Morgan Stanley plans lesser index annual review notes linked to S&P 500, Nikkei

By Jennifer Chiou

New York, June 8 - Morgan Stanley plans to price 0% lesser index annual review notes due June 29, 2010 linked to the S&P 500 and Nikkei 225 indexes via J.P. Morgan Securities Inc., according to an FWP filing with the Securities and Exchange Commission.

The notes will be called at increasing premiums if both index levels are at least 90% of their initial levels on the first review date and at or above their initial index levels on the second or third annual review dates. The redemption amount will be par plus 15.2% if the notes are called on June 24, 2008, par plus 30.4% if called on June 24, 2009 and par plus 45.6% if called on June 24, 2010.

If the notes are not called, the payout at maturity will be par unless one or both indexes decline by more than 10%. Investors will lose 1.1111% for every 1% decline in the lesser-performing index beyond 10%.

The notes will price on June 15 and settle on June 22.

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