By Marisa Wong
Madison, Wis., July 18 - Deutsche Bank AG, London Branch priced $3 million of 0% capped knock-out notes due July 20, 2012 linked to the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying level on any day is equal to the closing index level on that day multiplied by the dollar per euro spot rate on that day.
A knock-out event occurs if the underlying level is less than the initial level by more than 30% on July 17, 2012.
If a knock-out event does not occur, the payout at maturity will be par plus the greater of the underlying return and zero, subject to a maximum return of 27.5%. Otherwise, investors will receive par plus the underlying return, with exposure to losses.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Capped knock-out notes
|
| Underlying index: | Euro Stoxx 50 index
|
| Amount: | $3 million
|
| Maturity: | July 20, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If underlying level does not fall by more than 30% on the final valuation date, par plus greater of the return, capped at 27.5%, and 0%; otherwise, par plus underlying return with exposure to losses
|
| Initial index level: | 2,695.29
|
| Initial spot rate: | 1.4155
|
| Pricing date: | July 14
|
| Settlement date: | July 19
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 0.75%
|
| Cusip: | 2515A1A50
|
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