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Published on 2/5/2008 in the Prospect News Structured Products Daily.

New Issue: Morgan Stanley prices $8.86 million annual review notes linked to S&P 500 via JPMorgan

By Laura Lutz

Des Moines, Feb. 5 - Morgan Stanley priced an $8.86 million issue of 0% annual review notes due Feb. 16, 2011 linked to the S&P 500 index via JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc., according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at increasing premiums if the level of the index is greater than or equal to the call level on any of three annual review dates. On the first review date, the call level will be 90% of the initial level. On the second and third review dates, the call level will be equal to the initial level.

The redemption amount will be par plus 10.1% if the notes are called on Feb. 11, 2009, par plus 20.2% if called on Feb. 11, 2010 and par plus 30.3% if called on Feb. 11, 2011.

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%.

Issuer:Morgan Stanley
Issue:Annual review notes
Underlying index:S&P 500
Amount:$8.86 million
Maturity:Feb. 16, 2011
Coupon:0%
Price:Par
Call:Automatically called if index level is at or above the call level on an annual review date; payout will be par plus 10.1% if called on Feb. 11, 2009, par plus 20.2% if called on Feb. 11, 2010 and par plus 30.3% if called on Feb. 11, 2011; call level is 90% of initial index level on first review date and 100% on second and third review dates
Payout at maturity:Par unless the index declines by more than 10%, in which case investors will lose 1.1111% for every 1% decline beyond 10%
Initial index level:1,395.42
Pricing date:Feb. 1
Settlement date:Feb. 8
Agents:JPMorgan Chase Bank, NA and J.P. Morgan Securities Inc.
Fees:2%

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