By Marisa Wong
Madison, Wis., March 6 – Morgan Stanley priced $1 million of floating-rate CMS curve and S&P 500 index-linked notes due March 31, 2035, according to a 424B2 filing with the Securities and Exchange Commission.
For the first four 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, 60% of the initial level. After that, the interest rate will be (a) five 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
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| Issue: | Floating-rate CMS curve and S&P 500-linked notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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| Amount: | $1 million
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| Maturity: | March 31, 2035
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| Coupon: | For first four 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; after that, (a) five 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
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| 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 March 26
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| Barrier level: | 50% of initial level
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| Index reference level: | 60% of initial level
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| Pricing date: | March 4
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| Settlement date: | March 31
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61760QFV1
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