Deutsche Bank to sell annual review notes linked to S&P 500 via JPMorgan

By Susanna Moon

Chicago, Sept. 2 - Deutsche Bank AG, London Branch plans to price 0% annual review notes due Sept. 22, 2011 linked to the S&P 500 index via agents JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at increasing premiums if the index closes at or above its call level on any of three annual review dates. The call level will be 90% of the initial index level on the first review date and equal to the initial index level on the second and third review dates.

The redemption amount will be par plus at least 10.05% if the notes are called on Sept. 21, 2009, par plus at least 20.1% if called on Sept. 20, 2010 and par plus at least 30.15% if called on Sept. 19, 2011. The exact call premiums will be set at pricing.

If the notes are not called, the payout at maturity will be par if the final index level is at least 90% of the initial level. Otherwise, investors will lose 1.1111% for every 1% decline beyond 10%.

The notes are expected to price on Sept. 5 and settle Sept. 10.

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