By Toni Weeks
San Luis Obispo, Calif., June 2 – Deutsche Bank AG, London Branch priced $2.32 million of 0% capped absolute return knock-out notes due Dec. 7, 2016 linked to the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.
A knock-out event occurs if the index finishes below the knock-out level, 83.6% of the initial level.
If the final level is greater than or equal to the initial level, the payout at maturity will be par plus the index return, subject to a maximum return of 16.4%.
If the final level is less than the initial level but a knock-out event has not occurred, the payout will be par plus the absolute value of the index return.
If the final level is less than the initial level and a knock-out event has occurred, investors will receive par plus the index return, with full exposure to any losses.
The final index return will be the average of the closing index levels on the five trading days ending Dec. 2, 2016.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Capped absolute return knock-out notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $2.32 million
|
| Maturity: | Dec.7, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index gains, par plus return, capped at 16.4%; if index falls by up to knock-out level, par plus absolute value of index return; otherwise, full exposure to losses
|
| Initial level: | 3,570.78
|
| Knock-out level: | 2,985.17, 83.6% of initial level
|
| Pricing date: | May 29
|
| Settlement date: | June 3
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1.25%
|
| Cusip: | 25152RG31
|
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