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Deutsche Bank plans to price alpha overlay notes linked to two indexes
By Angela McDaniels
Tacoma, Wash., March 1- Deutsche Bank AG, London Branch plans to price 0% alpha overlay securities due April 5, 2013 linked to an equally weighted basket holding the Deutsche Bank Fed Funds Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index, according to an FWP filing with the Securities and Exchange Commission.
The basket level on any day equals 100 multiplied by the sum of one plus the Fed Funds index return on that day and three times the DB Emerald index return. The return of the DB Emerald index is reduced by an adjustment factor of 1.375% per year.
The notes will be called if the basket level falls below 40.
The payout upon redemption or at maturity will be par plus the basket return.
The notes are expected to price March 30 and settle April 5.
Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the agents.
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