By Jennifer Chiou
New York, Aug. 2 - Morgan Stanley priced $5,804,320 of contingent income autocallable securities due Aug. 5, 2016 linked to the common stock of JPMorgan Chase & Co., according to a 424B2 filing with the Securities and Exchange Commission.
If JPMorgan stock closes at or above the downside threshold level, 85% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment of $0.23125 per $10 note for that quarter, equivalent to 9.25% per year.
If the shares close at or above the redemption level on any of the first 11 quarterly determination dates, the notes will be redeemed at par of $10 plus the contingent payment. The redemption threshold level will be 105% of the initial share price for the first four review dates, stepping up to 110% of the initial share price for the next four review dates and then to 115% of the initial share price for the final three review dates.
If the notes are not called, the payout at maturity will be par plus the contingent payment unless the stock closes below the 85% trigger level, in which case the payout will be a number of JPMorgan shares equal to $10 divided by the initial share price or, at the issuer's option, the cash equivalent.
Morgan Stanley & Co. LLC is the agent with Morgan Stanley Smith Barney LLC as dealer.
| Issuer: | Morgan Stanley
|
| Issue: | Contingent income autocallable securities
|
| Underlying stock: | JPMorgan Chase & Co. (Symbol: JPM)
|
| Amount: | $5,804,320
|
| Maturity: | Aug. 5, 2016
|
| Contingent coupon: | 2.3125% (9.25% per year), payable quarterly if JPMorgan stock closes at or above downside threshold level on determination date for that quarter
|
| Price: | Par of $10.00
|
| Payout at maturity: | If final share price is greater than or equal to downside threshold level, par plus contingent payment; otherwise, 0.17944 JPMorgan shares or, at issuer's option, cash amount equal to value of those shares
|
| Call: | At par plus contingent payment if closing share price is greater than or equal to initial share price on any of first 11 quarterly determination dates
|
| Initial share price: | $55.73
|
| Downside threshold level: | $47.371, 85% of initial share price
|
| Pricing date: | July 31
|
| Settlement date: | Aug. 5
|
| Agent: | Morgan Stanley & Co. LLC with Morgan Stanley Smith Barney LLC as dealer
|
| Fees: | 2.25%
|
| Cusip: | 61762P302
|
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