Morgan Stanley plans knock-out notes on S&P GSCI Brent Crude via JPM

By Jennifer Chiou

New York, June 7 - Morgan Stanley plans to price 0% knock-out notes due June 25, 2012 linked to S&P GSCI Brent Crude Index-Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event occurs if the index falls by more than 30% during the life of the notes.

If a knock-out event does not occur, the payout at maturity will be par plus any index gain, with a contingent minimum return of at least 10%.

Otherwise, investors will receive par plus the index return, with exposure to losses.

In either case, the maximum payment will be $1,144 for each $1,000 principal amount.

The notes (Cusip: 617482VH4) will price on June 10 and settle on June 17.

JPMorgan is the lead agent with Morgan Stanley & Co. Inc. as co-agent.

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