By Angela McDaniels
Tacoma, Wash., Sept. 24 - Morgan Stanley priced $5 million of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due Oct. 15, 2028, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is 10% for the first two years. Beginning Oct. 15, 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 59% of the initial index level.
Interest is payable quarterly. The interest rate is subject to a floor of zero and a cap of 10% 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 initial index level will be the closing level of the index on Oct. 9.
The issuer said it may increase the issue size prior to the Oct. 15 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: | $5 million
|
| Maturity: | Oct. 15, 2028
|
| Coupon: | 10% for first two years; beginning Oct. 15, 2015, five 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 10% 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: | Closing level of index on Oct. 9
|
| Index reference level: | 59% of initial index level
|
| Barrier level: | 50% of initial index level
|
| Pricing date: | Sept. 20
|
| Settlement date: | Oct. 15
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 4%
|
| Cusip: | 61760QDM3
|
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