New Issue: Morgan Stanley prices $10.21 million leveraged buffered notes on SPDR S&P Bank ETF

By Marisa Wong

Morgantown, W.Va., March 17 – Morgan Stanley priced $10.21 million of 0% leveraged buffered notes due Dec. 20, 2017 linked to the SPDR S&P Bank exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.

If the ETF return is positive, the payout at maturity will be par plus double the ETF return, subject to a maximum return of 29%. If the ETF return is zero or negative but not below negative 10%, the payout will be par. If the ETF return is below negative 10%, investors will lose 1.1111% for every 1% that the ETF declines beyond 10%.

Morgan Stanley & Co. LLC is the agent.

Issuer:	Morgan Stanley
Issue:	Leveraged buffered notes
Underlying ETF:	SPDR S&P Bank ETF
Amount:	$10,214,000
Maturity:	Dec. 20, 2017
Coupon:	0%
Price:	Par
Payout at maturity:	If ETF return is positive, par plus 2 times ETF return, subject to 29% maximum return; if ETF return is zero or negative but not below negative 10%, par; if ETF return is below negative 10%, 1.1111% loss for every 1% that ETF declines beyond 10%
Initial share price:	$30.65
Buffer price:	$27.585, 90% of initial price
Pricing date:	March 15
Settlement date:	March 22
Agent:	Morgan Stanley & Co. LLC
Fees:	1.67%
Cusip:	61761J2F5

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