Morgan Stanley to price knock-out notes tied to S&P 500 via JPMorgan

By Marisa Wong

Madison, Wis. July 15 - Morgan Stanley plans to price 0% knock-out notes due Feb. 1, 2012 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

A knock-out event occurs if the index falls by more than 38% during the life of the notes.

If a knock-out event occurs, the payout at maturity will be par plus the index return, with exposure to losses.

If a knock-out event does not occur, the payout will be par plus the greater of the index return and a contingent minimum return of at least 0%. The exact contingent minimum will be set at pricing.

The notes will price on July 16 and settle on July 23.

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

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