Published on 9/5/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $1 million leveraged CMS curve and Russell 2000-linked notes
By Marisa Wong
Madison, Wis., Sept. 5 – Morgan Stanley priced $1 million fixed-to-floating leveraged CMS curve and Russell 2000 index-linked notes due Sept. 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first year. After that, it will accrue at the leverage factor 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 50% barrier level, up to a maximum rate of 10%. Interest is payable monthly.
The leverage factor will be 4 initially and will step up to 6 on Sept. 30, 2020, to 7 on Sept. 30, 2025 and to 10 on Sept. 30, 2030.
The payout at maturity will be par unless the index finishes below the 50% barrier 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: | $1 million
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| Maturity: | Sept. 30, 2034
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| Coupon: | 10% initially; beginning Sept. 30, 2015, after that, it will accrue at leverage factor times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above barrier level, up to a maximum rate of 10%; leverage factor will be 4 initially and will step up to 6 on Sept. 30, 2020, to 7 on Sept. 30, 2025 and to 10 on Sept. 30, 2030; 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 Sept. 25
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| Barrier level: | 60% of initial index level
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| Pricing date: | Sept. 3
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| Settlement date: | Sept. 30
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61760QEV2
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