Published on 8/24/2020 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley sells $1.01 million contingent income buffered autocalls on indexes
By Sarah Lizee
Olympia, Wash., Aug. 24 – Morgan Stanley Finance LLC priced $1.01 million of contingent income buffered autocallable securities due Aug. 25, 2022 linked to the worst performing of the Russell 2000 index, the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Morgan Stanley.
Each quarter, the notes will pay a contingent coupon at an annualized rate of 11% if each index closes at or above its coupon barrier level, 85% of its initial level, on the determination date for that quarter.
Beginning on Feb. 25, 2021, the notes will be called at par plus the coupon if each index closes at or above its initial level on any quarterly early redemption determination date.
If the final level of each index is greater than or equal to 85% of its initial level, the payout at maturity will be par plus the last contingent coupon. Otherwise, investors will lose 1% for every 1% that the worst-performing index declines beyond 15%.
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 buffered autocallable securities
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| Underlying indexes: | Russell 2000, S&P 500 and Nasdaq-100
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| Amount: | $1,005,000
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| Maturity: | Feb. 25, 2021
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| Coupon: | 11% annual rate if each index closes at or above coupon barrier level on quarterly determination date
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| Price: | Par
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| Call: | At par if each index closes at or above its initial level on any quarterly early redemption determination date beginning on Dec. 4, 2020
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| Payout at maturity: | If final level of each index is greater than or equal to 85% of initial level, par plus last contingent coupon; otherwise, 1% loss for every 1% that worst-performing index declines beyond 15%
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| Initial index levels: | 1,564.301 for Russell, 3,385.51 for S&P and 11,477.05 for Nasdaq
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| Coupon barrier levels: | 1,329.656 for Russell, 2,877.684 for S&P and 9,755.493 for Nasdaq; 85% of initial levels
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| Pricing date: | Aug. 20
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| Settlement date: | Aug. 25
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 0.75%
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| Cusip: | 61771BP65
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