Morgan Stanley eyes contingent income autocallables on indexes, trust

By Devika Patel

Knoxville, Tenn., Aug. 22 – Morgan Stanley Finance LLC intends to price contingent income autocallable securities due Aug. 27, 2020 linked to the worst performing of the Russell 2000 index, the Nasdaq-100 index and the SPDR Dow Jones industrial average ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Morgan Stanley.

Each quarter, the notes will pay a contingent quarterly coupon at a rate of at least 9.3% per year if each underlying closes at or above its coupon barrier level, 80% of its initial level, on the determination date for that quarter. The exact coupon will be set at pricing.

Beginning Nov. 23, 2018, the notes will be automatically called at par of $1,000 plus the contingent coupon if the closing level of each underlying is greater than or equal to its initial level on any quarterly determination date.

If each underlying finishes at or above its downside threshold level, 80% of its initial level, the payout at maturity will be par plus the final contingent coupon.

Otherwise, investors will lose 1% for each 1% decline of the worst performing underlying from its initial level.

Morgan Stanley & Co. LLC is the agent.

The notes (Cusip: 61768DCS2) will price on Aug. 23 and settle Aug. 28.

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