By Wendy Van Sickle
Columbus, Ohio, May 24 – Morgan Stanley Finance LLC priced $3,027,500 of put warrants due May 22, 2024 linked to the worst performing of the Invesco QQQ trust, series 1 and the SPDR S&P 500 ETF trust, 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 $86.50 per warrant. The aggregate premium amount for the 35,000 warrants is $3,027,500.
If the final share level of each ETF is less than the strike level, 95% of the initial share level, the warrants will be automatically exercised. The payout per warrant will be $1,000 multiplied by the bearish share return of the least performing ETF, which is the quotient of (a) the strike level minus the final share price divided by (b) the strike level.
In no event will the cash settlement amount exceed the maximum cash settlement amount of $300 per warrant, which would be payable only in the unlikely event that the final share price is $0.
The issuer noted that even if the bearish share return is positive (meaning that the final share level is less than the strike level), if the bearish share return is less than the 2.2% warrant premium percentage, investors will receive a cash settlement amount that is less than the premium amount.
If the final share level is greater than or equal to the strike level, the warrants will expire worthless and the cash settlement amount will be zero.
Morgan Stanley & Co. LLC and Stifel Nicolaus & Co. are the agents.
Issuer: | Morgan Stanley Finance LLC
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Guarantor: | Morgan Stanley
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Issue: | Put warrants
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Underlying ETF: | SPDR S&P 500 ETF trust and Invesco QQQ trust, series 1
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Warrants: | 35,000
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Notional amount per warrant: | $1,000
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Total notional amount: | $35 million
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Price per warrant: | $86.50
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Total price: | $3,027,500
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Expiration date: | May 17, 2024
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Maturity: | May 22, 2024
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Payout: | If final share price of each ETF is less than strike level, $1,000 multiplied by bearish share return, which is quotient of (a) strike level minus final share price divided by (b) strike level, subject to maximum payout of $300 per warrant; if final share price is greater than or equal to strike level, warrants will expire worthless and cash settlement amount will be zero
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Initial price: | $291.84 for QQQ, $392.75 for SPDR
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Strike level: | $277.248 for QQQ, $373.1125 for SPDR, 95% of initial share level
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Final share price: | Closing price on expiration date
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Pricing date: | May 16
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Settlement date: | May 19
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Agents: | Morgan Stanley & Co. LLC and Stifel Nicolaus & Co.
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Fees: | 0.5%
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Cusip: | 61773Y797
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