By Angela McDaniels
Tacoma, Wash., March 22 - Deutsche Bank AG, London Branch priced $5.7 million of 0% rebalancing tracker notes due March 21, 2014 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Deutsche Bank Commodity Booster-Dow Jones-UBS 14 TV Index Excess Return, the Deutsche Bank Commodity Harvest-10 USD ERAC index, the Deutsche Bank Equity Mean Reversion Alpha index (Emerald) and the Deutsche Bank Fed Funds Total Return index.
The payout at maturity or upon redemption will be the sum of the notional exposures of the four indexes minus $3,000.
The notional exposure for the DB Fed Funds index is $1,000 multiplied by the sum of the index return plus one. For the remaining indexes, the national exposure is (a) the sum of the notional exposure for the three indexes on the immediately preceding observation date - which occur quarterly - plus the sum of the additional index amount for each of the three indexes (b) divided by the number of basket indexes with an adjusted level greater than zero.
The additional index amount is the product of the index's notional exposure multiplied by its return for that quarterly observation period.
The adjustment factor is a flat 0.75% for the DB Fed Funds index and 1.16% per year for the remaining indexes.
The notes are putable on April 2, 2012 and March 25, 2013. They will be called if the total index notional exposure minus $3,000 on any day is less than $400.
Deutsche Bank Securities Inc. is the agent.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Rebalancing tracker notes
|
| Underlying indexes: | Deutsche Bank Commodity Booster-Dow Jones-UBS 14 TV Index Excess Return, Deutsche Bank Commodity Harvest-10 USD ERAC index, Deutsche Bank Equity Mean Reversion Alpha index (Emerald) and Deutsche Bank Fed Funds Total Return Index
|
| Amount: | $5,969,000
|
| Maturity: | March 21, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | The sum of the index notional exposures of the four indexes minus $3,000
|
| Put option: | On April 2, 2012 and March 25, 2013
|
| Call option: | If the sum of the index notional exposures of the four indexes minus $3,000 is less than $400 on any day
|
| Initial index levels: | 349.97 for Booster, 533.38 for Harvest, 210.68 for Emerald and 171.6552 for DB Fed Funds
|
| Pricing date: | March 18
|
| Settlement date: | March 23
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | 0.75%
|
| Cusip: | 2515A13K5
|
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