By Angela McDaniels
Tacoma, Wash., April 25 - Morgan Stanley priced $8 million additional principal amount of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due April 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The total issue size is now $20 million. The issuer said it may further increase the issue size prior to the April 30 settlement date but is not required to do so.
The interest rate is fixed at 11% for the first two years. After that, it will be (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 13% per year. Interest is payable monthly and cannot be less than zero.
If the final index level is greater than or equal to the 50% barrier level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the final index level is below the initial index level.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
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| 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 $1 million
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| Maturity: | April 30, 2034
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| Coupon: | 11% for first two years; beginning April 30, 2016, (a) four times spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which S&P 500 closes at or above barrier level, subject to minimum rate of zero and maximum rate of 13% per year; payable monthly
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| Price: | Variable prices
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| Payout at maturity: | If final index level is greater than or equal to barrier level, par; otherwise, 1% loss for every 1% that final index level is below initial index level
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| Initial index level: | Index's closing level on April 25
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| Index reference level: | 50% of initial index level
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| Pricing dates: | April 8 for $1 million; April 21 for $11 million; April 23 for $8 million
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| Settlement date: | April 30
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61760QEF7
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