New Issue: Morgan Stanley prices $2.2 million review notes linked to S&P 500 via JPMorgan

By Angela McDaniels

Tacoma, Wash., March 2 - Morgan Stanley priced $2.2 million of 0% review notes due March 1, 2012 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

If the index closes at or above the call level on any of three review dates, the notes will be called and investors will receive par plus an annualized call premium of 8%. The call level is 90% of the initial index level on March 11, 2011 and 100% of the initial level on Aug. 26, 2011 and Feb. 27, 2012.

If the notes are not called, the payout at maturity will be par as long as the final index level is at least 90% of the initial level. Otherwise, investors will lose 1.1111% for every 1% that the final index level is below the buffer.

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

Issuer:	Morgan Stanley
Issue:	Review notes
Underlying index:	S&P 500
Amount:	$2.2 million
Maturity:	March 1, 2012
Coupon:	0%
Price:	Par
Payout at maturity:	If final index level is at least 90% of initial level, par; otherwise, par minus 1.1111% for every 1% that final index level is below the buffer
Call:	Automatically at par plus annualized call premium of 8% if index closes at or above call level on March 11, 2011, Aug. 26, 2011 or Feb. 27, 2012; call level is 90% of initial level on first review date and 100% of initial level on second and third review dates
Initial index level:	1,104.49
Pricing date:	Feb. 26
Settlement date:	March 5
Agents:	JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
Fees:	1.5%
Cusip:	617482KU7

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