By Marisa Wong
Morgantown, W.Va., Feb. 20 – Morgan Stanley Finance LLC priced $1 million of 0% buffered Performance Leveraged Upside Securities due Feb. 16, 2022 linked to an unequally weighted basket of eight commodity indexes, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Morgan Stanley.
The basket consists of the S&P GSCI Gold Index – Excess Return and the S&P GSCI Silver Index – Excess Return, each with a 15% weight; the S&P GSCI Soybeans Index – Excess Return, S&P GSCI Wheat Index – Excess Return, S&P GSCI Sugar Index – Excess Return and S&P GSCI Corn Index – Excess Return, each with a 12% weight; and the S&P GSCI Copper Index – Excess Return and S&P GSCI Aluminum Index – Excess Return, each with an 11% weight.
The payout at maturity will be par plus the leveraged upside return plus the buffered downside return.
The leveraged upside return will be 215% of the average basket return. The average basket return is (a) the average basket closing value minus the initial basket value divided by (b) the initial basket value. The average basket closing value is the average of the basket closing values on the 16 quarterly averaging dates making up the life of the notes.
The buffered downside return will be 1.25 times the sum of the basket return plus the buffer amount of 20%; the buffered downside return is capped at zero. The basket return is (a) the final basket value minus the initial value divided by (b) the initial value.
Investors will be exposed to losses if the leveraged upside return is not sufficient to fully offset any negative buffered downside return.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley Finance LLC
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| Guarantor: | Morgan Stanley
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| Issue: | Buffered Performance Leveraged Upside Securities
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| Basket components: | S&P GSCI Gold Index – Excess Return and the S&P GSCI Silver Index – Excess Return, each with a 15% weight; the S&P GSCI Soybeans Index – Excess Return, S&P GSCI Wheat Index – Excess Return, S&P GSCI Sugar Index – Excess Return and S&P GSCI Corn Index – Excess Return, each with a 12% weight; and the S&P GSCI Copper Index – Excess Return and S&P GSCI Aluminum Index – Excess Return, each with an 11% weight
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| Amount: | $1 million
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| Maturity: | Feb. 16, 2022
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | Par plus the leveraged upside return plus the buffered downside return
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| Leveraged upside return: | 215% of the average basket return
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| Buffered downside return: | 1.25 times the sum of the basket return plus the buffer amount of 20%; capped at zero
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| Basket return: | (a) Final basket value minus initial basket value divided by (b) initial basket value
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| Average basket return: | (a) Average basket closing value minus initial basket value divided by (b) initial basket value; average basket closing value is the average of the basket closing values on the 16 quarterly averaging dates making up the life of the notes
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| Initial basket value: | 100
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| Initial index levels: | 107.5796 for Gold, 62.603 for Silver, 414.7741 for Soybeans, 7.12589 for Wheat, 10.89406 for Sugar, 7.228241 for Corn, 609.523 for Copper, 29.53168 for Aluminum
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| Pricing date: | Feb. 13
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| Settlement date: | Feb. 16
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| Underwriter: | Morgan Stanley & Co. LLC
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| Fees: | None
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| Cusip: | 61766YCG4
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