By Angela McDaniels
Tacoma, Wash., Sept. 6 - Deutsche Bank AG, London Branch priced $2.11 million of 0% tracker notes due Sept. 10, 2015 linked to a basket that includes the S&P 500 Total Return index, the Deutsche Bank ProVol Hedge index and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), according to a 424B2 filing with the Securities and Exchange Commission.
The basket level on the pricing date was 100. On any subsequent day, the basket level is 100 plus the return of the S&P index plus the return of ProVol Hedge index plus three times the return of the Emerald index.
The return of each index is reduced by an adjustment factor, which is a flat 0.25% plus 0.13% per year for the S&P index and 1% per year for the other indexes.
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 50.
Deutsche Bank Securities Inc. is the agent.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Tracker notes
|
| Underlying indexes: | S&P 500 Total Return, Deutsche Bank ProVol Hedge and Deutsche Bank Equity Mean Reversion Alpha
|
| Amount: | $2,113,000
|
| Maturity: | Sept. 10, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return
|
| Call: | Automatically at par plus basket return if basket level falls below 50
|
| Initial basket level: | 100; on subsequent days, basket level equals 100 plus return of S&P index plus return of ProVol Hedge index plus three times return of Emerald index
|
| Initial index levels: | 2,945.617 for S&P 500, 864.25 for ProVol Hedge and 214.98 for Emerald
|
| Pricing date: | Sept. 4
|
| Settlement date: | Sept. 9
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | 0.25%
|
| Cusip: | 25152REG4
|
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