By Jennifer Chiou
New York, Oct. 13 - Morgan Stanley priced $20.68 million of 0% notes due Oct. 26, 2011 linked to a basket of buffered return enhanced components, according to a 424B2 filing with the Securities and Exchange Commission.
The components are the Euro Stoxx 50 index with a 52% weight, the FTSE 100 index with a 24% weight and the Topix index with a 24% weight.
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.
If an index's underlying return is positive, its component return will be double the underlying return, subject to a cap. If an index's underlying return is less than or equal to zero but not less than negative 10%, its component return will be zero. If an index's underlying return is less than negative 10%, its component return will be 0% minus 1.11111% for every 1% that the underlying return is less than negative 10%.
The cap is 18.3% for the Euro Stoxx 50, 13.38% for FTSE 100 and 9.4% for Topix. With these caps, the maximum payout at maturity will be $1,149.80 per $1,000 principal amount of notes.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | Morgan Stanley
|
| Issue: | Buffered return enhanced notes
|
| Underlying indexes: | Euro Stoxx 50 (52% weight), FTSE 100 (24% weight), Topix (24% weight)
|
| Amount: | $20,678,000
|
| Maturity: | Oct. 26, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Double any positive return, capped at 18.3% for Euro Stoxx, 9.4% for Topix and 13.38% for FTSE 100; zero if return is between zero and negative 10%; 0% minus 1.1111% for every 1% that return is less than negative 10%
|
| Initial price: | Euro Stoxx 50 at 2,785.43, FTSE at 5,657.61, Topix at 839.44
|
| Pricing date: | Oct. 8
|
| Settlement date: | Oct. 15
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 0.1%
|
| Cusip: | 617482NX8
|
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