Published on 8/27/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $4.5 million more leveraged CMS curve and S&P 500-tied notes
By Susanna Moon
Chicago, Aug. 27 – Morgan Stanley priced another $4.5 million of fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Aug. 29, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total deal size to $7.5 million, up from $3 million.
The coupon will be fixed at 10% for the first three years. Beginning Aug. 29, 2017, it will be five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by the proportion of days on which the index closes at or above the 65% index reference level, subject to a maximum coupon of 10% per year. Interest is payable monthly and cannot be less than zero.
If the final index level is at or above the barrier level, 50% of the initial index level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline from its initial level.
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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| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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| Amount: | $7.5 million, up from $3 million
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| Maturity: | Aug. 29, 2034
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| Coupon: | 10% initially; beginning Aug. 29, 2017, 5 times spread of 30-year CMS rate over two-year CMS rate for each day that index closes at or above index reference level, up to a cap of 10%, floor of zero; payable monthly
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| Price: | Variable
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| Payout at maturity: | If index finishes at or above 50% barrier level, par; otherwise, full exposure to losses
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| Initial level: | Closing level on Aug. 26
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| Index reference level: | 65% of initial index level
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| Barrier level: | 50% of initial index level
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| Pricing date: | Aug. 13 for $3 million, Aug. 26 for $4.5 million
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| Settlement date: | Aug. 29
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 4%
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| Cusip: | 61760QES9
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