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Morgan Stanley plans best entry enhanced tracker securities linked to FTSE 100
By Angela McDaniels
Tacoma, Wash., Oct. 13 - Morgan Stanley plans to price 0% best entry enhanced tracker securities due October 2015 linked to the FTSE 100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will price at par of £100.
The payout at maturity will be par plus:
• The leveraged growth, which represents the leveraged return if the final average index level is greater than the initial index level.
The leveraged growth will equal the greater of zero and 140% to 170% of the index return, calculated using a final index level equal to the average of the index's closing levels on seven observation dates falling in April, May, June, July, August, September and October of 2015;
• Plus the entry growth, which represents the return, if any, of the index measured from the best entry value to the lesser of the final index level and the initial index level.
The best entry value will be the lowest index closing level during the first six months following the pricing date, provided that it will not be greater than the initial index level or less than 70% of the initial index level.
The entry growth will equal the greater of zero and the index percentage - the lower of 100% and the quotient of the closing level of the index on the final observation date divided by the initial index level - and minus the best entry percentage, which is equal to the quotient of the best entry value divided by the initial index level; and
• Minus the knock-in value, which will equal zero if the index falls by less than 30% and will equal the index decline if the index falls by 30% or more.
The notes will price and settle in October.
Morgan Stanley & Co. Inc. is the agent.
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