Published on 5/15/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $5 million leveraged CMS curve, S&P 500 notes
By Susanna Moon
Chicago, May 15 - Morgan Stanley priced $5 million of fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due May 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first three years. After that, it will accrue at 4 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 50% barrier level, up to a maximum coupon of 10%. Interest will be payable monthly and cannot be less than zero.
If the index finishes at or above the 50% barrier level, the payout at maturity will be par.
Otherwise, investors will be fully exposed to any losses.
Morgan Stanley & Co. LLC is the agent.
Issuer: | Morgan Stanley
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Issue: | Leveraged CMS curve and S&P 500-linked notes
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Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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Amount: | $7 million
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Maturity: | May 30, 2034
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Coupon: | 10% initially; beginning May 30, 2017, 4 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above barrier level, up to a cap of 10%; payable monthly
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Price: | Variable
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Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to any losses
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Initial level: | Closing level on May 27
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Barrier level: | 50% of initial index level
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Pricing date: | May 13
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Settlement date: | May 30
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Agent: | Morgan Stanley & Co. LLC
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Fees: | 3.5%
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Cusip: | 61760QEG5
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