By Angela McDaniels
Tacoma, Wash., Nov. 5 – Morgan Stanley priced $1 million of additional CMS curve range accrual securities due Oct. 30, 2035 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 additional notes bring the issue size to $2 million. The original $1 million of notes priced Oct. 5.
The coupon is fixed at 9% for the first two years. After that, it will be 9% per year multiplied by the proportion of days on which the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is greater than or equal to zero and each index closes at or above its index reference level, 65% of its initial level. Interest is payable monthly.
If each index finishes at or above its barrier level, 50% of its initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst-performing index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | CMS curve range accrual securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $2 million, increased from $1 million
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| Maturity: | Oct. 30, 2035
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| Coupon: | 9% for first two years; after that, 9% per year multiplied by proportion of days on which spread of 30-year CMS rate over two-year CMS rate is greater than or equal to zero and each index closes at or above index reference level; payable monthly
|
| Price: | Variable prices
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| Payout at maturity: | If each index finishes at or above barrier level, par; otherwise, full exposure to decline of worst-performing index
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| Initial levels: | 2,065.89 for S&P 500 and 1,145.291 for Russell 2000; each index’s closing level on Oct. 27
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| Index reference levels: | 1,342.8285 for S&P 500 and 744.43915 for Russell 2000; 65% of initial levels
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| Barrier levels: | 1,032.945 for S&P 500 and 572.6455 for Russell 2000; 50% of initial level
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| Pricing date: | Oct. 5 for $1 million; Oct. 29 for $1 million more
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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: | 61760QHV9
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