New Issue: Morgan Stanley sells $5 million fixed-to-floaters on CMS rates, S&P 500

By Wendy Van Sickle

Columbus, Ohio, Feb. 26 – Morgan Stanley priced $5 million of fixed-to-floating rate securities due Feb. 28, 2031 linked to the 30-year Constant Maturity Swap rate, two-year CMS rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will pay monthly interest at an annual rate of 10% for the first year. After that, interest will equal the product of (a) the 30-year CMS rate minus the 2-year CMS rate multiplied by 10 and (b) the number of days during the interest period in which the index closes above 75% of its initial level divided by the total number of days in the period. Interest cannot be less than 0% or more than 10%.

The payout at maturity will be par, unless the index closes below its 50% barrier level, in which case investors will be fully exposed to the index’s loss.

Morgan Stanley & Co. LLC is the agent

Issuer:	Morgan Stanley
Issue:	Fixed-to-floating notes
Underlying index:	S&P 500
Amount:	$5 million
Maturity:	Feb. 28, 2031
Coupon:	10% for one year; after that, product of (a) 10 times the difference of 30-year CMS rate minus 2-year CMS rate and (b) number of days in interest period when index closes above 75% of initial level divided by total number of days in interest period, cap of 10%, floor of zero; payable monthly
Price:	Par
Payout at maturity:	Par, unless S&P 500 index closes below 50% of initial level, in which case full exposure to loss
Initial index level,	1,929.80
Pricing date:	Feb. 24
Settlement date:	Feb. 29
Underwriter:	Morgan Stanley & Co. LLC
Fees:	3.5%
Cusip:	61760QJM7

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