Published on 11/29/2016 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $13 million more leveraged CMS curve notes linked to Russell, S&P
By Angela McDaniels
Tacoma, Wash., Nov. 29 – Morgan Stanley Finance LLC priced $13 million of additional leveraged CMS curve securities due Nov. 29, 2036 linked to the worse performing of 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.
The issuer priced $5 million of the notes on Nov. 1. The issue size is now $18 million.
The interest rate is 9% for the first three years. Beginning Nov. 29, 2019, it will be 20 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate, subject to a minimum of zero and a maximum of 9% per year, multiplied by the proportion of days on which each index closes at or above its index reference level, 70% of its initial level. Interest is payable monthly.
If each index finishes at or above its barrier level, 50% of its initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worse-performing index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley Finance LLC
|
| Guarantor: | Morgan Stanley
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| Issue: | Leveraged CMS curve securities
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| Underlying indexes: | S&P 500 and Russell 2000
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| Amount: | $18 million, increased from $5 million
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| Maturity: | Nov. 29, 2036
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| Coupon: | 9% for first three years; beginning Nov. 29, 2019, 20 times spread of 30-year ICE swap rate over two-year ICE swap rate, subject to minimum of zero and maximum of 9% per year, multiplied by proportion of days on which each index closes at or above index reference level; payable monthly
|
| Price: | Variable prices
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| Payout at maturity: | Par unless either index finishes below barrier level, in which case full exposure to loss of lesser-performing index
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| Initial index levels: | 2,204.72 for S&P 500 and 1,342.094 for Russell 2000 (closing levels on Nov. 23)
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| Index reference levels: | 1,543.304 for S&P 500 and 939.466 for Russell 2000, or 70% of initial levels
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| Barrier levels: | 1,102.360 for S&P 500 and 671.047 for Russell 2000, or 50% of initial levels
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| Pricing date: | Nov. 1
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| Upsized: | Nov. 28
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| Settlement date: | Nov. 29
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| Agent: | Morgan Stanley & Co. LLC
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| Fee: | 5%
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| Cusip: | 61766YAV3
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