New Issue: Morgan Stanley prices $6.5 million contingent income autocallables on three indexes

By Toni Weeks

San Luis Obispo, Calif., Nov. 24 – Morgan Stanley priced $6.5 million of contingent income autocallable securities due Nov. 26, 2029 linked to the worst performing of the S&P 500 index, the Russell 2000 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 85% coupon threshold level on the determination date for that quarter, the notes will pay a contingent quarterly coupon at an annual rate of 8% plus any previously unpaid contingent quarterly coupons from prior observation dates.

Following an initial five-year non-call period, the notes will be redeemed if each index closes at or above 90% of its initial level on any quarterly determination date beginning Nov. 25, 2019. The redemption price will be equal to the sum of par plus the contingent coupon for that quarterly period plus any previously unpaid contingent quarterly coupons with respect to any observation date for which a coupon was not paid.

If the notes are not called and each index finishes at or above its 50% downside threshold level, the payout at maturity will be par. If each index finishes at or above the 85% coupon barrier, investors will also receive the contingent coupon. If the final index level of each index is also greater than or equal to its 90% barrier level, investors will also receive any previously unpaid contingent quarterly coupons.

If any index finishes below the 50% downside threshold level, investors will be fully exposed to any losses of the worst-performing index.

Morgan Stanley & Co. LLC is the agent.

Issuer:	Morgan Stanley
Issue:	Contingent income autocallable securities
Underlying indexes:	S&P 500, Russell 2000 and Euro Stoxx 50
Amount:	$6.5 million
Maturity:	Nov. 26, 2029
Coupon:	Every quarter, if each index closes at or above initial level on valuation date for that quarter, notes pay contingent coupon at rate of 8% per year plus any previously unpaid contingent coupons for any prior observation dates
Price:	Par
Payout at maturity:	If each index finishes at or above 50% downside threshold level, par; if each index finishes at or above 85% coupon threshold level, par plus final contingent coupon plus any previously unpaid contingent coupons; if each index finishes at or above 90% barrier level, par plus final quarterly coupon plus any previously unpaid contingent quarterly coupon with respect to any observation date for which a coupon was not paid; if any index finishes below 50% downside threshold level, full exposure to decline of worst-performing index
Call:	Beginning five years after issuance, notes will be automatically redeemed at par plus contingent coupon plus any previously unpaid contingent coupons if each index closes at or above 90% barrier level on any quarterly redemption determination date
Initial index levels:	2,052.75 for S&P 500, 1,170.752 for Russell and 3,102.21 for Euro Stoxx
Coupon thresholds:	1,744.838 for S&P 500, 995.139 for Russell and 2,638.879 for Euro Stoxx; 85% of initial levels
Barrier level:	1,847.475 for S&P 500, 1,053.677 for Russell and 2,791.989 for Euro Stoxx; 90% of initial levels
Downside thresholds:	1,026.375 for S&P 500, 585.376 for Russell and 1,551.105 for Euro Stoxx; 50% of initial levels
Pricing date:	Nov. 20
Settlement date:	Nov. 25
Agent:	Morgan Stanley & Co. LLC
Fees:	3.25%
Cusip:	61761JUV9

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