By Susanna Moon
Chicago, July 20 - Morgan Stanley priced $5.09 million of 0% knock-out notes due Jan. 23, 2012 based on the price of gold, according to a 424B2 filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
A knock-out event occurs if the price of gold 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 return of gold with exposure to any losses.
If a knock-out event does not occur, the payout will be par plus any gain in the price of gold, with a contingent minimum return of 9.5%.
In either case, investors will receive a maximum payout at maturity of $1,300 per $1,000 principal amount.
| Issuer: | Morgan Stanley
|
| Issue: | Knock-out notes
|
| Underlying commodity: | Gold
|
| Amount: | $5,094,000
|
| Maturity: | Jan. 23, 2012
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If price falls by more than 25% during life of notes, par plus return with exposure to losses; otherwise, par plus any gain, floor of 9.5%; in either case, gains capped at 30%
|
| Initial level: | $1,189.25
|
| Pricing date: | July 16
|
| Settlement date: | July 26
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1.25%
|
| Cusip: | 617482MP6
|
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