Published on 8/30/2016 in the Prospect News Structured Products Daily.
New Issue: Deutsche Bank prices $3 million digital return notes tied to 10-year U.S. dollar ICE swap rate
By Susanna Moon
Chicago, Aug. 30 – Deutsche Bank AG, London Branch priced $3 million of 0% digital return notes due Sept. 14, 2017 linked to the 10-year U.S. dollar ICE swap rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the reference finishes at or above the 82.5% buffer level, the payout at maturity will be par plus the digital return of 15%.
Otherwise, investors will lose 1.2121% for each 1% decline beyond 17.5%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.
Issuer: | Deutsche Bank AG, London Branch
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Issue: | Digital return notes
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Underlying rate: | 10-year U.S. dollar ICE swap rate
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Amount: | $3 million
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Maturity: | Sept. 14, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If reference rate finishes at or above buffer level, par plus 15%; otherwise, 1.2121% loss per 1% decline beyond 17.5%
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Initial rate: | 1.444%
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Buffer level: | 1.1913%, 82.5% of initial level
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Pricing date: | Aug. 29
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Settlement date: | Sept. 1
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Agent: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
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Fees: | 1%
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Cusip: | 25152R6N8
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