By Susanna Moon
Chicago, March 2 - Deutsche Bank AG, London Branch priced $13.55 million of 0% S&P plus tracker notes due April 4, 2011 based on a basket containing the S&P 500 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index, according to a 424B2 filing with the Securities and Exchange Commission.
The basket level on any day equals 100 plus the return of the S&P 500 Total Return plus three times the return of the DB Emerald. The return of each index is reduced by an adjustment factor, which is a flat 0.82% for the S&P 500 Total Return and 1% per year for the DB Emerald.
The payout at maturity will be par plus the basket return, with exposure to any losses.
The notes will be called at par plus the basket return if the basket level falls below 35.
Deutsche Bank Securities Inc. is the agent.
Issuer: | Deutsche Bank AG, London Branch
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Issue: | S&P plus tracker notes
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Underlying indexes: | S&P 500 Total Return index and Deutsche Bank Equity Mean Reversion Alpha index
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Amount: | $13.55 million
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Maturity: | April 4, 2011
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus basket return, exposure to losses
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Call: | At par plus basket return if basket falls below 35
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Initial index levels: | 1,826.271 for S&P 500 Total Return and 200.52 for DB Emerald
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Pricing date: | Feb. 26
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Settlement date: | March 3
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Agent: | Deutsche Bank Securities Inc.
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Fees: | 0.75%
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Cusip: | 2515A02X0
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