Deutsche Bank amends target performance notes tied to three currencies

By Angela McDaniels

Tacoma, Wash., Sept. 23 - Deutsche Bank AG, London Branch amended the terms of its upcoming 0% target performance securities linked to the performance of a basket of currencies relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

The maturity date was pushed back to Oct. 21, 2011 from Oct. 18, 2011.

The equally weighted basket includes the Indian rupee, Indonesian rupiah and Singapore dollar.

The basket level will increase if the currencies appreciate relative to the euro and will decrease if they depreciate relative to the euro.

If the final basket level is greater than or equal to the initial level, the payout at maturity will be:

• Par plus the basket return if the basket return is between zero and the target performance of 10%;

• Par plus 10% minus the amount by which the return exceeds 10% if the basket return is greater than 10% and less than 20%; or

• Par if the basket return is 20% or more.

If the final basket level is less than the initial level, the payout will be:

• Par if the basket declines by 7% or less; or

• Par minus 1.0753% for every 1% that the basket declines beyond 7%.

Previously, the target performance was 14.25%, the upper cap was 28.5% instead of 20%, the buffer was 5% instead of 7% and the downside leverage factor was 1.0526% instead of 1.0753%.

The notes (Cusip 2515A07F4) are now expected to price Sept. 29 and settle Oct. 4. They were previously scheduled to price Sept. 24 and settle Sept. 29.

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

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