Published on 8/23/2016 in the Prospect News Structured Products Daily.
New Issue: Deutsche Bank prices $1.5 million digital return notes on dollar ICE swap rate
By Tali Rackner
Norfolk, Va., Aug. 23 – Deutsche Bank AG, London Branch priced $1.5 million of 0% digital return notes due Sept. 7, 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 final reference rate is greater than or equal to the buffer level, 60% of the initial reference rate, the payout at maturity will be par plus 8.25%. Otherwise, investors will lose 1.6667% for every 1% that reference rate’s decline exceeds 40%.
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: | $1.5 million
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Maturity: | Sept. 7, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If final reference rate is greater than or equal to buffer level, par plus 8.25%; otherwise, 1.6667% loss for every 1% that reference rate’s decline exceeds 40%
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Initial reference rate: | 1.451%
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Buffer level: | 0.8706%, 60% of initial level
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Pricing date: | Aug. 19
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Settlement date: | Aug. 24
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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: | 25152R6L2
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