Morgan Stanley plans 0% absolute return notes linked to S&P 500

By Angela McDaniels

Seattle, Dec. 29 - Morgan Stanley plans to price an issue of zero-coupon protected absolute return barrier notes due July 20, 2008 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are expected to price in January.

If the index remains within the index range during the life of the notes, the payout at maturity will be par of $10 plus the absolute value of the index return. Otherwise, the payout will be par.

The lower boundary of the index range will be between 80% and 82% of the initial index level, and the upper boundary will be between 118% and 120% of the initial index level. The exact boundaries will be determined at pricing.

Morgan Stanley said it will apply to list the notes under the symbol "AZB" on the American Stock Exchange.

Morgan Stanley & Co. Inc. will be the agent for the offering and will receive a commission of 1.75%.

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