Morgan Stanley eyes contingent income buffered autocalls on funds

By Sarah Lizee

Olympia, Wash., Jan. 7 – Morgan Stanley Finance LLC plans to price contingent income buffered autocallable securities with a six-month initial non-call period due Feb. 2, 2021 linked to the worst performing of the SPDR S&P Oil & Gas Exploration & Production ETF and the Energy Select Sector SPDR fund, according to an FWP filing with the Securities and Exchange Commission.

The notes are guaranteed by Morgan Stanley.

Each month, the notes will pay a contingent coupon at an annualized rate of 10.5% if each fund closes at or above its coupon barrier level, 80% of its initial level, on the determination date for that month. Otherwise, no coupon will be paid that month.

Beginning July 29, the notes will be called at par if each fund closes at or above its initial level on any monthly early redemption determination date.

If the final level of each fund is greater than or equal to 80% of its initial level, the payout at maturity will be par plus the last contingent quarterly coupon. Otherwise, investors will lose 1% for every 1% that the worst-performing fund declines beyond 20%.

Morgan Stanley & Co. LLC is the agent.

The notes will price on Jan. 28.

The Cusip number is 61768DXD2.

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