Published on 2/5/2016 in the Prospect News Structured Products Daily.
New Issue: Deutsche Bank prices $7.73 million capped return enhanced notes tied to Topix, yen
By Marisa Wong
Morgantown, W.Va., Feb. 5 – Deutsche Bank AG, London Branch priced $7.73 million of 0% capped return enhanced notes due Feb. 7, 2017 linked to the Tokyo Stock Price index and the Japanese yen, according to a 424B2 filing with the Securities and Exchange.
If the index return is positive, the payout at maturity will be par plus double the underlying return, up to a maximum return of 18.6%. If the index return is negative, investors will have one-to-one exposure to the decline.
The underlying return will be the index return, adjusted for its exposure to the performance of the yen relative to the dollar. In other words, the initial and final levels used to determine the underlying return will be the initial and final index closing levels divided by the initial and final spot rates, respectively.
A higher dollar/yen spot rate indicates a weakening of the yen relative to the dollar, while a lower spot rate indicates a strengthening of the yen relative to the dollar, the filing noted.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Capped return enhanced notes
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| Underlyings: | Tokyo Stock Price index, yen
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| Amount: | $7,727,000
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| Maturity: | Feb. 7, 2017
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| Coupon: | 0%
|
| Price: | Par
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| Payout at maturity: | If index return is positive, par plus two times underlying return, up to maximum return of 18.6%; if index return is negative, one-to-one exposure to decline
|
| Underlying return: | (a) final level minus initial level divided by (b) initial level
|
| Initial level: | 11.998, closing index level at pricing divided by initial spot rate
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| Final level: | Average of index’s closing levels on five trading days ending Feb. 2, 2017, divided by final spot rate
|
| Initial spot rate: | 121.025
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| Final spot rate: | Average of spot rates on each of five averaging dates
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| Pricing date: | Feb. 2
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| Settlement date: | Feb. 5
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| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
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| Cusip: | 25152RZY2
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