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Morgan Stanley prices $10.56 million biotech ETF notes; Citigroup readies basket-linked notes
By Sheri Kasprzak
New York, Oct. 8 – Among the larger structured products offerings Thursday, Morgan Stanley priced $10.56 million of trigger phoenix autocallable optimization securities, according to a filing with the Securities and Exchange Commission.
The securities are linked to the iShares Nasdaq Biotechnology exchange-traded fund and are due Oct. 6, 2017. The securities pay a contingent coupon for the quarter at the rate of 12.1% annually if the ETF’s shares close at or above the trigger price, 65% of the initial share price, on the observation date for that quarter.
If the shares close at or above the initial price on a quarterly observation date, the notes will be called at par of $10 plus the contingent coupon.
If the notes are not called at the ETF finishes at or above the trigger price, the payout at maturity is par plus the contingent coupon. Otherwise, investors are exposed to the share price decline from the initial price.
Citi preps basket-linked notes
Looking to upcoming offerings, Citigroup Inc. is set to price 0.25% market-linked notes linked to a basket containing two indexes and one exchange-traded fund, almost equally weight, said an SEC filing.
The notes are due May 2, 2021.
The underlying components are the S&P 500 index weighted at 33.34%, the Euro Stoxx 50 index weighted at 33.33% and the iShares Core U.S. Aggregate Bond ETF weighted at 33.33%.
The payout at maturity will be par plus 100% to 110% of any basket gain with the exact participation rate to be set at pricing. If the basket falls, payout is par.
Pricing is slated for Oct. 29.
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