Morgan Stanley plans to price optimal entry return enhanced notes linked to S&P 500 via JPMorgan

By Angela McDaniels

Tacoma, Wash., Sept. 1 - Morgan Stanley plans to price 0% optimal entry return enhanced notes due Dec. 23, 2010 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

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

If the final index level is greater than the lookback level, the payout at maturity will be par plus 300% of the gain. The payout will be subject to a maximum return of at least 16.2% that will be set at pricing.

If the final index level is less than the lookback level, investors will be fully exposed to the decline.

The lookback level will be the index's lowest closing level during the observation period, which begins on the pricing date and ends on Nov. 2. The final index level will be the average of the index's closing levels on the five trading days ending Dec. 20, 2010.

The notes are expected to price Sept. 3 and settle Sept. 11.

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