Published on 10/4/2017 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley sells $3.87 million more leveraged CMS curve notes on S&P, Russell
By Marisa Wong
Morgantown, W.Va., Oct. 4 – Morgan Stanley Finance LLC priced $3,872,000 of additional fixed-to-floating securities due Sept. 29, 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.
This brings the total size of the issue to $6,372,000. The initial $2.5 million priced on Sept. 5.
The coupon will be fixed at 16% for the first year. After that, interest will accrue at an annual rate equal to 10 times the spread of the 30-year ICE swap rate minus the two-year ICE swap rate for each day that each index closes at or above its 75% reference level, up to a maximum rate of 10% per year. Interest is payable monthly and cannot be less than zero.
The payout at maturity will be par unless either index finishes below the 70% barrier level, in which case investors will be fully exposed to the decline of worse performing 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: | $6,372,000, increased from $2.5 million
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| Maturity: | Sept. 29, 2037
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| Coupon: | 16% for first year; after that, 10 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 75% reference level, capped at 10%, floor of 0%; payable monthly
|
| Price: | Variable
|
| Payout at maturity: | Par unless either index falls by more than 30%, in which case full exposure to decline of worse performing index
|
| Initial levels: | 2,507.04 for S&P, 1,484.813 for Russell (closing levels on Sept. 27)
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| Reference levels: | 1,880.280 for S&P, 1,113.610 for Russell; 75% of initial levels
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| Barrier levels: | 1,754.928 for S&P, 1,039.369 for Russell; 70% of initial levels
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| Pricing date: | Sept. 5 for $2.5 million, Sept. 28 for $3,872,000
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| Settlement date: | Sept. 29
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 5%
|
| Cusip: | 61766YBX8
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