Published on 11/7/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $5 million leveraged CMS curve and Russell 2000-linked notes
By Toni Weeks
San Luis Obispo, Calif., Nov. 7 – Morgan Stanley priced $5 million of fixed-to-floating leveraged CMS curve and Russell 2000 index-linked notes due Nov. 28, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first three years. Beginning Nov. 28, 2017, 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 60% index reference level, subject to a maximum coupon of 10% per year. Interest is payable monthly and cannot be less than zero.
If the final index level is at or above the barrier level, 50% of the initial index level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline from its initial level.
Morgan Stanley & Co. LLC is the agent with Morgan Stanley Wealth Management as dealer.
| Issuer: | Morgan Stanley
|
| Issue: | Leveraged CMS curve and Russell 2000 index-linked notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
|
| Amount: | $5 million
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| Maturity: | Nov. 28, 2034
|
| Coupon: | 10% initially; beginning Nov. 28, 2017, 5 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above index reference level, up to a cap of 10%, floor of zero; payable monthly
|
| Price: | Variable
|
| Payout at maturity: | If index finishes at or above 50% barrier level, par; otherwise, full exposure to losses
|
| Initial level: | Closing level on Nov. 24
|
| Index reference level: | 60% of initial index level
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| Barrier level: | 50% of initial index level
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| Pricing date: | Nov. 5
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| Settlement date: | Nov. 28
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| Agent: | Morgan Stanley & Co. LLC
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| Dealer: | Morgan Stanley Wealth Management
|
| Fees: | 4%
|
| Cusip: | 61760QFL3
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