Published on 7/10/2017 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $1.9 million floaters on leveraged CMS curve, indexes
By Wendy Van Sickle
Columbus, Ohio, July 10 – Morgan Stanley Finance LLC priced $1.9 million of floating rate securities due June 30, 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.
For the first 10 years, interest will accrue at an annual rate equal to a leverage factor of 12 times the 30-year ICE swap rate minus the two-year ICE swap rate for each day that each index closes at or above its 50% reference level, up to a maximum rate of 9% per year. The leverage factor steps up to 20 on June 30, 2027. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par unless either index finishes below 50% trigger 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: | Floating-rate securities
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| Underlying indexes: | S&P 500 index and Russell 2000 index
|
| Amount: | $1,899,000
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| Maturity: | June 30, 2037
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| Coupon: | Leverage factor times the 30-year ICE swap rate minus the two-year ICE swap rate for each day that each index closes at or above its 50% reference level, capped at 9%; leverage factor is initially 12 and steps up to 20 on June 30, 2027; payable quarterly
|
| Price: | Varying
|
| Payout at maturity: | Par, unless either index falls by more than 50%, in which case full exposure to loss of worse performing index
|
| Initial levels: | 2,419.38 for S&P, 1,403.522 for Russell
|
| Reference/barrier levels: | 1,209.690 for S&P, 701.761 for Russell; 50% of initial levels
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| Pricing date: | June 27
|
| Settlement date: | June 30
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fee: | 4%
|
| Cusip: | 61766YBP5
|
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