Deutsche to price callable leveraged steepener notes tied to CMS rates

By Jennifer Chiou

New York, Sept. 16 – Deutsche Bank AG, London Branch plans to price callable leveraged steepener notes due Sept. 30, 2029, according to an FWP with the Securities and Exchange Commission.

The coupon will be 8% for the first year. After that, interest will be equal to four times the reference rate, subject to a cap of 8% and a floor of 0%. The reference rate is the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate minus 25 basis points. Interest is payable quarterly.

The payout at maturity will be par.

The notes will be callable in whole on any of the redemption dates, which fall on Sept. 30 in 2016, 2019 and 2024.

The notes (Cusip: 25152RXE8) are expected to price on Sept. 25 and settle on Sept. 30.

Deutsche Bank Securities Inc. is the agent. Morgan Stanley & Co. LLC is a dealer.

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