Morgan Stanley plans knock-out notes linked to S&P GSCI via JPMorgan

By Marisa Wong

Milwaukee, May 18 - Morgan Stanley plans to price 0% knock-out notes due June 3, 2011 based on the S&P GSCI Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.

If the closing index level is less than 80% 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 a contingent minimum return of at least 5% that will be set at pricing.

In either case, the maximum payment at maturity will be $1,257.50 per $1,000 principal amount.

The notes are expected to price May 21 and settle May 28.

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

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