Published on 5/3/2011 in the Prospect News Structured Products Daily.
New Issue: Deutsche prices $1.14 million autocallable securities linked to three currencies vs. yen
By Toni Weeks
San Diego, May 3 - Deutsche Bank AG, London Branch priced $1.14 million of 0% autocallable securities due May 2, 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 11.3% if the basket closes at or above the initial basket level on Oct. 28, April 27, 2012, Oct. 29, 2012 or April 29, 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: | $1,142,000
|
| Maturity: | May 2, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Call option: | At par plus annualized premium of 11.3% if basket closes at or above initial basket level on Oct. 28, 2011, April 27, 2012, Oct. 29, 2012 or April 29, 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: | 88.796 yen per Australian dollar, 85.514 yen per Canadian dollar, 15.488 yen per Norwegian krone
|
| Pricing date: | April 29
|
| Settlement date: | May 4
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 2515A16A4
|
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