By Angela McDaniels
Tacoma, Wash., Dec. 8 - Deutsche Bank AG, London Branch priced $16.46 million of tracker notes due Jan. 10, 2013 linked to a basket of two indexes and an exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the iShares Barclays Aggregate bond fund, the Deutsche Bank Equity Mean Reversion Alpha index ("Emerald") and the Deutsche Bank Equity Long Volatility Investment Strategy II index ("Elvis II").
On each quarterly dividend pass-through payment date, holders will receive a payment per $1,000 principal amount of notes equal to the amount of dividends paid by the ETF to its shareholders during the payment period on the number of ETF shares equal to the ETF's initial notional exposure divided by its initial share price.
The notes will be called if the total notional exposure minus $3,600 on any day is less than $400.
The payout at maturity or upon redemption will be the sum of the notional exposures of the basket components minus $3,600.
The initial notional exposure is $1,000 for the bond fund, $3,000 for the Emerald index and $600 for the Elvis II index. On the final valuation date or the redemption trigger date, as applicable, the notional exposure equals the initial notional exposure plus the basket component's return on that day, which can be positive or negative.
The final level of each basket component used to calculate its return is reduced by an adjustment factor, which is a flat 0.1% for the bond fund and 1% per year for the indexes.
Deutsche Bank Securities Inc. is the underwriter.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Tracker notes
|
| Underlying basket: | iShares Barclays Aggregate bond fund, Deutsche Bank Equity Mean Reversion Alpha index and Deutsche Bank Equity Long Volatility Investment Strategy II index
|
| Amount: | $16,457,000
|
| Maturity: | Jan. 10, 2013
|
| Dividend pass-through: | Amount equal to the dividends paid during the period on 9.1625 shares of the bond fund, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Sum of notional exposures of basket components minus $3,600
|
| Call: | If sum of notional exposures of basket components minus $3,600 is less than $400 on any day
|
| Notional exposures: | Initially, $1,000 for bond fund, $3,000 for Emerald index and $600 for Elvis II index; on final valuation date or redemption trigger date, as applicable, initial notional exposure plus basket component's return on that day
|
| Initial levels: | $109.14 for bond fund, 206.31 for Emerald index and 80.04 for Elvis II index
|
| Pricing date: | Dec. 6
|
| Settlement date: | Dec. 9
|
| Underwriter: | Deutsche Bank Securities Inc.
|
| Fees: | 0.1%
|
| Cusip: | 2515A1EZ0
|
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