Deutsche Bank plans capped knock-out notes linked to sector indexes

By Angela McDaniels

Tacoma, Wash., Aug. 12 – Deutsche Bank AG, London Branch plans to price 0% capped knock-out notes due Feb. 23, 2017 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The equally weighted basket includes the Financial Select Sector index, the Technology Select Sector index, the Consumer Discretionary Select Sector index and the Health Care Select Sector index.

A knock-out event will occur if the final basket level is less than the knock-out level, 82% of the initial basket level.

If the final basket level is greater than or equal to the initial basket level, the payout at maturity will be par plus the lesser of the basket return and the maximum return, which is expected to be 15% and will be set at pricing. If the final basket level is less than the initial basket level but a knock-out event has not occurred, the payout will be par. If a knock-out event has occurred, investors will be fully exposed to the basket’s decline.

For each index, the final level will be the average of its closing levels on the five trading days ending Feb. 17, 2017.

JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.

The notes will price Aug. 14 and settle Aug. 19.

The Cusip number is 25152RM42.

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