Deutsche Bank plans contingent return buffered notes on three currencies versus euro via JPMorgan

By Marisa Wong

Milwaukee, March 16 - Deutsche Bank AG, London Branch plans to price 0% contingent return buffered securities due March 26, 2012 linked to the performance of a basket of currencies relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

The basket includes equal weights of the Korean won, Indonesian rupiah and Singapore dollar.

If the basket appreciates relative to the euro, the payout at maturity will be par plus the greater of the basket appreciation and a contingent return of at least 19% that will be set at pricing.

Investors will receive par if the basket depreciates relative to the euro by 5% or less and will lose 1.0526% for every 1% that it declines beyond 5%.

The return of each currency will be capped at 100%, limiting the payout at maturity to $2,000 per $1,000 principal amount of notes.

The notes are expected to price March 19 and settle March 24.

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

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