Total Return index on a seasonal basis. From October through April of each year, the index will increase or decrease by 2% for every 1% change in the level of the Dow Total Return, less a financing fee. From May through September of each year, the index provides no exposure to the Dow Total Return and will instead increase each day by an accrual amount based on monthly resetting interest rates, compounded monthly.

For each $10.00 principal amount of notes, the redemption amount will be (a) $9.875, which equals $10.00 minus a 1.25% upfront fee, plus (b) the index return, which could be positive or negative, and minus (c) the fee factor, which accrues daily at a rate of 1.45% per year.

The index must appreciate by at least 9.2% to offset the effect of the fees.

The notes will be automatically redeemed early if the redemption amount falls to or below $1.50 per note.

If the notes are not redeemed early, investors will receive the redemption amount at maturity.

The notes are expected to price Sept. 25 and settle Sept. 28.

UBS Financial Services Inc. and Deutsche Bank Securities Inc. are the underwriters.

The Cusip number is 25154X371.

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