Published on 4/3/2018 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley sells $2.48 million fixed-to-floaters on CMS rate, indexes
By Wendy Van Sickle
Columbus, Ohio, April 3 – Morgan Stanley Finance LLC priced $2.48 million of fixed-to-floating securities due March 29, 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 10% for the first year. After that, it will accrue at 20 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 60% reference level, subject 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 50% 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: | $2.48 million
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Maturity: | March 29, 2033
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Coupon: | 10% for first year; beginning March 29, 2019, 20 times spread of 30-year U.S. dollar ICE swap rate minus two-year U.S. dollar ICE swap rate for each day that each index closes at or above reference level, cap of 10%, floor of zero; payable quarterly
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Price: | Variable
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Payout at maturity: | Par unless any index falls by more than 50%, in which case full exposure to decline of worst performing index
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Initial levels: | 2,658.55 for S&P, 1,543.717 for Russell, 3,278.72 for Stoxx
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Reference levels: | 1,595.13 for S&P, 926.23 for Russell, 1,967.232 for Stoxx, 60% of initial levels
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Barrier levels: | 1,329.275 for S&P, 771.859 for Russell, 1,639.36 for Stoxx, 50% of initial levels
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Pricing date: | March 26
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Settlement date: | March 29
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Agent: | Morgan Stanley & Co. LLC
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Fees: | 4%
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Cusip: | 61766YCM1
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