By Marisa Wong
Madison, Wis., May 13 – Morgan Stanley priced $1 million of CMS curve range accrual securities due May 29, 2035 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 9% for the first year. After that, it will accrue at 9% for each day that the 30-year Constant Maturity Swap rate is greater than the two-year CMS rate and each index closes at or above the 60% reference level. Interest is payable monthly.
The payout at maturity will be par plus accrued interest unless either index finishes below the 50% barrier level, in which case investors will be fully exposed to any losses of the worst performing index.
Morgan Stanley & Co. LLC is the agent.
Issuer: | Morgan Stanley
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Issue: | CMS curve range accrual securities
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Underlying indexes: | S&P 500 and Russell 2000
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Amount: | $1 million
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Maturity: | May 29, 2035
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Coupon: | Fixed at 9% for first year; after that, 9% per year for each day that 30-year CMS rate is greater than two-year CMS rate and each index closes at or above reference level; payable monthly
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Price: | Variable
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Payout at maturity: | Par plus accrued interest unless either index finishes below barrier level, in which case investors will be fully exposed to any losses of worst performing index
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Initial levels: | Index closing levels on May 26
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Reference level: | 60% of initial levels
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Barrier level: | 50% of initial level
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Pricing date: | May 12
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Settlement date: | May 29
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Agent: | Morgan Stanley & Co. LLC
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Fees: | 3.5%
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Cusip: | 61760QGD0
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