Published on 3/2/2018 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley sells $10.29 million fixed-to-floaters on CMS rate, indexes
By Wendy Van Sickle
Columbus, Ohio, March 2 – Morgan Stanley Finance LLC priced $10.29 million of fixed-to-floating securities due Feb. 28, 2038 linked to the worst performing of the Euro Stoxx 50 index, 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 will be fixed at 10% for the first year. After that, it will accrue at 20 times the spread of the 30-year U.S. dollar ICE swap rate minus the two-year U.S. dollar ICE swap rate for each day that each index closes at or above its 60% reference level, subject to a maximum interest rate of 10%. Interest will be payable quarterly and cannot be less than zero.
The payout at maturity will be par unless any index finishes below its 50% barrier level, in which case investors will be fully exposed to the decline of the worst 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: | Euro Stoxx 50 index, S&P 500 index and Russell 2000 index
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| Amount: | $10,294,000
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| Maturity: | Feb. 28, 2038
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| Coupon: | 10% for first year; beginning Feb. 28, 2019, 20 times spread of 30-year U.S. dollar ICE swap rate minus two-year U.S. dollar ICE swap rate for each day that each index closes at or above 60% reference level, cap of 10%, floor of zero; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par unless any index falls by more than 50%, in which case full exposure to decline of worst performing index
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| Initial levels: | 2,747.30 for S&P, 1,549.186 for Russell, 3,441.46 for Stoxx
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| Reference levels: | 1,648.38 for S&P, 929.512 for Russell, 2,064.876 for Stoxx, 60% of initial levels
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| Barrier levels: | 1,373.65 for S&P, 774.593 for Russell, 1,720.73 for Stoxx, 50% of initial levels
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| Pricing date: | Feb. 23
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| Settlement date: | Feb. 28
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 4%
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| Cusip: | 61766YCF6
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