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Published on 9/1/2010 in the Prospect News Structured Products Daily.

Morgan Stanley to price autocallable securities linked to ETFs, index

By Angela McDaniels

Tacoma, Wash., Sept. 1 - Morgan Stanley plans to price 0% autocallable securities due September 2013 linked to a equally weighted basket holding the iShares MSCI EAFE index fund, the iShares MSCI Emerging Markets index fund and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be called if the basket closes at or above the initial basket level on any of five semiannual determination dates. The payout will be par of $10.00 plus the contingent payment amount multiplied by the contingent payment multiplier.

The contingent payment amount is expected to be $0.390 to $0.455 and will be set at pricing. The contingent payment multiplier will be the number of determination dates up to that point on which the basket closing level is greater than or equal to the downside threshold level, 70% of the initial basket level.

If the notes are not called and the index level on the final determination date is greater than or equal to the downside threshold level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the basket decline.

In both cases, investors will also receive at maturity the contingent payment amount multiplied by the contingent payment multiplier.

The notes (Cusip: 61759G323) will price and settle in September.

Morgan Stanley & Co. Inc. is the agent.


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