By Jennifer Chiou
New York, Dec. 22 - Morgan Stanley priced a $131.5 million issue of protected buy-write securities due Dec. 23, 2011 linked to the performance of the 2006-4 dynamic reference index, according to a 424B2 filing with the Securities and Exchange Commission.
The reference index is a dynamic composite index that will track the performance of hypothetical investments in two assets, 90% to 100% in the equity component - a "buy-write" strategy related to the S&P 500 index - and 0% to 10% in the zero-coupon bond component, and in one liability, which is the leverage component. It will be initially comprised of 96% in the equity component and 4% in the zero-coupon bond component.
The leverage component represents hypothetical borrowed funds that may, under certain circumstances, be used to leverage the allocation to the equity component in the reference index.
The percentage allocations are the expected initial amounts and will change over time based on the performance of the components.
At maturity, if the reference index final value is greater than the initial value, investors will receive par plus the index gain.
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 Index and the premiums from the sale of hypothetical call options on the S&P 500 Index used in the "buy-write" strategy. The target yield is 10% but the level is not guaranteed and could be zero.
Morgan Stanley is the underwriter.
| Issuer: | Morgan Stanley & Co. Inc.
|
| Issue: | Protected buy-write securities
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| Underlying index: | 2006-4 dynamic reference index, initially comprised of 96% in the equity component - a "buy-write" strategy related to the S&P 500 index - and 4% in the zero-coupon bond component
|
| Amount: | $131.5 million
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| Maturity: | Dec. 23, 2011
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| Coupon: | Target yield of 10% based on cash dividends of S&P 500 stocks and premiums from the sale of hypothetical call options on the S&P 500; could be zero
|
| Payout at maturity: | Par plus any index gain; floor of par
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| Pricing date: | Dec. 21
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| Settlement date: | Dec. 29
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| Agent: | Morgan Stanley
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| Fees: | 3%
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