Morgan Stanley to price leveraged notes linked to dollar versus euro

By Angela McDaniels

Tacoma, Wash., May 2 – Morgan Stanley plans to price 13- to 15-month 0% leveraged notes linked to the performance of the U.S. dollar relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.

The exchange rate is expressed as the number of dollars needed to buy one euro. An increase in the exchange rate means that the dollar has depreciated relative to the euro. Conversely, a decrease in the exchange rate means that the dollar has appreciated relative to the euro. By purchasing the notes, investors are taking the view that the currency return on the determination date will be positive, which means it will take fewer dollars to purchase one euro at the final exchange rate than at the initial exchange rate.

If the currency return is positive or zero, the payout at maturity will be par plus 125% to 140% of the currency return. Due to the currency return formula, the currency return cannot exceed 100%, and therefore the maximum payment will be $2,250 to $2,400 per $1,000 principal amount of notes.

If the currency return is negative, investors will be fully exposed to the decline.

The exact maturity date and upside participation rate will be set at pricing.

Morgan Stanley & Co. LLC is the agent.

The notes will price and settle in May.

The Cusip number is 61760QJQ8.

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