By Jennifer Chiou
New York, Feb. 16 - Deutsche Bank AG, London Branch priced $6.98 million of 0% alpha overlay securities due April 16, 2012 linked to a basket holding the Deutsche Bank Liquid Alpha USD 5 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), 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 plus 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 index and Deutsche Bank Equity Mean Reversion Alpha index
|
| Amount: | $6,975,000
|
| Maturity: | April 16, 2012
|
| 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; return reduced by adjustment factor of 0.75% plus 1% per year for Liquid Alpha and 1% per year for Emerald
|
| Initial index levels: | 2,935.616 for Liquid Alpha and 206.56 for Emerald
|
| Pricing date: | Feb. 14
|
| Settlement date: | Feb. 17
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | 0.25%
|
| Cusip: | 2515A13L3
|
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