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Deutsche Bank plans buffered securities linked to index, ETF basket
By Marisa Wong
Madison, Wis., Dec. 11 – Deutsche Bank AG, London Branch plans to price 0% buffered securities due June 17, 2019 linked to a basket of four indexes and an exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.
The basket consists of the S&P 500 index with a 57% weight, the S&P MidCap 400 index with a 10% weight, the Russell 2000 index with an 8% weight, the MSCI EAFE index with an 18% weight and the iShares MSCI Emerging Markets ETF with a 7% weight.
If the basket finishes at or above 85% of its initial level, the payout at maturity will be 166.5% to 176.5% of the average basket return. The exact upside leverage factor will be set at pricing.
The average basket return is calculated based on the average of the closing levels of the basket on the 10 quarterly averaging dates starting on March 13, 2017 and ending on June 12, 2019, subject to a minimum of zero.
If the basket finishes below the 85% buffer level, the payout will be par plus (a) (i) the final basket return plus the 15% buffer amount times (ii) a downside participation factor of 1.17647 plus (b) the average basket return times the upside leverage factor.
So, if the final basket level is less than the buffer level and the average basket return is zero, investors will lose 1.17647% for every 1% basket decline beyond 15%. But, if the final level is less than the buffer level and the average basket return is positive, investors will also receive a payment that reflects the upside leverage factor times the average basket return, which may offset the negative effect the final basket level has on the return of the securities.
Deutsche Bank Securities Inc. is the agent.
The notes will price on Dec. 12 and settle on Dec. 17.
The Cusip number is 25152RTJ2.
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