By Susanna Moon
Chicago, Aug. 26 - Morgan Stanley priced $3 million of 0% knock-out notes due Sept. 10, 2012 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 ever 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 a contingent minimum return of 13%.
Otherwise, investors will receive par plus the index return, with exposure to losses.
In either case, the maximum payment at maturity is $1,200 per $1,000 principal amount.
Morgan Stanley & Co. LLC is the agent, and J.P. Morgan Securities LLC is the dealer.
| Issuer: | Morgan Stanley
|
| Issue: | Knock-out notes
|
| Underlying index: | S&P MidCap 400
|
| Amount: | $3 million
|
| Maturity: | Sept. 10, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index never falls by more than 20%, par plus greater of index return and 13%; | otherwise, par plus index return with exposure to losses; in either case, gains capped at 20%
|
| Initial level: | 832.77
|
| Pricing date: | Aug. 24
|
| Settlement date: | Aug. 31
|
| Agent: | Morgan Stanley & Co. LLC with J.P. Morgan Securities LLC as dealer
|
| Fees: | 1%
|
| Cusip: | 617482XR0
|
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