Deutsche Bank to price autocallable securities on currencies vs. yen

By Jennifer Chiou

New York, March 8 - Deutsche Bank, AG London Branch plans to price 0% autocallable securities due March 25, 2011 linked to the performance of a basket of equally weighted currencies against the Japanese yen, according to an FWP filing with the Securities and Exchange Commission.

The underlying basket currencies are the Brazilian real, South African rand, Indonesian rupiah and the Korean won.

The notes will be automatically called if the basket closing level on any of the four call dates is greater than or equal to 101% of the initial level. The call dates are June 9, 2010, Sept. 10, 2010, Dec. 9, 2010 and March 22, 2011. The redemption amount will be par plus an annualized call premium of 18%.

If the notes are not called and the final level is at least 95% of the initial level, the payout at maturity will be par. If the basket declines by more than 5% from the initial level, investors will share in losses with a downside leverage factor of 1.0526% per 1% drop beyond 5%.

J.P. Morgan Chase & Co. is the agent.

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