Morgan Stanley to price 95% capital-protected notes linked to dollar vs. euro

By Susanna Moon

Chicago, June 24 - Morgan Stanley plans to price zero-coupon 95% capital-protected notes due Jan. 31, 2011 linked to the performance of the dollar relative to the euro, according to an FWP filing with the Securities and Exchange Commission.

If the dollar strengthens against the euro, the payout at maturity will be par plus 130% to 160% of the appreciation. The exact leverage factor will be set at pricing.

If the dollar weakens against the euro, investors will be exposed to the depreciation, subject to a minimum payout equal to 95% of par.

The notes are expected to price and settle in July.

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

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