New Issue: Morgan Stanley prices $11 million more CMS curve, Russell 2000-linked notes

By Angela McDaniels

Tacoma, Wash., Sept. 30 – Morgan Stanley priced $11 million principal amount of additional fixed-to-floating leveraged CMS curve and Russell 2000 index-linked notes due Sept. 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.

The initial $1 million of notes priced Sept. 3. The issue size is now $12 million.

The coupon is fixed at 10% until March 30, 2016. After that, it will be (a) the leverage factor multiplied by 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 closes at or above the barrier level, 50% of the initial level, subject to a maximum rate of 10% per year. Interest is payable monthly and cannot be less than zero.

The leverage factor is initially five and will step up to six on Sept. 30, 2020, to seven on Sept. 30, 2025 and to 10 on Sept. 30, 2030.

If the index finishes at or above the 50% barrier level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline.

Morgan Stanley & Co. LLC is the agent.

Issuer:	Morgan Stanley
Issue:	Fixed-to-floating-rate CMS curve and Russell 2000-linked range accrual notes
Underlyings:	30-year CMS rate, two-year CMS rate, Russell 2000 index
Amount:	$12 million, increased from 1 million
Maturity:	Sept. 30, 2034
Coupon:	10% initially; beginning March 30, 2016, (a) leverage factor multiplied by spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which index closes at or above barrier level, subject to maximum rate of 10% per year; payable monthly and cannot be less than zero
Leverage factor:	Initially five and will step up to six on Sept. 30, 2020, to seven on Sept. 30, 2025 and to 10 on Sept. 30, 2030
Price:	Variable prices
Payout at maturity:	If index finishes at or above barrier level, par; otherwise, full exposure to losses
Initial level:	1,110.242 (closing level on Sept. 25)
Barrier level:	555.121, 60% of initial index level
Pricing date:	Sept. 3
Upsized:	Sept. 29
Settlement date:	Sept. 30
Agent:	Morgan Stanley & Co. LLC
Fees:	3.5%
Cusip:	61760QEV2

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