Morgan Stanley plans contingent income notes linked to indexes, ETF

By Angela McDaniels

Tacoma, Wash., July 9 – Morgan Stanley Finance LLC plans to price contingent income autocallable securities due July 15, 2021 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 an FWP filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if each underlier closes at or above its downside threshold level, 80% of its initial level, on the determination date for that quarter. The contingent coupon rate is expected to be 9.8% per year and will be set at pricing.

The notes will be called at par of $10 if each underlier closes at or above its initial level on any quarterly determination date.

The payout at maturity will be par unless any underlier finishes below its downside threshold level, in which case investors will lose 1% for every 1% that the worst-performing underlier declines from its initial level. The notes will be guaranteed by Morgan Stanley.

Morgan Stanley & Co. LLC is the agent.

The notes are expected to price July 12.

The Cusip number is 61769HLH6.

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