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Deutsche Bank plans market-linked step-up autocallables on EM index
By Toni Weeks
San Luis Obispo, Calif., May 12 – Deutsche Bank AG, London Branch plans to price autocallable market-linked step-up notes due May 2020 linked to the MSCI Emerging Markets index, according to an FWP filing with the Securities and Exchange Commission.
The notes will be called at par of $10 plus an annualized call premium of 6.5% to 7.5% if the index closes at or above the initial level on any of the annual observation dates.
If the notes are not called and the index finishes above the step-up value, 135% of the initial level, the payout at maturity will be par plus the index gain.
If the index finishes at or below the step-up level but at or above the initial level, the payout will be par plus the step-up return of 35%.
Investors will receive par if the index falls by up to 15% and will be exposed to any losses beyond the 15% buffer.
The exact deal terms will be set at pricing.
The notes will price and settle in May.
BofA Merrill Lynch is the agent.
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