By Jennifer Chiou
New York, Dec. 28 - Morgan Stanley priced a $17.8 million issue of protected buy-write securities due Dec. 31, 2012 linked to the performance of the 2007-5 Dynamic Reference index, according to an FWP filing with the Securities and Exchange Commission.
The index is a dynamic composite index that tracks the performance of hypothetical investments in two assets - initially 85% in the equity component, a buy-write strategy related to the S&P 500 index, and 15% in the zero-coupon bond component - and 0% in one liability, which is the leverage component.
The leverage component represents hypothetical borrowed funds that may, under certain circumstances, be used to leverage the allocation to the equity component.
The percentage allocations will change over time based on the performance of the components.
The payout at maturity will be par of $10.00 plus any appreciation of the index over the threshold level. The initial index level is 97, and the threshold level is 100. Investors will receive at least par.
In addition, the securities will make monthly coupon payments based on the cash dividends of stocks in the S&P 500 and the premiums from the sale of hypothetical call options on the S&P 500 used in the buy-write strategy. The target yield is 10%, but this level is not guaranteed and could be zero.
Morgan Stanley & Co. Inc. is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Protected buy-write securities
|
| Underlying index: | 2007-5 Dynamic Reference
|
| Amount: | $17.8 million
|
| Maturity: | Dec. 31, 2012
|
| Coupon: | Varies based on cash dividends of S&P 500 stocks and the premiums from the sale of hypothetical call options on the S&P 500 used in the buy-write strategy; interest, if any, is payable monthly
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus any index gain over the threshold level; floor of par
|
| Initial index level: | 97
|
| Threshold level: | 100
|
| Pricing date: | Dec. 21
|
| Settlement date: | Dec. 31
|
| Agent: | Morgan Stanley & Co. Inc.
|
| Fees: | 3%
|
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