By Jennifer Chiou
New York, Dec. 21 - Deutsche Bank AG, London Branch priced $23.11 million of 0% buffered return enhanced notes due Jan. 6, 2012 linked to a basket of indexes and their related Asian currencies, according to a 424B2 with the Securities and Exchange Commission.
The basket consists of the Hang Seng China Enterprises index with a 33% weight, the Korea Composite Stock Price Index 200 with a 25% weight, the MSCI Taiwan index with a 19% weight, the Hang Seng index with a 14% weight and the MSCI Singapore index with a 9% weight.
To determine the return for each component, the issuer will multiply the index return by the return of the applicable currency - the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Kospi, 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 double any basket gain, subject to a maximum return of 14.3%. Investors will receive par if the basket falls by 10% or less and will lose 1.1111% for every 1% decline 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 index (33% weight), Korea Composite Stock Price Index 200 (25% weight), MSCI Taiwan index (19% weight), the Hang Seng index (14% weight) and the MSCI Singapore index (9% weight)
|
| Amount: | $23,112,000
|
| Maturity: | Jan. 6, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, capped at 14.3%; par if basket falls by up to 10%; 1.1111% loss for every 1% decline beyond 10%
|
| Initial levels: | 12,468.88 for Hang Seng China; 267.67 for Kospi; 314.42 for MSCI Taiwan; 22,714.85 for Hang Seng; and 372.79 for MSCI Singapore
|
| Initial spot prices: | 0.1286 for Hong Kong dollar; 0.0008661 for won; 0.033484 for Taiwan dollar; and 0.7629 for Singapore dollar
|
| Pricing date: | Dec. 17
|
| Settlement date: | Dec. 22
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 2515A12H3
|
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