By Angela McDaniels
Tacoma, Wash., Jan. 23 – Morgan Stanley priced $5.2 million of 0% outperformance securities due Jan. 26, 2018 linked to the performance of the S&P GSCI Crude Oil Index – Excess Return relative to the February 2018 futures contract for West Texas Intermediate light sweet crude oil, according to a 424B2 filing with the Securities and Exchange Commission.
Investors will receive a positive return if the index, which represents the return of a portfolio of front-month WTI futures contracts, outperforms the futures contract. If the index underperforms the futures contract, investors will receive a negative return.
The payout at maturity will be par plus 50% of the outperformance return. The outperformance return equals the index percent change minus the contract percent change.
The index percent change will equal the quotient of (a) the final index level minus 98.5% of the initial index level (b) divided by the initial index level.
The contract percent change will equal the quotient of (a) the final contract price minus 101.5% of the initial contract price (b) divided by the initial contract price, provided that the contract percent change will not be greater than 101.5%.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Outperformance securities
|
| Underliers: | S&P GSCI Crude Oil Index – Excess Return and February 2018 futures contract for West Texas Intermediate light sweet crude oil
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| Amount: | $5.2 million
|
| Maturity: | Jan. 26, 2018
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 50% of outperformance return
|
| Outperformance return: | Index percent change minus contract percent change
|
| Index percent change: | Quotient of (a) final index level minus 98.5% of initial index level (b) divided by initial index level
|
| Contract percent change: | Quotient of (a) final contract price minus 101.5% of initial contract price (b) divided by initial contract price, subject to cap of 101.5%
|
| Initial levels: | 259.8136 for index and $63.17 for oil
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| Pricing date: | Jan. 21
|
| Settlement date: | Jan. 28
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 1%
|
| Cusip: | 61762GCX0
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