By Marisa Wong
Morgantown, W.Va., Feb. 26 – Morgan Stanley Finance LLC priced $1.01 million of 0% jump notes with autocallable feature due Feb. 20, 2026 linked to the S&P 500 Daily Risk Control 10% USD Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Morgan Stanley.
The notes will be automatically called at par plus 5% per year if the index closes at or above the applicable redemption threshold level on any annual determination date. The redemption threshold will be 102.5% of the initial index level on Feb. 19, 2020 and will increase by 250 basis points each year, reaching 115% of the initial index level on Feb. 18, 2025.
If the notes are not called and the final index level is greater than the initial index level, the payout at maturity will be par plus the index return. If the final index level is less than or equal to the initial index level, the payout will be par.
The index is intended to provide exposure to a broad performance benchmark for the U.S. equity markets through the S&P 500 Total Return index while attempting to provide greater stability and lower overall risk of large fluctuations in the underlying index’s performance as compared to the S&P 500 Total Return Index through the use of a volatility target.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley Finance LLC
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| Guarantor: | Morgan Stanley
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| Issue: | Jump notes with autocallable feature
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| Underlying index: | S&P 500 Daily Risk Control 10% USD Excess Return index
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| Amount: | $1.01 million
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| Maturity: | Feb. 20, 2026
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| Coupon: | 0%
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| Price: | Par
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| Payout at maturity: | If the final index level is greater than the initial index level, par plus the index return; otherwise, par
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| Call: | At par plus 5% per year if the index closes at or above the applicable redemption threshold level on any annual determination date; redemption threshold will be 102.5% of the initial index level on Feb. 19, 2020 and will increase by 250 bps each year, reaching 115% of the initial index level on Feb. 18, 2025
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| Initial value: | 193.887
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| Pricing date: | Feb. 15
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| Settlement date: | Feb. 21
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.4%
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| Cusip: | 61768DQ99
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