Published on 8/18/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $5 million leveraged CMS curve and Russell 2000-linked notes
By Susanna Moon
Chicago, Aug. 18 – Morgan Stanley priced $5 million fixed-to-floating leveraged CMS curve and Russell 2000 index-linked notes due Aug. 29, 2034, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be fixed at 6% for the first year. After that, it will accrue at seven times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 60% barrier level, up to a maximum rate.
The maximum rate will be 10% for the first five years, stepping up to 11% on Aug. 29, 2019, to 12% on Aug. 29, 2024 and to 15% on Aug. 29, 2029. Interest is payable monthly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
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| Issue: | Fixed-to-floating-rate CMS curve and Russell 2000-linked range accrual notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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| Amount: | $5 million
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| Maturity: | Aug. 29, 2034
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| Coupon: | 6% initially; beginning Aug. 29, 2015, after that, it will accrue at seven times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above 60% barrier level, up to a maximum rate of 10% for the first five years, stepping up to 11% on Aug. 29, 2019, to 12% on Aug. 29, 2024 and to 15% on Aug. 29, 2029; payable monthly
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| 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: | Index closing level on Aug. 26
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| Coupon barrier: | 60% of initial index level
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| Trigger level: | 50% of initial index level
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| Pricing date: | Aug. 15
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| Settlement date: | Aug. 29
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 4%
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| Cusip: | 61760QET7
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