Published on 2/3/2012 in the Prospect News Structured Products Daily.
New Issue: Deutsche Bank prices $5 million high/low coupon callable notes on S&P 500, Russell
By Marisa Wong
Madison, Wis., Feb. 3 - Deutsche Bank AG, London Branch priced $5 million of high/low coupon callable yield notes due Feb. 7, 2013 linked to the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par if both indexes close above their initial levels on any quarterly observation date. The observation dates are May 1, Aug. 1, Nov. 1, 2012 and Feb. 4, 2013.
A knock-in event occurs if either underlying index falls to or below 75% of its initial level on any day during a quarterly observation period.
If a knock-in event never occurs, the coupon will be 17.5%. If a knock-in event occurs during any quarterly observation period, the coupon for that interest period and each subsequent interest period will be 1%. Interest is payable quarterly.
If a knock-in event occurs, the payout at maturity will be par plus the return of the worse-performing index, up to a maximum payout of par. If a knock-in event does not occur, investors will receive par.
Deutsche Bank Securities Inc. is the agent.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | High/low coupon callable yield notes
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $5 million
|
| Maturity: | Feb. 7, 2013
|
| Coupon: | 17.5% if neither index falls to or below knock-in level during quarterly observation period; otherwise, 1% for that period and afterward; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | If knock-in event occurs, par plus the return of the worse-performing index, capped at par; otherwise, par
|
| Call: | At par if both indexes close above initial levels on May 1, Aug. 1, Nov. 1, 2012 or Feb. 4, 2013
|
| Initial levels: | 1,324.09 for S&P 500, 809.66 for Russell
|
| Knock-in levels: | 993.07 for S&P 500, 607.25 for Russell; 75% of initial levels
|
| Pricing date: | Feb. 1
|
| Settlement date: | Feb. 6
|
| Agent: | Deutsche Bank Securities Inc.
|
| Fees: | 0.75%
|
| Cusip: | 2515A1GF2
|
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