By Angela McDaniels
Tacoma, Wash., Jan. 11 - Morgan Stanley priced $35.12 million of 0% buffered return enhanced notes due Jan. 18, 2012 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Hang Seng China Enterprises index with a 33% weight, the Korea Stock Price Index 200 with a 25% weight, the MSCI Taiwan index with a 19% weight, the Hang Seng index with a 14% weight and the MSCI Singapore Free index with a 9% weight.
The related currencies are the Hong Kong dollar for the Hang Seng and Hang Seng China Enterprises, the Korean won for the Kospi, the Taiwan dollar for the MSCI Taiwan and the Singapore dollar for the MSCI Singapore Free.
The basket return will equal the sum of the weighted component returns for the basket indexes.
The component return for each basket index will be the product of (a) its final level divided by its initial level multiplied by (b) the final spot rate of its related currency relative to the U.S. dollar divided by its initial spot rate.
If the basket return is positive, the payout at maturity will be par plus double the basket return, subject to a maximum return of 12.9%. Investors will receive par if the basket return is between zero and negative 10% and will lose 1.1111% for every 1% that it is less than negative 10%.
Morgan Stanley & Co. Inc., JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | Morgan Stanley
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Hang Seng China Enterprises (33% weight), Korea Stock Price 200 (25% weight), MSCI Taiwan (19% weight), Hang Seng (14% weight) and MSCI Singapore Free (9% weight) and their related currencies
|
| Amount: | $35,118,000
|
| Maturity: | Jan. 18, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus double any basket gain, up to maximum return of 12.9%; par if basket falls by 10% or less; 1.1111% loss for every 1% decline beyond 10%
|
| Initial index levels: | 12,925.71 for Hang Seng Enterprises; 275.61 for Kospi 200; 312.14 for MSCI Taiwan; 23,686.63 for Hang Seng; 386.06 for MSCI Singapore Free
|
| Initial exchange rates: | 0.12867 for Hong Kong dollar; 0.0008911 for Korean won; 0.034089 for Taiwan dollar; 0.7729 for Singapore dollar
|
| Pricing date: | Jan. 7
|
| Settlement date: | Jan. 14
|
| Agents: | Morgan Stanley & Co. Inc., JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 617482QL1
|
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