Deutsche Bank plans two-year autocallables on currency basket vs. yen

By Toni Weeks

San Luis Obispo, Calif., May 14 - Deutsche Bank AG, London Branch plans to price 0% autocallable securities due May 21, 2015 linked to the performance of a basket of currencies relative to the Japanese yen, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Mexican peso, Brazilian real and Chilean peso.

The notes will be called at par plus an annualized call premium of at least 15.6% if the basket return is greater than or equal to zero on any semiannual call date.

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

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

The notes (Cusip: 25152RCY7) will price on May 17 and settle on May 22.

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