Deutsche Bank unveils currency index

The Deutsche Bank Currency Return index is an average of three indexes – the DB Currency Carry index, launched in 2002, and the DB Currency Momentum and Currency Value indexes, also launched today.

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.

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