Published on 1/14/2015 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $8 million leveraged CMS curve, Russell 2000-linked notes
By Toni Weeks
San Luis Obispo, Calif., Jan. 14 – Morgan Stanley priced $8 million of fixed-to-floating leveraged CMS curve and Russell 2000 index-linked notes due Jan. 30, 2035, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% initially. Beginning July 30, 2017, it will accrue at 5 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 65% reference level, up to a cap of 10%. Interest is payable monthly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% barrier level, in which case the payout will be par plus the index return with full exposure to any losses.
Morgan Stanley & Co. LLC is the agent.
| 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: | $8 million
|
| Maturity: | Jan. 30, 2035
|
| Coupon: | 10% initially; beginning July 30, 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 barrier level, par; otherwise, full exposure to losses
|
| Initial level: | Closing index level on Jan. 27
|
| Index reference level: | 65% of initial level
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| Barrier level: | 50% of initial level
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| Pricing date: | Jan. 13
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| Settlement date: | Jan. 30
|
| Agent: | Morgan Stanley & Co. LLC
|
| Dealer: | Morgan Stanley Wealth Management
|
| Fees: | 4%
|
| Cusip: | 61760QFQ2
|
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