Deutsche Bank to price buffered return enhanced notes linked to Euro Stoxx 50 index, euro

By Angela McDaniels

Tacoma, Wash., Sept. 29 - Deutsche Bank AG, London Branch plans to price 0% buffered return enhanced notes due Oct. 8, 2012 linked to the Euro Stoxx 50 index and the euro, according to an FWP filing with the Securities and Exchange Commission.

The underlying return will be (a) (i) the final index level divided by the initial index level multiplied by (ii) the final spot rate divided by the initial spot rate minus (b) one.

The final index level will be the average of its closing levels on the averaging dates, which are the five trading days ending Oct. 3, 2012. The spot rate is expressed as the number of dollars per euro. The final spot rate will be the average of the spot rates on the averaging dates.

If the underlying return is positive, the payout at maturity will be par plus double the underlying return, subject to a maximum return of at least 34% that will be set at pricing. Investors will receive par if the underlying return is between zero and negative 10% and will lose 1.1111% for every 1% that the underlying return is less than 10%.

The notes (Cusip: 2515A1DA6) are expected to price Sept. 30 and settle Oct. 5.

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

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