Published on 5/15/2015 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $2.5 million contingent income autocallables on three indexes
By Marisa Wong
Madison, Wis., May 15 – Morgan Stanley priced $2.5 million of contingent income autocallable securities due May 20, 2030 linked to the worst performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 7% if each index closes at or above its downside threshold level, 65% of the initial level, on the determination date for that quarter.
The notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly determination date after one year.
The payout at maturity will be par plus the final contingent coupon unless the worst performing index finishes below the downside threshold level, in which case investors will be fully exposed to any losses of the worst performing index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
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| Issue: | Contingent income autocallable securities
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| Underlying indexes: | S&P 500 index, Russell 2000 index and Euro Stoxx 50 index
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| Amount: | $2.5 million
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| Maturity: | May 20, 2030
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| Coupon: | 7% per year, payable quarterly if each index closes at or above downside threshold level on observation date for that quarter
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless any index finishes below downside threshold level, in which case exposure to decline of worst-performing index
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| Call: | At par plus contingent payment if each index closes at or above initial level on any quarterly determination date after one year
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| Initial levels: | 2,098.48 for S&P, 1,232.275 for Russell, 3,553.42 for Euro Stoxx
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| Downside thresholds: | 1,364.012 for S&P, 800.979 for Russell, 2,309.723 for Euro Stoxx; 65% of initial levels
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| Pricing date: | May 13
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| Settlement date: | May 18
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61761JZF9
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