Published on 4/12/2011 in the Prospect News Structured Products Daily.
New Issue: Deutsche Bank sells $1.15 million autocallable notes tied to three currencies versus yen
By Toni Weeks
San Diego, April 12 - Deutsche Bank AG, London Branch priced $1.15 million of 0% autocallable securities due April 11, 2013 linked to a basket of three equally weighted currencies relative to the Japanese yen, according to a 424B2 filing with the Securities and Exchange Commission.
The underlying currencies are the Australian dollar, the Canadian dollar and the Norwegian krone.
The notes will be called at par plus an annualized call premium of 11% if the basket closes at or above the initial basket level on Oct. 7, 2011, April 9, 2012, Oct. 9, 2012 or April 8, 2013.
If the notes are not called and the final basket level is at least 90% of the initial level, the payout will be par. Investors will lose 1.1111% for every 1% that the basket declines beyond 10%.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Autocallable securities
|
| Underlying currencies: | Australian dollar, Canadian dollar, Norwegian krone, equally weighted against the Japanese yen
|
| Amount: | $1.15 million
|
| Maturity: | April 11, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Call option: | At par plus annualized premium of 11% if basket closes at or above initial basket level on Oct. 7, 2011, April 9, 2012, Oct. 9, 2012 or April 8, 2013
|
| Payout at maturity: | Par if basket is at least 90% of initial level; otherwise, 1.1111% loss for every 1% decline in the basket beyond 10%
|
| Initial spot rates: | 89.592 yen per Australian dollar, 88.916 yen per Canadian dollar, 15.728 yen per Norwegian krone
|
| Pricing date: | April 8
|
| Settlement date: | April 13
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 2515A15P2
|
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