By Angela McDaniels
Tacoma, Wash., July 29 - Deutsche Bank AG, London Branch priced $2.36 million of 0% buffered barrier rebate securities due March 31, 2011 linked to a basket of three indexes and an exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the S&P 500 index with a 40% weight, the S&P MidCap 400 index with a 25% weight, the Russell 2000 index with a 25% weight and the iShares MSCI EAFE index fund with a 10% weight.
A barrier event will occur if the basket closes above the upper barrier - 135% of the initial level - on any day during the life of the notes.
If a barrier event has occurred, the payout at maturity will be:
• Par plus the rebate if the final basket level is at least 85% of the initial level; or
• Par plus the rebate and minus 1% for every 1% that the basket declines below 85% of the initial level.
The rebate is 10%.
If a barrier event has not occurred, the payout will be:
• Par plus any basket gain;
• Par if the basket declines by 15% or less; or
• Par minus 1% for every 1% that the basket declines beyond 15%.
Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Buffered barrier rebate securities
|
| Underlying basket: | S&P 500 index (40% weight), S&P MidCap 400 index (25% weight), Russell 2000 index (25% weight) and iShares MSCI EAFE index fund (10% weight)
|
| Amount: | $2,361,000
|
| Maturity: | March 31, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If barrier event has not occurred, par plus any basket gain, par if basket falls by no more than 15% or par minus 1% for every 1% decline beyond 15%; if barrier event has occurred and final basket level is at least 85% of initial level, par plus 10%, otherwise par plus 10% and minus 1% for every 1% basket decline beyond 15%
|
| Initial levels: | 979.62 for S&P 500, 623.37 for S&P MidCap 400, 551.95 for Russell 2000 and $49.10 for iShares MSCI EAFE
|
| Upper barrier: | 135% of initial basket level
|
| Pricing date: | July 28
|
| Settlement date: | July 31
|
| Agents: | Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas
|
| Fees: | 0.75%
|
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