By Kiku Steinfeld
Chicago, April 19 – Morgan Stanley Finance LLC priced $720,000 of put warrants due June 25, 2024 linked to the worst performing of the iShares iBoxx $ High Yield Corporate Bond ETF and the SPDR S&P 500 ETF trust, according to a 424B2 filing with the Securities and Exchange Commission.
The warrants are guaranteed by Morgan Stanley.
The notional amount is $1,000 per warrant. The premium amount and original issue price is $48 per warrant. The aggregate premium amount for the 15,000 warrants is $720,000.
If the final share price of each ETF is less than the initial share price, the warrants will be automatically exercised. The payout per warrant will be $1,000 multiplied by the bearish share return of the lesser performing ETF, which is the quotient of (a) the initial share price minus the final share price divided by (b) the initial share price.
In no event will the cash settlement amount exceed the maximum cash settlement amount of $200 per warrant, which would be payable only in the event that the final share price of each ETF is at least 20% less than its initial share price.
The issuer noted that even if the bearish share return is positive (meaning that the final share level is less than the initial level), if the bearish share return is less than the 4.8% warrant premium percentage, investors will receive a cash settlement amount that is less than the premium amount.
If the final share level is greater than or equal to the initial level, the warrants will expire worthless and the cash settlement amount will be zero.
Morgan Stanley & Co. LLC and Stifel Nicolaus & Co. are the agents.
| Issuer: | Morgan Stanley Finance LLC
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| Guarantor: | Morgan Stanley
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| Issue: | Put warrants
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| Underlying ETFs: | SPDR S&P 500 ETF trust and iShares iBoxx $ High Yield Corporate Bond ETF
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| Warrants: | 15,000
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| Notional amount per warrant: | $1,000
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| Total notional amount: | $720,000
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| Price per warrant: | $48
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| Total price: | $720,000
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| Expiration date: | June 20, 2024
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| Maturity: | June 25, 2024
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| Payout: | If final share price of each ETF is less than initial share price, $1,000 multiplied by lesser performing ETF’s bearish share return, which is quotient of (a) initial share price minus final share price divided by (b) initial share price, subject to maximum payout of $200 per warrant; if final share price is greater than or equal to initial share price, warrants will expire worthless and cash settlement amount will be zero
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| Initial share price: | $74.60 for iShares, $383.27 for SPDR
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| Final share price: | Closing price on expiration date
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| Pricing date: | Dec. 20
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| Settlement date: | Dec. 23
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| Agents: | Morgan Stanley & Co. LLC and Stifel Nicolaus & Co.
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| Fees: | 2.083%
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| Cusip: | 61774Q587
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