To: From: Steven Elkman Sent Tue 7/20/2010 6:20:24 PM Subject Fw: S&P Step-Up Note - new trade idea <u>07202010 - SPX Step-Up Ranee Accrual.pdf 07202010 - SPX Step-Up Range Accrual.pdt</u>

Steven Munro Elkman
Client Advisor
Managing Director
Deutsche Bank Alex. Brown
A Division of Deutsche Bank Securities. Inc.
280 Park Avenue. 3 East
New York NY 10017
phone
fax

This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden.

Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. Forwarded by Steven Elknian Abidbcom on 07:20!201(1 02:20 PM

William
Bacas/db/dbcom To

07/20/2010 02:17
PM
CC

Subject S&P Step-Up Note - new trade idea

All,

Based on a reverse inquiry we received from a client we priced up a step-up range accrual note on the S&P 500. The pricing was attractive and we felt warranted showing it directly to the whole system.

There is a closing date on this note ofJuly 30, 2010 and does are attached below.

S&P Step-Up Range Accrual Note
Underlying: S&P 500 (SPX)
Maturity: 15yr/1nc (Note has 15yr maturity but may be called after the 1st year and quarterly thereafter)
Coupons: 1st 3 years = 7.00% (regardless of S&P level)
Then,

8.00% for 3yrs
10.0% for 3yrs
12.0% for 3yrs
15.0% for 3yrs
...for every day the S&P >1= 850

YTM: 9.38% p.a. assuming SPX > 850 throughout
Index spot: 1073 (approx 20.10% cushion)
Callable: 7/30/11
Dates: Monthly pay / quarterly call
Issuer. Morgan Stanley (A2./A)
CUSIP 61745E2Q3
Closing: July 30, 2010

# (See attached file: 07202010 - SPX Step-Up Range Accrualpd)

Upon your review let me know if you may have interest and as always please feel free to call if you'd like to discuss further.

Regards,

Will

William Bacas
Director, Structured Solutions Manager
Deutsche Bank Securities,Inc.
280 Park Avenue
New York NY <u>10017</u>
Tel.
Fax

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