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

By E. Janene Geiss

Philadelphia, Sept. 23 - Deutsche Bank AG, London Branch plans to price 0% annual review notes due Oct. 13, 2011 linked to the S&P 500 index via 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 is equal to 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 11.1% if the notes are called on Oct. 12, 2009, par plus 22.2% if called on Oct. 11, 2010 and par plus 33.3% if called on Oct. 10, 2011.

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% that the index declines beyond 10%.

The notes are expected to price on Sept. 26 and settle on Oct. 1.

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