By Jennifer Chiou
New York, June 22 - Deutsche Bank AG, London Branch priced $4 million of autocallable securities due Sept. 25, 2012 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The securities pay a quarterly coupon of 8% per year, and interest will cease following an automatic call.
The notes will be automatically called at par if the closing level of each of the indexes is at or greater than the initial level on any of the call dates: Sept. 20, Dec. 20, 2011, March 20, 2012, June 20, 2012 and Sept. 20, 2012, the final valuation date.
If the securities are not called and the indexes finish at or above 65% of the initial values on the final valuation date, the payout at maturity will be par. Otherwise, investors will be fully exposed to losses of the lesser performing index.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying indexes: | S&P 500, Russell 2000
|
| Amount: | $4 million
|
| Maturity: | Sept. 25, 2012
|
| Coupon: | 8%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par if final index levels are at least 65% of initial level; otherwise, full exposure to losses of the lesser performing index
|
| Call: | Automatically at par if closing level of each of the indexes is at or greater than the initial level on any of the call dates
|
| Initial levels: | 1,278.36 for S&P, 788.49 for Russell
|
| Threshold levels: | 830.93 for S&P, 512.52 for Russell; 65% of initial level
|
| Pricing date: | June 20
|
| Settlement date: | June 23
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1.1%
|
| Cusip: | 2515A18E4
|
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