Published on 11/15/2011 in the Prospect News Structured Products Daily.
New Issue: Deutsche Bank sells $12.62 million buffered notes on five Asian indexes, currencies
By Toni Weeks
San Diego, Nov. 15 - Deutsche Bank AG, London Branch priced $12.62 million of buffered return enhanced notes due Nov. 28, 2012 linked to a basket of five Asian indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket components are the Hang Seng China Enterprises index with a 21% weight, the Korea Composite Stock Price index 200 with a 25% weight, the MSCI Taiwan index with a 20% weight, the Hang Seng index with a 25% weight and the MSCI Singapore index with a 9% weight.
The related currencies are the Hong Kong dollar for the Hang Seng China and Hang Seng indexes, the Korean won for the Kospi 200, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore.
If the basket appreciates relative to the U.S. dollar, the payout at maturity will be par plus double the basket return, subject to a cap of 17%. Investors will receive par if the basket declines by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Buffered return enhanced notes
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| Underlying basket: | Hang Seng China Enterprises index (21% weight), Kospi 200 index (25% weight), MSCI Taiwan index (20% weight), Hang Seng index (25% weight) and MSCI Singapore index (9% weight); related currencies are Hong Kong dollar, Korean won, Taiwan dollar and Singapore dollar
|
| Amount: | $12.62 million
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| Maturity: | Nov. 28, 2012
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus double any basket gain, return capped at 17%; par if basket falls by up to 10%, 1.1111% loss for every 1% basket decline beyond 10%
|
| Initial levels: | 10,430.07 for Hang Seng China; 19,137.17 for Hang Seng; 242.99 for Kospi; 317.04 for MSCI Singapore; 261.59 for MSCI Taiwan
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| Initial spot rates: | 0.1285463 for Hong Kong dollar; 0.0008876 for Korean won; 0.0331312 for Taiwan dollar; 0.7782101 for Singapore dollar
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| Pricing date: | Nov. 11
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| Settlement date: | Nov. 16
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| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
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| Fees: | 1%
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| Cusip: | 2515A1EH0
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