By Marisa Wong
Milwaukee, May 24 - Deutsche Bank AG, London Branch priced $17.77 million of 0% buffered return enhanced notes due June 10, 2011 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Hang Seng China Enterprises index with a 33% weight, the Kospi 200 index with a 24% weight, the MSCI Taiwan index with a 21% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with an 8% weight.
To determine the return for each index, the issuer will multiply the final index return by the final return of the applicable currency - the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Kospi 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore - relative to the U.S. dollar.
The payout at maturity will be par plus double any basket gain, subject to a maximum return of 20.1%. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% decline beyond 10%.
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 indexes: | Hang Seng China Enterprises (33% weight), Kospi 200 (24% weight), MSCI Taiwan (21% weight), Hang Seng (14% weight) and MSCI Singapore (8% weight)
|
| Amount: | $17,769,000
|
| Maturity: | June 10, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any basket gain, capped at 20.1%; par if basket falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 11,048.38 for Hang Seng China; 208.78 for Kospi 200; 263.52 for MSCI Taiwan; 19,545.83 for Hang Seng; and 328.01 for MSCI Singapore
|
| Initial exchange rates: | 0.12817 for Hong Kong dollar; 0.08249 for won; 0.031143 for Taiwan dollar; 0.7101 for Singapore dollar
|
| Pricing date: | May 20
|
| Settlement date: | May 25
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1%
|
| Cusip: | 2515A04L4
|
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