By Sarah Lizee
Olympia, Wash., July 24 – Morgan Stanley Finance LLC priced $59,899 of put warrants due Jan. 23, 2020 linked to the inverse performance of the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The warrants are guaranteed by Morgan Stanley.
The notional amount is $1,000 per warrant. The premium amount and original issue price is $19.90 per warrant. The aggregate premium amount for the 3,010 warrants is $59,899.
If the final index level is less than the strike level, 95% of the initial index level, the warrants will be automatically exercised. The payout per warrant will be $1,000 multiplied by the bearish index return, which is the quotient of (a) the strike level minus the final index level divided by (b) the initial index level.
In no event will the cash settlement amount exceed the maximum cash settlement amount, which is $150 per warrant. Therefore, investors will not benefit from any depreciation in the final index level beyond the barrier level, 80% of the initial index level.
The issuer noted that even if the bearish index return is positive (meaning that the final index level is less than the strike level), if the bearish index return is less than the 1.99% warrant premium percentage, investors will receive a cash settlement amount that is less than the premium amount.
If the final index level is greater than or equal to the strike level, the warrants will expire worthless and the cash settlement amount will be zero.
J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA are the agents.
| Issuer: | Morgan Stanley Finance LLC
|
| Guarantor: | Morgan Stanley
|
| Issue: | Put warrants
|
| Underlying index: | S&P 500
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| Warrants: | 3,010
|
| Notional amount: | $1,000 each, or $5 million total
|
| Price: | $19.90 each, or $59,899 total
|
| Expiration date: | Jan. 17, 2020
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| Cash settlement date: | Jan. 23, 2020
|
| Payout: | If final index level is less than strike level, $1,000 multiplied by bearish index return, which is quotient of (a) strike level minus final index level divided by (b) initial index level, subject to maximum payout of $150 per warrant; if final index level is greater than or equal to strike level, warrants will expire worthless and cash settlement amount will be zero
|
| Initial index level: | 2,976.61
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| Strike level: | 2,827.780, 95% of initial index level
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| Barrier level: | 2,381.288, 80% of initial index level
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| Final index level: | Average of index’s closing levels on five trading days ending Jan. 17, 2020
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| Pricing date: | July 19
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| Settlement date: | July 24
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| Agents: | J.P. Morgan Securities LLC and JPMorgan Chase Bank, NA
|
| Fees: | $1.10 per warrant
|
| Cusip: | 61769Q311
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