By Marisa Wong
Morgantown, W.Va., Sept. 14 – Morgan Stanley priced $3 million of fixed-to-floating-rate leveraged CMS curve securities due Sept. 30, 2030 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 10% for the first four years. After that, it will be (a) five 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, 70% 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 worst-performing index.
Morgan Stanley & Co. LLC is the agent.
The issuer said it may increase the issue size prior to the settlement date, Sept. 30, but is not required to do so.
| Issuer: | Morgan Stanley
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| Issue: | Fixed-to-floating-rate leveraged CMS curve securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $3 million
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| Maturity: | Sept. 30, 2030
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| Coupon: | 10% for first four years; after that, (a) five 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 its index reference level, subject to maximum rate of 10% per year; payable monthly and cannot be less than zero
|
| Price: | Variable prices
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| Payout at maturity: | If each index finishes at or above its barrier level, par; otherwise, full exposure to decline of worst-performing index
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| Initial levels: | Each index’s closing level on Sept. 25
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| Index reference levels: | 70% of initial level
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| Barrier levels: | 50% of initial level
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| Pricing date: | Sept. 10
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| Settlement date: | Sept. 30
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 4%
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| Cusip: | 61760QHP2
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