Deutsche Bank plans high/low coupon autocallables tied to index, fund

By Toni Weeks

San Luis Obispo, Calif., April 23 – Deutsche Bank AG, London Branch plans to price high/low coupon autocallable securities due Nov. 3, 2016 linked to the SPDR S&P 500 ETF Trust and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if either component closes below its threshold level, 60% of its initial level, on any day during the life of the notes.

The notes will pay a contingent quarterly coupon at an annual rate of 5.5% to 7% if a knock-out event does not occur during the observation period for that quarter. Otherwise, the coupon for that interest period and each subsequent interest period will be 1% per year. The exact coupon will be set at pricing.

The notes will be called at par if each component closes at or above its initial level on any quarterly observation date.

If the notes are not called, the payout at maturity will be par unless a knock-out event has occurred, in which case investors will be fully exposed to any losses of the worst-performing component.

Deutsche Bank Securities Inc. is the agent.

The notes will price April 30 and settle May 5.

The Cusip number is 25152RD59.

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