By Marisa Wong
Madison, Wis., Aug. 27 - Morgan Stanley priced $6.51 million of 0% autocallable securities due Aug. 30, 2013 based on the common stock of Wells Fargo & Co., according to an FWP filing with the Securities and Exchange Commission.
If Wells Fargo stock closes at or above the initial share price on any of six semiannual determination dates, the notes will be automatically called at par of $10 plus the contingent payment amount multiplied by the contingent payment multiplier.
The contingent payment amount is $0.625. The contingent payment multiplier will be the number of determination dates up to the automatic redemption on which the closing stock price is at least 60% of the initial share price.
The determination dates are Feb. 27, 2011, Aug. 27, 2011, Feb. 27, 2012, Aug. 27, 2012, Feb. 27, 2013 and Aug. 27, 2013.
If the notes are not called, the payout at maturity will be par unless the final share price is less than 60% of the initial share price, in which case investors will receive a number of Wells Fargo shares equal to $10 divided by the initial share price or, at the issuer's option, a cash amount equal to the value of those shares.
In both cases, investors will also receive at maturity the contingent payment amount multiplied by the contingent payment multiplier.
Morgan Stanley & Co. Inc. is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Autocallable securities
|
| Underlying stock: | Wells Fargo & Co.
|
| Amount: | $6,513,300
|
| Maturity: | Aug. 30, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final share price is greater than or equal to 60% of initial share price, par; otherwise, a number of Wells Fargo shares equal to $10 divided by initial share price; in both cases investors will receive $0.625 times number of determination dates on which closing stock price is at or above downside threshold level
|
| Call: | At par of $10 plus $0.625 times number of determination dates on which closing stock price is at or above downside threshold level if Wells Fargo stock closes at or above initial share price on Feb. 27, 2011, Aug. 27, 2011, Feb. 27, 2012, Aug. 27, 2012, Feb. 27, 2013 or Aug. 27, 2013
|
| Initial share price: | $23.60
|
| Downside threshold level: | $14.16, 60% of initial share price
|
| Exchange ratio: | 0.42373
|
| Pricing date: | Aug. 25
|
| Settlement date: | Aug. 30
|
| Agent: | Morgan Stanley & Co. Inc.
|
| Fees: | 2.1%
|
| Cusip: | 61759G729
|
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