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Published on 8/14/2017 in the Prospect News Structured Products Daily.

New Issue: Morgan Stanley prices $2 million fixed-to-floaters on leveraged CMS curve, indexes

By Susanna Moon

Chicago, Aug. 14 – Morgan Stanley Finance LLC priced $2 million of fixed-to-floating securities due July 28, 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.

The coupon will be fixed at 9% for the first year. After that, interest will accrue at an annual rate equal to a leverage factor 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 70% reference level, up to a maximum rate of 9% per year. The leverage factor will be 15 times for the first 10 years, stepping up to 20 times after that. Interest is payable monthly and cannot be less than zero.

The payout at maturity will be par unless either index finishes below 50% 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
Issue:Fixed-to-floating securities
Underlying indexes:S&P 500 index and Russell 2000 index
Amount:$2 million
Maturity:July 28, 2037
Coupon:9% for first year; after that, at 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 70% reference level, capped at 9%, floor of 0%; leverage factor will be 15 times initially, stepping up to 20 times on Aug. 31, 2027; payable monthly
Price:Variable
Payout at maturity:Par unless either index falls by more than 50%, in which case full exposure to decline of worse performing index
Reference levels:70% of initial levels
Barrier levels:50% of initial levels
Pricing date:Aug. 9
Settlement date:Aug. 31
Agent:Morgan Stanley & Co. LLC
Fees:5%
Cusip:61766YBW0

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