Morgan Stanley plans contingent buffer equity notes on S&P 500 sectors

By Tali Rackner

Norfolk, Va., Aug. 26 – Morgan Stanley plans to price 0% contingent buffer equity notes due March 8, 2017 linked to an equally weighted basket of three indexes derived from the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The basket is comprised of the Financials Select Sector index, Consumer Discretionary Select Sector index and Health Care Select Sector index.

A knock-out event occurs if the final average basket value closes below the 82% knock-out level.

If a knock-out event has not occurred, the payout at maturity will be par of $1,000 plus the greater of the contingent minimum return of 0% and any basket gain, up to a maximum payment of $1,150.

If a knock-out event has occurred, the payout will be par plus the basket return, with full exposure to any losses.

Morgan Stanley & Co. LLC is the agent with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents.

The notes will price on Aug. 28 and settle on Sept. 2.

The Cusip number is 61761JJ26.

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