By Susanna Moon
Chicago, Sept. 17 – Morgan Stanley priced $1 million of CMS curve range accrual securities due Sept. 30, 2035 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is fixed at 9% for the first three years. After that, it will be 9% annualized for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is at least zero and each index closes at or above its 60% barrier level. Interest is payable monthly.
The payout at maturity will be par unless either index finishes below its 50% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
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| Issue: | CMS curve range accrual securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $1 million
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| Maturity: | Sept. 30, 2035
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| Coupon: | 9% for first three years; after that, 9% annualized for each day that spread of 30-year CMS rate over two-year CMS rate is at least zero and each index closes at or above 60% barrier level; payable monthly
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| Price: | Variable
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| Payout at maturity: | If each index finishes at or above 50% trigger level, par; otherwise, full exposure to any losses of worst performing index
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| Trigger levels: | 50% of initial level
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| Pricing date: | Sept. 15
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| Settlement date: | Sept. 30
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61760QHH0
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