By Angela McDaniels
Tacoma, Wash., Feb. 28 - Morgan Stanley priced $5 million of additional fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due Feb. 28, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
Previously, the issuer priced $5 million of notes Feb. 14, $15 million Feb. 20 and $10 million Feb. 25. The issue size is now $35 million.
The interest rate is 10% for the first four years. After that, it will be the product of (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 at least 50% of the initial index level, subject to a maximum rate of 10%.
Interest is payable monthly.
The payout at maturity will be par if the final index level is greater than or equal to the 50% barrier level. Otherwise, investors will lose 1% for every 1% that the final level is less than the initial level.
Morgan Stanley & Co. LLC is the agent.
Issuer: | Morgan Stanley
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Issue: | Leveraged CMS curve and S&P 500-linked notes
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Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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Amount: | $35 million, increased from $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 S&P 500 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 if index finishes at or above index reference level; otherwise, full exposure to losses from initial level
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Initial index level: | 1,845.12
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index reference level: | 922.56, 50% of initial index level
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Pricing dates: | Feb. 14 for $5 million; Feb. 20 for $15 million; Feb. 25 for $10 million; Feb. 27 for $5 million
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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: | 61760QDZ4
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