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Deutsche Bank plans S&P plus tracker notes linked to two indexes
By Susanna Moon
Chicago, Dec. 8 - Deutsche Bank AG, London Branch plans to price 0% S&P plus tracker notes due Jan. 14, 2013 linked to a basket consisting of the S&P 500 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), according to an FWP 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 triple the return of the Emerald index. The return of each index is reduced by an adjustment factor, which is 0.25% plus 0.1% per year for the S&P 500 Total Return and 1% per year for the Emerald index.
The payout at maturity will be par plus the basket level.
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 Dec. 9 and settle on Dec. 14.
The Cusip is 2515A1F71.
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