By Angela McDaniels
Seattle, Oct. 25 - Morgan Stanley priced $22 million of protected fund-linked securities due Nov. 7, 2014 linked to the performance of the 2007-2 Fund Dynamic Reference index, according to an FWP filing with the Securities and Exchange Commission.
The index is a dynamic composite index that tracks the performance of hypothetical investments in two assets - 130% in the institutional class shares of the Pimco High Yield Fund, which is the equity component, and 0% in the zero-coupon bond component - and 30% in one liability, which is the leverage 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 index.
The percentage allocations will change over time based on the performance of the components.
The payout at maturity will be par of $10 plus any appreciation of the index over the threshold level. The initial index level is 97, and the threshold level is 100. Investors will receive at least par.
In addition, the securities will make monthly coupon payments based on the cash distributions, if any, made on the institutional class shares of the fund.
Morgan Stanley & Co. Inc. is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Protected fund-linked securities
|
| Underlying index: | 2007-2 Fund Dynamic Reference
|
| Amount: | $22 million
|
| Maturity: | Nov. 7, 2014
|
| Coupon: | Variable based on cash distributions, if any, made on institutional class shares of the Pimco High Yield Fund; payable monthly, if applicable
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus any index gain beyond the threshold level
|
| Initial index level: | 97
|
| Threshold level: | 100
|
| Pricing date: | Oct. 24
|
| Settlement date: | Oct. 31
|
| Agent: | Morgan Stanley & Co. Inc.
|
| Fees: | 3%
|
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