By Susanna Moon
Chicago, Dec. 17 - Morgan Stanley priced $2.05 million of 0% knock-out notes due June 22, 2012 based on the performance of the iShares MSCI EAFE index fund, according to a 424B2 filing with the Securities and Exchange Commission.
J.P. Morgan Securities LLC is the dealer. Morgan Stanley & Co. Inc. is the agent with JPMorgan Chase Bank, NA as co-agent.
A knock-out event occurs if the fund falls by more than 25% of its initial level during the life of the notes.
If a knock-out event does not occur, the payout at maturity will be par plus any gain, with a minimum return of 14.3%.
Otherwise, investors will receive par plus the fund return, with exposure to losses.
The maximum payment at maturity will be $1,200 per $1,000 principal amount of notes.
| Issuer: | Morgan Stanley
|
| Issue: | Knock-out notes
|
| Underlying fund: | iShares MSCI EAFE index fund
|
| Amount: | $2.05 million
|
| Maturity: | June 22, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If shares never fall by more than 25%, par plus greater of fund return and 14.3%; otherwise, par plus fund return with exposure to losses; in either case, cap of 20%
|
| Initial price: | $57.57
|
| Pricing date: | Dec. 15
|
| Settlement date: | Dec. 22
|
| Agents: | J.P. Morgan Securities LLC (dealer), Morgan Stanley & Co. Inc. and JPMorgan Chase Bank, NA
|
| Fees: | 1.25%
|
| Cusip: | 617482QE7
|
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