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Deutsche Bank to price buffered return enhanced notes linked to three indexes, related currencies
By Angela McDaniels
Tacoma, Wash., March 8 - Deutsche Bank AG, London Branch plans to price 0% buffered return enhanced notes due March 28, 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 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, the British pound sterling and the 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 first (a) multiply (i) the quotient of its final level divided by its initial level by (ii) the quotient of the final spot rate of the applicable currency relative to the dollar divided by the initial spot rate and then (b) subtract one. 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 1.11111% for every 1% that the underlying return is less than negative 10%.
The cap will be at least 21.2% for the Euro Stoxx 50, 15.274% for the FTSE 100 and 4.454% for the Topix. The exact caps will be set at pricing.
The notes (Cusip: 2515A14X6) are expected to price March 11 and settle March 16.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
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