Deutsche Bank to price autocallables tied to three currencies vs. yen

By Angela McDaniels

Tacoma, Wash., April 4 - Deutsche Bank AG, London Branch plans to price 0% autocallable securities due April 11, 2013 linked to the performance of a basket of currencies relative to the Japanese yen, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Australian dollar, the Canadian dollar and the Norwegian krone. The basket level will increase if it appreciates relative to the yen.

The notes will be called at par plus a premium if the basket closes at or above the initial basket level on Oct. 7, 2011, April 9, 2012, Oct. 9, 2012 or April 8, 2013. The premium is expected to be 11% per year and will be set at pricing.

If the notes are not called and the final basket level is at least 90% of the initial level, the payout will be par. Investors will lose 1.1111% for every 1% that the basket declines beyond 10%.

The notes (Cusip: 2515A15P2) are expected to price April 8 and settle April 13.

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

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