Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 25 2016 - 5:09PM
Edgar (US Regulatory)
|
October
2016
Pricing
Sheet dated October 21, 2016 relating to
Preliminary
Terms No. 1,115 dated October 13, 2016
Registration
Statement No. 333-200365
Filed
pursuant to Rule 433
|
Structured Investments
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due
October 27, 2017
Based on the Performance of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
PRICING TERMS – OCTOBER 21, 2016
|
Issuer:
|
Morgan Stanley
|
Underlying shares:
|
Shares of the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF (the “Fund”)
|
Aggregate principal amount:
|
$8,328,990
|
Stated principal amount:
|
$10 per security
|
Issue price:
|
$10 per security
|
Pricing date:
|
October 21, 2016
|
Original issue date:
|
October 26, 2016 (3 business days after the pricing date)
|
Maturity date:
|
October 27, 2017
|
Early redemption:
|
If, on any of the first three determination dates, the determination closing price of the underlying shares is
greater than or equal to
the initial share price, the securities will be automatically redeemed for an early redemption payment on the third business day following the related determination date. No further payments will be made on the securities once they have been redeemed.
|
Early redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount
plus
(ii) the contingent quarterly coupon with respect to the related determination date.
|
Determination closing price:
|
The closing price of one underlying share on any determination date other than the final determination date
times
the adjustment factor on such determination date
|
Contingent quarterly coupon:
|
·
If,
on any determination date, the determination closing price or the final share price, as applicable, is greater than or equal to
the downside threshold level, we will pay a contingent quarterly coupon at an annual rate of 11.25% (corresponding to approximately
$0.28125 per quarter per security) on the related contingent payment date.
·
If,
on any determination date, the determination closing price or the final share price, as applicable, is less than the downside
threshold level, no contingent quarterly coupon will be paid with respect to that determination date.
|
Determination dates:
|
January 23, 2017, April 21, 2017, July 21, 2017, and October 24, 2017, subject to postponement for non-trading days and certain market disruption events. We also refer to October 24, 2017 as the final determination date.
|
Contingent payment dates:
|
With respect to each determination date other than the final determination date, the third business day after the related determination date. The payment of the contingent quarterly coupon, if any, with respect to the final determination date will be made on the maturity date.
|
Payment at maturity:
|
·
If the final share price is
greater than or equal to
the downside threshold level:
|
(i) the stated principal amount
plus
(ii) the contingent quarterly coupon with respect to the final determination date
|
|
·
If the final share price is
less than
the downside threshold level:
|
(i) the stated principal amount
multiplied by
(ii) the share performance factor
|
Share performance factor:
|
The final share price divided by the initial share price
|
Adjustment factor:
|
1.0, subject to adjustment in the event of certain events affecting the underlying shares
|
Downside threshold level:
|
$26.544, which is equal to 70% of the initial share price
|
Initial share price:
|
$37.92, which is equal to the closing price of one underlying share on the pricing date
|
Final share price:
|
The closing price of one underlying share on the final determination date
times
the adjustment factor on such date
|
CUSIP:
|
61766A541
|
ISIN:
|
US61766A5415
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Agent:
|
Morgan Stanley & Co. LLC (“MS & Co.”), a wholly owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of distribution; conflicts of interest” in the accompanying preliminary terms.
|
Estimated value on the pricing date:
|
$9.785 per security. See “Investment Summary” in the accompanying preliminary terms.
|
Commissions and issue price:
|
|
Price to public
|
Agent’s commissions and fees
|
Proceeds to issuer
(3)
|
Per security
|
|
$10.00
|
$0.125
(1)
|
|
|
|
|
$0.05
(2)
|
$9.825
|
Total
|
|
$8,328,990
|
$145,757.33
|
$8,183,232.67
|
|
|
|
|
|
|
|
(1)
|
Selected dealers, including
Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors will collectively receive from the
agent, MS & Co., a fixed sales commission of $0.125 for each security they sell. For additional information, see “Supplemental
information regarding plan of distribution; conflicts of interest” in the accompanying preliminary terms and “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement.
|
|
(2)
|
Reflects a structuring
fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each security.
|
|
(3)
|
See “Use of proceeds
and hedging” in the accompanying preliminary terms.
|
The securities are not deposits
or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality,
nor are they obligations of, or guaranteed by, a bank.
You should read this document
together with the preliminary terms describing the offering and the related product supplement and prospectus, each of which can
be accessed via the hyperlinks below.
Preliminary Terms No. 1,115 dated October 13, 2016
Product Supplement for Auto-Callable Securities dated February 29, 2016
Prospectus dated February 16, 2016
The issuer has filed a registration statement (including a prospectus)
with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration
statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering.
You may get these documents for free by visiting EDGAR on the SEC Web site at
.
www.sec.gov. Alternatively,
the issuer, any underwriter or any dealer participating in this offering will arrange to send you the prospectus if you request
it by calling toll-free 1-800-584-6837.
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