By Angela McDaniels
Tacoma, Wash., Feb. 3 - Deutsche Bank AG, London Branch priced $8.7 million of CPI-indexed buffered barrier rebate notes due Feb. 4, 2011 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A barrier event will occur if the S&P 500 ever closes above the upper barrier, 155% of the initial level.
If a barrier event has occurred and the final index level is greater than or equal to 75% of the initial level, the payout at maturity will be par plus 20% plus the inflation adjustment, which - positive or negative - is the change in the level of the Consumer Price Index from the pricing date to Feb. 1, 2011.
If a barrier event has occurred and the final index level is less than 75% of the initial level, investors will receive par plus 20% plus the inflation adjustment minus 1% for every 1% that the index declines beyond 25%.
If a barrier event has not occurred and the final index level is greater than the initial level, investors will receive par plus 123% of the index return plus the inflation adjustment.
If a barrier event has not occurred and the final index level is less than the initial level and at least 75% of the initial level, investors will receive par plus the inflation adjustment.
If a barrier event has not occurred and the final index level is less than 75% of the initial level, investors will receive par plus the inflation adjustment minus 1% for every 1% that the index declines beyond 25%.
Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | CPI-indexed buffered barrier rebate notes
|
| Underlying index: | S&P 500
|
| Amount: | $8,695,000
|
| Maturity: | Feb. 4, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If barrier event has occurred and final index level is at least 75% of initial level, par plus 20% plus inflation adjustment; if barrier event has occurred and final level is less than 75% of initial level, par plus 20% plus inflation adjustment minus 1% for every 1% that index declines beyond 25%; if barrier event has not occurred and final level is greater than initial level, par plus 123% of index return plus inflation adjustment; if barrier event has not occurred and final level is less than initial level and at least 75% of initial level, par plus inflation adjustment; if barrier event has not occurred and final level is less than 75% of initial level, par plus inflation adjustment minus 1% for every 1% that index declines beyond 25%
|
| Initial index levels: | 825.88 for S&P 500; 216.573 for CPI
|
| Pricing date: | Jan. 30
|
| Settlement date: | Feb. 4
|
| Agents: | Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas
|
| Fees: | 1.5%
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