By Angela McDaniels
Tacoma, Wash., March 18 – Morgan Stanley priced $3.68 million of contingent income autocallable securities due March 16, 2018 linked to the S&P GSCI Crude Oil Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annualized rate of 12% if the index closes at or above the coupon barrier level, 75% of the initial index level, on the determination date for that quarter.
Beginning Sept. 14, 2015, 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 initial index level, the payout at maturity will be par plus the final contingent coupon, if applicable. Otherwise, investors will lose 1% for every 1% that the final index level is less than the initial index level.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Contingent income autocallable securities
|
| Underlying index: | S&P GSCI Crude Oil Index Excess Return
|
| Amount: | $3,677,000
|
| Maturity: | March 16, 2018
|
| Coupon: | 12% per year, payable quarterly if index closes at or above downside threshold 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 Sept. 14, 2015, at par plus contingent coupon if index closes at or above initial index level on any quarterly determination date other than final determination date
|
| Initial index level: | 242.3251
|
| Coupon barrier: | 181.743825, 75% of initial index level
|
| Downside threshold: | 145.39506, 60% of initial index level
|
| Pricing date: | March 13
|
| Settlement date: | March 18
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 2%
|
| Cusip: | 61762GDJ0
|
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