Published on 9/12/2013 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $1 million fixed-to-float CMS curve, S&P 500-linked notes
By Toni Weeks
San Luis Obispo, Calif., Sept. 12 - Morgan Stanley priced $1 million of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due Sept. 26, 2033, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 10% for the first two years. Beginning Sept. 26, 2015, it will be (a) four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index's closing level is greater than or equal to 70% of the initial index level on Sept. 23. The interest rate will be subject to a floor of zero and a cap of 10% per year. Interest is payable monthly.
The payout at maturity will be par.
Morgan Stanley & Co. LLC is the agent with Morgan Stanley Smith Barney LLC as dealer.
Issuer: | Morgan Stanley
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Issue: | Fixed-to-floating-rate leveraged CMS curve and S&P 500-linked notes
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Amount: | $1 million
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Maturity: | Sept. 26, 2033
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Coupon: | 10% for first two years; beginning Sept. 26, 2015, four times spread of 30-year CMS rate over two-year CMS rate, multiplied by proportion of days on which S&P 500 is at least 70% of initial index level, which will be determined on Sept. 23; subject to minimum rate of zero and maximum of 10% per year; payable monthly
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Price: | Variable prices
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Payout at maturity: | Par
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Pricing date: | Sept. 10
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Settlement date: | Sept. 26
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Agent: | Morgan Stanley & Co. LLC with Morgan Stanley Smith Barney LLC as dealer
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Fees: | 3.5%
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Cusip: | 61760QDL5
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