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

By Toni Weeks

San Luis Obispo, Calif., July 30 – Deutsche Bank AG, London Branch plans to price 0% knock-out notes due Feb. 3, 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 – 79.4% of the initial level – on any day during the life of the notes.

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.

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 and the index return is negative, investors will share fully in losses from the initial index level to the final level.

The final index level will be the average of the closing index levels on the five trading days ending Jan. 29, 2016.

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

The Cusip number is 25152RNA7.

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

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