By Jennifer Chiou
New York, Dec. 4 - Morgan Stanley priced $8,223,480 of market-linked notes due Dec. 5, 2016 with past performance averaging feature linked to the Morgan Stanley ETF-Map Index (Excess Return), according to a 424B2 filing with the Securities and Exchange Commission.
The payout will be par plus a supplemental redemption amount, if any.
Any supplement amount will be calculated using the arithmetic average of the locked-in index values of the underlying index on the four annual determination dates over the term of the notes. On each determination date, the locked-in index value will be the greater of the index closing level and the highest index closing level on any previous determination date, provided that the locked-in index level on the first determination date will be the index closing level on that date, regardless of whether that level is greater than, equal to or less than the initial index level.
If the index falls, the payout will be par.
The index is a rules-based quantitative strategy that uses modern portfolio theory principles and the related concept of efficient frontier to attempt to maximize returns for a given level of risk. Its components consist of U.S.-listed exchange-traded funds representing U.S. and non-U.S. equities, fixed-income securities, commodities and cash. It is calculated on an excess return basis, and therefore its level is determined by the weighted return of the optimized portfolio of the index components reduced by the return on an equivalent cash investment receiving the Federal Funds rate.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Market-linked notes with past performance averaging feature
|
| Underlying index: | Morgan Stanley ETF-Map Index (Excess Return)
|
| Amount: | $8,223,480
|
| Maturity: | Dec. 5, 2016
|
| Coupon: | 0%
|
| Price: | Par of $10.00
|
| Payout at maturity: | Par plus supplemental redemption amount, if any
|
| Initial index level: | 1,013.96
|
| Pricing date: | Nov. 29
|
| Settlement date: | Dec. 4
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3%
|
| Cusip: | 61761H764
|
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