New Issue: Morgan Stanley prices $2.46 million contingent buffer notes tied to sector indexes

By Marisa Wong

Morgantown, W.Va., Aug. 26 – Morgan Stanley priced $2.46 million of 0% contingent buffer equity notes due March 1, 2017 linked to an equally weighted basket of four indexes derived from the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The basket is comprised of the Financials Select Sector index, Technology 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 is below the 82% knock-out level. The final average basket value is the average of the basket closing values for each of the five valuation dates ending Feb. 24, 2017.

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

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.

Issuer:	Morgan Stanley
Issue:	Contingent buffer equity notes
Underlying basket:	Financials Select Sector index, Technology Select Sector index, Consumer Discretionary Select Sector index and Health Care Select Sector index; equally weighted
Amount:	$2,455,000
Maturity:	March 1, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If a knock-out event has not occurred, par plus the greater of the contingent minimum return of 0% and the basket return, up to a maximum payment of $1,150 per $1,000 principal amount; otherwise, par plus the basket return, with full exposure to any losses
Knock-out event:	Final average basket value is below the 82% knock-out level; final average basket value is the average of the basket closing values for each of the five valuation dates ending Feb. 24, 2017
Initial levels:	236.73 for Financials, 395.29 for Technology, 746.39 for Consumer, 718.21 for Health Care
Pricing date:	Aug. 21
Settlement date:	Aug. 26
Agents:	Morgan Stanley & Co. LLC with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents
Fees:	1.25%
Cusip:	61761JG86

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