Deutsche Bank plans step-up digital return notes tied to Mexican peso

By Marisa Wong

Madison, Wis., May 28 - Deutsche Bank AG, London Branch plans to price 0% step-up digital return notes due Dec. 3, 2015 linked to the performance of the Mexican peso relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

The reference currency return will be positive if the peso appreciates relative to the euro.

If the reference currency return is greater than or equal to 3%, the payout at maturity will be par plus 24.25%.

If the reference currency return is greater than or equal to zero but less than 3%, the payout will be par plus 3%.

If the reference currency return is less than zero but greater than or equal to negative 10%, the payout will be par.

If the reference currency return is less than negative 10%, investors will lose 1% for each 1% that the reference currency return is below zero.

The final spot rate will be the average of the spot rates on the five days ending Nov. 30, 2015.

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

The notes will price May 30 and settle June 4.

The Cusip number is 25152RKK8.

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