Morgan Stanley plans autocallable knock-out notes linked to S&P MidCap 400 via JPMorgan

By Marisa Wong

Milwaukee, March 11 - Morgan Stanley plans to price 0% autocallable knock-out notes due June 21, 2011 linked to the S&P MidCap 400 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 fourth business day of any week beginning March 25, the notes will be automatically called at 107% of par.

If the notes are not called and the index declines by more than 20% of its initial level on any day during the life of the notes, the payout at maturity will be par plus the index return on June 16, 2011, which could be positive or negative. Otherwise, the payout will be par plus the greater of the index return on that day and 0%.

Because the valuation date June 16, 2011 is also a review date, the notes may be automatically called on that day. As a result, the maximum return on the notes is limited to the call premium of 7%.

The notes are expected to price March 12 and settle March 9.

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

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