By Wendy Van Sickle
Columbus, Ohio, Jan. 25 – Morgan Stanley priced $1 million of fixed-to-floating leveraged CMS curve securities due Jan. 29, 2031 linked to the worse 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 will be fixed at 10% for the first two years, payable monthly. After that, it will accrue at 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, up to a maximum rate of 10% per year, for each day that each index closes at or above its 60% reference level. Interest will be payable monthly and cannot be less than zero.
The payout at maturity will be par unless either index finishes below its 50% trigger level, in which case investors will be fully exposed to the loss of the worse performing index.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
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| Issue: | CMS curve range accrual securities
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| Underlying indexes: | Russell 2000 and S&P 500
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| Amount: | $1 million
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| Maturity: | Jan. 29, 2031
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| Coupon: | 10% for the first two years; after that 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, up to a maximum rate of 10% per year, for each day that each index closes at or above its 60% reference level
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| Price: | Variable prices
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| Payout at maturity: | If each index finishes at or above trigger level, par; otherwise, full exposure to decline of worse performing index
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| Initial levels: | Each index’s closing level on Jan. 26
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| Index reference levels: | 60% of initial levels
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| Barrier levels: | 50% of initial level
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| Pricing date: | Jan. 21
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| Settlement date: | Jan. 29
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61760QJG0
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