New Issue: Morgan Stanley sells $26.79 million knock-out notes linked to S&P 500 via JPMorgan

By Susanna Moon

Chicago, July 16 - Morgan Stanley priced $26.79 million of 0% knock-out notes due Jan. 27, 2012 based on the performance of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

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

A knock-out event occurs if the index falls by more than 40% 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 any losses.

Otherwise, the payout will be par plus any index gain, with a contingent minimum return of zero.

Issuer:	Morgan Stanley
Issue:	Knock-out notes
Underlying index:	S&P 500
Amount:	$26,793,000
Maturity:	Jan. 27, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If index falls by more than 40%, par plus index return with exposure to losses; otherwise, par plus any gain, floor of par
Initial index level:	1,095.17
Pricing date:	July 14
Settlement date:	July 23
Agents:	JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
Fees:	1.15%
Cusip:	617482MM3

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