Published on 5/4/2018 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley sells $2.6 million 14% fixed-to-floaters on CMS rate, indexes
By Susanna Moon
Chicago, May 4 – Morgan Stanley Finance LLC priced $2.6 million of fixed-to-floating securities due April 30, 2033 linked to the worst performing of the Euro Stoxx 50 index, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Morgan Stanley.
Interest will be fixed at 14% for the first two years. After that, it will accrue at 15 times the spread of the 30-year U.S. dollar ICE swap rate minus the two-year U.S. dollar ICE swap rate for each day that each index closes at or above its 75% reference level, up to a maximum interest rate of 10%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless any index finishes below its 75% barrier level, in which case investors will be fully exposed to the decline of the worst performing index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley Finance LLC
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| Guarantor: | Morgan Stanley
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| Issue: | Fixed-to-floating securities
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| Underlying indexes: | Euro Stoxx 50 index, S&P 500 index and Russell 2000 index
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| Amount: | $2.6 million
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| Maturity: | April 30, 2033
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| Coupon: | 14% for first two years; then, 15 times spread of 30-year U.S. dollar ICE swap rate minus two-year dollar ICE swap rate for each day that each index closes at or above 75% reference level, capped at 10%; payable quarterly
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| Price: | Variable
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| Payout at maturity: | Par unless any index falls by more than 25%, in which case full exposure to decline of worst performing index
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| Initial levels: | 2,639.40 for S&P, 1,550.467 for Russell, 3,485.83 for Stoxx
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| Barrier levels: | 1,979.55 for S&P, 1,162.85 for Russell, 2,614.373 for Stoxx, 75% of initial levels
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| Pricing date: | April 25
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| Settlement date: | April 30
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 5%
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| Cusip: | 61766YCR0
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