New Issue: Morgan Stanley prices $500,000 contingent income step-up notes linked to indexes

By Angela McDaniels

Tacoma, Wash., Aug. 31 – Morgan Stanley priced $500,000 of callable contingent income step-up securities due Aug. 29, 2025 linked to the worst performing of the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.

Each month, the notes will pay a contingent coupon at the applicable rate if each index closes at or above its coupon barrier level, 70% of the initial level, on the determination date for that month. The applicable rate is 8% per year in years one through four, 9.5% per year in years five through eight and 10.5% per year in years nine and 10.

The payout at maturity will be par plus the final contingent coupon, if applicable, if each index finishes at or above its downside threshold level, 50% of its initial level. Otherwise, investors will be fully exposed to the decline of the worst-performing index.

Beginning Aug. 31, 2016, the notes will be callable at par on any quarterly redemption date.

Morgan Stanley & Co. LLC is the agent.

Issuer:	Morgan Stanley
Issue:	Callable contingent income step-up securities
Underlying indexes:	Russell 2000 and Euro Stoxx 50
Amount:	$500,000
Maturity:	Aug. 29, 2025
Coupon:	Each month, notes will pay contingent coupon at applicable rate if each index closes at or above coupon barrier level on determination date for that month
Applicable rate:	8% per year in years one through four, 9.5% per year in years five through eight and 10.5% per year in years nine and 10
Price:	Par
Payout at maturity:	Par plus final contingent coupon, if applicable, if each index finishes at or above downside threshold level; otherwise, full exposure to decline of worst-performing index
Call option:	Beginning Aug. 31, 2016, notes will be callable at par on any quarterly redemption date
Initial index levels:	1,132.188 for Russell 2000 and 3,170.73 for Euro Stoxx 50
Coupon barriers:	792.532 for Russell 2000 and 2,219.511 for Euro Stoxx 50; 70% of initial levels
Downside thresholds:	566.094 for Russell 2000 and 1,585.365 for Euro Stoxx 50; 50% of initial levels
Pricing date:	Aug. 26
Settlement date:	Aug. 31
Agent:	Morgan Stanley & Co. LLC
Fees:	3.5%
Cusip:	61761JF20

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