Deutsche plans capped knock-out notes tied to Turkish lira vs. dollar

By Marisa Wong

Madison, Wis., Jan. 24 - Deutsche Bank AG, London Branch plans to price 0% capped knock-out notes due Feb. 8, 2012 linked to the performance of the Turkish lira relative to the dollar, according to an FWP filing with the Securities and Exchange Commission.

If the lira does not weaken relative to the dollar by more than a knock-out buffer amount of at least 15% at any time during the life of the notes, the payout at maturity will be par plus the greater of the currency performance and a contingent minimum return of 10%. Otherwise, the payout will be par plus the currency performance, which could be positive or negative. The exact knock-out buffer amount will be set at pricing.

In either case, the payout is subject to a maximum return of at least 15% that will be set at pricing.

The notes (Cusip: 2515A13H2) are expected to price Jan. 28 and settle Feb. 2.

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

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