Published on 4/5/2016 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $1.1 million leveraged CMS curve notes on indexes
By Marisa Wong
Morgantown, W.Va., April 5 – Morgan Stanley Finance LLC priced $1.1 million of leveraged CMS curve securities due March 31, 2036 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes are guaranteed by Morgan Stanley.
The coupon will be fixed at 10% for the first year. After that, it will accrue at 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes at or above its 50% 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 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
|
| Guarantor: | Morgan Stanley
|
| Issue: | Leveraged CMS curve securities
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $1.1 million
|
| Maturity: | March 31, 2036
|
| Coupon: | 10% for first year; after that, 10 times spread of 30-year CMS rate over two-year CMS rate for each day that each index closes at or above reference level, capped at 10% per year with floor of 0%; payable monthly
|
| Price: | Variable
|
| Payout at maturity: | If each index finishes at or above its barrier level, par; otherwise, full exposure to any losses of worse performing index
|
| Initial levels: | 2,037.05 for S&P 500, 1,080.231 for Russell 2000 (closing levels on March 28)
|
| Barrier/reference levels: | 1,018.525 for S&P 500, 540.1155 for Russell 2000; 50% of initial levels
|
| Pricing date: | March 29
|
| Settlement date: | March 31
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 61766Y2N0
|
|
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.
