Ethical concerns related to Artificial Intelligence (AI) equipped systems are prompting demands for ethical AI from all directions. As a response, in recent years public bodies, governments, and companies have rushed to provide guidelines and principles for how AI-based systems are designed and used ethically. We have learned, however, that high-level principles and ethical guidelines cannot be easily converted into actionable advice for industrial organizations that develop AI-based information systems. Maturity models are commonly used in software and systems development companies as a roadmap for improving the performance. We argue that they could also be applied in the context of developing ethically aligned AI systems. In this paper, we propose a maturity model for AI ethics and explain how it can be devised by using a Design Science Research approach.