By Jennifer Chiou
New York, Nov. 18 – Morgan Stanley priced $3,847,500 of contingent income autocallable securities due Nov. 19, 2019 linked to the worst performing of the Energy Select Sector SPDR fund and the SPDR S&P 500 ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at the rate of 7% per year if each fund closes at or above its downside threshold level, 75% of its initial level, on the determination date for that quarter.
Beginning on Nov. 19, 2015, the notes will be automatically redeemed at par plus the contingent coupon if each fund closes at or above its initial level on any quarterly redemption determination date
If the notes are not called and each fund finishes at or above its downside threshold level, the payout at maturity will be par plus the contingent coupon, if any.
If the notes are not called and any fund finishes below its downside threshold level, investors will be fully exposed to the decline of the worst-performing fund from its initial level.
Morgan Stanley & Co. LLC is the agent. Distribution is through Morgan Stanley Wealth Management.
| Issuer: | Morgan Stanley
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| Issue: | Contingent income autocallable securities
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| Underlying ETFs: Energy Select Sector SPDR fund and SPDR S&P 500 ETF trust
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| Amount: | $3,847,500
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| Maturity: | Nov. 19, 2019
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| Coupon: | Each quarter, notes pay contingent coupon at rate of 7% per year if each fund closes at or above barrier level on determination date for that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each fund finishes at or above downside threshold level, par plus final contingent coupon, if any; if any fund finishes below downside threshold level, full exposure to decline of worst-performing fund from initial level
|
| Call: | Automatically at par plus contingent coupon if each fund closes at or above initial level on any quarterly redemption determination date beginning on Nov. 19, 2015
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| Initial fund levels: | $86.21 for Energy Select, $204.24 for SPDR S&P 500
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| Downside threshold levels: | $64.658 for Energy Select, $153.18 for SPDR S&P 500; 75% of initial levels
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| Pricing date: | Nov. 14
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| Settlement date: | Nov. 19
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| Agent: | Morgan Stanley & Co. LLC
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| Distribution: | Morgan Stanley Wealth Management
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| Fees: | 3%
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| Cusip: | 61764C671
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