By Angela McDaniels
Tacoma, Wash., May 4– Morgan Stanley priced $2 million of contingent income autocallable securities due May 5, 2022 linked to the worst performing of the S&P GSCI Crude Oil Index – Excess Return, the S&P GSCI Grains Index – Excess Return and the Bloomberg Softs Subindex, 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 17.5% if each index closes at or above its downside threshold level, 80% of its initial level, on the determination date for that quarter.
Beginning Oct. 30, the notes will be called at par plus the contingent coupon if each index closes at or above its redemption threshold level, 95% of its initial level, on any quarterly determination date.
The payout at maturity will be par plus the final contingent coupon unless the worst-performing index finishes below its downside threshold level, 80% of its initial level, in which case investors will be fully exposed to the decline of the worst-performing index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Contingent income autocallable securities
|
| Underlying indexes: | S&P GSCI Crude Oil Index – Excess Return, S&P GSCI Grains Index – Excess Return and Bloomberg Softs Subindex
|
| Amount: | $2 million
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| Maturity: | May 5, 2022
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| Coupon: | 17.5% per year, payable quarterly if each index closes at or above downside threshold level on determination date for that quarter
|
| Price: | Par
|
| Payout at maturity: | Par plus final contingent coupon unless worst-performing index finishes below downside threshold level, in which case full exposure to decline of worst-performing index
|
| Call: | At par plus contingent coupon if each index closes at or above redemption threshold level on any quarterly determination date from Oct. 30 onward
|
| Initial levels: | 297.3421 for oil index, 30.44215 for grains index and 45.3976 for softs index
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| Redemption thresholds: | 282.474995 for oil index, 28.9200425 for grains index and 43.12772 for softs index; 95% of initial levels
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| Downside thresholds: | 237.87368 for oil index, 24.35372 for grains index and 36.31808 for softs index; 80% of initial levels
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| Pricing date: | April 30
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| Settlement date: | May 5
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61762GDU5
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