Published on 12/5/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $4 million more leveraged CMS curve, Russell-linked notes
By Marisa Wong
Madison, Wis., Dec. 5 – Morgan Stanley priced an additional $4 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.
This brings the total issue size to $5 million. The initial $1 million principal amount priced on Nov. 4.
The coupon will be fixed at 8% for the first year. Beginning Nov. 28, 2015, it will be seven 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 11% 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
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| Issue: | Leveraged CMS curve and Russell 2000 index-linked notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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| Amount: | $5 million (up from $1 million)
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| Maturity: | Nov. 28, 2034
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| Coupon: | 8% initially; beginning Nov. 28, 2015, 7 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 11%, floor of zero; payable monthly
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| Price: | Variable
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| Payout at maturity: | If index finishes at or above 50% barrier level, par; otherwise, full exposure to losses
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| Initial level: | Closing level on Nov. 24
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| 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. 4 for $1 million, Nov. 26 for $4 million
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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
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| Fees: | 3.5%
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| Cusip: | 61760QFJ8
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