By Angela McDaniels
Tacoma, Wash., Aug. 3 - Morgan Stanley priced $2.49 million of 0% knock-out notes due Feb. 13, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event will occur if the index closes below 70% of its initial level on any day during the life of the notes.
If a knock-out event has not occurred, the payout at maturity will be par plus the greater of the index return and 4.15%.
If a knock-out event has occurred, the payout will be par plus the index return, which could be positive or negative.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
| Issuer: | Morgan Stanley
|
| Issue: | Knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $2.49 million
|
| Maturity: | Feb. 13, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index remains at or above 70% of initial level throughout life of notes, par plus greater of index return and 4.15%; otherwise, par plus index return with exposure to losses
|
| Initial index level: | 1,101.6
|
| Pricing date: | July 30
|
| Settlement date: | Aug. 6
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1.25%
|
| Cusip: | 617482MW1
|
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