By Angela McDaniels
Tacoma, Wash., June 16 - Deutsche Bank AG, London Branch priced $3.03 million of 0% alpha overlay securities due June 18, 2014 linked to a basket holding the Deutsche Fed Funds Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), according to a 424B2 filing with the Securities and Exchange Commission.
The basket level on any day equals 100 plus the Fed Funds index return on that day plus three times the Emerald index return. The return of the Emerald index is reduced by an adjustment factor, which is the sum of (a) 0.8333% per year plus (b) the greater of a flat 0.5% and 0.5% per year.
The payout at maturity will be par plus the basket return, which could be positive or negative.
The notes are putable on June 22, 2012 and June 27, 2013. They will be called if the basket level falls below 40. The payout will be par plus the basket return.
Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Alpha overlay securities
|
| Underlying indexes: | Deutsche Bank Fed Funds Total Return index and Deutsche Bank Equity Mean Reversion Alpha index
|
| Amount: | $3,025,000
|
| Maturity: | June 18, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus basket return, which could be positive or negative
|
| Basket level: | On any day, 100 plus Fed Funds index return on that day and three times Emerald index return; Emerald return reduced by adjustment factor of about 1.3333% per year
|
| Put option: | On June 22, 2012 and June 27, 2013
|
| Call: | Automatically if basket level falls below 40
|
| Initial index levels: | 171.6981 for Fed Funds and 209.29 for Emerald
|
| Pricing date: | June 14
|
| Settlement date: | June 17
|
| Agents: | Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas
|
| Fees: | 1.5%
|
| Cusip: | 2515A17M7
|
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