Deutsche Bank plans autocallable securities on currency basket via JPM

By Marisa Wong

Milwaukee, June 22 - Deutsche Bank AG, London Branch plans to price 0% autocallable securities due July 1, 2011 linked to the performance of a basket of equally weighted currencies against the dollar, according to an FWP filing with the Securities and Exchange Commission.

The underlying basket currencies are the South African rand, Mexican peso and Chilean peso.

The notes will be automatically called at par plus an annualized call premium of 11% if the basket closing level on any of four call dates is greater than or equal to the initial level. The call dates are Sept. 27, Dec. 27, 2010, March 25, 2011 and June 28, 2011. The exact call premium will be set at pricing.

If the notes are not called and the final level is at least 93% of the initial level, the payout at maturity will be par. If the basket declines by more than 7% from the initial level, investors will share in losses with a downside leverage factor of 1.0753% per 1% decline beyond 5%.

The securities are expected to price on June 25 and settle on June 30.

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

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