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Morgan Stanley plans knock-out notes linked to S&P 500 via JPMorgan
By Susanna Moon
Chicago, June 15 - Morgan Stanley plans to price 0% knock-out notes due Dec. 30, 2011 based on the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
A knock-out event occurs if the index falls by more than 38.9% during the life of the notes.
If a knock-out event does not occur, the payout at maturity will be par plus the greater of the index return and a contingent minimum return of at least zero. The exact amount will be set at pricing.
Otherwise, the payout will be par plus the index return with exposure to any losses.
The notes will price on June 18 and settle on June 25.
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