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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Morgan Stanley | NYSE:MS | NYSE | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
1.11 | 1.21% | 92.65 | 92.92 | 91.60 | 92.50 | 4,449,196 | 01:00:00 |
Morgan Stanley
Structured Investments
|
Free Writing Prospectus
Filed pursuant to Rule 433
Registration Statement No. 333-200365
March 3, 2015
|
Securities Linked to the SPDR® S&P 500® ETF Trust due April 6, 2020—Leveraged Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities
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Summary of terms
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Investment description
|
|
Issuer
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Morgan Stanley
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· Linked to the SPDR® S&P 500® ETF Trust
· Unlike ordinary debt securities, the securities do not pay interest or repay a fixed amount of the face amount at maturity. Instead, the securities provide for a redemption amount that may be greater than, equal to or less than the face amount of the securities, depending on the performance of the underlying shares from the starting price to the ending price.
At maturity, the redemption amount per $1,000 face amount of securities will be determined as follows:
o If the price of the underlying shares increases:
You will receive $1,000 plus 150% participation in the upside performance of the underlying shares, subject to the capped value of $1,500 to $1,550 (to be determined on the pricing date).
o If the price of the underlying shares decreases, but the decrease is not more than 20%:
You will receive $1,000.
o If the price of the underlying shares decreases by more than
20%:
You will receive less than $1,000 and will have 1 to 1 downside exposure to the decrease in the value of the underlying shares in excess of 20%.
· Investors may lose up to 80% of the face amount.
· All payments are subject to the credit risk of Morgan Stanley. If Morgan Stanley defaults on its obligations, you could lose some or all of your investment. These securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, the underlying shares or any securities held by the SPDR® S&P 500® ETF Trust.
· No periodic interest payments or dividends.
· No exchange listing; designed to be held to maturity.
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Term
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5 years
|
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Market measure
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Shares of the SPDR® S&P 500® ETF Trust (the “underlying shares”)
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Pricing date
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March 31, 2015*
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Original issue date
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April 6, 2015*
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Face amount
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$1,000 per security (100% of par)
|
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Redemption amount
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See “Investment description” on this page and “How the redemption amount is calculated” on page 3
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Maturity date
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April 6, 2020*
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Starting price
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The share closing price of one underlying share on the pricing date
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Ending price
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The share closing price of one underlying share on the calculation day times the adjustment factor on such date
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Adjustment factor
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1.0, subject to adjustment in the event of certain events affecting the underlying shares
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Capped value
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$1,500 to $1,550 per security (150% to 155% of the face amount), to be determined on the pricing date
|
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Threshold price
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80% of the starting price
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Participation rate
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150%
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Calculation day
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March 30, 2020*
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Calculation agent
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Morgan Stanley & Co. LLC, a wholly owned subsidiary of the issuer
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Denominations
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$1,000 and any integral multiple of $1,000
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Agent discount
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Morgan Stanley & Co. LLC and Wells Fargo Securities, LLC will act as the agents for this offering. Wells Fargo Securities, LLC will receive a commission of $35.00 for each security it sells. Dealers, including Wells Fargo Advisors, LLC (“WFA”), may receive a selling concession of up to $15.00 per security, and WFA will receive a distribution expense fee of $1.20 for each security sold by WFA.
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CUSIP
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61761JXQ7
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Hypothetical payoff diagram
The payoff diagram to the right is based on the hypothetical capped value of $1,525 per security (the midpoint of the specified range for the capped value), the participation rate of 150% and the threshold price of 80% of the starting price, and assumes no change to the adjustment factor.
This diagram has been prepared for purposes of illustration only. Your actual return will depend on the actual ending price and capped value and whether you hold your securities to maturity.
