New Issue: Morgan Stanley sells $3.49 million protected absolute return barrier notes tied to S&P 500

By Susanna Moon

Chicago, Sept. 24 - Morgan Stanley priced $3.49 million of zero-coupon protected absolute return barrier notes due Sept. 28, 2011 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

If the index stays within a specified range of its initial level during the life of the notes, the payout at maturity will be par of $10 plus the absolute value of the index return, up to a maximum return of $12.25 per note if the index gains or up to $11.50 per note if the index falls.

If the index does not stay within the range, the payout will be par.

The lower barrier of the range is 85% of the initial index level. The upper barrier is 122.5% of the initial level.

Morgan Stanley & Co. Inc. is the agent.

Issuer:	Morgan Stanley
Issue:	Protected absolute return barrier notes
Underlying index:	S&P 500
Amount:	$3,488,600
Maturity:	Sept. 28, 2011
Coupon:	0%
Price:	Par
Payout at maturity:	If the index stays within range, payout will be par plus absolute value of return, capped at 22.5% if index gains or at 15% if index falls; floor of par
Initial level:	1,060.87
Lower barrier:	901.7395, or 85% of initial level
Upper barrier:	1,299.5658, or 122.5% of initial level
Pricing date:	Sept. 23
Settlement date:	Sept. 30
Agent:	Morgan Stanley & Co. Inc.
Fees:	1.75%

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