New Issue: Morgan Stanley sells $610,000 contingent income autocallables on S&P, Euro Stoxx

By Marisa Wong

Madison, Wis., Aug. 29 - Morgan Stanley priced $610,000 of contingent income autocallable step-up securities due Aug. 30, 2028 linked to the worst performing of the S&P 500 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index closes at or above its coupon barrier level, 74% of its initial index level, on a quarterly determination date, investors will receive a contingent coupon that quarter. The rate is 7.5% for the first five years and steps up to 11% on Aug. 30, 2018 and to 15% on Aug. 30, 2023.

The notes are non-callable for five years. After that, 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 the 50% downside threshold level, the payout at maturity will be par plus the final contingent coupon. If either index finishes below the trigger 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.

Issuer:	Morgan Stanley
Issue:	Contingent income autocallable step-up securities
Underlying indexes:	S&P 500 and Euro Stoxx 50
Amount:	$610,000
Maturity:	Aug. 30, 2028
Coupon:	Payable quarterly if each index closes at or above its coupon barrier level on a quarterly determination date; rate is 7.5% for first five years, steps up to 11% on Aug. 30, 2018 and to 15% on Aug. 30, 2023
Price:	Par
Payout at maturity:	If each index finishes at or above downside threshold level, par plus final contingent coupon; if either index finishes below trigger level, full exposure to decline of worst-performing index from its initial level
Call:	Beginning Aug. 30, 2018, at par plus contingent coupon if both indexes close at or above their initial levels on any quarterly redemption determination date
Initial levels:	1,630.48 for S&P 500, 2,749.27 for Euro Stoxx
Barrier levels:	1,206.555 for S&P 500, 2,034.460 for Euro Stoxx; 74% of initial levels
Downside threshold levels:	815.24 for S&P 500, 1,374.635 for Euro Stoxx; 50% of initial levels
Pricing date:	Aug. 27
Settlement date:	Aug. 30
Agent:	Morgan Stanley & Co. LLC
Fees:	3.5%
Cusip:	61761JKN8

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