Published on 3/26/2015 in the Prospect News Structured Products Daily.
New Issue: Deutsche Bank prices $7.5 million of leveraged steepener notes linked to CMS rates
By Angela McDaniels
Tacoma, Wash., March 26 – Deutsche Bank AG, London Branch priced $7.5 million of callable leveraged steepener notes due March 27, 2035 linked to the 30-year Constant Maturity Swap rate and the two-year CMS rate, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 10% for the first year. After that, the interest rate will be (a) the applicable multiplier multiplied by (b) the 30-year CMS rate minus the two-year CMS rate minus 0.875%, subject to a minimum of zero and a maximum of 10% per year. The multiplier is 10 for the interest periods from March 27, 2016 to March 27, 2026 and 20 for the interest periods from March 27, 2026 to March 27, 2035. Interest is payable quarterly.
The payout at maturity will be par.
Beginning March 27, 2016, the notes will be callable at par on any interest payment date.
Deutsche Bank Securities Inc. is the agent. Morgan Stanley & Co. LLC is a dealer.
| Issuer: | Deutsche Bank AG, London Branch
|
| Issue: | Callable leveraged steepener notes
|
| Underlying rates: | 30-year Constant Maturity Swap and two-year CMS rate
|
| Amount: | $7.5 million
|
| Maturity: | March 27, 2035
|
| Coupon: | 10% for first year; after that, (a) applicable multiplier multiplied by (b) 30-year CMS rate minus two-year CMS rate minus 0.875%, subject to minimum of zero and maximum of 10% per year; payable quarterly
|
| Multiplier: | 10 for interest periods from March 27, 2016 to March 27, 2026 and 20 for interest periods from March 27, 2026 to March 27, 2035
|
| Price: | Par
|
| Payout at maturity: | Par
|
| Call option: | At par on any interest payment date beginning March 27, 2016
|
| Pricing date: | March 24
|
| Settlement date: | March 27
|
| Agent: | Deutsche Bank Securities, Inc.
|
| Dealer: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 25152RYF4
|
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