Deutsche Bank to price alternative alpha notes linked to index basket

By Angela McDaniels

Tacoma, Wash., June 22 - Deutsche Bank AG, London Branch plans to price 0% alternative alpha securities due June 30, 2014 linked to a basket of indexes, according to an FWP filing with the Securities and Exchange Commission.

The basket includes the Deutsche Bank Fed Funds Total Return index, the Deutsche Bank X-Alpha USD Excess Return index, the Deutsche Bank Trends x12 Excess Return index, the Deutsche Bank Haven Plus Excess Return index and the Deutsche Bank Commodity Harvest-10 USD ERAC index.

For each $1,000 principal amount of securities, the payout at maturity will be the sum of the indexes' notional exposures minus $1,000.

On the pricing date, the notional exposure will be $1,000 for the Fed Funds index and $250 for each of the excess return indexes for a total of $2,000. On any subsequent day, the notional exposure for each index will equal its initial notional exposure plus its return on that day, which could be positive or negative.

The final level of each of the four excess return indexes will be reduced by an adjustment factor equal to (a) the greater of 2% per year and a flat 2% plus (b) 0.25% per year.

The notes will be called if the sum of the indexes' notional exposures minus $1,000 is less than $400 on any day. The payout will be calculated in the same way as at maturity.

The notes (Cusip: 2515A18H7) are expected to price June 27 and settle June 30.

Deutsche Bank Securities Inc. is the agent.

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