Published on 8/31/2016 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $6 million more leveraged CMS curve notes tied to indexes
By Marisa Wong
Morgantown, W.Va., Aug. 31 – Morgan Stanley Finance LLC priced $6 million of additional leveraged CMS curve securities due Aug. 31, 2036 linked to the worse performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total issue size to $16 million. The initial $10 million of notes priced on Aug. 12.
The notes are guaranteed by Morgan Stanley.
The coupon will be fixed at 9% for the first three years. After that, it will accrue at 20 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate for each day that each index closes at or above its 70% reference level, up to a maximum rate of 9% per year. Interest is payable monthly and cannot be less than zero.
The payout at maturity will be par unless either index finishes below its 50% barrier level, in which case investors will be fully exposed to any losses of the worse 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: | Leveraged CMS curve securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $16 million, increased from $10 million
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| Maturity: | Aug. 31, 2036
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| Coupon: | 9% for first year; after that, 20 times spread of 30-year ICE swap rate over two-year ICE swap rate for each day that each index closes at or above reference level, capped at 9% per year with floor of 0%; payable monthly
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| Price: | Variable
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| Payout at maturity: | If each index finishes at or above its barrier level, par; otherwise, full exposure to any losses of worse performing index
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| Initial levels: | 2,169.04 for S&P, 1,238,031 for Russell (index closing levels on Aug. 26)
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| Reference levels: | 1,518.328 for S&P, 866.622 for Russell; 70% of initial levels
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| Barrier levels: | 1,084.520 for S&P, 619.016 for Russell; 50% of initial levels
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| Pricing date: | Aug. 12 for $10 million, Aug. 30 for $6 million
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| Settlement date: | Aug. 31
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 5%
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| Cusip: | 61766YAM3
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