Published on 6/16/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $5 million more leveraged CMS curve, S&P 500 notes
By Angela McDaniels
Tacoma, Wash., June 16 – Morgan Stanley priced another $5 million of fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due June 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
Previously, the issuer priced $1 million of the notes on June 3 and $9 million on June 10. The total issue size is now $15 million.
The coupon is fixed at 11% for the first year. After that, it will be five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by the proportion of days on which the index closes at or above the 50% barrier level, subject to a maximum coupon of 11%. Interest is payable monthly and cannot be less than zero.
If the index finishes at or above the 50% barrier level, the payout at maturity will be par. Otherwise, investors will be fully exposes to losses.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Leveraged CMS curve and S&P 500 index-linked notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $15 million, increased from $1 million
|
| Maturity: | June 30, 2034
|
| Coupon: | 11% initially; beginning June 30, 2015, five times spread of 30-year CMS rate over two-year CMS rate multiplied by proportion of days on which index closes at or above barrier level, up to a cap of 11% and a floor of zero; payable monthly
|
| Price: | Variable prices
|
| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
|
| Initial level: | Closing level on June 25
|
| Barrier level: | 50% of initial index level
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| Pricing dates: | June 3 for $1 million and June 10 for $14 million
|
| Settlement date: | June 30
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 61760QEH3
|
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