By Angela McDaniels
Tacoma, Wash., Feb. 24 - Morgan Stanley priced $15 million of additional fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due Feb. 28, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The issue size is now $20 million. The company said it may further increase the issue size prior to the Feb. 28 settlement date but is not required to do so.
The interest rate is 10% for the first four years. After that, it will be the product of (a) four 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 the index's closing level is at least 50% of the initial index level, subject to a maximum rate of 10%. Interest is payable monthly.
The payout at maturity will be par if the final index level is greater than or equal to the 50% barrier level. Otherwise, investors will lose 1% for every 1% that the final level is less than the initial level.
The initial index level will be the index's closing level on Feb. 25.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Leveraged CMS curve and S&P 500-linked notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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| Amount: | $20 million, increased from $5 million
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| Maturity: | Feb. 28, 2034
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| Coupon: | 10% for first four years; beginning Feb. 28, 2018, four times spread of 30-year CMS rate over two-year CMS rate multiplied by proportion of days on which S&P 500 closes at or above index reference level, subject to minimum rate of zero and maximum rate of 10% per year; payable monthly
|
| Price: | Variable prices
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| Payout at maturity: | Par if index finishes at or above index reference level; otherwise, full exposure to losses from initial level
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| Initial index level: | Index closing level on Feb. 25
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| index reference level: | 50% of initial index level
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| Pricing dates: | Feb. 14 for $5 million; Feb. 20 for $15 million
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| Settlement date | : | Feb. 28
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61760QDZ4
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