By Toni Weeks
San Luis Obispo, Calif., June 1 – Morgan Stanley priced an additional $5 million of CMS curve range accrual securities due May 29, 2035 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the deal size to $6 million. The initial $1 million of notes priced on May 12.
The coupon will be fixed at 9% for the first year. After that, it will accrue at 9% for each day that the 30-year Constant Maturity Swap rate is greater than the two-year CMS rate and each index closes at or above the 60% reference level. Interest is payable monthly.
The payout at maturity will be par plus accrued interest unless either index finishes below the 50% barrier level, in which case investors will be fully exposed to any losses of the worst performing index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | CMS curve range accrual securities
|
| Underlying indexes: | S&P 500 and Russell 2000
|
| Amount: | $6 million, upsized from $1 million
|
| Maturity: | May 29, 2035
|
| Coupon: | Fixed at 9% for first year; after that, 9% per year for each day that 30-year CMS rate is greater than two-year CMS rate and each index closes at or above reference level; payable monthly
|
| Price: | Variable
|
| Payout at maturity: | Par plus accrued interest unless either index finishes below barrier level, in which case investors will be fully exposed to any losses of worst performing index
|
| Initial levels: | Index closing levels on May 26
|
| Reference level: | 60% of initial levels
|
| Barrier level: | 50% of initial level
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| Pricing dates: | May 12 (for $1 million); May 28 (for $5 million)
|
| Settlement date: | May 29
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 61760QGD0
|
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