Deutsche Bank to price buffered barrier rebate notes linked to S&P 500

By Jennifer Chiou

New York, Jan. 26 - Deutsche Bank AG, London Branch plans to price CPI-indexed buffered barrier rebate notes due Feb. 4, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A barrier event will occur if the index ever closes above the upper barrier, 155% of the initial level.

If a barrier event has not occurred and the final index level is grater than the initial level, investors will receive par plus 112% to 133% of the index return plus an inflation adjustment, which - positive or negative - is the change in the level of the CPI.

If a barrier event has not occurred, investors will receive par plus the inflation adjustment if the final index level declines by up to 25% and they will receive par plus the inflation adjustment and will share in any index decline beyond 25%.

If a barrier event has occurred and the final index level finishes above 75% of the initial level, investors will receive par plus a rebate amount of 20% in addition to the inflation adjustment.

If a barrier event has occurred and the final index level is below 75% of the initial level, investors will receive par plus 20% and the inflation adjustment, sharing in losses beyond the 25% buffer amount.

The participation rate will be set on the pricing date.

The notes will price on Jan. 30 and settle on Feb. 4.

Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the underwriters.

© 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.