Published on 7/31/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $14 million more leveraged CMS curve, S&P 500-linked notes
By Marisa Wong
Madison, Wis., July 31 – Morgan Stanley priced another $14 million of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due July 31, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total issue size to $25 million. The initial $1 million of notes priced on July 7, and the deal was upsized to $11 million on July 18.
The coupon will be 10% for the first three years. Beginning July 31, 2017, it will be (a) 4 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 greater than or equal to 50% of the initial index level. The interest rate will be subject to a floor of 0% and a cap of 10% per year. Interest is payable monthly.
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
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| Issue: | Fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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| Amount: | $25 million, upsized from $1 million
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| Maturity: | July 31, 2034
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| Coupon: | 10% initially; beginning July 31, 2017, 4 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 10% and a floor of 0%; payable monthly
|
| Price: | Variable
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| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
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| Initial level: | 1,978.91 (closing level on July 28)
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| Barrier level: | 989.455, 50% of initial index level
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| Pricing date: | July 7 for $1 million, July 18 for $10 million, July 29 for $14 million
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| Settlement date: | July 31
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61760QEL4
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