COPENHAGEN: On 4 February 2021, Danske Bank will issue USD 1.96 million in index-linked notes linked to the performance of the index value of the S&P 500 Index.
The notes are designated “DANSKE 0BTZ US Buffer 2022”.
The notes are issued at a price of 100. The notes do not pay interest. The notes are issued under Danske Bank’s EUR 5 billion Structured Note Programme dated 17 June 2021.
The redemption price of the note is determined from the change in the price of the underlying index.
If the underlying index has increased, the redemption price of the note is determined as this increase, however subject to a cap of 10%. If the underlying index has decreased, but is at or above the put-barrier, the redemption price will be 100%.
If instead, the underlying index is below the put-barrier, the redemption price will decrease, similar to the drop in the underlying index. Ultimately, if the price of the underlying index is zero, the redemption price of the note will be zero, and the investment amount is lost.
Immediately after pricing of the note, the theoretical value of the note will decrease if the price of the underlying index fall, volatility of the underlying index increases, the dividend of the stock rises, interest rates rise, and/or credit spread of Danske Bank rises. Deterioration of liquidity in the underlying index will most likely have a negative impact on price.
However, the redemption price is only affected by the value of the underlying index at maturity. In addition to this, redemption of the note will depend upon Danske Bank being able to fulfill its obligation at maturity.
The S&P 500 is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.
Danske Bank A/S is a Danish bank. It was founded 5 October 1871 as Den Danske Landmandsbank, Hypothek- og Vexelbank i Kjøbenhavn.
Headquartered in Copenhagen, it is the largest bank in Denmark and a major retail bank in the northern European region with over 5 million retail customers.
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