New York, July 19 – Morgan Stanley Finance LLC priced $3.22 million of contingent income autocallable securities due July 17, 2020 linked to the worse performing of the Financial Select Sector SPDR fund and the SPDR S&P Biotech exchange-traded fund, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay a contingent quarterly coupon at an annual rate of 8.5% if each ETF closes at or above its 60% downside threshold on the determination date that quarter.
The notes will be called at par plus the contingent coupon if each ETF closes at or above its initial level on any quarterly determination date other than the final determination date.
The payout at maturity will be par plus the contingent coupon unless either ETF finishes below its 60% downside threshold, in which case investors will lose 1% for each 1% decline of the lesser performing ETF.
The notes are guaranteed by Morgan Stanley.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley Finance LLC
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| Guarantor: | Morgan Stanley
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| Issue: | Contingent income autocallable securities
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| Underlying ETFs: Financial Select Sector SPDR fund and the SPDR S&P Biotech exchange-traded fund
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| Amount: | $3,225,000
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| Maturity: | July 17, 2020
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| Coupon: | 8.5% annualized for each quarter that each ETF closes at or above downside threshold on observation date for quarter
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| Price: | Par
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| Payout at maturity: | Par plus contingent coupon if each ETF finishes at or above downside threshold; otherwise, 1% loss for each 1% decline of worst performing ETF
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| Call: | At par plus contingent payment if each ETF closes at or above initial level on any quarterly determination date other than the final determination date
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| Initial levels: | $24.92 for Financial Select, $79.07 for S&P Biotech
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| Downside thresholds: | $14.952 for Financial Select, $47.442 for S&P Biotech; 60% of initial levels
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| Pricing date: | July 14
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| Settlement date: | July 19
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 2%
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| Cusip: | 61768CMH7
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