Published on 8/12/2008 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $8.88 million annual review notes linked to S&P 500 via JPMorgan
By Susanna Moon
Chicago, Aug. 12 - Morgan Stanley priced $8.88 million of 0% annual review notes due Aug. 25, 2011 linked to the S&P 500 index via JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc., according to a 424B2 filing with the Securities and Exchange Commission.
The notes will be automatically called at increasing premiums if the index closes at or above the call level on any of three annual review dates. The call level is equal to 90% of the initial index level on the first review date and 100% of the initial level on the second and third review dates.
The redemption amount will be par plus 10.2% if the notes are called on Aug. 24, 2009, par plus 20.4% if called Aug. 23, 2010 and par plus 30.6% if called on Aug. 22, 2011.
If the notes are not called, the payout at maturity will be par unless the index declines by more than 10%. Investors will lose 1.1111% for every 1% decline in the index beyond 10%.
| Issuer: | Morgan Stanley
|
| Issue: | Annual review notes
|
| Underlying index: | S&P 500
|
| Amount: | $8,883,000
|
| Maturity: | Aug. 25, 2011
|
| Coupon: | 0%
|
| Price: | Par
|
| Call: | Automatically called if index closes at or above call level on Aug. 17, 2009, Aug. 16, 2010 or Aug. 15, 2011; call level is 90% of initial index level on first review date and 100% of initial level on second and third review dates; payout will be par plus 10.2% if called on first date, par plus 20.4% if called on second date and 30.6% if called on third date
|
| Payout at maturity: | Par unless index declines by more than 10%, in which case investors will lose 1.1111% for every 1% decline beyond 10%
|
| Initial index level: | 1,296.32.
|
| Pricing date: | Aug. 8
|
| Settlement date: | Aug. 15
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 2%
|
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