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

By Angela McDaniels

Tacoma, Wash., July 29 – Deutsche Bank AG, London Branch plans to price 0% capped knock-out notes due Aug. 19, 2015 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index's closing level is less than the knock-out level, 83.2% of the initial index level, on any day during the life of the notes.

If a knock-out event does not occur and the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus the lesser of the index return and 15%.

If a knock-out event does not occur and the final index level is less than the initial index level, the payout will be par.

If a knock-out event does occur, the payout will be par plus the lesser of index return, which could be positive or negative, and 15%.

The final index level will be the average of the index's closing levels on the five trading days ending Aug. 14, 2015.

J.P. Morgan Securities LLC is the agent.

The notes are expected to price Aug. 1 and settle Aug. 6.

The Cusip number is 25152RMY6.

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