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Deutsche Bank to price S&P plus tracker notes linked to two indexes
By Angela McDaniels
Tacoma, Wash., Jan. 9 - Deutsche Bank AG, London Branch plans to price 0% S&P plus tracker notes due Feb. 14, 2013 linked to a basket of indexes that includes the S&P 500 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 the pricing date will be 100. On any subsequent day, the basket level will be 100 plus the return of the S&P 500 Total Return plus double the return of the Emerald index. The return of each index is reduced by an adjustment factor, which is a flat 0.1% for the S&P 500 Total Return and 1% per year for the Emerald index.
The payout at maturity will be par multiplied by the quotient of the final basket level divided by the initial basket level.
The notes will be called at par plus the basket return if the basket level falls below 40.
The notes (Cusip: 2515A1G70) are expected to price Jan. 10 and settle Jan. 13.
Deutsche Bank Securities Inc. is the agent.
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