By Marisa Wong
Madison, Wis., Dec. 9 - Morgan Stanley priced $3.78 million of 0% knock-out notes due Dec. 23, 2011 linked to the S&P MidCap 400 index, according to a 424B2 filing with the Securities and Exchange Commission.
A knock-out event occurs if the index falls by more than 25% during the life of the notes.
If a knock-out event occurs, the payout at maturity will be par plus the index return, which could be positive or negative.
If a knock-out event does not occur, the payout will be par plus the greater of the index return and 2.1%.
In either case, the payout is subject to a maximum return of 20%.
Morgan Stanley & Co. and J.P. Morgan Securities LLC are the agents
Issuer: | Morgan Stanley
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Issue: | Knock-out notes
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Underlying index: | S&P MidCap 400
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Amount: | $3,775,000
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Maturity: | Dec. 23, 2011
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Coupon: | 0%
|
Price: | Par
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Payout at maturity: | If index falls by more than 25% during life of notes, par plus index return with exposure to losses; otherwise, par plus greater of index return and 2.1%; return capped at 20% in both cases
|
Initial index level: | 887.69
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Pricing date: | Dec. 7
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Settlement date: | Dec. 14
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Agent: | Morgan Stanley & Co. and J.P. Morgan Securities LLC
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Fees: | 1%
|
Cusip: | 617482PY4
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