By Angela McDaniels
Tacoma, Wash., Jan. 12 - Morgan Stanley priced $10 million of 0% autocallable knock-out notes due Oct. 13, 2010 linked to the iShares MSCI Emerging Markets index fund, according to a 424B2 filing with the Securities and Exchange Commission.
JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.
The notes will be automatically called at par plus 7% if the shares of the exchange-traded fund close at or above 107% of the initial share price on the fourth business day of any week.
If the notes are not called and the share price closes below the initial share price by more than 28.5% on any day during the life of the notes, the payout at maturity will be par plus the fund return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the fund return and 2%.
In either case, the payout will be capped at 107% of par.
| Issuer: | Morgan Stanley
|
| Issue: | Autocallable knock-out notes
|
| Underlying ETF: | iShares MSCI Emerging Markets index fund
|
| Amount: | $10 million
|
| Maturity: | Oct. 13, 2010
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If share price closes below initial share price by more than 28.5% on any day during life of notes, par plus fund return; otherwise, par plus greater of fund return and 2%; payout capped at 107% of par in either case
|
| Call: | Automatically at 107 if shares close at or above 107% of initial share price on fourth business day of any week
|
| Initial share price: | $43.22
|
| Pricing date: | Jan. 8
|
| Settlement date: | Jan. 15
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
|
| Fees: | None
|
| Cusip: | 617482JG0
|
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