By Susanna Moon
Chicago, Dec. 24 – Morgan Stanley priced another $6 million of CMS curve range accrual securities due Dec. 23, 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.
This brings the total deal size to $7 million, up from $1 million at pricing on Dec. 8.
As previously announced, the coupon is fixed at 8% for the first five years. After that, it will accrue 9% annualized for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is greater than or equal to zero and each index closes at or above its index reference level, 65% of its initial level. Interest is payable monthly.
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 any losses of the worse 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: | $7 million, up from $1 million
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| Maturity: | Dec. 23, 2035
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| Coupon: | 8% for first five 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 index reference level; payable monthly
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| Price: | Variable
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| Payout at maturity: | If each index finishes at or above barrier level, par; otherwise, full exposure to decline of worst performing index
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| Initial levels: | Each index’s closing level on Dec. 18
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| Index reference levels: | 65% of initial levels
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| Barrier levels: | 50% of initial level
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| Pricing date: | Dec. 8 for $1 million, Dec. 22 for $6 million
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| Settlement date: | Dec. 23
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.75%
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| Cusip: | 61760QJF2
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