Morgan Stanley prices securities linked to high yield mutual fund; UBS plans currencies, gold linked notes

By LLuvia Mares

New York, Sept. 25 - Morgan Stanley announced an unusual offering of structured notes linked to a high yield mutual fund.

The bank stated that it plans to price an issue of protected fund-linked securities due Nov. 7, 2014 linked to the performance of the 2007-2 Fund Dynamic Reference index.

The securities will price and settle sometime in October.

The index is a dynamic composite index that tracks the performance of hypothetical investments in two assets - 120% to 140% in the class I shares of the Pimco High Yield Fund, which is the equity component, and 0% in the zero-coupon bond component - and 20% to 40% in one liability, which is the leverage component.

The leverage component represents hypothetical borrowed funds that may, under certain circumstances, be used to leverage the allocation to the equity component in the index.

The percentage allocations will be determined at pricing and will change over time based on the performance of the components.

The payout at maturity will be par of $10 plus any appreciation of the index over the threshold level. The initial index level is 97, and the threshold level is 100. Investors will receive at least par.

In addition, the securities will make monthly coupon payments based on the cash distributions, if any, made on the class I shares of the fund.

Morgan Stanley & Co. Inc. will be the agent.

UBS plans notes linked to currencies, gold

UBS AG decided to take the "road less traveled" Tuesday when it combined currencies and gold in a proposed issue of 0% principal-protected notes due Sept. 28, 2009 linked to four currencies and the price of gold, all versus the dollar, according to an FWP filing with the Securities and Exchange Commission.

The basket consists of equal weights (20%) of the Malaysian ringgit, the Indonesian rupiah, Indian rupee, Philippine peso, all versus the dollar, and amount of dollars that can be exchanged for one troy ounce of 0.995 gold.

For each $10 principal amount of securities, the payout at maturity will be par plus any positive return on the basket times a participation rate that will be set at pricing and expected to be between 132% and 142%.

Investors will receive at least par.

The notes are expected to price Sept. 26.

UBS Financial Services, Inc. and UBS Investment Bank are the agents.

Deutsche prices $11.48 million linked to Liquid Commodity index

Deutsche Bank AG, London Branch rang in a fairly large product after pricing an $11.48 million issue of market contribution securities due Sept. 26, 2012 linked to the Deutsche Bank Liquid Commodity Index - Mean Reversion Plus Total Return, according to a 424B2 filing with the Securities and Exchange Commission.

The index reflects the performance of a basket of futures contracts relating to West Texas Intermediate light sweet crude oil, New York Harbour No. 2 heating oil, high grade primary aluminum, gold, corn and wheat.

The payout at maturity will be par of $10,000 plus any index gain or minus any index loss, as applicable. The payout will be reduced by an adjustment factor of 1.95% for each year the securities remain outstanding.

The securities are putable on the 28th day of each month. The payout will be calculated in the same way as the payout at maturity.

Deutsche Bank Securities Inc. and Deutsche Bank Trust Co. Americas are the agents.

Credit Suisse prices $32.7 million linked to indexes

Also of notable size, Credit Suisse, Nassau branch priced $32.7 million of 0% Buffered Accelerated Return Equity Securities (BARES) due Sept. 27, 2011 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket includes the S&P 500 index with a 75% weight; the Russell 2000, Dow Jones Euro Stoxx 50, Nikkei 225 and FTSE 100 indexes, each with a 5% weight; and the iShares MSCI Emerging Markets index fund with a 5% weight.

The payout at maturity will be par plus 110% of any basket gain. Investors will receive par if the basket declines by 20% or less and will lose 1% for each 1% decline beyond 20%.

Credit Suisse is the underwriter.

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