New Issue: Morgan Stanley prices $5.28 million knock-out notes linked to S&P 500 via JPMorgan

By Angela McDaniels

Tacoma, Wash., July 6 - Morgan Stanley priced $5.28 million of 0% knock-out notes due Jan. 13, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the closing index level is less than 75% of the initial index level on any day during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the index return and 16.12%.

In either case, the payout will be capped at $1,300 per $1,000 principal amount.

JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc. are the agents.

Issuer:	Morgan Stanley
Issue:	Knock-out notes
Underlying index:	S&P 500
Amount:	$5,282,000
Maturity:	Jan. 13, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If index closes below 75% of initial level on any day during life of notes, par plus index return; otherwise, par plus greater of index return and 16.12%; return capped at 30% in either case
Initial index level:	1,027.37
Pricing date:	July 1
Settlement date:	July 9
Agents:	JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
Fees:	1.25%
Cusip:	617482ME1

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