By Angela McDaniels
Tacoma, Wash., Aug. 24 - Deutsche Bank AG, London Branch priced $1.93 million of tracker notes due Aug. 25, 2016 linked to a basket of four indexes and three exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Deutsche Bank Commodity Harvest - 10 USD ERAC index, the Deutsche Bank Trends x12 Excess Return Index, the Deutsche Bank Equity Mean Reversion Alpha Index Emerging Markets (Emerald), the Deutsche Bank Commodity Booster - Dow Jones - UBS Excess Return After Cost TV 14 index, the iShares Barclays Aggregate bond fund, the iShares iBoxx $ High Yield Corporate bond fund and the iShares MSCI Emerging Markets index.
On each quarterly dividend pass-through payment date, holders will receive a payment per $1,000 principal amount of notes equal to the amount of dividends paid by the basket ETFs to their shareholders during the payment period on the number of fund shares equal to that ETF's initial notional exposure divided by its initial share price.
The payout at maturity or upon redemption will be the sum of the notional exposures of the basket components minus $3,000.
The notional exposure on the pricing date was $900 for the Harvest index, $750 each for the Trends and Emerald indexes, $600 for the Booster index, $500 for the Aggregate ETF, $300 for the High Yield ETF and $200 for the Emerging Markets ETF for a total of $4,000. On any subsequent day, the notional exposure equals the initial notional exposure plus the basket component's return on that day.
The final level of each basket component used to calculate its return is reduced by an adjustment factor, which is 0.1% per year plus a flat 0.25% for the ETFs, 0.5% per year for the Harvest and Booster indexes and 1% per year for the Trends and Emerald indexes.
The notes are putable on quarterly redemption date, and they will be called if the total notional exposure minus $3,000 on any day is less than $400.
Deutsche Bank Securities Inc. is the underwriter.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Tracker notes
|
| Underlying basket: | the Deutsche Bank Commodity Harvest - 10 USD ERAC index, Deutsche Bank Trends x12 Excess Return Index, Deutsche Bank Equity Mean Reversion Alpha Index Emerging Markets (Emerald), Deutsche Bank Commodity Booster - Dow Jones - UBS Excess Return After Cost TV 14 index, iShares Barclays Aggregate bond fund, iShares iBoxx $ High Yield Corporate bond fund and iShares MSCI Emerging Markets index
|
| Amount: | $1,932,000
|
| Maturity: | Aug. 25, 2016
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| Quarterly payment: | Amount equal to the dividends paid during the period on a number of Aggregate ETF shares equal to $500 divided by its initial share price plus a number of High Yield ETF shares equal to $300 divided by its initial share price plus a number of Emerging Markets ETF shares equal to $200 divided by its initial share price
|
| Price: | Par
|
| Payout at maturity: | Sum of notional exposures of basket components minus $3,000
|
| Call option: | If sum of notional exposures of basket components minus $3,000 is less than $400 on any day
|
| Put option: | On quarterly dates in February, May, August and November of each year
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| Initial levels: | 562.07 for Harvest index; 2,149.0913 for Trends index; 199.47 for Emerald index; 319.91 for Booster index; $109.89 for Aggregate ETF; $85.46 for High Yield ETF; $39.63 for Emerging Markets ETF
|
| Pricing date: | Aug. 22
|
| Settlement date: | Aug. 25
|
| Underwriter: | Deutsche Bank Securities Inc.
|
| Fees: | 0.25%
|
| Cusip: | 2515A1C25
|
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