By Angela McDaniels
Tacoma, Wash., Sept. 22 - Deutsche Bank AG, London Branch priced $10.54 million of floating-rate securities due Oct. 23, 2009 linked to the Deutsche Bank Liquid Commodity Index - Optimum Yield Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The index is based on the closing prices of exchange-traded contracts for the future delivery of crude oil, heating oil, aluminum, gold, wheat and corn and seeks to maximize the potential roll benefits in backwardated markets and minimize the loss from rolling down the curve in contango markets.
Interest is payable quarterly and equals Libor minus 12 basis points.
The payout at maturity will be par of $10,000 plus triple the sum of the index return minus an adjustment factor of 0.4% per year.
The securities are putable at any time, subject to a minimum of $1 million of securities, and the bank will call the securities if the index declines by 10% or more. In both cases, the payout will be par plus triple the sum of (a) the index return multiplied by the discount factor minus (b) the adjustment factor.
The discount factor will be determined using the linearly interpolated Libor rate that uses the two Libor rates with designated periods that most closely equal the time period between the final valuation date and Oct. 20, 2009.
Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Securities
|
| Underlying index: | Deutsche Bank Liquid Commodity - Optimum Yield Excess Return
|
| Amount: | $10.54 million
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| Maturity: | Oct. 23, 2009
|
| Coupon: | Libor minus 12 bps, payable quarterly
|
| Price: | Par of $10,000
|
| Payout at maturity: | Par plus triple the sum of the index return minus an adjustment factor of 0.4% per year
|
| Put option: | At any time with a minimum of $1 million notes; payout will be plus triple the sum of (a) the index return multiplied by the discount factor minus (b) the adjustment factor
|
| Call: | Automatically if index declines by 10% or more; payout determined in same way as put option
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| Initial index level: | 641.9
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| Pricing date: | Sept. 18
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| Settlement date: | Sept. 23
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| Underwriter: | Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas
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| Fees: | None
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