Morgan Stanley eyes contingent income autocallables on indexes

By Sarah Lizee

Olympia, Wash., July 17 – Morgan Stanley Finance LLC intends to price contingent income autocallable securities due Jan. 29, 2021 linked to the worst performing of the Russell 2000 index, the Dow Jones industrial average and the Nasdaq-100 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be guaranteed by Morgan Stanley.

Each month, the notes will pay a contingent monthly coupon at a rate of 6.5% to 8.5% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the determination date for that month. The exact coupon will be set at pricing.

Beginning Jan. 27, 2020, the notes will be automatically called at par plus the contingent coupon if the closing level of each index is greater than or equal to its initial level on any quarterly determination date.

If each index closes at or above its downside threshold level, 70% of its initial level, on each trading day during the life of the notes, 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 index from its initial level or receive par if the index is flat or gains.

Morgan Stanley & Co. LLC is the agent.

The notes (Cusip: 61769HJF3) will price on July 26.

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