By Angela McDaniels
Tacoma, Wash., Feb. 24 - Morgan Stanley priced $3.5 million of fixed-to-floating-rate leveraged CMS curve and Russell 2000 index-linked notes due Feb. 28, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is 10% for the first four years. Beginning Feb. 28, 2018, it will be (a) four 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 greater than or equal to 50% of the initial index level. The interest rate is subject to a floor of zero and a cap of 10% per year. Interest is payable monthly.
If the final index level is greater than or equal to the 50% barrier level, the payout at maturity will be par. Otherwise, investors will have one-to-one exposure to the index's decline.
Morgan Stanley & Co. LLC is the agent.
The issuer said it may increase the issue size prior to the Feb. 28 settlement date but is not required to do so.
Issuer: | Morgan Stanley
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Issue: | Leveraged CMS curve and Russell 2000-linked notes
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Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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Amount: | $3.5 million
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Maturity: | Feb. 28, 2034
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Coupon: | 10% for first four years; beginning Feb. 28, 2018, four times spread of 30-year CMS rate over two-year CMS rate multiplied by proportion of days on which Russell 2000 closes at or above index reference level, subject to minimum rate of zero and maximum rate of 10% per year; payable monthly
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Price: | Variable prices
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Payout at maturity: | Par
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Initial index level: | Index's closing level on Feb. 25
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Index reference level: | 50% of initial index level
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Pricing date: | Feb. 20
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Settlement date: | Feb. 28
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Agent: | Morgan Stanley & Co. LLC
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Fees: | 3.5%
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Cusip: | 61760QEA8
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