Deutsche Bank plans tracker notes tied to S&P 500 TR, ProVol Balanced

By Angela McDaniels

Tacoma, Wash., Feb. 23 – Deutsche Bank AG, London Branch plans to price 0% tracker notes due March 19, 2018 linked to a basket that includes the S&P 500 Total Return index and the Deutsche Bank ProVol Balanced index, according to a 424B2 filing with the Securities and Exchange Commission.

The basket level on the pricing date will be 100. On any subsequent day, the basket level will be 100 plus the sum of the indexes’ returns.

The return of each index is reduced by an adjustment factor, which is a flat 0.25% plus an additional 0.4% per year for the S&P index and 1% per year for the ProVol index.

The payout at maturity or upon redemption 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. The notes are putable subject to the payment of a 0.5% redemption fee.

Deutsche Bank Securities Inc. is the agent.

The notes are expected to price March 15.

The Cusip number is 25152RV67.

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