By Angela McDaniels
Tacoma, Wash., July 1 – Morgan Stanley Finance LLC priced $1.6 million of callable buffered range accrual securities due June 28, 2024 linked to the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 5.7% per year multiplied by the proportion of days on which the index closes at or above the barrier level, 85% of the initial index level. Interest is payable monthly.
The payout at maturity will be par unless the index declines by more than 15%, in which case investors will lose 1% for every 1% that the index declines beyond 15%.
Beginning June 30, 2020, the notes are callable at par monthly if the output from a risk-neutral valuation model based on (i) the performance of the underlying indexes, (ii) the forward level of the underlying indexes, (iii) the volatility of the underlying indexes and (iv) the level of interest rates, and based on the issuer’s credit spreads as of the original issue date, indicates that redeeming on such date is more to Morgan Stanley’s economic advantage than not redeeming on that date.
The notes are guaranteed by Morgan Stanley.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley Finance LLC
|
| Guarantor: | Morgan Stanley
|
| Issue: | Callable buffered range accrual securities
|
| Underlying index: | Russell 2000
|
| Amount: | $1.6 million
|
| Maturity: | June 28, 2024
|
| Coupon: | 5.7% per year multiplied by proportion of days on which index closes at or above barrier level; payable monthly
|
| Price: | Par
|
| Payout at maturity: | Par unless index declines by more than 15%, in which case 1% loss for every 1% that index declines beyond 15%
|
| Call option: | Beginning June 30, 2020, monthly at par
|
| Initial level: | 1,521.035
|
| Barrier level: | 1,292.88, 85% of initial level
|
| Pricing date: | June 25
|
| Settlement date: | June 28
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 61769HFB6
|
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