By Marisa Wong
Morgantown, W.Va., Aug. 16 – Morgan Stanley Finance LLC priced $10 million of 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.
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: | $10 million, may be increased prior to settlement
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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: | Index closing levels on Aug. 26
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| Reference levels: | 70% of initial levels
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| Barrier levels: | 50% of initial levels
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| Pricing date: | Aug. 12
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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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