Deutsche Bank plans step-up digital return notes tied to peso vs. euro

By Angela McDaniels

Tacoma, Wash., Oct. 28 – Deutsche Bank AG, London Branch plans to price 0% step-up digital return notes due May 5, 2016 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 strengthens relative to the euro.

If the reference currency return is greater than or equal to 1.85%, the payout at maturity will be par plus 20%.

If the reference currency return is greater than or equal to zero but less than 1.85%, the payout will be par plus 5%.

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 issuer warned that because the currency performance is calculated by dividing the difference between the initial spot rate and the final spot rate by the initial spot rate, the maximum positive currency performance will equal 100%, and investors will lose their entire investments if the final spot rate is equal to or greater than 200% of the initial spot rate.

JPMorgan Chase Bank, N.A. and J.P. Morgan Securities LLC are the placement agents.

The notes are expected to price Oct. 31 and settle Nov. 5.

The Cusip number is 25152RSF1.

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