Published on 4/7/2017 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $4.5 million fixed-to-floaters linked to leveraged CMS curve, indexes
By Wendy Van Sickle
Columbus, Ohio, April 7 – Morgan Stanley Finance LLC priced $4.5 million of fixed-to-floating rate securities due March 31, 2037 linked to 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 is payable quarterly and will be fixed at 9% per year for the first 1.5 years. After that, interest will accrue on the proportion of days on which both indexes close at or above their reference level at a rate equal to the leverage factor times the 30-year ICE swap rate minus the two-year ICE swap rate, up to a maximum rate of 9% per year and with a floor of zero. The leverage factor will be 15 times from Sept. 30, 2018 to but excluding March 31, 2027, after which it will be 20 times. The index reference level is 50% of the initial value.
The payout at maturity will be par, unless either index finishes below 50% of its initial level, in which case investors will be fully exposed to the decline of the laggard index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley Finance LLC
|
| Guarantor: | Morgan Stanley
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| Issue: | Fixed-to-floating securities
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| Underlying indexes: | S&P 500 index and Russell 2000 index
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| Amount: | $4.5 million
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| Maturity: | March 31, 2037
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| Coupon: | 9% for first 1.5 years, then proportion of days on which both indexes close at or above 50% reference level times leverage factor times 30-year ICE swap rate minus two-year ICE swap rate, capped at 9% a year with a floor of 0%; leverage factor will be 15 times from Sept. 30, 2018 to but excluding March 31, 2027, after which it will be 20 times; payable quarterly
|
| Price: | Varying
|
| Payout at maturity: | Par, unless either index finishes below 50% of initial level, in which case full exposure to loss of laggard index
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| Initial levels: | 2,358.57 for S&P, 1,367.261 for Russell
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| Pricing date: | March 2
|
| Settlement date: | March 31
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| Agent: | Morgan Stanley & Co. LLC
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| Fee: | 5%
|
| Cusip: | 61766YBC4
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