Published on 8/19/2011 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $1 million of leveraged CMS curve, S&P 500-linked notes
By Susanna Moon
Chicago, Aug. 19 - Morgan Stanley priced $1 million of leveraged CMS curve and S&P 500 index-linked notes due Aug. 31, 2031, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 10% for the first three years. After that, it 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 775, up to a maximum rate of 10% per year in any interest payment period.
The leverage factor will be four from Aug. 31, 2014 to Aug. 30, 2016, five from Aug. 31, 2016 to Aug. 30, 2021, seven from Aug. 31, 2021 to Aug. 30, 2026 and 10 after that until 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
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Issue: | Leveraged CMS curve and S&P 500 index-linked notes
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Amount: | $1 million
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Maturity: | Aug. 31, 2031
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Coupon: | 10% for three years; then, 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 775, capped at 10% and floor of zero; payable quarterly
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Interest leverage factor: | Four from Aug. 31, 2014 to Aug. 30, 2016, five from Aug. 31, 2016 to Aug. 30, 2021, seven from Aug. 31, 2021 to Aug. 30, 2026 and 10 after that
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Price: | Variable
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Payout at maturity: | Par
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Pricing date: | Aug. 17
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Settlement date: | Aug. 31
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Agent: | Morgan Stanley & Co. LLC
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Fees: | 4%
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Cusip: | 61745EF97
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