Published on 7/8/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $1 million CMS curve and S&P 500-linked range accrual notes
By Toni Weeks
San Luis Obispo, Calif., July 8 – Morgan Stanley priced $1 million of fixed-to-floating-rate CMS curve and S&P 500 index-linked range accrual securities due July 31, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 10% for the first year. Beginning July 31, 2015, it will be 10% multiplied by the proportion of days on which (a) the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is at least 0.99% and (b) the index’s closing level is greater than or equal to 65% of the initial index level. Interest is payable monthly and cannot be less than zero.
The payout at maturity will be par unless the final index level is less than 50% of the initial level, in which case the payout will be par plus the index return with full exposure to losses.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Fixed-to-floating-rate CMS curve and S&P 500 index-linked range accrual notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $1 million
|
| Maturity: | July 31, 2034
|
| Coupon: | 10% initially; beginning July 31, 2015, 10% multiplied by proportion of days on which (a) spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is at least 0.99% and (b) index’s closing level is at least 65% of initial index level; floor of zero, payable monthly
|
| Price: | Variable
|
| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
|
| Initial level: | Closing level on July 28
|
| Barrier level: | 50% of initial index level
|
| Pricing date: | July 7
|
| Settlement date: | July 31
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 61760QEK6
|
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