Deutsche Bank to price two-year notes linked to basket of gold prices expressed in three currencies

By Toni Weeks

San Luis Obispo, Calif., Feb. 4 – Deutsche Bank AG, London Branch plans to price 0% notes due Feb. 8, 2017 linked to a basket of the price of gold as expressed in three different currencies, equally weighted, according to an FWP filing with the Securities and Exchange Commission.

The basket currencies are Swiss francs, euros and Japanese yen.

The basket return will be calculated by converting the price of gold in U.S. dollars into the price of gold in the applicable currency using that currency’s exchange rate. As a result, the return on the notes is dependent on both the performance of the price of gold in U.S. dollars as well as the strengthening or weakening of the basket currencies relative to the dollar.

If the final basket level is greater than or equal to the initial level, the payout at maturity will be par plus the basket return.

Investors will share fully in any decline in the basket.

For each currency, the final gold price will be the average of the gold prices on each of the five trading days ending Feb. 6, 2017.

The notes (Cusip: 25152RUM3) are expected to price Feb. 6 and settle Feb. 11.

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

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