By Angela McDaniels
Tacoma, Wash., April 9 - Morgan Stanley priced $1 million of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due April 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is fixed at 11% for the first two years. After that, 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 at least 50% of the initial index level, subject to a maximum rate of 13% per year. Interest is payable monthly and cannot be less than zero.
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 lose 1% for every 1% that the final index level is below the initial index level.
Morgan Stanley & Co. LLC is the agent.
The issuer said it may increase the issue size prior to the April 30 settlement date but is not required to do so.
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: | $1 million
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Maturity: | April 30, 2034
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Coupon: | 11% for first two years; beginning April 30, 2016, (a) four times spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which S&P 500 closes at or above barrier level, subject to minimum rate of zero and maximum rate of 13% per year; payable monthly
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Price: | Variable prices
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Payout at maturity: | If final index level is greater than or equal to barrier level, par; otherwise, 1% loss for every 1% that final index level is below initial index level
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Initial index level: | Index's closing level on April 25
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Index reference level: | 50% of initial index level
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Pricing date: | April 8
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Settlement date: | April 30
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Agent: | Morgan Stanley & Co. LLC
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Fees: | 3.5%
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Cusip: | 61760QEF7
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