Morgan Stanley plans contingent income cannon autocallables on indexes

By Marisa Wong

Madison, Wis., Feb. 3 – Morgan Stanley plans to price contingent income autocallable cannon securities due Feb. 27, 2030 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index, according to an FWP with the Securities and Exchange Commission.

The notes will pay a contingent monthly payment of 7% per year if each index closes at or above its barrier level, 75% of the initial level, on the observation date for that month.

Beginning on Feb. 27, 2020, the notes will be redeemed at par plus the contingent payment if each index closes at or above the initial level on any quarterly redemption date.

If the notes are not called, in addition to the final contingent monthly coupon, if any, the payout at maturity will be par plus the index performance factor of the worst-performing index. If the worst-performing index finishes above the 50% threshold level, investors will receive a positive return of 2% for each 1% by which the final value of the worst-performing index is greater than its threshold level.

If the worst-performing index finishes below the 50% threshold level, investors will lose 2% for each 1% by which the final value of the worst-performing index is less than its threshold level. There is no minimum payment at maturity.

Morgan Stanley & Co. LLC is the agent.

The notes will price on Feb. 24 and settle on Feb. 27.

The Cusip number is 61761JWR6.

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