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Deutsche Bank to price alpha overlay securities linked to two indexes
By Angela McDaniels
Tacoma, Wash., Jan. 27 - Deutsche Bank AG, London Branch plans to price 0% alpha overlay securities due April 2, 2012 linked to a basket holding the Deutsche Bank Liquid Alpha USD 5 Total Return index and the Deutsche Bank Equity Mean Reversion Alpha index (Emerald), according to an FWP filing with the Securities and Exchange Commission.
The basket level on any day equals 100 plus the Liquid Alpha index return on that day and two times the Emerald index return. The return of each index is reduced by an adjustment factor, which is a flat 0.25% plus 0.75% per year for the Liquid Alpha and 1% per year for the Emerald.
The payout at maturity will be par plus the basket return, which could be positive or negative.
The notes will be called if the basket level falls below 40. The payout will be par plus the basket return.
The notes (Cusip: 2515A13L3) are expected to price Jan. 28 and settle Feb. 2.
Deutsche Bank Securities Inc. is the agent.
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