Morgan Stanley plans contingent income autocallables tied to JPMorgan

By Susanna Moon

Chicago, Aug. 24 - Morgan Stanley plans to price contingent income autocallable securities due August 2015 linked to JPMorgan Chase & Co. shares, according to an FWP filing with the Securities and Exchange Commission.

If the stock closes at or above the 70% downside threshold level on a quarterly determination date, investors will receive a contingent payment of 2.625% to 3.125% for that quarter. The exact contingent quarterly payment will be set at pricing.

If the stock closes at or above the initial price on any of the first 11 quarterly determination dates, the notes will be called at par plus the contingent payment.

If the notes are not called and the shares finish at or above the downside threshold level, the payout at maturity will be par plus the contingent payment.

Otherwise, investors will receive a number of shares of JPMorgan stock equal to $10.00 divided by the initial share price.

Morgan Stanley & Co. LLC is the agent with Morgan Stanley Smith Barney LLC as dealer.

The notes will price and settle in August.

The Cusip number is 61755S578.

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