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Deutsche Bank to price leveraged securities linked to eight indexes
By Toni Weeks
San Diego, Sept. 20 - Deutsche Bank AG, London Branch plans to price 0% leveraged securities due Dec. 27, 2012 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.
The basket includes the Deutsche Bank Fed Funds Total Return index with a 12.5% weight, the Deutsche Bank Commodity Booster-Dow Jones-UBS Excess Return After Cost TV 14 index with a 14.875% weight, the Deutsche Bank Commodity Harvest-10 USD ERAC index with an 18.375% weight, the Deutsche Bank Equity Mean Reversion Alpha index with a 7.875% weight, the Deutsche Bank Haven Plus Excess Return index with a 13.125% weight, the Deutsche Bank Trends x12 Excess Return index with a 14% weight, the Deutsche Bank US Volatility Harvest Excess Return index with a 9.625% weight and the Deutsche Bank X-Alpha USD Excess Return index with a 9.625% weight.
The basket level on any day equals 100 plus eight times the sum of the weighted index returns. The return of each index is reduced by an adjustment factor, which is a flat 0.97% for the Fed Funds index; 1% per year for the Emerald, Trends and Volatility Harvest indexes; 0.75% per year for the X-Alpha index; 0.6% per year for the Haven index; and 0.5% per year for the remaining indexes.
The payout at maturity will be par plus the basket return, which could be positive or negative.
The securities will be called at par plus the basket return if the basket level falls below 70. The basket return will be calculated using the closing level of the basket on the next business day after the call is triggered.
The securities (Cusip: 2515A1D24) will price Sept. 21 and settle Sept. 26.
Deutsche Bank Securities Inc. is the underwriter.
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