By Angela McDaniels
Tacoma, Wash., Feb. 29 – Morgan Stanley priced an additional $1 million of CMS curve range accrual securities due Feb. 29, 2035 linked to the worse performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total issue size to $2 million. The initial $1 million principal amount priced Feb. 9.
The interest rate is 8% per year for the first five years. Beginning Feb. 28, 2021, the interest rate 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 worse-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: | Feb. 29, 2036
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| Coupon: | 8% per year for first five years, then 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 worse-performing index
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| Initial levels: | 1,929.80 for S&P 500 and 1,022.077 for Russell (closing levels on Feb. 24)
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| Index reference levels: | 1,254.37 for S&P 500 and 664.35005 for Russell 2000; 65% of initial levels
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| Barrier levels: | 964.90 for S&P 500 and 511.0385 for Russell 2000; 50% of initial level
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| Pricing date: | Feb. 9 for $1 million, Feb. 26 for $1 million
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| Settlement date: | Feb. 29
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61760QJL9
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