By Angela McDaniels
Tacoma, Wash., July 20 - Deutsche Bank AG, London Branch priced $3.02 million of 0% alpha overlay securities due July 22, 2013 linked to a basket holding the Deutsche Bank Liquid Alpha USD 5 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index, according to a 424B2 filing with the Securities and Exchange Commission.
The basket level on any day equals 100 plus the Liquid Alpha index return on that day and two times the Emerald index return. The return of each index is reduced by an adjustment factor, which is a flat 0.75% plus 1% per year for the Liquid Alpha and 1% per year for the Emerald.
The payout at maturity will be par plus the basket return, which could be positive or negative.
The notes will be called if the basket level falls below 40. The payout will be par plus the basket return, which will be determined using the basket level on the second business day following the call trigger date.
Deutsche Bank Securities Inc. is the agent.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Alpha overlay securities
|
| Underlying indexes: | Deutsche Bank Liquid Alpha USD 5 Total Return and Deutsche Bank Equity Mean Reversion Alpha
|
| Amount: | $3,016,000
|
| Maturity: | July 22, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return
|
| Call: | At par plus basket return if basket level falls below 40
|
| Basket level: | On any day, 100 plus Liquid Alpha index return on that day and two times Emerald index return; returns reduced by adjustment factor of flat 0.75% plus 1% per year for Liquid Alpha and 1% per year for Emerald
|
| Initial index levels: | 2,938.31 for Liquid Alpha and 202.86 for Emerald
|
| Pricing date: | July 16
|
| Settlement date: | July 21
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | 0.75%
|
| Cusip: | 2515A05C3
|
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