Published on 7/18/2011 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $4 million of leveraged CMS curve, S&P 500-linked notes
By Marisa Wong
Madison, Wis., July 18 - Morgan Stanley priced $4 million of leveraged CMS curve and S&P 500 index-linked notes due July 29, 2026, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer said it may increase the deal size prior to the issue date.
The coupon will be 11.5% for the first year. After that, interest will accrue at a leverage factor times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the level of the S&P 500 is at least 825, up to a maximum rate of 10% per year in any interest payment period. The leverage factor will equal four from July 29, 2012 up to July 29, 2016, five from July 29, 2016 up to July 29, 2021 and seven from July 29, 2021 to maturity. Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Leveraged CMS curve and S&P 500 index-linked notes
|
| Amount: | $4 million, may be increased prior to settlement
|
| Maturity: | July 29, 2026
|
| Coupon: | 11.5% for first year; thereafter, a leverage factor times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the S&P 500 is at least 825, subject to cap of 10% and floor of zero; leverage factor is four from July 29, 2012 up to July 29, 2016, five from July 29, 2016 up to July 29, 2021 and seven from July 29, 2021 to maturity; payable quarterly
|
| Price: | Variable
|
| Payout at maturity: | Par
|
| Pricing date: | July 14
|
| Settlement date: | July 29
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 2%
|
| Cusip: | 61745E4L2
|
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