Deutsche Bank plans buffered return enhanced notes on Asian indexes

By Jennifer Chiou

New York, Dec. 14 - Deutsche Bank AG, London Branch plans to price 0% buffered return enhanced notes due Jan. 6, 2012 linked to a basket of indexes and their related Asian currencies, according to an FWP with the Securities and Exchange Commission.

The basket includes the Hang Seng China Enterprises index with a 33% weight, the Korea 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 at least double any basket gain, subject to a maximum return of 14.3% that will be set at pricing. Investors will receive par if the basket declines by 10% or less and will lose 1.1111% for every 1% that it declines beyond 10%.

The notes (Cusip: 2515A12H3) are expected to price on Dec. 17 and settle on Dec. 22.

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

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