New Issue: Morgan Stanley sells $3 million leveraged CMS curve, S&P 500-tied notes

By Susanna Moon

Chicago, Sept. 8 – Morgan Stanley priced $3 million fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due Sept. 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 10% for the first two years. After that, it will be 5 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 60% barrier level, up a cap of 10% per year. Interest is payable monthly and cannot be less than zero.

The payout at maturity will be par unless index finishes below the 50% trigger level, in which case the payout will be par plus the index return with full exposure to losses.

Morgan Stanley & Co. LLC is the agent.

Issuer:	Morgan Stanley
Issue:	Leveraged CMS curve and S&P 500 index-linked notes
Underlyings:	30-year CMS rate, two-year CMS rate, S&P 500 index
Amount:	$3 million
Maturity:	Sept. 30, 2034
Coupon:	10% initially; beginning Sept. 30, 2016, 5 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above barrier level, up to a cap of 10%; payable monthly
Price:	Variable
Payout at maturity:	If index finishes at or above barrier level, par; otherwise, full exposure to losses
Initial level:	Closing level on Aug. 26
Coupon barrier:	60% of initial index level
Trigger level:	50% of initial index level
Pricing date:	Sept. 5
Settlement date:	Sept. 30
Agent:	Morgan Stanley & Co. LLC
Dealer:	Morgan Stanley Wealth Management
Fees:	4%
Cusip:	61760QEW0

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