Morgan Stanley plans contingent income autocallables tied to JPMorgan

By Marisa Wong

Madison, Wis., Jan. 3 - Morgan Stanley plans to price contingent income autocallable securities, with step-up redemption threshold level feature, due January 2017 linked to JPMorgan Chase & Co. shares, according to an FWP filing with the Securities and Exchange Commission.

If JPMorgan stock closes at or above the downside threshold level, 80% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment of 2.125% for that quarter.

If the shares close at or above the applicable redemption threshold level on any of the first 11 quarterly determination dates, the notes will be redeemed at par of $10 plus the contingent payment. The redemption threshold level is 105% of the initial share price for the first four determination dates, 110% of the initial price for the next four determination dates and 115% of the initial price for the last three dates.

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

Otherwise, the payout will be a number of JPMorgan shares equal to $10 divided by the initial share price or, at the issuer's option, the cash equivalent.

Morgan Stanley & Co. LLC is the agent.

The notes will price and settle in January.

The Cusip number is 61762W877.

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