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Deutsche plans capped knock-out notes linked to S&P 500 via JPMorgan
By Susanna Moon
Chicago, Aug. 3 - Deutsche Bank AG, London Branch plans to price 0% capped knock-out notes due Aug. 29, 2011 based on the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
If the index falls below the knock-out level - 75% of the initial level - during the life of the notes, the payout at maturity will be par plus the index return, up to a maximum return of 20%, and investors will be exposed to any losses.
If the index remains at or above the knock-out level throughout the life of the notes, the payout will be par plus any index gain, capped at 20%, with a contingent minimum return of 4.5%.
The notes (Cusip 2515A06C2) will price on Aug. 6 and settle on Aug. 11.
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