Morgan Stanley to price autocallables linked to dollar vs. euro

By Toni Weeks

San Luis Obispo, Calif., June 16 – Morgan Stanley plans to price 0% autocallable currency-linked notes due between June 2020 and September 2020 linked to the performance of the dollar relative to the euro, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will mature between 60 and 63 months after issue.

The currency performance will be positive if the dollar strengthens relative to the euro and negative if it weakens relative to the euro.

The notes will automatically be called at par plus a call premium of 8% per year on any semiannual call observation date beginning after one year if the currency return is greater than or equal to the strike level of between 7.5% and 8.8%. The exact strike level will be set at pricing.

If the notes are not called and the final currency return is greater than or equal to the strike level, the payout at maturity will be par plus the applicable maturity date premium amount, which ranges from $400 to $420 per $1,000 principal amount of notes and depends on the exact maturity date.

If the final currency return is less than the strike level but greater than or equal to negative 10%, the payout will be par.

If the final currency return is less than negative 10%, investors will lose 1.1111% for each 1% decline beyond the 10% buffer, subject to a minimum cash settlement amount of 85% of par.

Morgan Stanley & Co. LLC is the agent.

The notes are expected to price and settle in June.

The Cusip number is 61760QGM0.

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