By Angela McDaniels
Tacoma, Wash., Jan. 27 – Morgan Stanley priced $5.92 million of contingent income autocallable securities due Jan. 30, 2018 with six-month initial non-call period linked to the S&P GSCI Crude Oil Index – Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
If the index closes at or above the coupon barrier level, 75% of the initial index level, on a quarterly determination date, the notes will pay a contingent payment that quarter at an annualized rate of 12%.
Beginning July 23, the notes will be called at par plus the contingent coupon if the index closes at or above the initial index level on any quarterly determination date other than the final determination date.
If the final index level is greater than or equal to the downside threshold level, 60% of the initial index level, the payout at maturity will be par plus the final contingent coupon, if any. Otherwise, investors will be fully exposed to the index’s decline.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley & Co. LLC
|
| Issue: | Contingent income autocallable securities
|
| Underlying index: | S&P GSCI Crude Oil Index – Excess Return
|
| Amount: | $5,922,000
|
| Maturity: | Jan. 30, 2018
|
| Coupon: | 12% per year, payable quarterly if the index closes at or above coupon barrier level on determination date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than or equal to downside threshold level, par plus final contingent coupon, if any; otherwise, 1% loss for every 1% that final index level is less than initial index level
|
| Call: | Beginning July 23, at par plus contingent coupon if the index closes at or above initial index level on any quarterly determination date other than final determination date
|
| Initial index level: | 247.9051
|
| Coupon barrier: | 185.928825, 75% of initial index level
|
| Downside threshold: | 148.74306, 60% of initial index level
|
| Pricing date: | Jan. 23
|
| Settlement date: | Jan. 28
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 2%
|
| Cusip: | 61762GCY8
|
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