Morgan Stanley plans contingent income autocallables linked to S&P 500, Euro Stoxx 50

By Angela McDaniels

Tacoma, Wash., March 6 - Morgan Stanley plans to price contingent income autocallable securities due March 2020 linked to the worst performing of the S&P 500 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

If each index closes at or above its coupon barrier level, 75% of its initial index level, on a quarterly determination date, investors will receive a contingent coupon that quarter at the rate of 8.5% per year.

Beginning three years after issuance, the notes will be automatically redeemed at par plus the contingent coupon if both indexes close at or above their initial levels on any quarterly redemption determination date.

If the notes are not called and each index finishes at or above its downside threshold level, 50% of its initial level, the payout at maturity will be par plus the final contingent coupon, if any. If either index finishes below its downside threshold level, investors will be fully exposed to the decline of the worst-performing index from its initial level.

Morgan Stanley & Co. LLC is the agent.

The notes will price and settle in March.

The Cusip number is 61761JDP1.

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