Morgan Stanley plans contingent income autocallables on two indexes

By Susanna Moon

Chicago, June 3 - Morgan Stanley plans to price autocallable contingent income step-up securities due June 28, 2028 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

The notes will pay a contingent monthly coupon at an annualized rate if each underlying index closes at or above its 75% coupon barrier on the observation date for that month. The rate will be 6.5% for the first five years, stepping up to 9% for years six to 10 and to 12% after that.

The notes will be redeemed at par plus the contingent coupon if both indexes close at or above their respective initial levels on any quarterly redemption determination date beginning on June 28, 2018.

If each index finishes at or above the downside threshold level, 50% of the initial index level, the payout at maturity will be par plus the contingent monthly coupon.

Otherwise, investors will be fully exposed to any losses of the worst performing index.

Morgan Stanley & Co. LLC will be the agent.

The notes will price on June 25 and settle on June 28.

The Cusip number is 61761JHE2.

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