By Angela McDaniels
Tacoma, Wash., Sept. 28 - Deutsche Bank AG, London Branch priced $2.51 million of 0% rebalancing tracker notes due Sept. 29, 2016 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Deutsche Bank Fed Funds Total Return index, 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.
The payout at maturity or upon redemption will be the sum of the notional exposures of the five indexes minus $1,000.
The notes will be called if the total index notional exposure minus $1,000 on any day is less than $400.
The initial notional exposure is $1,000 for the Fed Funds index and $250 for each of the remaining indexes for a total of $2,000.
On any subsequent day, the notional exposure for the Fed Funds index is $1,000 plus the index return.
For each of the remaining four indexes, the national exposure is (a) the sum of the notional exposure for the four indexes on the immediately preceding observation date - which occur quarterly - plus the sum of the additional index amount for each of the four indexes (b) divided by the number of these indexes with an adjusted level greater than zero.
The additional index amount is the product of the index's notional exposure multiplied by its return for that quarterly observation period.
The levels of the excess return indexes are subject to an adjustment factor that will lower them by 1.75% per year.
Deutsche Bank Securities Inc. is the agent.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Rebalancing tracker notes
|
| Underlying indexes: | Deutsche Bank Fed Funds Total Return, Deutsche Bank X-Alpha USD Excess Return, Deutsche Bank Trends x12 Excess Return, Deutsche Bank Haven Plus Excess Return and Deutsche Bank Commodity Harvest ERAC
|
| Amount: | $2.51 million
|
| Maturity: | Sept. 29, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | The sum of the index notional exposures of the five indexes minus $1,000
|
| Call: | If the sum of the index notional exposures of the five indexes minus $1,000 is less than $400 on any day
|
| Initial index levels: | 171.7401 for Fed Funds; 1,985.67 for X-Alpha; 2,137.662 for Trends x12; 292.01 for Haven Plus; 180.7241 for Harvest ERAC
|
| Pricing date: | Sept. 26
|
| Settlement date: | Sept. 29
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | None
|
| Cusip: | 2515A1D32
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