By Angela McDaniels
Tacoma, Wash., Feb. 29 – Morgan Stanley priced $9 million of additional leveraged CMS curve securities due Feb. 29, 2036 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 $10 million. The original $1 million of notes priced Feb. 9.
The coupon is fixed at 10% for the first three years. After that, it will be (a) 10 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, 60% 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 lesser-performing index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Leveraged CMS curve securities
|
| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $10 million, increased from $1 million
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| Maturity: | Feb. 29, 2036
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| Coupon: | 10% for first three years; after that, (a) 10 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 index reference level, subject to maximum rate of 10% per year; payable monthly and cannot be less than zero
|
| Price: | Variable prices
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| Payout at maturity: | If each index finishes at or above barrier level, par; otherwise, full exposure to decline of lesser-performing index
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| Initial levels: | 1,929.80 for S&P 500 and 1,022.077 for Russell 2000 (each index’s closing level on Feb. 24)
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| Index reference levels: | 1,157.88 for S&P 500 and 613.2462 for Russell 2000; 60% of initial levels
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| Barrier levels: | 964.90 for S&P 500 and 511.0385 for Russell 2000; 50% of initial levels
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| Pricing date: | Feb. 9 for $1 million; Feb. 26 for $9 million
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| Settlement date: | Feb. 29
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.75%
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| Cusip: | 61760QJN5
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