Morgan Stanley to price notes linked to DJ-AIG commodity index; Lehman plans notes linked to iShares

By LLuvia Mares

New York, Dec. 20 ? Leading structured products news, Morgan Stanley plans to price 0% Performance Leveraged Upside Securities (PLUS) due January 2011 linked to the Dow Jones - AIG Commodity index.

"It seems to be popular with investors, we have seen a lot lately," said Suzi Hampson, analyst at Future Value Consultants, of the structure.

If the final index level is at least the initial level, the payout at maturity will be par plus 140% to 160% of any increase in the index. The exact percentage will be determined at pricing.

Otherwise, the payout will be par minus the index decline.

Pricing and settlement are to be determined.

Morgan Stanley & Co. Inc. is the agent.

Lehman to price notes linked to iShares EM

In other news, Lehman Brothers Holdings Inc. plans to price an offering of zero-coupon 100% principal protection notes due March 30, 2012 linked to a basket containing a fund component and a commodities component.

"The combination of emerging markets and commodities is good," said Hampson. "Combing both of them may have something to do with the 100% to 105% gain."

The fund component, which represents 30% of the basket, consists of the iShares MSCI Emerging Markets Index Fund.

The commodities component, which represents 70% of the basket, consists of light sweet crude oil with a 15% weight, Henry Hub natural gas with a 10% weight, high grade primary aluminum and copper - grade A, both with a 7% weight, primary nickel with a 6% weight, RBOB gasoline, No. 2 fuel heating oil, special high grade zinc, standard lead and gold, all with a 5% weight, along with the S&P GSCI Livestock Index Excess Return with a 10%, weight and the S&P GSCI Agriculture Index Excess Return with a 20% weight.

The payout at maturity will be par plus 100% to 105% of any basket gain. The exact participation rate will be determined at pricing. Investors will receive at least par.

The notes will price Dec. 21 and settle Dec. 31.

Lehman Brothers Inc. will be the underwriter.

Morgan Stanley to sell notes on iShares funds

In another iShares-linked structure, Morgan Stanley plans to price an issue of zero-coupon outperformance capital-protected notes due Dec. 20, 2011 linked to a basket of two iShares index funds and the S&P 500 index.

The basket consists of the iShares MSCI EAFE Index Fund with a 75% weight and the iShares MSCI Emerging Markets Index Fund with a 25% weight.

The basket return will be relative to the performance of the S&P 500 index.

If the basket outperforms the S&P 500 index, the payout at maturity will be par plus any gain on the basket times a participation rate of 145% to 155%. The exact participation rate will be set at pricing.

Investors will receive at least par.

The closing return will be the average of the outperformance returns on Dec. 16 of each year from 2008 until 2011.

The notes are expected to price and settle in December.

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

Deutsche Bank plans commodity securities

In a separate deal, Deutsche Bank AG, London Branch plans to price an issue of zero-coupon 100% performance securities due July 9, 2009 linked to the Deutsche Bank Liquid Commodity Index - Mean Reversion Excess Return.

"It's a very common accelerated return," said Hampson. "It's full exposure."

The notes are expected to price Jan. 4 and settle Jan. 9.

The payout at maturity will be par plus 150% of any gain on the index, subject to a maximum return on the notes of 43%. Investors will be fully exposed to any decline on the index.

Deutsche Bank Securities and Deutsche Bank Trust Co. Americas are the underwriters.

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