By Susanna Moon
Chicago, July 29 - Morgan Stanley priced $4 million of leveraged CMS curve and S&P 500 index-linked notes due July 29, 2026, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 11.5% for the first year. After that, it will accrue at a leverage factor times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the S&P 500 is at least 825, up to a maximum rate of 10%.
The leverage factor will be four times beginning July 29, 2012, five times beginning July 29, 2016 and seven times beginning July 29, 2021. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Leveraged CMS curve and S&P 500 index-linked notes
|
| Amount: | $4 million
|
| Maturity: | July 29, 2026
|
| Coupon: | 11.5% for one year; then, rate will accrue at leverage factor times spread of the 30-year CMS rate over the two-year CMS rate for each day that the S&P 500 is at least 825; cap of 10% and floor of zero; the leverage factor is four times beginning July 29, 2012, five times beginning July 29, 2016 and seven times beginning July 29, 2021; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par
|
| Pricing date: | July 14
|
| Settlement date: | July 29
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 2%
|
| Cusip: | 61745E4L2
|
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