Deutsche Bank plans tracker notes tied to S&P 500 Total Return, ProVol

By Susanna Moon

Chicago, Jan. 11 – Deutsche Bank AG, London Branch plans to price 0% tracker notes due Feb. 23, 2018 linked to a basket of two indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The notes offer exposure to one times the return of the S&P 500 Total Return index and two times the return of the Deutsche Bank ProVol Balanced index.

The return of each index is reduced by an adjustment factor, which is 0.9975% plus 0.4% per year for the S&P index and 1% per year for the ProVol index.

The payout at maturity will be par plus the basket return.

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 will price on Feb. 18 and settle on Feb. 23.

The Cusip number is 25152RV75.

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