Morgan Stanley plans participation notes linked to Backwardation index

By Angela McDaniels

Tacoma, Wash., July 26 - Morgan Stanley plans to price 0% participation securities due Aug. 26, 2013 linked to the Backwardation Enhanced S&P GSCI Light Energy Commodity Index - Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

The index is a modified version of the S&P GSCI Light Energy Commodity Index - Excess Return and consists of a smaller number of commodity contracts selected based on their strong backwardation characteristics. Commodities are in backwardation if prices for the relevant futures contracts are lower in the distant delivery months than in the nearer delivery months.

The payout at maturity will be par plus the index return, which could be positive or negative, minus an adjustment factor of 0.59% per year.

The notes (Cusip: 617482VR2) are expected to price Aug. 25 and settle Aug. 30.

Morgan Stanley & Co. LLC is the agent.

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