New York, June 28 – Morgan Stanley Finance LLC priced $2.8 million of 0% dual directional buffered participation securities due July 25, 2024 linked to the S&P 500 index and the iShares Russell 2000 Value ETF, according to a 424B2 filing with the Securities and Exchange Commission.
If the return of the worst performing asset is positive, the payout at maturity will be par plus the return of that asset, subject to a maximum return of par plus 12%.
Investors will receive par plus 1.5 times the absolute return of the worst performing asset if it declines by no more than 15% and will be exposed to any decline in the worst performing asset beyond 15%.
The notes are guaranteed by Morgan Stanley.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley Finance LLC
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| Guarantor: | Morgan Stanley
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| Issue: | Dual directional buffered participation securities
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| Underlying assets: | S&P 500 index and iShares Russell 2000 Value ETF
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| Amount: | $2.8 million
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| Maturity: | July 25, 2024
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If return of worst performing asset is positive, par plus that asset's return, subject to a maximum return of par plus 12%; par plus 1.5 times absolute return of worst performing asset if it declines by no more than 15%; otherwise, 1% loss for every 1% decline of worst performing asset beyond 15%
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| Initial levels: | $137.65 for iShares Russell 2000 Value ETF, 4,381.89 for S&P 500
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| Cap: | 12%
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| Buffer: | 15%
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| Pricing date: | June 22
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| Settlement date: | June 27
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 0%
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| Cusip: | 61775HAZ0
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