By Jennifer Chiou
New York, Sept. 1 - Morgan Stanley revised the downside threshold of its recently priced $24.5 million of contingent income autocallable securities due Aug. 27, 2012 linked to the common stock of Wells Fargo & Co., according to a 424B2 filing with the Securities and Exchange Commission.
If Wells Fargo stock closes above the downside threshold level - now 70% of the initial share price - on a quarterly determination date, investors will receive a contingent quarterly payment of $0.5625 for each $10.00 note. Otherwise, no contingent payment will be made for that period. The downside threshold was previously 80%.
If the closing share price is greater than the initial share price on any of the first three quarterly determination dates, the notes will be automatically redeemed at par plus the contingent payment.
If the notes are not called and the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the contingent payment. If the final share price is less than the downside threshold level, the payout will be a number of Wells Fargo shares equal to the principal amount of notes divided by the initial share price or, at Morgan Stanley's option, the cash value of those shares.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Contingent income autocallable securities
|
| Underlying stock: | Wells Fargo & Co. (Symbol: WFC)
|
| Amount: | $24.5 million
|
| Maturity: | Aug. 27, 2012
|
| Coupon: | 5.625% quarterly payment if closing price is at least 70% of initial price on quarterly determination date; otherwise, none
|
| Price: | Par
|
| Payout at maturity: | If final share price is at least 70% of initial, par plus contingent quarterly payment; otherwise, number of Wells Fargo shares equal to principal amount of notes divided by initial share price, or, at Morgan Stanley's option, equivalent cash amount of those shares
|
| Initial price: | $24.76
|
| Threshold level: | $17.332, 70% of initial price (previously $19.808, 80% of initial price)
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| Call option: | Par plus contingent payment if closing share price greater than initial share price on first three quarterly determination dates
|
| Pricing date: | Aug. 25
|
| Settlement date: | Aug. 30
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 1.5%
|
| Cusip: | 61760E184
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