Deutsche Bank to price tracker notes linked to dividend ETF, Emerald

By Angela McDaniels

Tacoma, Wash., Aug. 8 - Deutsche Bank AG, London Branch plans to price tracker notes due Aug. 29, 2014 linked to the SPDR S&P Dividend ETF and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), according to an FWP filing with the Securities and Exchange Commission.

On each dividend pass-thru payment date, investors will receive a cash payment per $1,000 principal amount of notes that equals the total amount of dividends accrued and paid by the ETF to its shareholders during the applicable payment period on the number of shares each $1,000 principal amount of notes is worth. The payment dates occur quarterly.

The initial basket level is 100. On any trading day, the basket level will be 100 plus the ETF's return plus three times the index's return. The level of each underying is reduced by an adjustment factor, which is a flat 0.25% plus 0.25% per year for the ETF and 1% per year for the index.

The notes will be called if the basket level falls to or below 40.

The payout at maturity or upon redemption will be $1,000 multiplied by the quotient of the final basket level divided by the initial basket level.

The ETF seeks to replicate the price and yield of the S&P High Yield Dividend Aristocrats index, which is designed to measure the performance of the 60 highest dividend yielding S&P Composite 1500 constituents that have followed a managed dividends policy of consistently increasing dividends every year for at least 25 years.

The Emerald index tracks the performance of a strategy of buying daily volatility and selling weekly volatility with respect to the S&P 500 index on a weekly rolling basis.

The notes (Cusip: 2515A1AG6) are expected to price Aug. 26 and settle Aug. 31.

Deutsche Bank Securities Inc. is the underwriter.

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