By Angela McDaniels
Tacoma, Wash., Feb. 29 – Morgan Stanley priced $9 million of additional leveraged CMS curve securities due Feb. 29, 2036 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 $10 million. The original $1 million of notes priced Feb. 9.
The coupon is fixed at 10% for the first three years. After that, it will be (a) 10 times 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 each index closes at or above its index reference level, 60% of its initial level, subject to a maximum rate of 10% per year. Interest is payable monthly and cannot be less than zero.
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 lesser-performing index.
Morgan Stanley & Co. LLC is the agent.
Issuer: | Morgan Stanley
|
Issue: | Leveraged CMS curve securities
|
Underlying indexes: | Russell 2000 and S&P 500
|
Amount: | $10 million, increased from $1 million
|
Maturity: | Feb. 29, 2036
|
Coupon: | 10% for first three years; after that, (a) 10 times spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which each index closes at or above index reference level, subject to maximum rate of 10% per year; payable monthly and cannot be less than zero
|
Price: | Variable prices
|
Payout at maturity: | If each index finishes at or above barrier level, par; otherwise, full exposure to decline of lesser-performing index
|
Initial levels: | 1,929.80 for S&P 500 and 1,022.077 for Russell 2000 (each index’s closing level on Feb. 24)
|
Index reference levels: | 1,157.88 for S&P 500 and 613.2462 for Russell 2000; 60% of initial levels
|
Barrier levels: | 964.90 for S&P 500 and 511.0385 for Russell 2000; 50% of initial levels
|
Pricing date: | Feb. 9 for $1 million; Feb. 26 for $9 million
|
Settlement date: | Feb. 29
|
Agent: | Morgan Stanley & Co. LLC
|
Fees: | 3.75%
|
Cusip: | 61760QJN5
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.