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Prospect News home > News index > List of issuers D > Headlines for Deutsche Bank AG, London Branch > News item |
Deutsche Bank to price buffered return enhanced notes linked to two currency baskets via JPMorgan
By Angela McDaniels
Tacoma, Wash., Feb. 2 - Deutsche Bank AG, London Branch plans to price 0% buffered return enhanced notes due Feb. 16, 2011 linked to a long currency basket and a short currency basket, according to an FWP filing with the Securities and Exchange Commission.
The long basket includes the Brazilian real, Turkish lira and Indonesian rupiah, each with a weight of one-third. The short basket includes the dollar and Japanese yen, each with a weight of negative one-half.
The return of the dollar will be zero. For each of the remaining currencies, the return will equal its a) initial spot rate against the dollar minus its final spot rate b) divided by its initial spot rate. The long/short return will equal the sum of the currencies' weighted returns.
If the long/short return is positive, the payout at maturity will be par plus at least 2.4 times the long/short return, subject to a maximum return of at least 24%. The exact upside leverage factor and cap will be set at pricing.
If the long/short return is between zero and negative 10%, the payout will be par. Investors will lose 1.1111% for every 1% that the return is less than negative 10%.
The notes are expected to price Feb. 5 and settle Feb. 10.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
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