Published on 2/23/2006 in the Prospect News Convertibles Daily.
New Issue: Morgan Stanley prices $5.33 million 0% notes linked to S&P 500, Nikkei
New York, Feb. 23 - Morgan Stanley filed amended terms for its offering of $5.33 million of 0% notes in the Redeemable Equity-Linked Alternative Yield Securities (Relays) structure due Feb. 24, 2010 linked to the S&P 500 index and the Nikkei 225 index, according to an FWP filing with the Securities and Exchange Commission. The updated version changes the determination dates used to decide whether the securities are called.
The payout will be based on the indexes' performance on any of three determination dates, at which time the notes will be redeemed if both index closing values are greater than the initial index levels. On the first determination date, Feb. 24, 2007, the call price is 113.5%, on the second date, Feb. 24, 2008, the call price is 127%, and on the final date, Feb. 19, 2009, investors will receive 140.5%.
If the notes are not called, at maturity investors will receive 154% if both indexes finish above their initial levels. If either index has declined, then investors will receive par unless either index has moved below its trigger level during the life of the notes. If the trigger has been hit, investors receive the percentage return on whichever index gives the biggest loss. The trigger level is 70% of the initial value for each index.
| Issuer: | Morgan Stanley
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| Issue: | Redeemable Equity-Linked Alternative Yield Securities (Relays) medium-term notes, series F
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| Underlying indexes: | S&P 500 index, Nikkei 225 index
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| Amount: | $5.33 million
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| Maturity: | Feb. 24, 2010
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | 154 if both indexes gain, otherwise par unless either index has finished below its trigger level of 70% of the initial value, in which case the return on whichever index has the largest loss
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| Call: | If both indexes are above initial levels on determination dates, then the notes will be called, for 113.5 at the first date of Feb. 24, 2007, at 127 for Feb. 24, 2008, and 140.5 for Feb. 19, 2009
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| Pricing date: | Feb. 21
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| Settlement date: | Feb. 24
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| Agent: | Morgan Stanley & Co. Inc.
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