By Marisa Wong
Madison, Wis., March 12 – Deutsche Bank AG, London Branch priced $15.03 million of 0% tracker notes due March 14, 2017 linked to a basket that includes the S&P 500 Total Return index, the Deutsche Bank Equity Mean Reversion Alpha Index Emerging Markets (Emerald EM) and the Deutsche Bank ProVol Hedge index, according to a 424B2 filing with the Securities and Exchange Commission.
The basket level on the pricing date was 100. On any subsequent day, the basket level is 100 plus the return of the S&P index plus 2 times the return of the Emerald EM index plus 2 times the return of ProVol Hedge index.
The return of each index is reduced by an adjustment factor, which is a flat 0.1% plus 0.275% per year for the S&P index and 1% per year for the other two indexes.
The payout at maturity will be par multiplied by the quotient of the final basket level divided by the initial basket level.
The notes will be called at par plus the basket return if the basket level falls below 40.
Deutsche Bank Securities Inc. is the agent.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Tracker notes
|
| Underlying indexes: | S&P 500 Total Return index, Deutsche Bank Equity Mean Reversion Alpha Index Emerging Markets and Deutsche Bank ProVol Hedge index
|
| Amount: | $15,034,800
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| Maturity: | March 14, 2017
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Par plus basket return
|
| Call: | Automatically at par plus basket return if basket level falls below 40
|
| Initial basket level: | 100; on subsequent days, basket level equals 100 plus performance of S&P index plus 2 times performance of Emerald EM index plus 2 times performance of ProVol Hedge index
|
| Adjustment factors: | Flat 0.1% plus 0.275% per year for S&P index and 1% per year for other two indexes
|
| Initial index levels: | 3,757.832 for S&P, 220.01 for Emerald EM, 864.45 for ProVol Hedge
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| Pricing date: | March 10
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| Settlement date: | March 12
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | 0.1%
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| Cusip: | 2515A1ML2
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