Published on 12/10/2015 in the Prospect News Structured Products Daily.
New Issue: Deutsche Bank prices $5 million of leveraged steepener notes linked to CMS rates
By Angela McDaniels
Tacoma, Wash., Dec. 10 – Deutsche Bank AG, London Branch priced $5 million of callable leveraged steepener notes due Dec. 23, 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 12 for the interest periods from Dec. 23, 2016 to Dec. 23, 2021 and 15 for the interest periods from Dec. 23, 2021 to Dec. 23, 2035. Interest is payable quarterly.
The payout at maturity will be par.
Beginning in 2016, the notes will be callable at par on Dec. 23 of each year.
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: | $5 million
|
| Maturity: | Dec. 23, 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: | 12 for Dec. 23, 2016 to Dec. 23, 2021 and 15 for Dec. 23, 2021 to Dec. 23, 2035
|
| Price: | Variable prices
|
| Payout at maturity: | Par
|
| Call option: | At par on Dec. 23 of each year beginning in 2016
|
| Pricing date: | Dec. 7
|
| Settlement date: | Dec. 23
|
| Agent: | Deutsche Bank Securities, Inc.
|
| Dealer: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 25152R2W2
|
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