Published on 5/14/2015 in the Prospect News Structured Products Daily.
New Issue: Deutsche Bank prices $30.3 million autocallable step-up notes linked to S&P 500
By Angela McDaniels
Tacoma, Wash., May 14 – Deutsche Bank AG, London Branch priced $30.3 million of 0% autocallable market-linked step-up notes due May 28, 2021 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at par of $10 plus a call premium of 6% per year if the index closes at or above the initial index level on any annual observation date.
If the notes are not called and the final index level is greater than the step-up value, 130% of the initial index level, the payout at maturity will be par plus the index return.
If the final index level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 30%.
If the final index level is less than the initial index but greater than or equal to the threshold value, 84.5% of the initial index level, the payout will be par.
If the final index level is less than the threshold value, investors will lose 1% for every 1% that the index declines beyond the threshold value.
BofA Merrill Lynch is the agent.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Autocallable market-linked step-up notes
|
| Underlying index: | S&P 500
|
| Amount: | $30.3 million
|
| Maturity: | May 28, 2021
|
| Coupon: | 0%
|
| Price: | Par of $10
|
| Payout at maturity: | If final index level is greater than step-up value, par plus index return; if final index level is greater than or equal to initial level but less than or equal to step-up value, par plus 30%; if final index level is less than initial index but greater than or equal to threshold value, par; if final index level is less than threshold value, 1% loss for every 1% that index declines beyond threshold value
|
| Call: | At par plus 6% per year if index closes at or above initial index level on May 20, 2016, May 19, 2017, May 18, 2018, May 24, 2019 or May 22, 2020
|
| Initial level: | 2,099.12
|
| Step-up value: | 2,728.86, 130% of initial level
|
| Threshold value: | 1,773.76, 84.5% of initial level
|
| Pricing date: | May 12
|
| Settlement date: | May 20
|
| Agent: | BofA Merrill Lynch
|
| Fees: | 2%
|
| Cusip: | 25155G294
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