Deutsche Bank plans market contribution notes on backwardation indexes

By Angela McDaniels

Tacoma, Wash., Feb. 13 - Deutsche Bank AG, London Branch plans to price 0% market contribution securities due March 23, 2015 linked to a basket that consists of the Deutsche Bank Commodity Backwardation Long 22 USD index and the Deutsche Bank Commodity Backwardation Alpha USD Excess Return index, according to an FWP filing with the Securities and Exchange Commission.

The payout at maturity will be par plus the basket return plus the return of the Deutsche Bank 3-month TBill index minus an adjustment factor of 2% per year.

The initial basket level will be 100. The basket level on any subsequent trading day will be 100 plus 50% of the Long 22 index return on that day plus 50% of the Alpha index on that day.

The Long 22 index is intended to reflect the performance of a monthly rebalanced notional long position in 11 physical commodities selected out of 22 physical commodities on the basis of the relative degree of backwardation exhibited by the futures contracts on these commodities.

The alpha index is intended to reflect the relative performance of 12 physical commodities in the energy, industrial metals and precious metals sectors as divided into two groups on the basis of their relative degree of backwardation or contango exhibited by the futures contracts on these commodities.

Deutsche Bank Securities Inc. is the agent.

The notes are expected to price Feb. 18 and settle Feb. 21.

The Cusip number is 25152RJA2.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.