Morgan Stanley to price 95% principal-protected notes due July 2013 linked to nine currencies

By E. Janene Geiss

Philadelphia, Dec. 23 - Morgan Stanley plans to price zero-coupon 95% principal-protected currency-linked notes due July 29, 2013 linked to the performance of a basket of currencies relative to the U.S. dollar, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of developed market currencies with a 70% weight and emerging markets currencies with a 30% weight. The developed market currencies include equal weights (11.667%) of the Australian dollar, British pound, Canadian dollar, Eurozone euro, Japanese yen and Swiss franc. The emerging markets currencies include equal weights (10%) of the Brazilian real, Chinese renminbi and Indian rupee.

The payout at maturity will be 95% of par plus at least 105% to 115% of any basket gain. The exact participation rate will be set at pricing. Investors will receive at least $950 per note.

The notes are expected to price and settle in January.

Morgan Stanley & Co. Inc. is the agent.

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