Deutsche plans buffered return enhanced notes tied to Asian indexes

By Jennifer Chiou

New York, July 13 - Deutsche Bank AG, London Branch plans to price 0% buffered return enhanced notes due Aug. 10, 2011 linked to a basket of Asian indexes and their related currencies, according to an FWP filing with the Securities and Exchange Commission.

JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.

The basket consists of the Hang Seng China Enterprises index with a 33% weight, the Korea Composite Stock Price Index 200 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.

The return for each basket component will equal the product of the final return of the underlying index times 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 Korea Composite Stock Price, 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 at least double any basket gain, up to a maximum return of 19%. Investors will receive par if the basket falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%. The exact upside leverage factor will be set at pricing.

The final basket level will be the arithmetic average of the basket closing levels on the five consecutive trading days ending Aug. 5, 2011.

The notes are expected to price on July 16 and settle on July 21.

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