Morgan Stanley plans contingent income autocallables on two indexes

By Jennifer Chiou

New York, May 31 - 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 Euro Stoxx 50 index, according to an FWP with the Securities and Exchange Commission.

The notes will pay a contingent monthly payment of at an annualized rate of 8% in years one to five, 11% in years six to 10 and 15% thereafter if each underlying index closes at or above its respective coupon barrier level, 75% of the initial level, on the observation date for that month.

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.

The notes (Cusip: 61761JHC6) will price on June 25 and settle on June 28.

Morgan Stanley & Co. LLC will be the agent.

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