Deutsche Bank plans absolute return review notes tied to WTI crude oil

By Toni Weeks

San Luis Obispo, Calif., Nov. 6 – Deutsche Bank AG, London Branch plans to price 0% absolute return review notes due Nov. 24, 2015 linked to WTI crude oil futures contracts, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus 10.5% per year if oil closes at or above the initial price on any quarterly review date.

If the notes are not called and the final price of oil is at least 85% of the initial price, the payout at maturity will be par plus the absolute value of the oil return. If the final price is less than 85% of the initial price, investors will be fully exposed to the decline from the initial price.

The final price will be the average of the closing prices on the five trading days ending Nov. 19, 2015.

The notes (Cusip: 25152RSP9) are expected to price Nov. 7 and settle Nov. 13.

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

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