Deutsche Bank to price digital return notes linked to real vs. dollar

By Marisa Wong

Morgantown, W.Va., May 25 – Deutsche Bank AG, London Branch plans to price 0% digital return notes due June 13, 2018 linked to the performance of the Brazilian real relative to the dollar, according to a 424B2 filing with the Securities and Exchange Commission.

If the currency performance is at least negative 25%, the payout at maturity will be par plus the digital return of 9.5%. Otherwise, the payout will be par plus the currency performance with full exposure to losses.

The currency performance is (a) the initial spot rate minus the final spot rate divided by (b) the initial spot rate.

A higher spot rate indicates a weakening of the real against the dollar, while a lower spot rate indicates a strengthening of the real against the dollar.

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

The notes will price May 26.

The Cusip number is 25155MBE0.

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