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Deutsche Bank to price S&P plus tracker notes linked to two indexes
By Susanna Moon
Chicago, April 29 - Deutsche Bank AG, London Branch plans to price 0% S&P plus tracker notes due May 16, 2014 linked to a basket containing the S&P 500 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha Index Emerging Markets (Emerald EM), according to an FWP 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 Emerald EM index. The return of each index is reduced by an adjustment factor, which is a flat 0.85% for the S&P 500 Total Return and 1% per year for the Emerald EM index.
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.
The notes will price on May 11 and settle on May 15.
The Cusip is 2515A16H9.
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