Morgan Stanley to price autocallable knock-out notes linked to Russell 2000 via JPMorgan

By Angela McDaniels

Tacoma, Wash., Feb. 10 - Morgan Stanley plans to price 0% autocallable knock-out notes due Nov. 22, 2010 linked to the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If the index closes at or above 107% of its initial level on the third business day of any week, the notes will be automatically called at 107% of par.

If the notes are not called and the index closes below the buffer level - 74.95% of its initial level -on any day during the life of the notes, the payout at maturity will be par plus the index return, which could be positive or negative. Otherwise, the payout will be par plus the greater of the index return and a contingent minimum return that is expected to be at least 2% and will be set at pricing.

In both cases, the payout will be subject to a maximum return of 7%.

The notes are expected to price Feb. 12 and settle Feb. 19.

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

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