By Jennifer Chiou
New York, July 17 - Deutsche Bank AG, London Branch priced $6.6 million of 0% overlay strategy securities due July 19, 2012 linked to the Deutsche Bank Liquid Alpha USD 5 Total Return index and the Deutsche Bank Liquid Alpha USD 5 Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be putable and callable on July 23, 2010 and July 21, 2011.
The payout on redemption or at maturity will be par plus the basket return minus the adjustment factor of 1.5% times the number of calendar days to the applicable event, whether that is maturity, an early redemption date or a basket knock-out date.
A basket knock-out event will occur if the basket level falls by 50% or more on any trading day. In that case, the securities will be called five days after the knock-out event.
The indexes are designed to reflect the combined return of a number of constituent indexes selected from a pool of Deutsche Bank or Standard & Poor's indexes that are categorized into one of five asset classes: equity, rates, commodities, foreign exchange and cash. The constituent indexes are selected using a model that identifies the portfolio that, if the index had been comprised of that portfolio over the prior 60-business-day period, would have generated the highest level of annualized return at a predetermined level of volatility.
Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Overlay strategy securities
|
| Underlying indexes: | Deutsche Bank Liquid Alpha USD 5 Total Return index and Deutsche Bank Liquid Alpha USD 5 Excess Return index
|
| Amount: | $6.6 million
|
| Maturity: | July 19, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the basket return minus the 1.5% annual adjustment factor
|
| Call option: | On July 23, 2010 and July 21, 2011 or if knock-out event occurs; payout determined in same way as at maturity
|
| Put option: | On July 23, 2010 and July 21, 2011; payout determined in same way as at maturity
|
| Initial index levels: | 2,902.394 for Total Return; 2,061.764 for Excess Return
|
| Pricing date: | July 15
|
| Settlement date: | July 20
|
| Agents: | Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas
|
| Fees: | None
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