By Angela McDaniels
Tacoma, Wash., April 14 - Deutsche Bank AG, London Branch priced $9.47 million of 0% alpha overlay securities due April 15, 2013 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Deutsche Bank Liquid Alpha USD 5 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index.
The basket level on any day equals 100 multiplied by the sum of one plus the indexes' returns. The return of each index is reduced by an adjustment factor, which is a flat 0.5% plus 0.75% per year for the Liquid Alpha and 1% per year for the Emerald.
The payout at maturity will be par plus the basket return, which could be positive or negative.
The notes will be called if the basket level falls below 40. The payout will be par plus the basket return, which will be calculated using the basket level on the second business day following the call date.
Deutsche Bank Securities Inc. is the agent.
Issuer: | Deutsche Bank AG, London Branch
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Issue: | Alpha overlay securities
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Underlying indexes: | Deutsche Bank Liquid Alpha USD 5 Total Return and Deutsche Bank Equity Mean Reversion Alpha
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Amount: | $9,469,000
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Maturity: | April 15, 2013
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus basket return, which could be positive or negative
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Call: | At par plus basket return if basket level falls below 40
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Initial index levels: | 2,976.598 for Liquid Alpha and 198.730 for Emerald
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Basket level: | On any day, 100 multiplied by sum of one plus indexes' returns; returns reduced by adjustment factor of flat 0.5% plus 0.75% per year for Liquid Alpha and 1% per year for Emerald
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Pricing date: | April 12
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Settlement date: | April 15
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Agent: | Deutsche Bank Securities Inc.
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Fees: | 0.5%
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Cusip: | 2515A0Z97
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