Deutsche plans capped absolute return knock-out notes tied to S&P 500

By Toni Weeks

San Luis Obispo, Calif., April 8 – Deutsche Bank AG, London Branch plans to price 0% capped absolute return knock-out notes due Oct. 19, 2016 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the final index 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 14.7%.

If the index return is negative and the final index level is at least 85.3% of the initial level, the payout will be par plus the absolute value of the index return.

If the index finishes below the 85.3% knock-out level, investors will receive par plus the index return, with full exposure to losses.

The final index level will be the average of the closing index levels on the five trading days ending Oct. 14, 2016.

JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.

The notes will price April 10 and settle April 15.

The Cusip number is 25152RC35.

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