By Wendy Van Sickle
Columbus, Ohio, Oct. 5 – Morgan Stanley priced $3.1 million of contingent income autocallable securities due Sept. 30, 2018 linked to the 10-Year U.S. Dollar ICE Swap Rate, according to a 424B2 filing with the Securities and Exchange Commission.
If the reference rate is at or above the strike rate, 80% of its initial level, on a quarterly determination date, the notes will pay a contingent payment at an annual rate of 12.25% for that quarter.
If the reference rate is at or above its initial rate on any of the quarterly determination dates beginning September 2017, the notes will be redeemed at par plus the contingent payment.
If the reference rate finishes at or above the strike rate, the payout at maturity will be par plus the contingent quarterly payment. Otherwise, investors will be fully exposed to any losses.
The agent is Morgan Stanley & Co. LLC.
| Issuer: | Morgan Stanley
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| Issue: | Contingent income autocallable securities
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| Underlying rate: | 10-Year U.S. Dollar ICE Swap Rate
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| Amount: | $3.1 million
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| Maturity: | Sept. 30, 2018
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| Coupon: | 12.25% per year, payable quarterly if reference rate closes at or strike rate on determination date for that quarter
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| Price: | Par of $1,000
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| Payout at maturity: | Par unless reference rate finishes below the downside strike rate, in which case 1% loss for every 1% that final rate is less than initial rate
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| Call: | At par plus contingent coupon if rate is at or above initial rate on any determination date beginning September 2017
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| Initial share price: | 1.406%
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| Strike rate: | 1.1248%, 80% of initial rate
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| Pricing date: | Sept. 28
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| Settlement date: | Sept. 30
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 1%
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| Cusip: | 61760QKC7
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