Deutsche Bank plans autocallable step-up notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., Feb. 1 – Deutsche Bank AG, London Branch plans to price 0% autocallable market-linked step-up notes due February 2019 linked to the S&P 500 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 either of two annual observation dates. The call premium is expected to be 9.5% to 10.5% 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, 125% 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, 25%.

If the final index level is less than the initial level, investors will be fully exposed to the decline.

BofA Merrill Lynch is the agent.

The notes will price in February and settle in March.

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