By Jennifer Chiou
New York, Oct. 19 - Deutsche Bank AG, London Branch priced $39.75 million of 0% buffered return enhanced notes due Nov. 2, 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 its final 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 final return of each index or currency will be its final level divided by its initial level.
The payout at maturity will be par plus double any basket gain, subject to a maximum return of 15.52%. Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC 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: | $39,749,000
|
| Maturity: | Nov. 2, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any basket gain, capped at 15.52%; par if basket declines by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 13,613.22 for Hang Seng China Enterprises; 246.56 for Kospi 200; 291.26 for MSCI Taiwan; 23,757.63 for Hang Seng; 368.40 for MSCI Singapore
|
| Initial spot rates: | 0.12889 for Hong Kong dollar; 0.000901 for Korean won; 0.032627 for Taiwan dollar; 0.7713 for Singapore dollar
|
| Final basket level: | Average of basket's levels on the five trading days ending Oct. 28, 2011
|
| Pricing date: | Oct. 15
|
| Settlement date: | Oct. 20
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 2515A1AP6
|
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