By Angela McDaniels
Tacoma, Wash., Aug. 4 - Deutsche Bank AG, London Branch priced $15.28 million of 0% notes due Aug. 19, 2010 linked to a basket of three buffered return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
The components are the Dow Jones Euro Stoxx 50 index with a 49% weight, the Topix index with a 28% weight and the FTSE 100 index with a 23% weight.
The initial and final levels of each index will be converted into dollars using the then-current exchange rate between the dollar and the applicable currency, which is the euro for the Euro Stoxx 50, the yen for the Topix and the pound sterling for the FTSE 100.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted returns for the basket indexes.
If a basket index finishes above its initial level, its return will be double the gain, capped at a maximum return. If a basket index falls by 10% or less, its return will be zero. If a basket index falls by more than 10%, its return will be 0% minus 1.1111% for every 1% that the index falls beyond 10%.
The maximum return is 19.6% for the Euro Stoxx 50, 6.6% for the Topix and 18.0% for the FTSE 100.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Notes linked to buffered return enhanced components
|
| Underlying components: | Dow Jones Euro Stoxx 50 index (49% weight), Topix index (28% weight) and FTSE 100 index (23% weight)
|
| Amount: | $15,275,000
|
| Maturity: | Aug. 19, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus the sum of the index returns
|
| Index returns: | Double any positive return, capped at 19.6% for Euro Stoxx, 6.6 for Topix and 18.0% for FTSE 100; zero if return is between zero and negative 10%; 0% minus 1.1111% for every 1% that return is less than negative 10%
|
| Initial index levels: | 2,638.13 for Euro Stoxx, 950.26 for Topix and 4,608.36 for FTSE; converted into dollars using an exchange rate of 1.4133 dollars per euro, 0.0104537 dollars per yen and 1.4133 dollars per pound, respectively
|
| Final index levels: | For each index, the average of its closing levels on the five trading days ending Aug. 16, 2010; the level on each day is converted into dollars using the then-current exchange rate
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| Pricing date: | July 31
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| Settlement date: | Aug. 5
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
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