Deutsche plans securities linked to dollar versus yen, JPY swap rate

By Jennifer Chiou

New York, Dec. 22 - Deutsche Bank AG, London Branch plans to price 0% securities due Dec. 27, 2013 linked to the dollar relative to the Japanese yen and the performance of the five-year JPY swap rate, according to an FWP with the Securities and Exchange Commission.

The performance of the underlying currency will be zero unless the dollar appreciates significantly relative to the Japanese yen so that the final spot rate is greater than the currency strike level of 100. Similarly, the performance of underlying rate will be zero unless it appreciates so that the final rate is greater than the rate strike level of 2%.

The payout at maturity will be 60% of par plus, if any, the additional amount, which will be calculated using the following formula: $1,000 multiplied by (16 times the currency performance plus 94 times the underlying rate performance). Investors should be willing to lose up to 40% if the underlying currency return and rate performance are both zero.

The notes (Cusip: 2515A1FM8) are expected to price on Dec. 23 and settle on Dec. 29.

Deutsche Bank Securities Inc. is the agent.

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