Published on 7/25/2007 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley issues $3.65 million 0% bear market auto-callable securities linked to S&P 500
By Jennifer Chiou
New York, July 25 - Morgan Stanley priced $3.65 million of 0% auto-callable securities due Feb. 10, 2009 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
If the closing value of the index is less than the initial value on five determination dates, the securities will automatically be redeemed at $10.39 per $10.00 security on Nov. 5, 2007, the first determination date; $10.78 on Feb. 5, 2008, the second determination date; $11.16 on May 5, 2008, the third determination date; $11.55 on Aug. 5, 2008, the fourth determination date; and $11.94 on Nov. 5, 2008, the fifth determination date.
If the securities are not called, the payout at maturity will be $12.33 if the index shows a negative return. If the trigger level, 120% of the initial index value, is hit during the life of the notes, investors will lose 1% for each 1% index gain. Otherwise the payout is par.
Morgan Stanley & Co. Inc. is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Bear market auto-callable securities
|
| Underlying index: | S&P 500
|
| Amount: | $3.65 million
|
| Maturity: | Feb. 10, 2009
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | $12.33 if the index shows a negative return; 1% loss for each 1% gain if the trigger level is hit; otherwise, par
|
| Call: | Automatic if the closing value is less than the initial value on five determination dates; redemption at $10.39 on Nov. 5, 2007; $10.78 on Feb. 5, 2008; $11.16 on May 5, 2008; $11.55 on Aug. 5, 2008; $11.94 on Nov. 5, 2008
|
| Initial index level: | 1,511.04
|
| Trigger level: | 1,813.248, 120% of the initial level
|
| Pricing date: | July 24
|
| Settlement date: | July 31
|
| Agent: | Morgan Stanley & Co. Inc.
|
| Fees: | 1.75%
|
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