Deutsche Bank sets initial level for $330,000 average-in return enhanced notes tied to S&P 500

By Marisa Wong

Madison, Wis., Aug. 15 - Deutsche Bank AG, London Branch has determined the initial index level for its 0% average-in return enhanced notes due Aug. 15, 2012 linked to the S&P 500 index, according to a 424B3 filing with the Securities and Exchange Commission.

The issuer priced $330,000 of the notes (Cusip: 2515A1AK7) on July 27. The notes settled on Aug. 1.

The initial index level was calculated to be 1,287.766, which is the average of the index's closing levels on the five trading days ended Aug. 2.

The final index level will be the average of the index's closing levels on the five trading days ending Aug. 10, 2012.

If the final index level is greater than the initial index level, the payout maturity will be par plus double the index return, subject to a maximum return of 17.9%. If the final index level is less than the initial level, investors will be fully exposed to the decline.

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

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