By Angela McDaniels
Tacoma, Wash., April 12 - Deutsche Bank AG, London Branch priced $5.54 million of 0% leveraged securities due Oct. 11, 2013 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Deutsche Bank Commodity Harvest-10 USD ERAC index with an 18.375% weight, the Deutsche Bank Commodity Booster-Dow Jones-UBS Excess Return After Cost TV 14 index with a 14.875% weight, the Deutsche Bank Haven Plus Excess Return index with a 13.125% weight, the Deutsche Bank Fed Funds Total Return index with a 12.5% weight, the Deutsche Bank Trends x12 Excess Return index with a 10.5% weight, the Deutsche Bank US Volatility Harvest Excess Return index with a 9.625% weight, the Deutsche Bank X-Alpha USD Excess Return index with a 9.625% weight, the Deutsche Bank Equity Mean Reversion Alpha index with a 7.875% weight and the Deutsche Bank Equity Long Volatility Investment Strategy II index with a 3.5% weight.
The basket level on any day equals 100 plus eight times the sum of the weighted index returns. The return of each index is reduced by an adjustment factor, which is a flat 0.75% for the Fed Funds index; 1% per year for the Emerald, Trends and Volatility Harvest indexes; 0.75% per year for the X-Alpha index; 0.6% per year for the Haven index; and 0.5% per year for the remaining indexes.
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 70. The basket return will be calculated using the closing level of the basket on the next business day after the call is triggered.
Deutsche Bank Securities Inc. is the underwriter.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Leveraged securities
|
| Underlying indexes: | Deutsche Bank Commodity Harvest-10 USD ERAC index (18.375% weight), Deutsche Bank Commodity Booster-Dow Jones-UBS Excess Return After Cost TV 14 index (14.875% weight), Deutsche Bank Haven Plus Excess Return index (13.125% weight), Deutsche Bank Fed Funds Total Return index (12.5% weight), Deutsche Bank Trends x12 Excess Return index (10.5% weight), Deutsche Bank US Volatility Harvest Excess Return index (9.625% weight), Deutsche Bank X-Alpha USD Excess Return index (9.625% weight), Deutsche Bank Equity Mean Reversion Alpha index (7.875% weight) and Deutsche Bank Equity Long Volatility Investment Strategy II index (3.5% weight)
|
| Amount: | $5,543,000
|
| Maturity: | Oct. 11, 2013
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | Par plus basket return
|
| Call: | At par plus basket return if basket level falls below 70
|
| Basket level: | On any day, 100 plus eight times the sum of the weighted index returns; each index return is reduced by an adjustment factor
|
| Pricing date: | April 8
|
| Settlement date: | April 13
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| Underwriter: | Deutsche Bank Securities Inc.
|
| Fees: | 0.75%
|
| Cusip: | 2515A14Z1
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