New Issue: Morgan Stanley sells $1.99 million contingent income notes on S&P 500

By Marisa Wong

Madison, Wis., Jan. 27 - Morgan Stanley priced $1.99 million of contingent income autocallable securities due Jan. 30, 2017 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The notes will pay a contingent quarterly payment of 2.25% if the index closes above the coupon barrier level - 80% of the initial level - on the determination date for that quarter. Otherwise, no coupon will be paid that quarter.

If, on any of the first four annual determination dates, the index closes at or above the initial level, the notes will be called at par plus the contingent quarterly payment.

If the final index level is greater than or equal to the coupon barrier level, the payout at maturity will be par plus the contingent payment. If the final level is less than the coupon barrier but greater than or equal to the downside threshold level - 60% of the initial level - the payout at maturity will be par. If the final index level is less than the downside threshold level, investors will be fully exposed to the decline of the index from the initial level.

Morgan Stanley & Co. LLC is the agent.

Issuer:	Morgan Stanley
Issue:	Contingent income autocallable securities
Underlying index:	S&P 500
Amount:	$1,987,100
Maturity:	Jan. 30, 2017
Coupon:	Quarterly payment of 2.25%, if closing level is at least 80% of initial level on quarterly determination date; otherwise, none
Price:	Par of $10.00
Payout at maturity:	If final level is at least 80% of initial level, par plus contingent quarterly payment; if final level is less than 80% but at least 60% of initial level, par; otherwise, full exposure to decline in index from the initial level
Call:	Automatically at par plus contingent quarterly payment if index closes at or above initial level on any of first four annual determination dates
Initial level:	1,326.05
Coupon barrier level:	1,060.84, 80% of initial level
Downside threshold level:	795.63, 60% of initial level
Pricing date:	Jan. 25
Settlement date:	Jan. 30
Agent:	Morgan Stanley & Co. LLC
Fees:	3%
Cusip:	61760T355

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