By Marisa Wong
Morgantown, W.Va., Nov. 5 – Morgan Stanley priced $1.05 million of contingent income autocallable securities due Oct. 30, 2017 linked to the S&P GSCI Crude Oil Index – Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annualized rate of 10% if the index closes at or above the downside threshold level, 70% of the initial index level, on the determination date for that quarter.
After a six-month non-call period, the notes will be called at par plus the contingent coupon if the index closes at or above its initial level on any quarterly determination date other than the final one.
If the final index level is greater than or equal to the downside threshold level, the payout at maturity will be par plus the final contingent coupon. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial index level.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
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| Issue: | Contingent income autocallable securities
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| Underlying index: | S&P 500
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| Amount: | $1.05 million
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| Maturity: | Oct. 30, 2017
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| Coupon: | 10% per year, payable quarterly if index closes at or above downside threshold level on observation date for that quarter
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| Price: | Par
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| Payout at maturity: | If index finishes at or above downside threshold level, par plus final coupon, if applicable; if index finishes below downside threshold level, full exposure to index’s decline
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| Call: | Beginning April 25, 2016, automatically at par plus the contingent coupon if the index closes at or above its initial level on any quarterly determination date other than the final one
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| Initial level: | 200.5168
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| Downside threshold: | 140.36176, 70% of initial level
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| Pricing date: | Oct. 27
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| Settlement date: | Oct. 30
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 2%
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| Cusip: | 61762GEZ3
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