Morgan Stanley plans contingent income autocallables on Melco Crown

By Toni Weeks

San Luis Obispo, Calif., March 2 – Morgan Stanley plans to price contingent income autocallable securities due March 10, 2016 linked to the American Depositary Shares of Melco Crown Entertainment Ltd., according to an FWP filing with the Securities and Exchange Commission.

If Melco Crown ADSs close at or above the downside threshold level, 75% of the initial price, on a quarterly determination date, the notes will pay a contingent payment of $0.3375 per $10 note for that quarter. The payment is equivalent to 13.5% per year.

If the closing price is greater than or equal to the initial share price on any of the first three quarterly redemption determination dates, the notes will be automatically redeemed at par plus the contingent payment.

If the notes are not called and the final price is greater than or equal to the 75% downside threshold level, the payout at maturity will be par plus the contingent payment. Otherwise, investors will receive a number of shares of Melco Crown stock equal to $10 divided by the initial price or, at the issuer’s option, the cash value of those shares.

Morgan Stanley & Co. LLC is the agent, with Morgan Stanley Wealth Management as dealer.

The notes (Cusip: 61764V372) will price March 6 and settle March 11.

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