By Marisa Wong
Morgantown, W.Va., June 23 – Morgan Stanley Finance LLC priced $9 million of 0% trigger participation securities due June 29, 2020 linked to the Solactive US Multi Factor Select 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Morgan Stanley.
The payout at maturity will be par plus any index gain.
If the index falls by up to 10%, the payout will be par.
Investors will be fully exposed to losses if the index finishes below the 90% trigger level.
The underlying index is a quantitative rules-based index launched on June 14 and calculated and published by Solactive AG. The index is intended to track the price movements of 50 U.S. stocks selected from the Solactive US Large Cap index on a quarterly basis through a ranking of the stocks compiled using four separate objective factors: earnings yield, return on assets, six-month price momentum and six-month realized volatility. The index then averages the scores of each stock for each of the four factors, and the stocks with the 50 highest average scores are selected for inclusion in the index and are initially assigned equal weightings.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley Finance LLC
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| Guarantor: | Morgan Stanley
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| Issue: | Trigger participation securities
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| Underlying index: | Solactive US Multi Factor Select 50 index
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| Amount: | $9 million
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| Maturity: | June 29, 2020
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If index return is positive, par plus index return; par if index falls by up to 10%; full exposure to losses if index finishes below trigger level
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| Initial index level: | 194.56
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| Trigger level: | 175.104, 90% of initial level
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| Pricing date: | June 20
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| Settlement date: | June 27
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3%
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| Cusip: | 61768CLF2
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