By Marisa Wong
Madison, Wis., July 31 - Morgan Stanley priced another $5 million of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due July 31, 2033, bringing the total amount to $10 million, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer priced the initial $1 million principal amount of notes on July 12 and an additional $4 million on July 23.
The coupon is 10% for the first year. Beginning July 31, 2014, it will be (a) the 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 index's closing level is at least 75% of the initial index level.
The leverage factor is initially four. It will increase to seven on July 31, 2023. The initial index level was set equal to the index's closing level on July 26.
Interest is payable quarterly. The interest rate is subject to a floor of zero and a cap of 10% per year.
The payout at maturity will be par.
The issuer said before that it may increase the issue size prior to the July 31 settlement date but is not required to do so.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Fixed-to-floating-rate leveraged CMS curve and S&P 500-linked notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $10 million (upsized from $1 million)
|
| Maturity: | July 31, 2033
|
| Coupon: | 10% for first year; beginning July 31, 2014, 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 above index reference level, subject to minimum rate of zero and maximum rate of 10% per year; payable quarterly
|
| Leverage factor: | Initially four; increases to seven on July 31, 2023
|
| Price: | Variable
|
| Payout at maturity: | Par
|
| Initial level: | 1,691.65, index closing level on July 26
|
| Index reference level: | 1,268.7375, 75% of initial level
|
| Pricing date: | July 12 for $1 million, July 23 for $4 million, July 29 for $5 million
|
| Settlement date: | July 31
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 61760QCZ5
|
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