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Deutsche Bank plans rebalancing tracker notes linked to six indexes
By Jennifer Chiou
New York, June 14 - Deutsche Bank AG, London Branch plans to price 0% rebalancing tracker notes due Feb. 18, 2014 linked to a basket of indexes that includes the Deutsche Bank Fed Funds Total Return Index, the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), the Deutsche Bank X-Alpha USD Excess Return Index, the Deutsche Bank Trends x12 Excess Return Index, the Deutsche Bank Haven Plus Excess Return Index and the Deutsche Bank Commodity Harvest ERAC Index, according to an FWP with the Securities and Exchange Commission.
Investors will have an initial notional exposure of $1,000 for the Fed Funds index, $2,000 for the Emerald and $250 for each of the other basket indexes on the trade date, and the total index notional exposure will be the sum of the exposure for each of the basket indexes.
The basket will be rebalanced quarterly by resetting investors' notional exposure to again be equal, but at a level arrived at by taking into account the average performance of the indexes over the previous three months and their respective adjustment factors. Exposure to the Emerald and the Fed Funds indexed will not be adjusted.
The notional exposure of each index is reduced by an adjustment factor, which is a flat 0.9975% plus 0.35% per year for the Fed Funds and 1% per year for each of the remaining indexes.
The payout at maturity will be par plus the total notional exposure plus any additional index amount less the adjustment factor. The additional amount will be added if the index notional exposure for an index on the relevant observation date is greater than zero.
The notes will be called at par plus the total notional exposure of the basket if the basket level falls below $400, the redemption trigger amount.
The notes (Cusip: 2515A17G0) will price on June 15 and settle on June 20.
Deutsche Bank Securities Inc. is the agent.
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