By Angela McDaniels
Tacoma, Wash., June 8 – Morgan Stanley priced $1 million of CMS curve range accrual securities due June 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 coupon is fixed at 9% for the first year. 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, 60% 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.
The issuer said it might increase the issue size prior to the settlement date, June 30, but is not required to do so.
| Issuer: | Morgan Stanley
|
| Issue: | CMS curve range accrual securities
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $1 million
|
| Maturity: | June 30, 2035
|
| Coupon: | 9% for first year; 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
|
| Payout at maturity: | If each index finishes at or above barrier level, par; otherwise, full exposure to decline of worst-performing index
|
| Initial levels: | Each index’s closing level on June 25
|
| Index reference levels: | 60% of initial level
|
| Barrier levels: | 50% of initial level
|
| Pricing date: | June 4
|
| Settlement date: | June 30
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.7%
|
| Cusip: | 61760QGK4
|
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