By Angela McDaniels
Tacoma, Wash., Sept. 6 - Morgan Stanley priced $2 million of leveraged CMS curve and S&P 500 index-linked notes due Sept. 16, 2031, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is 10% for the first four years. After that, it will be a per-year rate equal to (a) a leverage factor 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 the S&P 500 closes at or above 775, subject to a maximum rate of 10% per year in any interest payment period. Interest is payable quarterly and cannot be less than zero.
The leverage factor will be four in year five, five in years six through 10, seven in years 11 through 15 and 10 in years 16 through 20.
The payout at maturity will be par.
The issuer said it may increase the issue size prior to the settlement date.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Leveraged CMS curve and S&P 500 index-linked notes
|
| Amount: | $2 million
|
| Maturity: | Sept. 16, 2031
|
| Coupon: | 10% for four years; then, leverage factor times spread of 30-year CMS rate over two-year CMS rate multiplied by proportion of days on which S&P 500 closes at or 775, capped at 10% with floor of zero; payable quarterly
|
| Interest leverage factor: | Four in year five, five in years six through 10, seven in years 11 through 15 and 10 in years 16 through 20
|
| Price: | Variable prices
|
| Payout at maturity: | Par
|
| Pricing date: | Sept. 1
|
| Settlement date: | Sept. 16
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 4%
|
| Cusip: | 61745EL58
|
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