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Deutsche Bank plans autocallable market-linked step-up notes on Russell
By Susanna Moon
Chicago, March 2 – Deutsche Bank AG, London Branch plans to price 0% autocallable market-linked step-up notes due March 2020 linked to the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.
The notes will be called at par of $10 plus a call premium of 6.5% to 7.5% per year if the index closes at or above the initial level on any annual call observation date.
If the index finishes above the step-up level – 135% of the initial level, the payout at maturity will be par of $10 plus the index gain.
If the index gains by up to the step-up level, the payout at maturity will be par of $10 plus the step-up payment of 35%.
If the index falls by up to the 85% buffer level, the payout will be par.
Otherwise, investors will lose 1% for every 1% decline beyond 15%.
The notes will price in March and settle in April.
BofA Merrill Lynch is the agent.
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