Deutsche Bank plans to price capped knock-out notes linked to S&P 500

By Marisa Wong

Madison, Wis., Feb. 10 – Deutsche Bank AG, London Branch plans to price 0% capped knock-out notes due March 2, 2016 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event will occur if the index closes below the knock-out level on any day during the life of the notes. The knock-out level is expected to be 78.3% of the initial level and will be set at pricing.

If a knock-out event has not occurred and the index return is zero or positive, the payout at maturity will be par plus the index return, capped at 15%.

If a knock-out event has not occurred and the index return is negative, the payout will be par.

If a knock-out event has occurred, the payout will be par plus the index return, capped at 15%, with full exposure to losses.

The final index level will be the average of the closing index levels on the five trading days ending Feb. 26, 2016.

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

The notes will price on Feb. 13 and settle on Feb. 18.

The Cusip number is 2515A1MA6.

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