New Issue: Morgan Stanley prices $3 million leveraged CMS curve and Russell 2000-linked notes

By Susanna Moon

Chicago, Dec. 5 – Morgan Stanley priced $3 million of fixed-to-floating leveraged CMS curve and Russell 2000 index-linked notes due Dec. 31, 2034, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first three years. After that, it will accrue at 4.5 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 60% barrier level, up to a maximum coupon of 10% per year. Interest is payable monthly and cannot be less than zero.

If the index finishes at or above the trigger level, 50% of the initial index level, the payout at maturity will be par.

Otherwise, investors will be fully exposed to any losses.

Morgan Stanley & Co. LLC is the agent with Morgan Stanley Wealth Management as dealer.

Issuer:	Morgan Stanley
Issue:	Leveraged CMS curve and Russell 2000 index-linked notes
Underlyings:	30-year CMS rate, two-year CMS rate, Russell 2000 index
Amount:	$3 million
Maturity:	Dec. 31, 2034
Coupon:	10% initially; beginning Dec. 31, 2017, 4.5 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above index reference level, up to a cap of 10%, floor of zero; payable monthly
Price:	Variable
Payout at maturity:	If index finishes at or above trigger level, par; otherwise, full exposure to losses
Trigger level:	50% of initial index level
Pricing date:	Dec. 3
Settlement date:	Dec. 31
Agent:	Morgan Stanley & Co. LLC
Dealer:	Morgan Stanley Wealth Management
Fees:	4%
Cusip:	61760QFN9

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