By Jennifer Chiou
New York, July 6 - Morgan Stanley priced $14.69 million of 0% knock-out notes due July 25, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than 20% 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 4.5%. Otherwise, investors will receive par plus the index return, with exposure to losses.
In each case, the maximum payment at maturity is $1,200 per $1,000 principal amount.
J.P. Morgan Securities LLC is the agent with Morgan Stanley & Co. LLC as co-agent.
| Issuer: | Morgan Stanley
|
| Issue: | Knock-out notes
|
| Underlying index: | S&P 500
|
| Amount: | $14,691,000
|
| Maturity: | July 25, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index never falls by more than 20%, par plus greater of index return and 4.5%; otherwise, par plus index return with exposure to losses; in either case, return capped at 20%
|
| Initial index level: | 1,339.67
|
| Pricing date: | July 1
|
| Settlement date: | July 11
|
| Agents: | J.P. Morgan Securities LLC and Morgan Stanley & Co. LLC
|
| Fees: | 1%
|
| Cusip: | 617482WG5
|
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