Morgan Stanley plans contingent income autocallable step-ups on indexes

By Angela McDaniels

Tacoma, Wash., Aug. 4 – Morgan Stanley plans to price contingent income autocallable step-up securities due Aug. 29, 2029 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.

Each month, the notes will pay a contingent coupon if each index closes at or above its coupon barrier level, 75% of its initial index level, on the determination date for that month. The contingent coupon rate is 7% per year for the first five years, 9% per year for the next five years and 12% per year for the last five years.

Beginning five 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 Aug. 26 and settle Aug. 29.

The Cusip number is 61761JSH3.

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