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

By Toni Weeks

San Luis Obispo, Calif., Jan. 13 – Deutsche Bank AG, London Branch plans to price 0% capped 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 – 78.8% 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, the investors will receive par plus the underlying return, with exposure to any losses.

In either case, the maximum return will be 15%.

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 Jan. 16 and settle Jan. 21.

The Cusip number is 25152RUE1.

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

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