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Performance of the Underlying Shares
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Performance of the Securities
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Ending Price
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Percent Change in Share Closing Price
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Participation Rate
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Redemption Amount
|
Return on Securities(1)
|
$420.00
|
100%
|
150%
|
$1,525.00
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52.5%
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$399.00
|
90%
|
150%
|
$1,525.00
|
52.5%
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$378.00
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80%
|
150%
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$1,525.00
|
52.5%
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$357.00
|
70%
|
150%
|
$1,525.00
|
52.5%
|
$336.00
|
60%
|
150%
|
$1,525.00
|
52.5%
|
$315.00
|
50%
|
150%
|
$1,525.00
|
52.5%
|
$294.00
|
40%
|
150%
|
$1,525.00
|
52.5%
|
$285.60
|
36%
|
150%
|
$1,525.00
|
52.5%
|
$283.50
|
35%
|
150%
|
$1,525.00
|
52.5%
|
$273.00
|
30%
|
150%
|
$1,450.00
|
45.0%
|
$252.00
|
20%
|
150%
|
$1,300.00
|
30.0%
|
$231.00
|
10%
|
150%
|
$1,150.00
|
15.0%
|
$220.50
|
5%
|
150%
|
$1,075.00
|
7.5%
|
$210.00(2)
|
0%
|
N/A
|
$1,000.00
|
0.0%
|
$199.50
|
-5%
|
N/A
|
$1,000.00
|
0.0%
|
$189.00
|
-10%
|
N/A
|
$1,000.00
|
0.0%
|
$178.50
|
-15%
|
N/A
|
$1,000.00
|
0.0%
|
$168.00
|
-20%
|
N/A
|
$1,000.00
|
0.0%
|
$165.90
|
-21%
|
N/A
|
$990.00
|
-1.0%
|
$147.00
|
-30%
|
N/A
|
$900.00
|
-10.0%
|
$126.00
|
-40%
|
N/A
|
$800.00
|
-20.0%
|
$105.00
|
-50%
|
N/A
|
$700.00
|
-30.0%
|
$84.00
|
-60%
|
N/A
|
$600.00
|
-40.0%
|
$63.00
|
-70%
|
N/A
|
$500.00
|
-50.0%
|
$42.00
|
-80%
|
N/A
|
$400.00
|
-60.0%
|
$21.00
|
-90%
|
N/A
|
$300.00
|
-70.0%
|
$0.00
|
-100%
|
N/A
|
$200.00
|
-80.0%
|
capped value
|
=
|
$1,500 to $1,550 per security (150% to 155% of the face amount), to be determined on the pricing date
|
SPDR® S&P 500® ETF Trust
Daily Share Closing Prices
January 1, 2010 to February 26, 2015
|
|
·
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The securities do not pay interest, and you will receive less, and up to 80% less, than the face amount of your securities at maturity if the ending price is less than the threshold price.
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·
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The appreciation potential of the securities is limited by the capped value.
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·
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The market price will be influenced by many unpredictable factors.
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·
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The securities are subject to the credit risk of Morgan Stanley, and any actual or anticipated changes to its credit ratings or credit spreads may adversely affect the market value of the securities.
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·
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The amount payable on the securities is not linked to the value of the underlying shares at any time other than the calculation day.
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·
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Investing in the securities is not equivalent to investing in the underlying shares or the stocks composing the S&P 500® Index (the “share underlying index”).
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·
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Adjustments to the underlying shares or to the share underlying index could adversely affect the value of the securities.
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·
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The underlying shares and the share underlying index are different.
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·
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The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the securities in the face amount reduce the economic terms of the securities, cause the estimated value of the securities to be less than the face amount and will adversely affect secondary market prices.
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·
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The estimated value of the securities is determined by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum secondary market price.
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·
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The antidilution adjustments the calculation agent is required to make do not cover every event that could affect the shares of the SPDR® S&P 500® ETF Trust.
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·
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The securities will not be listed on any securities exchange and secondary trading may be limited. Accordingly, you should be willing to hold your securities for the entire 5-year term of the securities.
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·
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The calculation agent, which is a subsidiary of Morgan Stanley, will make determinations with respect to the securities.
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·
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Hedging and trading activity by our subsidiaries could potentially adversely affect the value of the securities.
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·
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The stated maturity date may be postponed if the calculation day is postponed.
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·
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Historical prices of the underlying shares should not be taken as an indication of the future performance of the underlying shares during the term of the securities.
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·
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Potentially inconsistent research, opinions or recommendations by Morgan Stanley & Co. LLC, Wells Fargo Securities, LLC or their respective affiliates.
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|
·
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The U.S. federal income tax consequences of an investment in the securities are uncertain.
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