Fitch Rates DBS Bank's Callable Range Accrual Notes 'AA-(emr)'
The notes are fully principal-protected, in that only the coupon stream on the notes is subject to market risk. Coupon payments are linked to the 10-year constant maturity swap (CMS) and the spread between the 30-year and five-year US dollar swap rates. The instruments may not pay any coupon for a particular interest period if the referenced interest rates move unfavourably. The total interest payout on the notes is capped at 3.73% a year.
While the tenor on the notes is 15 years, the bank has the option to redeem all outstanding notes at par on any interest payment date.
KEY RATING DRIVERS
The notes are rated at the same level as DBS's 'AA-' Long-Term Issuer Default Rating (IDR) as they constitute direct, unsecured and unsubordinated obligations of DBS and rank equally with all its other unsecured, unsubordinated obligations.
The rating on the notes is sensitive to changes in DBS's IDR, which is driven by its Viability Rating of 'aa-'.