Published on 2/28/2018 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $1.5 million contingent income buffered autocallables linked to indexes
By Wendy Van Sickle
Columbus, Ohio, Feb. 28 – Morgan Stanley priced $1.5 million of contingent income buffered autocallable securities due Feb. 25, 2021 linked to the worst performing of the Euro Stoxx 50 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each month, the notes will pay a contingent coupon at an annualized rate of 9.24% if each index closes at or above its coupon barrier level, 80% of its initial level, on the determination date for that month.
After one year, the notes will be called if each index closes at or above its initial level on any monthly early redemption determination date.
If the final level of each index is greater than or equal to 80% of its initial level, the payout at maturity will be par plus the last contingent coupon. Otherwise, investors will lose 1.25% for every 1% that the worst-performing index declines beyond 20%.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
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| Issue: | Contingent income buffered autocallable securities
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| Underlying indexes: | Euro Stoxx 50, S&P 500 and Russell 2000
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| Amount: | $1.5 million
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| Maturity: | Feb. 25, 2021
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| Coupon: | 9.24% per year if each index closes at or above coupon barrier level on monthly 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 monthly early redemption determination date after one year
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| Payout at maturity: | If final level of each index is greater than or equal to 80% of initial level, par plus last contingent coupon; otherwise, 1.25% loss for every 1% that worst-performing index declines beyond 20%
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| Initial index levels: | 3,430.16 for Stoxx, 2,701.33 for S&P 500 and 1,531.836 for Russell 2000
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| Coupon barrier levels: | 2,744.128 for Stoxx, 2,161.128.76 for S&P 500 and 1,225.469 for Russell 2000; 80% of initial levels
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| Pricing date: | Feb. 22
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| Settlement date: | Feb. 27
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| Agents: | Morgan Stanley & Co. LLC
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| Fees: | 0.1%
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| Cusip: | 61768CF36
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