tokenengine.ai
Structured Product Evaluator
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Evaluation report  |  CUSIP 61779WB58  |  Due Aug 31, 2033  |  USD  |  $1,000 per CD

Morgan Stanley MSAMP5 Jump Market-Linked CDs with Auto-Callable Feature

Analysis Report — Monte-Carlo Simulation Based Evaluation

Headline Simulation Results

8.13%
Expected Annualized Return (product)
0.00%
Probability of Negative Return
0.00%
99% Confidence VaR (1-year, annualized)
11.75%
Expected Total Return over realized holding period
1.66 yrs
Expected Holding Period

The product is auto-called in 95.98% of simulated scenarios — most (69.48%) at the first determination date (11 months) — paying a fixed 8.00% p.a. call return. In the remaining ~4% of scenarios (held to maturity), the investor receives 100% participation in any index upside, with full principal protection.

No simulated scenario produced a negative return; however, ~3.0% of scenarios (held to maturity with a flat/declining index) returned 0% over the full 7-year term — i.e., principal returned with no growth.

Basic Product Information

How it works (layman's explanation)
  • You deposit $1,000 per CD with Morgan Stanley Bank, N.A. The CD pays no periodic interest.
  • Your return is linked to the Morgan Stanley Amplitude Index™ (MSAMP5) — a proprietary, rules-based multi-asset index that dynamically allocates across global equities, bonds, commodities, currencies and credit using momentum and volatility-management techniques. Because this index has no public trading history (established Jan 2026), a multi-asset volatility-managed fund was used as a market proxy in the simulation.
  • Auto-call feature: On each of 6 annual determination dates (July 2027 – July 2032), if the index closes at or above 101% of its initial level, the CD is automatically redeemed for a fixed cash amount equal to an 8.00% per annum simple return: $1,080 (yr 1) up to $1,480 (yr 6) per CD.
  • Maturity (if never called): At maturity (Aug 2033) you receive $1,000 plus 100% of any positive index return, with no upside cap. If the index is flat or lower than its initial level, you receive $1,000 — your principal is fully protected (subject to issuer credit standing).
Determination Date Month Early Redemption Payment
#1 Jul 28, 2027 11 $1,080
#2 Jul 28, 2028 23 $1,160
#3 Jul 30, 2029 35 $1,240
#4 Jul 29, 2030 47 $1,320
#5 Jul 28, 2031 59 $1,400
#6 Jul 28, 2032 71 $1,480
Maturity Aug 26, 2033 84 $1,000 + 100% × upside (uncapped), min $1,000

Key Statistics (annualized)

Metric Structured Product Underlying / Benchmark*
Expected annualized return 8.13% 13.84%
Expected annualized volatility 1.67% 9.68%
Probability of loss 0.00% 1.67%
99% confidence VaR (1-year) 0.00% -1.82%

*Benchmark = proxy underlying index total return (price return + 2.45% dividend yield), measured over the same holding period as the product in each simulation.

Note on the benchmark figure: the benchmark return is measured at the month the product terminates. Because ~96% of simulations are auto-called only when the index is above 101% of initial, the benchmark's measured mean is conditioned on strong index performance and a short horizon; it is not the expected return of a 7-year buy-and-hold investment in the index.

Charts

Simulation outcomes — product return vs underlying return (color = years held)
Scatter plot of product return vs underlying return
Underlying / benchmark annualized total-return distribution (stacked by holding period)
Histogram of underlying annualized total return distribution
Structured product annualized-return distribution (stacked by holding period)
Histogram of structured product annualized return distribution
Scenario probabilities
Bar chart of scenario probabilities
Risk / return profile
Risk return scatter plot
Annualized return box plot comparison
Box plot comparison of annualized returns
Holding-period distribution
Pie chart of holding period distribution
Number of coupons paid
Pie chart of number of coupons paid

Investment Commentary

Pros (highlights)
  • Full principal protection at maturity — the index can fall as much as it likes without causing a contractual loss (loss probability 0.00%); the worst outcome is a 0% total return over the full 7-year term (principal returned, no growth).
  • Attractive, predictable call return of 8.00% p.a. — realized in ~96% of scenarios, with an expected holding period of only ~1.7 years.
  • Very low return volatility (1.67% annualized) — payoffs are largely deterministic at the call amounts.
  • Uncapped upside participation at maturity (100% participation) in the unlikely event the CD is never called.
Cons / considerations
  • No periodic interest — all return is concentrated at redemption/maturity; there is no income during the term.
  • Early redemption caps upside — even if the index rallies strongly, an auto-call pays only the fixed 8.00% p.a. amount.
  • Zero-return tail — in ~3% of scenarios (index below initial level at all determination dates and at maturity), the investor receives only principal back: a 0% total return over the full 7 years, well below the ~3.71% risk-free alternative.
  • Short expected holding period — 69.5% of scenarios are called at month 11, so annualized figures look high relative to the 8% total return actually received (8% over 11 months annualizes to ~8.7%). Total return and holding period should be interpreted together.
  • Issuer / credit considerations — this is a bank obligation of Morgan Stanley Bank, N.A. (FDIC coverage limited and subject to terms); the estimated value of $897.40 is below the $1,000 deposit amount.
  • Index risk — the Amplitude Index is new and unproven, embeds strategy costs, and involves risks from foreign markets, commodities, FX, rates and credit; a proxy was used for the analysis.
This analysis is for informational purposes only and is not investment advice or a suitability assessment.