Published on 5/6/2015 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $5 million leveraged fixed-to-floaters on CMS rates, two indexes
By Toni Weeks
San Luis Obispo, Calif., May 6 – Morgan Stanley priced $5 million of leveraged fixed-to-floating notes due May 29, 2030 linked to the 30-year Constant Maturity Swap rate over the two-year CMS rate, the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The interest rate is 10% for the first two years. After that, it will accrue 10 times the spread of the 30-year CMS rate over the two-year CMS rate, subject to a minimum rate of zero and a maximum rate of 10% per year, for each day that each index closes at or above its index reference level, 60% of its initial level. Interest will be payable monthly.
The payout at maturity will be par if each index finishes at or above its barrier level, 50% of its initial level. Otherwise, the payout will be par plus the return of the worst-performing index, with full exposure to losses.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
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| Issue: | Leveraged fixed-to-floating notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index, Russell 2000 index
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| Amount: | $5 million
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| Maturity: | May 29, 2030
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| Coupon: | 10% for first two years; beginning May 29, 2017, 10 times spread of 30-year CMS rate over two-year CMS rate, subject to a minimum rate of 0% and a maximum rate of 10% per year, for each day that index closes at or above index reference level
|
| Price: | Variable
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| Payout at maturity: | Par if each index finishes above barrier level; otherwise, par plus return of worst-performing index
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| Initial levels: | Closing levels on May 26
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| Index reference levels: | 60% of initial levels
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| Barrier levels: | 50% of initial levels
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| Pricing date: | May 4
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| Settlement date: | May 29
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| Agent: | J.P. Morgan Securities LLC
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| Fees: | 3.75%
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| Cusip: | 61760QGC2
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