By Marisa Wong
Madison, Wis., Dec. 20 - Deutsche Bank AG, London Branch priced $6.02 million of 0% buffered return enhanced notes due Jan. 7, 2013 linked to a basket of indexes and their related currencies, each converted into U.S. dollars, according to an FWP filing with the Securities and Exchange Commission.
The basket includes the Hang Seng China Enterprises index with a 21% weight, the Hang Seng index with a 25% weight, the Kospi 200 index with a 25% weight, the MSCI Singapore index with a 9% weight and the MSCI Taiwan index with a 20% weight.
The related currencies are the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Kospi, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore.
A basket component's level on any day will equal the underlying index level multiplied by the exchange rate of the related currency on that day. The final underlying index level will equal the average of the underlying closing levels on the five trading days ending Jan. 2, 2013.
The basket return will equal the sum of the weighted component returns for the basket indexes.
If the basket return is positive, the payout at maturity will be par plus 200% of the basket return, subject to a maximum return of 21%. Investors will receive par if the basket return is between zero and negative 10% and will lose 1.1111% for every 1% that it is less than negative 10%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Hang Seng China Enterprises index (21% weight), Hang Seng index (25% weight), Kospi 200 index (25% weight), MSCI Singapore index (9% weight) and MSCI Taiwan index (20% weight)
|
| Amount: | $6,015,000
|
| Maturity: | Jan. 7, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of any basket gain, capped at 21%; par if basket falls by up to 10%; 1.1111% loss for every 1% decline beyond 10%
|
| Initial levels: | 9,867.41 for Hang Seng China; 18,285.39 for Hang Seng; 239.82 for Kospi; 303.79 for MSCI Singapore; 242.83 for MSCI Taiwan
|
| Initial spot rates: | 0.1284604 for Hong Kong dollar; 0.0008631 for Korean won; 0.7676364 for Singapore dollar; 0.0329370 for Taiwan dollar
|
| Pricing date: | Dec. 16
|
| Settlement date: | Dec. 21
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 2515A1FG1
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
