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Deutsche Bank plans 0% semiannual review notes linked to S&P 500 index
By Marisa Wong
Madison, Wis., Aug. 31 - Deutsche Bank AG, London Branch plans to price 0% semiannual review notes due Sept. 7, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the index is at or above the call level on any of four review dates.
The call level is equal to 90% of the initial level on the first review date and is equal to the initial level on the other three review dates.
The redemption amount will be par plus at least 5.5% if the notes are called on March 3, 2011, par plus at least 11% if the notes are called on Sept. 12, 2011, par plus at least 16.5% if called on March 5, 2012 and par plus at least 22% if called on Sept. 4, 2012. The exact call premiums will be set at pricing.
If the notes are not called, investors will receive par at maturity if the index falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
The notes (Cusip: 2515A06T5) are expected to price on Sept. 3 and settle on Sept. 9.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
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