Each index is calculated from the average return of three long/short currency pairs. The pairs are selected every three months (or monthly for the momentum index) based on non-discretionary rules.
"We are pushing products on the master index, but customers can alter the spread to change their exposure to the sub-components," says Deutsche Bank's London-based head of currency index products, Jason Batt. Likely products include structured deposits, capital guarantee notes and total-return swaps.
The first deal based on the currency return index has already been closed: an unnamed corporate client bought a two-year €3 million structured deposit with a capital guarantee and 200% upside participation in the index.