Deutsche Bank plans rebalancing tracker notes linked to nine indexes

By Jennifer Chiou

New York, Dec. 2 - Deutsche Bank AG, London Branch plans to price 0% rebalancing tracker notes due Dec. 19, 2016 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the following:

• The Deutsche Bank Fed Funds Total Return index with an initial index notional exposure of $1,000;

• The Deutsche Bank Commodity Booster-Dow Jones-UBS Excess Return After Cost TV 14 index with an initial index notional exposure of $250 and a rebalancing index weight of 5%;

• The Deutsche Bank Liquid Commodity Momentum index with an initial index notional exposure of $800 and a rebalancing index weight of 16%;

• The Deutsche Bank Commodity Harvest-10 USD ERAC index with an initial index notional exposure of $800 and a rebalancing index weight of 16%;

• The Deutsche Bank Trends x12 Excess Return index with an initial index notional exposure of $1,000 and a rebalancing index weight of 20%;

• The Deutsche Bank Equity Mean Reversion Alpha index (Emerald) with an initial index notional exposure of $750 and a rebalancing index weight of 15%;

• The Deutsche Bank US Volatility Harvest Excess Return index with an initial index notional exposure of $550 and a rebalancing index weight of 11%;

• The Deutsche Bank Haven Plus Excess Return index with an initial index notional exposure of $300 and a rebalancing index weight of 6%; and

• The Deutsche Bank X-Alpha USD Excess Return index with an initial index notional exposure of $550 and a rebalancing index weight of 11.

The payout at maturity or upon redemption will be the sum of the notional exposures of the indexes minus $1,000.

The indexes' initial notional exposures total $6,000. On any quarterly observation date, the index notional exposure for each of the indexes other than the Fed Funds index is calculated as follows:

• If the reference level for that index is greater than zero, (a) (i) the sum of the index notional exposure for each of the rebalancing indexes on the immediately preceding observation date plus (ii) the sum of the additional index amount for each of the rebalancing indexes on that valuation date, multiplied by (b) the rebalancing index weight of the applicable rebalancing index, divided by (c) the sum of the rebalancing index weights of all the rebalancing indexes for which the respective reference level on such valuation date is greater than zero; or

• If the reference level for the relevant rebalancing index is equal to zero, $0.

On any date, the additional index amount for each of the rebalancing indexes is calculated as follows:

• If the index notional exposure for the relevant rebalancing index on the immediately preceding observation date is greater than zero, the product of (i) that index notional exposure and (ii) the period index return for that rebalancing index; or

• If the index notional exposure for the relevant rebalancing index on the immediately preceding observation date is equal to zero, $0.

The period index return is calculated using the index's level on the valuation date multiplied by an adjustment factor and its reference level on the immediately preceding observation date. The adjustment factor is 0.25% for the Fed Funds index and 1% per year for the remaining indexes.

The payout at maturity or upon redemption will be the total index national exposure minus $5,000.

The notes will be called if the total index notional exposure minus $5,000 on any day is less than $600. The notes are putable quarterly.

The notes (Cusip: 2515A1E49) are expected to price on Dec. 14 and settle on Dec. 19.

Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the agents.

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