By Susanna Moon
Chicago, March 16 - Deutsche Bank AG, London Branch priced $8.88 million of 0% buffered return enhanced notes due March 25, 2011 based on the performance of a long currency basket and a short currency basket, according to a 424B2 filing with the Securities and Exchange Commission.
The long basket contains equal weights of the Brazilian real, Turkish lira and Indonesian rupiah, and the short basket contains equal weights of the dollar and Japanese yen.
The long/short return will be the return of the long basket minus the return of the short basket.
The payout at maturity will be par plus 2.75 times any positive long/short return, up to a maximum return of 27.5%.
Investors will receive par if the long/short return shows a decline of up to 10% and will lose 1.1111% for each 1% decline beyond the buffer.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Buffered return enhanced notes
|
| Underlying currencies: | Brazilian real, Turkish lira and Indonesian rupiah equally weighted in long basket; dollar and Japanese yen equally weighted in short basket
|
| Amount: | $8,882,000
|
| Maturity: | March 25, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 275% of any long/short gain; 1.1111% loss for each 1% drop beyond 10%
|
| Initial spot rates: | 1.7661 for real, 1.52815 for lira, 9,153 for rupiah, 1 for dollar and 90.73 for yen
|
| Pricing date: | March 12
|
| Settlement date: | March 17
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 2515A0X81
|
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