Morgan Stanley plans contingent income autocallables on two indexes

By Toni Weeks

San Luis Obispo, Calif., July 3 – Morgan Stanley plans to price contingent income autocallable securities due July 31, 2029 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly coupon at an annualized rate of 8% if each index closes at or above its initial level on any quarterly determination date. If the contingent quarterly coupon is not paid on any coupon payment date (because either index closes below its initial level on the related observation date), that unpaid contingent quarterly coupon will be paid on a later coupon payment date, but only if the index closes at or above its initial value on such later observation date.

Beginning after three years, the notes will be redeemed at par plus the contingent coupon for the related observation date plus any unpaid contingent coupons for prior observation dates if each index closes at or above its respective initial level on a quarterly determination date.

The payout at maturity will be par plus the final contingent coupon plus the previously unpaid coupons if each index finishes at or above its initial level. If either index finishes below its initial level and at or above its downside threshold level – 50% of the initial level – investors will receive par. If either index finishes below the downside threshold level, investors will share in the losses of the worst-performing underlying index.

Morgan Stanley & Co. LLC is the agent.

The notes are expected to price July 28 and settle July 31.

The Cusip number is 61761JRQ4.

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