By Angela McDaniels
Tacoma, Wash., June 19 – Deutsche Bank AG, London Branch priced $2.83 million of 0% tracker notes due June 24, 2016 linked to a basket of indexes and exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket components are the Deutsche Bank ProVol Balanced index, the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), the Deutsche Bank Equity Mean Reversion Alpha Index – Emerging Markets (Emerald EM), the iShares MSCI EAFE Minimum Volatility ETF, the iShares MSCI Emerging Markets Minimum Volatility ETF and the PowerShares BuyBack Achievers Portfolio.
Each quarter, investors will receive a cash payment per $1,000 principal amount of securities that equals the total amount of cash dividends declared and paid by each basket ETF to its shareholders during the preceding quarter on the number of shares of the applicable basket ETF equal to (a) the product of $1,000 and the basket component weighting for that basket ETF divided by (b) the initial level of that basket ETF multiplied by (c) the adjustment factor for that basket ETF on the trading day immediately preceding the applicable payment date.
The basket level on the pricing date was 100. On any subsequent day, the basket level is 100 plus 100% of the return of the ProVol index, 50% of the return of the Emerald index, 50% of the return of the Emerald EM index, one-third of the return of the EAFE ETF, one-third of the return of the EM ETF and one-third of the return of the PowerShares portfolio.
The return of each underlying component is reduced by an adjustment factor, which is a flat 25 basis points plus an additional 100 bps per year for the ProVol index, 100 bps per year for the Emerald and Emerald EM indexes and a flat 10 bps for each ETF.
The notes will be called if the basket level falls below 40. The notes are putable on any trading date to but excluding June 21, 2016.
For each $1,000 principal amount of notes, the payout at maturity or upon redemption will be $1,000 multiplied by the quotient of the final basket level divided by the initial basket level.
Deutsche Bank Securities Inc. is the agent.
| Issuer: | Deutsche Bank AG, London Branch
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| Issue: | Tracker notes
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| Underlying basket: | Deutsche Bank ProVol Balanced index, the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), the Deutsche Bank Equity Mean Reversion Alpha Index – Emerging Markets (Emerald EM), the iShares MSCI EAFE Minimum Volatility ETF, the iShares MSCI Emerging Markets Minimum Volatility ETF and the PowerShares BuyBack Achievers Portfolio
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| Amount: | $2.83 million
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| Maturity: | June 24, 2016
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| Quarterly payments: | Cash payment equal to total amount of cash dividends declared and paid by each basket ETF to its shareholders during preceding quarter on number of shares of applicable basket ETF equal to (a) product of $1,000 and basket component weighting for that basket ETF divided by (b) initial level of that basket ETF multiplied by (c) adjustment factor for that basket ETF on trading day immediately preceding applicable payment date
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| Price: | Par
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| Payout at maturity: | Par multiplied by quotient of final basket level divided by initial basket level
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| Call: | Automatically if basket level falls below 40
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| Put option: | On any trading date to but excluding June 21, 2016
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| Basket level: | 100 on pricing date; on any subsequent day, 100 plus 100% of return of ProVol index, 50% of return of Emerald index, 50% of return of Emerald EM index, one-third of return of EAFE ETF, one-third of return of EM ETF and one-third of return of PowerShares portfolio; returns are reduced by adjustment factor of flat 25 bps plus additional 100 bps per year for ProVol index, 100 bps per year for Emerald and Emerald EM indexes and flat 10 bps for each ETF
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| Pricing date: | June 17
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| Settlement date: | June 22
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| Agent: | Deutsche Bank Securities Inc.
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| Fees: | 0.25%
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| Cusip: | 25152RH48
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