Deutsche Bank plans autocallable step-up notes linked to Russell 2000

By Angela McDaniels

Tacoma, Wash., Sept. 25 – Deutsche Bank AG, London Branch plans to price 0% autocallable market-linked step-up notes due October 2020 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at par of $10 plus a call premium if the index closes at or above the initial index level on any of four annual observation dates. The call premium is expected to be 6.5% to 7.5% per year and will be set at pricing.

If the notes are not called and the final index level is greater than the step-up value, 130% of the initial index level, the payout at maturity will be par plus the index return.

If the final index level is greater than or equal to the initial level but less than or equal to the step-up value, the payout will be par plus the step-up payment, 30%.

Investors will receive par if the index declines by 15% or less and will lose 1% for every 1% that it declines beyond 15%.

BofA Merrill Lynch is the agent.

The notes will price and settle in October.

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