Morgan Stanley plans contingent income autocallable notes on indexes

Chicago, Feb. 22 – Morgan Stanley Finance LLC plans to price contingent income autocallable securities due June 2, 2020 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are guaranteed by Morgan Stanley.

Each quarter, the notes will pay a contingent coupon at the rate of 8.5% to 10.5% per year if each index closes at or above its coupon barrier level, 70% of its initial level, on the observation date that quarter.

Beginning May 28, the notes will be automatically called at par plus the coupon if both indexes close above their initial values on any of the four quarterly redemption determination dates.

At maturity, investors will receive par plus the coupon if neither index closes below its 70% downside threshold level for the life of the notes.

If either index closes below the 70% level for the life of the notes, investors will be exposed to the decline of the least-performing index with a maximum payout of par at maturity.

Morgan Stanley & Co. LLC is the agent.

The notes will price on Feb. 28 and settle March 5.

The Cusip number is 61768DL29.

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