Deutsche Bank plans notes due 2016 linked to Mexican peso vs. euro

By Toni Weeks

San Luis Obispo, Calif., Feb. 10 – Deutsche Bank AG, London Branch plans to price 0% notes due March 2, 2016 linked to the Mexican peso relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

The currency performance is calculated by dividing the difference between the initial and final spot rates by the initial spot rate. A positive currency performance means the Mexican peso has strengthened relative to the euro, and a negative currency performance means it has weakened relative to the euro.

If the currency return is greater than or equal to negative 10%, the payout at maturity will be par plus the greater of the return and the contingent minimum return of 7%.

If the return is less than negative 10%, investors will be fully exposed the decline in the currency performance.

The final spot rate will be the average of the spot rates on the five trading days ending Feb. 26, 2016.

The notes (Cusip: 2515A1M81) will price Feb. 13 and settle Feb. 19.

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

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