New Issue: Deutsche Bank prices $25.31 million market-linked step-up autocallables on S&P 500

By Susanna Moon

Chicago, Sept. 1 – Deutsche Bank AG, London Branch priced $25.31 million of 0% autocallable market-linked step-up notes due Aug. 27, 2021 tied to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called at par of $10 plus an annual call premium of 6% if the index closes at or above the initial level on any annual call date.

If the index finishes above the step-up level – 130% of the initial value – the payout at maturity will be par plus the index return.

If the index gains by up to the step-up level, the payout will be par plus the step-up payment of 30%.

Investors will receive par if the index falls by up to 19% and will be exposed to any losses beyond 19%.

BofA Merrill Lynch is the agent.

Issuer:	Deutsche Bank AG, London Branch
Issue:	Autocallable market-linked step-up notes
Underlying index:	S&P 500
Amount:	$25,310,710
Maturity:	Aug. 27, 2021
Coupon:	0%
Price:	Par of $10
Payout at maturity:	If index finishes above step-up level, par plus gain; if index gains up to step-up value, par plus 30%; par if index falls by up to 19%; exposure to any losses beyond 19%
Call:	At par plus 6% per year if index closes at or above initial level on Sept. 2, 2016, Aug. 18, 2017, Aug. 24, 2018, Aug. 23, 2019 or Aug. 21, 2020
Initial level:	1,987.66
Step-up level:	130% of initial level
Pricing date:	Aug. 27
Settlement date:	Sept. 3
Agent:	BofA Merrill Lynch
Fees:	2%
Cusip:	25156D464

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