Morgan Stanley to price notes linked to three buffered return enhanced indexes, currencies

By Toni Weeks

San Diego, Jan. 20 - Morgan Stanley plans to price 0% notes due Feb. 8, 2012 linked to three buffered return enhanced components and their related currencies, according to an FWP filing with the Securities and Exchange Commission.

The components are the Euro Stoxx 50 index with a 51% weight, the FTSE 100 index with a 25% weight and the Topix index with a 24% weight.

The related currencies are the euro for the Euro Stoxx, the pound for the FTSE 100 and the yen for the Topix.

The basket return will equal the sum of the weighted component returns for the three basket components.

The component return for each basket index will be the product of the index return and the currency return, which is then subtracted from one. If this value is greater than or equal to zero, it will be doubled, subject to the maximum return set at pricing. If it is greater than or equal to negative 10% but less than zero, it will be zero. If it is less than negative 10%, every 1% that is less than negative 10% will be multiplied by 1.1111.

The maximum return will not be less than 22.5% for the Euro Stoxx, 15.06% for the FTSE 100 and 3% for the Topix.

The ending basket return will be the average of the basket return on each of Jan. 30, 2012, Jan. 31, 2012, Feb. 1, 2012, Feb. 2, 2012 and Feb. 3, 2012.

The notes (Cusip 617482QT4) will price on Jan. 21 and settle on Jan. 28.

Morgan Stanley & Co. Inc. is the agent.

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