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Deutsche Bank to price alternative alpha notes linked to index basket
By Angela McDaniels
Tacoma, Wash., June 23 - Deutsche Bank AG, London Branch plans to price 0% alternative alpha securities due Aug. 2, 2012 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.
The basket includes the Deutsche Bank X-Alpha USD Excess Return index, the Deutsche Bank Trends x12 Excess Return index, the Deutsche Bank Haven Plus Excess Return index, the Deutsche Bank Commodity Harvest ERAC index, the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), the Deutsche Bank Equity Mean Reversion Alpha index Emerging Markets (Emerald EM) and the Deutsche Bank Fed Funds Total Return index.
For each $1,000 principal amount of securities, the payout at maturity will be the sum of the indexes' notional exposures minus $4,000.
On the pricing date, the notional exposure will be $2,000 for the Emerald index, $1,000 each for the Fed Funds index and the Emerald EM index and $250 for each of the remaining indexes for a total of $5,000. On any subsequent day, the notional exposure for each index will equal its initial notional exposure plus its return on that day, which could be positive or negative.
The final index levels will be reduced by an adjustment factor, which is a flat 0.25% for the Fed Funds index and 1% per year for the remaining indexes.
The notes will be called if the sum of the indexes' notional exposures minus $1,000 is less than $400 on any day. The payout will be calculated in the same way as at maturity.
The notes (Cusip: 2515A18J3) are expected to price June 28 and settle July 1.
Deutsche Bank Securities Inc. is the agent.
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