By Angela McDaniels
Tacoma, Wash., March 19 - Morgan Stanley priced $15.64 million of contingent income autocallable securities due March 20, 2020 linked to the worst performing of the S&P 500 index and the Euro Stoxx 50 index, according to an FWP filing with the Securities and Exchange Commission.
If each index closes at or above its coupon barrier level, 75% of its initial index level, on a quarterly determination date, investors will receive a contingent coupon that quarter at the rate of 8.5% per year.
Beginning three 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.
| Issuer: | Morgan Stanley
|
| Issue: | Contingent income autocallable securities
|
| Underlying indexes: | S&P 500 and Euro Stoxx 50
|
| Amount: | $15.64 million
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| Maturity: | March 20, 2020
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| Contingent payment: | 8.5% payable quarterly if both indexes close at or above their coupon barrier levels on determination date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If each index finishes at or above its downside threshold level, par plus final contingent coupon, if any; if either index finishes below its downside threshold level, full exposure to decline of worst-performing index from its initial level
|
| Call: | Beginning three years after issuance, notes will be automatically redeemed at par plus contingent coupon if both indexes close at or above initial levels on any quarterly redemption determination date
|
| Initial index levels: | 1,560.70 for S&P 500 and 2,725.72 for Euro Stoxx 50
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| Coupon barrier levels: | 1,170.525 for S&P 500 and 2,044.29 for Euro Stoxx 50; 75% of initial levels
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| Downside thresholds: | 780.35 for S&P 500 and 1,362.86 for Euro Stoxx 50; 50% of initial levels
|
| Pricing date: | March 15
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| Settlement date: | March 20
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| Agent: | Morgan Stanley & Co. LLC
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| Distribution: | Morgan Stanley Smith Barney LLC
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| Fees: | 3.5%
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| Cusip: | 61761JDP1
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