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Deutsche plans $2 million 10-year PowerShares DB US Deflation ETNs
By Jennifer Chiou
New York, Oct. 24 - Deutsche Bank AG, London Branch plans to price $2 million of PowerShares DB US Deflation exchange-traded notes due Nov. 30, 2021 at inception, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are linked to the linked to the month-over-month returns of the DBIQ Duration-Adjusted Deflation index.
The short deflation index seeks to isolate a short exposure to the market's expectation of future deflation and is designed to produce 1-point increase in the level of the short deflation index for every 0.01% decrease in the market's expectation of future inflation by measuring the duration-adjusted combined performance of a notional short position in a hypothetical portfolio of five-year, 10-year and 30-year TIPS and corresponding notional long positions in futures contracts on U.S. Treasury bonds, the filing stated.
The index return is derived by combining the returns on the DB 3-Month T-Bill index and the deflation index return.
The notes are putable at any time, subject to a minimum of 50,000 notes and a repurchase fee of up to $0.075 per security.
The current principal amount will be $50 per security from the inception date to Nov. 30. Thereafter, the amount will be reset monthly.
Upon redemption or at maturity, the payout will be equal to the then-current principal amount multiplied by one plus the T-Bill index return plus the index multiplier times the deflation index return on the valuation date, minus a fee of 0.75% per year.
The index multiplier is $0.10, with the effect being that for each 1-point increase of decrease in the deflation index, there will be a corresponding gain or loss in the value of the securities.
The notes (Cusip: 25154W217) will be filed for listing on the NYSE Arca under the symbol "DEFL."
Deutsche Bank Securities Inc. is the underwriter.
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