By Toni Weeks
San Luis Obispo, Calif., Feb. 27 – Morgan Stanley priced another $5 million of floating-rate CMS curve and Russell 2000 index-linked notes due Feb. 27, 2035, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total deal size to $6 million. The initial $1 million of notes priced Feb. 3.
For the first five years, the interest rate will be 10% per year multiplied by the proportion of days on which the 30-year Constant Maturity Swap rate is greater than or equal to the two-year CMS rate and the index closes at or above the index reference level, 65% of the initial level. For the last 15 years, the interest rate will be (a) four times the spread of the 30-year CMS rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index closes at or above the index reference level, subject to a maximum rate of 10% per year. Interest is payable monthly and cannot be less than zero.
If the index finishes at or above the 50% barrier level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline.
The issuer said it may increase the issue size prior to settlement but is not required to do so.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Floating-rate CMS curve and Russell 2000-linked notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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| Amount: | $6 million, upsized from $1 million
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| Maturity: | Feb. 27, 2035
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| Coupon: | For first five years, 10% per year multiplied by proportion of days on which 30-year CMS rate is greater than or equal to two-year CMS rate and index closes at or above index reference level; for last 15 years, (a) four times spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which index closes at or above index reference level, subject to maximum rate of 10% per year; payable monthly and cannot be less than zero
|
| Price: | Variable prices
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| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
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| Initial level: | Index’s closing level on Feb. 24
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| Barrier level: | 50% of initial level
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| Index reference level: | 65% of initial level
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| Pricing dates: | Feb. 3 (for $1 million); Feb. 26 (for $5 million)
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| Settlement date: | Feb. 27
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61760QFR0
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