Deutsche Bank to price contingent return buffered notes linked to three currencies vs. euro via JPMorgan

By Angela McDaniels

Tacoma, Wash., March 3 - Deutsche Bank AG, London Branch plans to price 0% contingent return buffered securities due March 12, 2012 linked to the performance of a basket of currencies relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Korean won, Indonesian rupiah and Singapore dollar.

If the basket appreciates relative to the euro, the payout at maturity will be par plus the greater of the basket appreciation and a contingent return of at least 20% that will be set at pricing. Investors will receive par if the basket depreciates relative to the euro by 5% or less and will lose 1.0526% for every 1% that it declines beyond 5%.

The return of each currency will be capped at 100%, limiting the payout at maturity to $2,000 per $1,000 principal amount of notes.

The notes are expected to price March 5 and settle March 10.

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

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