Morgan Stanley to price trigger phoenix autocallables on two funds

By Toni Weeks

San Diego, Dec. 5 - Morgan Stanley plans to price 0% trigger phoenix autocallable optimization securities due Dec. 20, 2017 linked to the iShares Russell 2000 index fund and the SPDR S&P 500 ETF Trust, according to an FWP filing with the Securities and Exchange Commission.

If each share price finishes at or above the trigger price - 58% to 62% of the initial share price - on any quarterly observation date, the issuer will pay a contingent coupon of 8%. Otherwise, no coupon will be paid for that quarter. The exact trigger price will be set at pricing.

If the shares of each underlying close at or above the initial price on any observation date after one year, the notes will be called at par of $10 plus the contingent coupon.

If the notes are not called and each fund closes at or above the trigger price, the payout at maturity will be par plus the continent coupon.

If either fund dips below the trigger price on the final observation date, investors will be exposed to the decline of the least-performing fund.

The notes (Cusip: 61761H830) are expected to price Dec. 14 and settle Dec. 19.

Morgan Stanley & Co. LLC is the agent with UBS Financial Services Inc. as dealer.

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