By Susanna Moon
Chicago, Feb. 2 - Deutsche Bank AG, London Branch priced $1.59 million of 0% overlay strategy securities due Feb. 25, 2011 based on the S&P 500 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 will consist of the S&P 500 Total Return index performance and twice the return of the Emerald index.
The notes will be called if the basket level falls below 40% of its initial level on any trading day.
If the notes are not called, the payout at maturity will be par plus the basket return minus the adjustment factor, which is a flat 0.85% for the S&P 500 Total Return and 1.25% per year for the Emerald index.
Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Overlay strategy securities
|
| Underlying indexes: | S&P 500 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index
|
| Amount: | $1,588,000
|
| Maturity: | Feb. 25, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the basket return minus the adjustment factor
|
| Call option: | If basket falls by 60% or more
|
| Initial index levels: | 1,771.40 for S&P 500 Total Return; 197.23 for DB Emerald
|
| Pricing date: | Jan. 29
|
| Settlement date: | Feb. 3
|
| Agents: | Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas
|
| Fees: | 0.75%
|
| Cusip: | 2515A0WT6
|
© 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.
