Morgan Stanley to price 0% annual review notes linked to S&P 500 via JPMorgan

By E. Janene Geiss

Philadelphia, Jan. 31 - Morgan Stanley plans to price 0% annual review notes due Feb. 16, 2011 linked to the S&P 500 index via agent J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the index level is at or above its call level on one of three annual review dates. The call level will be 90% of the initial index level for the first review date and 100% of the initial index level for the second and third review dates.

The redemption amount will be par plus at least 10.10% if the notes are called on Feb. 11, 2009, par plus at least 20.2% if called on Feb. 11, 2010 and par plus at least 30.3% if called on Feb. 11, 2011. The exact redemption amounts will be determined at pricing.

If the notes are not called, the payout at maturity will be par unless the index declines by more than 10%. Investors will lose 1.1111% for every 1% decline in the index beyond 10%.

The notes are expected to price on Feb. 1 and settle on Feb. 8.

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