By E. Janene Geiss
Philadelphia, Sept. 14 - Morgan Stanley priced $3.63 million issue of 0% optimal entry return enhanced notes due Dec. 30, 2010 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 lookback level will be equal to the index's lowest closing level between Sept. 11 and Nov. 10. The final index level will be equal to the average of the index's closing levels on the five trading days ending Dec. 27, 2010.
If the final index level is greater than the lookback level, the payout at maturity will be par plus 300% of the gain. The payout will be subject to a maximum return of 15.6%.
If the final index level is less than the lookback level, investors will be fully exposed to the decline.
| Issuer: | Morgan Stanley
|
| Issue: | Optimal entry return enhanced notes
|
| Underlying index: | S&P 500
|
| Amount: | $3,633,000
|
| Maturity: | Dec. 30, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 300% of any increase over the lookback level, capped at maximum return of 15.6%; full exposure to any decline from lookback level
|
| Lookback level: | Lowest index closing level between pricing date and Nov. 10
|
| Final index level: | Average of index's closing levels on the five trading days ending Dec. 27, 2010
|
| Pricing date: | Sept. 11
|
| Settlement date: | Sept. 18
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | 1.1%
|
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