Deutsche Bank to price leveraged steepener notes linked to CMS rates

By Toni Weeks

San Luis Obispo, Calif., March 6 – Deutsche Bank AG, London Branch plans to price 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 an FWP filing with the Securities and Exchange Commission.

The interest rate will be fixed at 10% for the first year. Beginning March 27, 2016, the interest rate will be equal to (i) the applicable multiplier times (ii) the spread of the 30-year CMS rate over the two-year CMS rate minus 87.5 basis points, subject to a minimum of zero and a maximum of 10% per year. The multiplier is initially 10, stepping up to 20 on March 27, 2026. Interest will be 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.

The notes will settle March 27.

The Cusip number is 25152RYF4.

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