Morgan Stanley plans buffered return enhanced notes tied to S&P 500

By Jennifer Chiou

New York, June 29 - Morgan Stanley plans to price 0% buffered return enhanced notes due July 25, 2012 linked to the S&P 500 index, according to an FWP with the Securities and Exchange Commission.

The payout at maturity will be par plus 1.5 times any index gain, up to a maximum return of at least 12.375%. The exact cap will be set at pricing.

Investors will receive par if the index falls by up to 10% and will lose 1.1111% for every 1% decline beyond 10%.

The notes (Cusip: 617482WJ9) are expected to price on July 1 and settle on July 11.

J.P. Morgan Securities LLC is the lead agent with Morgan Stanley & Co. LLC as co-agent.

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