Morgan Stanley plans Bear Market PLUS inversely linked to Consumer Discretionary SPDR fund

By Jennifer Chiou

New York, May 23 - Morgan Stanley plans to price 0% notes due Aug. 31, 2009 in the Bear Market Performance Leveraged Upside Securities (PLUS) structure inversely linked to shares of the Consumer Discretionary Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.

The exchange-traded fund consists of nine separate investment portfolios corresponding with the consumer discretionary sector of the S&P 500 index.

The notes are expected to price and settle in May.

The payout at maturity will be par of $10.00 plus triple the absolute value of any decline in the fund, subject to a maximum return of $13.50 to $13.60 per note. The exact cap will be set at pricing.

If the fund shows a gain, the payout will be par minus the gain, up to a loss of 80%.

Morgan Stanley & Co. Inc. is the agent.

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