Deutsche Bank plans autocallable notes on three currencies vs. yen

By Marisa Wong

Madison, Wis., April 25 - Deutsche Bank AG, London Branch plans to price 0% autocallable securities due April 30, 2015 linked to a basket of currencies relative to the Japanese yen, according to an FWP filing with the Securities and Exchange Commission.

The equally weighted basket consists of the Mexican peso, the Brazilian real and the Chilean peso.

The securities will be called if the basket return is greater than or equal to zero - meaning all three currencies have strengthened or remain unchanged relative to the yen - on any of four semiannual observation dates. The call premium is expected to be at least 9% if the notes are called on Oct. 28, 2013, 18% if they are called on April 28, 2014, 27% if called on Oct. 27, 2014 and 36% if called on April 27, 2015. The exact call premiums will be set at pricing.

If the notes are not called and the basket return is greater than or equal to negative 20%, the payout at maturity will be par. If the basket return is less than negative 20%, investors will be fully exposed to the decline.

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

The notes are expected to price April 26 and settle May 1.

The Cusip number is 25152RCM3.

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