New Issue: Morgan Stanley prices $3 million more leveraged CMS curve notes on S&P, Russell

By Marisa Wong

Morgantown, W.Va., Dec. 9 – Morgan Stanley priced $3 million of additional fixed-to-floating-rate leveraged CMS curve securities due Nov. 30, 2030 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 additional notes bring the issue size to $5 million. The initial notes priced Nov. 3.

The coupon is fixed at 10% for the first four years. After that, 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 each index closes at or above its index reference level, 70% of its initial level, subject to a maximum rate of 10% per year. Interest is payable monthly and cannot be less than zero.

If each index finishes at or above its barrier level, 50% of its initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst-performing index.

Morgan Stanley & Co. LLC is the agent.

Issuer:	Morgan Stanley
Issue:	Fixed-to-floating-rate leveraged CMS curve securities
Underlying indexes:	Russell 2000 and S&P 500
Amount:	$5 million
Maturity:	Oct. 30, 2030
Coupon:	10% for first four years; after that, (a) five times spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which each index closes at or above its index reference level, subject to maximum rate of 10% per year; payable monthly and cannot be less than zero
Price:	Variable prices
Payout at maturity:	If each index finishes at or above its barrier level, par; otherwise, full exposure to decline of worst-performing index
Initial levels:	2,089.14 for S&P 500, 1,188.814 for Russell
Index reference levels:	1,462.398 for S&P 500, 832.1698 for Russell; 70% of initial levels
Barrier levels:	1,044.57 for S&P 500, 594.407 for Russell; 50% of initial levels
Pricing date:	Nov. 3 for initial tranche; Nov. 25 for $3 million
Settlement date:	Nov. 30
Agent:	Morgan Stanley & Co. LLC
Fees:	3.5%
Cusip:	61760QJC9

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.