Deutsche Bank to price securities linked to S&P 500, Russell 2000

By Angela McDaniels

Tacoma, Wash., Jan. 24 - Deutsche Bank AG, London Branch plans to price 0% securities due Feb. 7, 2013 linked to the lesser performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if either index closes below its threshold level, 80% of its initial level, during the life of the notes.

If a knock-out event does not occur and the return of the worst-performing index is zero or positive, the payout at maturity will be par plus 141% to 156% of the return of the worst-performing index, subject to a maximum payment of $1,352.50 to $1,390.00 per $1,000 principal amount of notes. The exact participation rate and maximum payment will be set at pricing.

If a knock-out event does not occur and the return of the worst-performing index is negative, the payout will be par plus the absolute value of the worst-performing index's return. Because the threshold level is 80% of the initial index level, the maximum payment in this scenario is 120% of par.

If a knock-out event occurs and the return of the worst-performing index is zero or positive, the payout will be par plus the lesser of the worst-performing index's return and 25%.

If a knock-out event occurs and the return of the worst-performing index is negative, the payout will be par minus the return of worst-performing index plus 1%.

The notes (Cusip: 2515A1GG0) are expected to price Feb. 1 and settle Feb. 6.

Deutsche Bank Securities Inc. is the underwriter.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.