By William Gullotti
Buffalo, N.Y., Sept. 7 – Morgan Stanley Finance LLC priced $603,750 of put warrants due Aug. 28, 2024 linked to the performance of a weighted ETF basket, according to a 424B2 filing with the Securities and Exchange Commission.
The warrants are guaranteed by Morgan Stanley.
The basket consists of the SPDR S&P 500 ETF Trust with a 65% weight and the Consumer Discretionary Select Sector SPDR Fund with a 35% weight.
The notional amount is $1,000 per warrant. The premium amount and original issue price is $120.75 per warrant. The aggregate premium amount for the 5,000 warrants is $603,750.
If the final basket level is less than the initial basket level, the warrants will be automatically exercised. The payout per warrant will be $1,000 multiplied by the bearish basket return, which is the quotient of (a) the initial basket level minus the final basket level divided by (b) the initial basket level.
In no event will the cash settlement amount exceed the maximum cash settlement amount of $500 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 basket level is less than the initial basket level), if the bearish share return is less than the 12.075% warrant premium percentage, investors will receive a cash settlement amount that is less than the premium amount.
If the final basket level is greater than or equal to the initial basket 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 ETFs: | SPDR S&P 500 ETF Trust (65% weight), Consumer Discretionary Select Sector SPDR Fund (35% weight)
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| Warrants: | 5,000
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| Notional amount per warrant: | $1,000
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| Total notional amount: | $5 million
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| Price per warrant: | $120.75
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| Total price: | $603,750
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| Expiration date: | Aug. 23, 2024
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| Maturity: | Aug. 28, 2024
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| Payout: | If the final basket level is less than the initial basket level, $1,000 multiplied by bearish share return, which is quotient of (a) the initial basket level minus the final basket level divided by (b) the initial basket level, subject to maximum payout of $500 per warrant; if final basket level is greater than or equal to the initial basket level, warrants will expire worthless and cash settlement amount will be zero
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| Initial prices: | $412.35 for S&P, $163.34 for Consumer
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| Pricing date: | Aug. 30
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| Settlement date: | Sept. 2
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| Agents: | Morgan Stanley & Co. LLC and Stifel Nicolaus & Co.
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| Fees: | 3.11%
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| Cusip: | 61774E238
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