By Angela McDaniels
Tacoma, Wash., May 14 - Deutsche Bank AG, London Branch priced $8.87 million of 0% S&P plus tracker notes due June 17, 2011 linked to a basket of indexes that includes 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 double the return of the DB Emerald. The return of each index is reduced by an adjustment factor, which is a flat 0.75% 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, which could be positive or negative.
The notes will be called at par plus the basket return if the basket level falls below 40.
Deutsche Bank Securities Inc. is the agent.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | S&P plus tracker notes
|
| Underlying indexes: | S&P 500 Total Return index and Deutsche Bank Equity Mean Reversion Alpha index
|
| Amount: | $8.87 million
|
| Maturity: | June 17, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return, which could be positive or negative
|
| Call: | Automatically at par plus basket return if basket falls below 40
|
| Initial index levels: | 1,944.25 for S&P 500 Total Return and 205.94 for DB Emerald
|
| Basket level: | On any day, 100 plus return of S&P 500 Total Return plus two times return of DB Emerald; index returns are reduced by a flat 0.75% and 1% per year, respectively
|
| Pricing date: | May 12
|
| Settlement date: | May 17
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | 0.75%
|
| Cusip: | 2515A03Z4
|
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