Deutsche plans capped knock-out notes due 2015 linked to S&P 500

By Jennifer Chiou

New York, Oct. 21 – Deutsche Bank AG, London Branch plans to price 0% capped knock-out notes due Nov. 12, 2015 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

A knock-out event will occur if the index ever closes below the 77.2% knock-out level on any day during the life of the notes.

If the index finishes at or above the initial level and a knock-out event never occurs, the payout at maturity will be par plus any index gain, up to a maximum return of 15%.

If the index falls but a knock-out event never occurs, the payout at maturity will be par.

If the index falls and a knock-out event has occurred, the payout will be par plus the return with full exposure to losses and any gains capped at 15%.

The notes (Cusip: 25152RRZ8) will price on Oct. 24 and settle on Oct. 29.

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

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