By Angela McDaniels
Tacoma, Wash., Feb. 26 – Morgan Stanley priced $2.97 million of contingent income autocallable securities due Feb. 28, 2018 linked to the S&P GSCI Crude Oil Index – Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes will pay a contingent coupon at an annual rate of 12% if the index closes at or above the coupon barrier level, 75% of the initial index level, on the determination date for that quarter.
Beginning Aug. 24, the notes will be automatically called at par plus the contingent coupon if the index closes at or above the initial index level on any quarterly determination date other than the final determination date.
If the final index level is greater than or equal to the coupon barrier level, the payout at maturity will be par plus the final contingent coupon. If the final index level is greater than or equal to the downside threshold level, 60% of the initial index level, but less than the coupon barrier level, the payout will be par. If the final index level is less than the downside threshold level, investors will be fully exposed to the index’s decline.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley & Co. LLC
|
| Issue: | Contingent income autocallable securities
|
| Underlying index: | S&P GSCI Crude Oil Index – Excess Return
|
| Amount: | $2,969,000
|
| Maturity: | Feb. 28, 2018
|
| Coupon: | 12% per year, payable quarterly if index closes at or above coupon barrier level on determination date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than or equal to coupon barrier level, par plus final contingent coupon; if final index level is greater than or equal to downside threshold level but less than coupon barrier level, par; if final index level is less than downside threshold level, full exposure to index’s decline
|
| Call: | Beginning Aug. 24 at par plus contingent coupon if index closes at or above initial index level on any quarterly determination date other than final determination date
|
| Initial index level: | 263.3917
|
| Coupon barrier level: | 197.543775, 75% of initial index level
|
| Downside threshold: | 158.03502, 60% of initial index level
|
| Pricing date: | Feb. 24
|
| Settlement date: | Feb. 27
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 2%
|
| Cusip: | 61762GDF8
|
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