New Issue: Morgan Stanley prices $3.28 million capped leveraged buffered notes on index basket

By Marisa Wong

Madison, Wis., July 17 – Morgan Stanley priced $3.28 million of 0% capped leveraged buffered notes due Sept. 20, 2017 linked to a basket containing the Euro Stoxx 50 index with a 37% weight, the FTSE 100 index with a 23% weight, the Tokyo Stock Price index with a 23% weight, the Swiss Market index with a 9% weight and the S&P/ASX 200 index with an 8% weight, according to a 424B2 filing with the Securities and Exchange Commission.

If the basket return is positive, the payout at maturity will be par plus 1.4 times the basket return, subject to the maximum settlement amount of $1,252 per $1,000 principal amount.

If the basket return is zero or negative but at least negative 15%, the payout will be par.

If the basket return is less than negative 15%, investors will lose 1.1765% for every 1% decline beyond 15%.

Morgan Stanley & Co. LLC is the agent.

Issuer:	Morgan Stanley
Issue:	Capped leveraged buffered notes
Underlying basket:	Euro Stoxx 50 (37% weight), FTSE 100 index (23% weight), Topix index (23% weight), Swiss Market index (9% weight) and S&P/ASX 200 index (8% weight)
Amount:	$3,277,000
Maturity:	Sept. 20, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 140% of any basket gain, capped at 25.2%; par if basket falls by up to 15%; 1.1765% loss for each 1% decline beyond 15%
Initial index levels:	3,623.87 for Euro Stoxx, 6,753.75 for FTSE, 1,646.41 for Topix, 9,319.25 for Swiss Market and 5,636.225 for S&P/ASX
Pricing date:	July 15
Settlement date:	July 22
Agent:	Morgan Stanley & Co. LLC
Fees:	None
Cusip:	61761JD22

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