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

By Susanna Moon

Chicago, Nov. 24 – Deutsche Bank AG, London Branch plans to price high/low coupon autocallable securities due June 9, 2016 linked to the iShares MSCI EAFE exchange-traded fund and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-in event occurs if component index closes below its threshold level, 75% 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 10.5% to 13.5% if a knock-in 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 their initial levels on any quarterly observation date.

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

Deutsche Bank Securities Inc. is the agent.

The notes will price on Dec. 5 and settle on Dec. 10.

The Cusip number is 25152RTB9.

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