Morgan Stanley plans contingent income autocallables on three ETFs

New York, March 15 – Morgan Stanley Finance LLC plans to price contingent income autocallable securities due March 21, 2019 linked to the worst performing of the Consumer Discretionary Select Sector SPDR fund, the Energy Select Sector SPDR fund and the Healthcare Select Sector SPDR fund, according to a FWP filing with the Securities and Exchange Commission.

The notes will be guaranteed by Morgan Stanley.

Investors will receive a contingent quarterly coupon at the annual rate of at least 10.45% if each ETF closes above its downside threshold level on the related observation date. The downside thresholds will be set at 75% of the initial share price.

The notes will be automatically redeemed at par plus the coupon on quarterly redemption dates starting on June 22, 2017 if each fund closes above its initial level on the quarterly related determination date.

The payout at maturity will be par plus any contingent coupon unless any of the ETFs closes below its 75% threshold level, in which cases investors will be fully exposed to the losses of the worst performing fund.

Morgan Stanley & Co. LLC is the agent.

The notes will price on March 17 and settle on March 22.

The Cusip number is 61768CGK7.

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