By Angela McDaniels
Tacoma, Wash., Sept. 25 - Morgan Stanley priced $1.86 million of market-linked notes due June 27, 2016 with past performance adjusted contingent coupon linked to the Morgan Stanley ETF-Map Index (Excess Return), according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent coupon annually if the index's closing level on the determination date for that year is greater than the index's closing level on each of the prior determination dates. The contingent coupon rate will be the index return minus the sum of the contingent coupon rates, if any, for each of the previous determination dates. The contingent coupon rate will not be less than 0%.
The payout at maturity will be par of $10 plus the final contingent coupon, if any.
The index is a rules-based quantitative strategy that uses modern portfolio theory principles and the related concept of efficient frontier to attempt to maximize returns for a given level of risk. Its components consist of U.S.-listed exchange-traded funds representing U.S. and non-U.S. equities, fixed-income securities, commodities and cash. It is calculated on an excess return basis, and therefore its level is determined by the weighted return of the optimized portfolio of the index components reduced by the return on an equivalent cash investment receiving the Federal Funds rate.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Market-linked notes with past performance adjusted contingent coupon
|
| Underlying index: | Morgan Stanley ETF-Map Index (Excess Return)
|
| Amount: | $1,857,000
|
| Maturity: | June 27, 2016
|
| Contingent coupon: | Payable annually if index's closing level on determination date for that year is greater than index's closing levels on prior determination dates; contingent coupon rate will be index return minus sum of contingent coupon rates, if any, for each previous determination date
|
| Price: | Par of $10
|
| Payout at maturity: | Par plus final contingent coupon, if any
|
| Initial index level: | 1,019.02
|
| Pricing date: | Sept. 21
|
| Settlement date: | Sept. 26
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3%
|
| Cusip: | 61755S651
|
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