By Susanna Moon
Chicago, Oct. 30 – Morgan Stanley priced $1 million of leveraged CMS curve securities due Oct. 30, 2030 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first four years. After that, it will accrue at 5 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that each index closes at or above its 70% barrier level, up to a maximum rate 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 its 50% trigger 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: | Leveraged CMS curve securities
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Underlying indexes: | Russell 2000 and S&P 500
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Amount: | $1 million
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Maturity: | Oct. 30, 2030
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Coupon: | 10% for first four years; after that, accrual at 5 times spread of 30-year CMS rate over two-year CMS rate for each day that each index closes at or above reference level, capped at 10% per year; payable monthly
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Price: | Variable
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Payout at maturity: | If each index finishes at or above its trigger level, par; otherwise, full exposure to any losses of worst performing index
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Coupon barriers: | 70% of initial level
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Trigger levels: | 50% of initial level
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Pricing date: | Oct. 23
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Settlement date: | Oct. 30
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Agent: | Morgan Stanley & Co. LLC
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Fees: | 3.5%
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Cusip: | 61760QHY3
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