Deutsche Bank changes one underlying component of tracker notes

By Angela McDaniels

Tacoma, Wash., June 7 - Deutsche Bank AG, London Branch plans to price 0% tracker notes due June 23, 2016 linked to a basket that includes the S&P 500 Total Return index and the Deutsche Bank ProVol Balanced index, according to an amended FWP filing with the Securities and Exchange Commission.

When the bank first announced the offering on June 6, it said the notes would be linked to the SPDR S&P 500 ETF Trust and the Deutsche Bank ProVol Balanced index.

The basket level on the pricing date will be 100. On any subsequent day, the basket level will be 100 plus the return of the S&P index plus double the return of Deutsche Bank index.

The return of each index is reduced by an adjustment factor, which is a flat 0.25% and 0.13% per year for the S&P index and 1% per year for the Deutsche Bank index.

The payout at maturity will be par multiplied by the quotient of the final basket level divided by the initial basket level.

The notes will be called at par plus the basket return if the basket level falls below 40.

Deutsche Bank Securities Inc. is the agent.

The notes are expected to price June 19 and settle June 24.

The Cusip number is 25152RDJ9.

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