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Published on 2/24/2010 in the Prospect News Structured Products Daily.

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

By Angela McDaniels

Tacoma, Wash., Feb. 24 - Morgan Stanley plans to price 0% review notes due March 1, 2012 linked to the S&P 500 index, according to an FWP 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.

The notes are expected to price Feb. 26 and settle March 5.

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


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