Published on 10/11/2011 in the Prospect News Structured Products Daily.
New Issue: Deutsche Bank prices $12.21 million capped knock-out notes on S&P 500
By Toni Weeks
San Diego, Oct. 11 - Deutsche Bank AG, London Branch priced $12.21 million of 0% capped knock-out notes due Oct. 24, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than 20% from the initial level on the Oct. 19, 2012 final valuation date.
If a knock-out event does not occur, the payout at maturity is par plus the index return, subject to a minimum return of 9% and a maximum return of 20%.
If a knock-out event occurs, the payout at maturity is par plus the index return, with full exposure to losses.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
Issuer: | Deutsche Bank AG, London Branch.
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Issue: | Capped knock-out notes
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Underlying index: | S&P 500
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Amount: | $12,211,000
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Maturity: | Oct. 24, 2012
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If index falls by more than 20% from initial level on Oct. 19, 2012 final valuation date, par plus index return, with exposure to losses; otherwise, par plus index return with floor of 9% and cap of 20%
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Initial level: | 1,155.46
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Knock-out buffer: | 20% of initial level
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Pricing date: | Oct. 7
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Settlement date: | Oct. 13
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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: | 2515A1DH1
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