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Morgan Stanley plans notes linked to buffered return enhanced indexes
By Angela McDaniels
Tacoma, Wash., July 27 - Morgan Stanley plans to price 0% notes due Aug. 15, 2012 linked to three buffered return enhanced components and their related currencies, according to an FWP filing with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 53% weight, the FTSE 100 index with a 24% weight and the Topix index with a 23% weight. Their related currencies are the euro, pound sterling and yen, respectively.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns for the basket indexes.
The final level of each index will be the average of its closing levels on the five trading days ending Aug. 10, 2012.
For each index, the issuer will first (a) multiply (i) the quotient of its final level divided by its initial level by (ii) the quotient of the final spot rate of the applicable currency relative to the dollar divided by the initial spot rate and then (b) subtract one. This will be the underlying return for that index.
If an index's underlying return is positive, the index's component return will be double the underlying return, subject to a cap. If an index's underlying return is flat or negative but not less than negative 10%, its component return will be 0%. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.1111% for every 1% that the underlying return is less than negative 10%.
The maximum return will be at least 20.76% for the Euro Stoxx, 14.3% for the FTSE 100 and 3.76% for the Topix.
The notes (Cusip: 617482WW0) are expected to price July 29 and settle Aug. 5.
Morgan Stanley & Co. LLC is the agent. J.P. Morgan Securities LLC is the dealer, and JPMorgan Chase Bank, NA will act as placement agent for some sales.
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