By Susanna Moon
Chicago, Aug. 18 – Morgan Stanley priced $1.06 million of contingent income autocallable securities due Aug. 21, 2017 linked to the worst performing of the S&P GSCI Crude Oil Index - Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 10% if the index closes at or above its coupon barrier level, 80% of its initial level, on the observation date for that quarter.
The payout at maturity will be par plus the final coupon unless the index finishes below its 75% trigger level, in which case investors will be fully exposed to any losses.
The notes will be called at par if the index closes at or above its initial level on any determination date other than the final date.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
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| Issue: | Contingent income autocallable securities
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| Underlying index: | S&P GSCI Crude Oil Index - Excess Return
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| Amount: | $1,061,000
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| Maturity: | Aug. 21, 2017
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| Coupon: | 10% for each quarter index closes at or above coupon barrier level on the observation date for that quarter
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| Price: | Par
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| Payout at maturity: | Par plus coupon unless index finishes below its trigger level, in which case investors will be fully exposed to any losses
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| Initial level: | 204.824
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| Coupon barrier: | 163.8592, 80% of initial level
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| Trigger level: | 153.618, 75% of initial level
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| Call: | At par if index closes at or above initial level on any determination date other than the final date
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| Pricing date: | Aug. 14
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| Settlement date: | Aug. 19
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 2%
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| Cusip: | 61762GEH3
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