Deutsche plans capped absolute return knock-out notes on Euro Stoxx

By Toni Weeks

San Luis Obispo, Calif., May 27 – Deutsche Bank AG, London Branch plans to price 0% capped absolute return knock-out notes due Dec. 7, 2016 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index finishes below the knock-out level, 83.6% of the initial level.

If the final level is greater than or equal to the initial level, the payout at maturity will be par plus the index return, subject to a maximum return of 16.4%.

If the final level is less than the initial level but a knock-out event has not occurred, the payout will be par plus the absolute value of the index return.

If the final level is less than the initial level and a knock-out event has occurred, investors will receive par plus the index return, with full exposure to any losses.

The final index return will be the average of the closing index levels on the five trading days ending Dec. 2, 2016.

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

The notes will price May 29 and settle June 3.

The Cusip number is 25152RG31.

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