By Marisa Wong
Madison, Wis., July 30 - Deutsche Bank AG, London Branch priced $1.23 million of 0% S&P plus tracker notes due Aug. 31, 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 times the sum of one plus the performance of the S&P 500 Total Return plus double the performance of the DB Emerald index.
The performance of each index is equal to the final index level divided by the initial level, multiplied by an adjustment factor, minus one. The adjustment factor for the S&P 500 Total Return is equal to 0.9915. The adjustment factor for the DB Emerald is equal to one minus 1% per year.
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: | $1,228,000
|
| Maturity: | Aug. 31, 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: | 1,842.657 for S&P 500 Total Return and 203.58 for DB Emerald
|
| Basket level: | On any day, 100 times sum of one plus performance of S&P 500 Total Return plus two times performance of DB Emerald; index performance is final level divided by initial level times adjustment factor minus one; adjustment factors are 0.9915 and one minus 1% per year for S&P 500 Total Return and DB Emerald, respectively
|
| Pricing date: | July 28
|
| Settlement date: | Aug. 2
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | 0.75%
|
| Cusip: | 2515A05L3
|
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