By Angela McDaniels
Tacoma, Wash., Aug. 21 - Morgan Stanley priced $10 million of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due Aug. 30, 2028, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is 12% for the first two years. Beginning Aug. 30, 2015, it will be (a) five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index's closing level is at least 60% of the initial index level.
Interest is payable quarterly. The interest rate is subject to a floor of zero and a cap of 12% per year.
If the final index level is greater than or equal to the barrier level, 50% of the initial level, then the payout at maturity will be par. If the final index level is less than the barrier level, investors will be fully exposed to the index's decline from its initial level.
The issuer said it may increase the issue size prior to the Aug. 30 settlement date but is not required to do so.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Fixed-to-floating-rate leveraged CMS curve and S&P 500-linked notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $10 million
|
| Maturity: | Aug. 30, 2028
|
| Coupon: | 12% for first two years; beginning Aug. 30, 2015, four times spread of 30-year CMS rate over two-year CMS rate multiplied by proportion of days on which S&P 500 closes at or above index reference level, subject to minimum rate of zero and maximum rate of 12% per year; payable quarterly
|
| Price: | Variable prices
|
| Payout at maturity: | If final index level is greater than or equal to barrier level, par; if final index level is less than barrier level, full exposure to index's decline from initial level
|
| Initial index level: | 1,646.06
|
| Index reference level: | 987.636, 60% of initial index level
|
| Barrier level: | 823.03, 50% of initial index level
|
| Pricing date: | Aug. 19
|
| Settlement date: | Aug. 30
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 4%
|
| Cusip: | 61760QDF8
|
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