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Deutsche Bank plans buffered return enhanced notes linked to three indexes, related currencies
By Marisa Wong
Madison, Wis., Jan. 11 - Deutsche Bank AG, London Branch plans to price 0% buffered return enhanced notes due Feb. 1, 2012 linked to a basket of indexes and their related currencies, according to an FWP filing with the Securities and Exchange Commission.
The basket includes the Dow Jones Euro Stoxx 50 index with a 51% weight, the FTSE 100 index with a 25% weight and the Topix index with a 24% weight. Their related currencies are the euro, British pound sterling and Japanese yen, respectively.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
For each index, the issuer will multiply its return by the return of the applicable currency relative to the dollar. This will be the underlying return for that index.
If an index's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than or equal to zero but not less than negative 10%, its component return will be zero. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.
The cap will be at least 25.2% for the Euro Stoxx 50, at least 14.2% for the FTSE 100 and at least 3.4% for the Topix. If the caps were set at their respective minimums, the maximum payout at maturity would be $1,172.18 per $1,000 principal amount of notes.
The notes (Cusip: 2515A12U4) are expected to price Jan. 14 and settle Jan. 20.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
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