By Taylor Fox
New York, Nov. 23 – Morgan Stanley Finance LLC priced $2 million of 0% buffered participation securities due July 3, 2024 linked to the worse performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
If each index finishes above 93% of its initial level, the payout at maturity will be $10.15 per $10.00 of notes plus 0.925% for each 1% that the laggard index’s final level exceeds 93% of its initial level, subject to a maximum return of 29.25%.
If the laggard index declines by more than 7% but neither index declines by more than 17%, the payout will be par plus 0.15% for each 1% that the laggard index’s final level exceeds 83% of its initial level.
Otherwise, investors will lose 1% for each 1% loss of the laggard index beyond a 17% buffer.
For each index, the initial level is the average of its closing levels from Nov. 3 to Feb. 3, 2021.
For each index, the final level will be the average of its closing levels from April 1, 2024 to June 28, 2024.
The notes are guaranteed by Morgan Stanley.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley Finance LLC
|
| Guarantor: | Morgan Stanley
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| Issue: | Buffered participation securities
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| Underlying indexes: | Russell 2000 index and S&P 500 index
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| Amount: | $2 million
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| Maturity: | July 3, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If each index finishes above 93% of its initial level, $10.15 per $10.00 of notes plus 0.925% for each 1% that laggard index’s final level exceeds 93% of its initial level, subject to maximum return of 29.25%; if laggard index declines by more than 7% but neither index declines by more than 17%, par plus 0.15% for each 1% that laggard index’s final level exceeds 83% of its initial level; otherwise, investors will lose 1% for each 1% loss of laggard index beyond 17%
|
| Upside threshold values: | 93% of initial levels
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| Downside threshold values: | 83% of initial levels
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| Initial levels: | Average of closing levels from Nov. 3 to Feb. 3, 2021
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| Final levels: | Average of closing levels from April 1, 2024 to June 28, 2024
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| Pricing date: | Nov. 6
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| Settlement date: | Nov. 12
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 1%
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| Cusip: | 61771G368
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