Deutsche Bank plans optimal entry return enhanced notes on S&P 500

By Marisa Wong

Madison, Wis., Feb. 8 - Deutsche Bank AG, London Branch plans to price 0% optimal entry return enhanced notes due May 15, 2013 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The lookback level will be the index's lowest closing level during the 60 days beginning on the pricing date, Feb. 10. The final index level will be the average of the index's closing levels on the five trading days ending May 10, 2013.

If the final index level is greater than the lookback level, the payout at maturity will be par plus 200% of the gain, subject to a maximum return of at least 13%. The exact cap will be set at pricing.

If the final index level is less than the lookback level, investors will lose 1% for every 1% that the final index level is less than the lookback level.

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

The notes (Cusip: 2515A1GV7) are expected to price on Feb. 10 and settle on Feb. 15.

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