Published on 9/30/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $1 million more leveraged CMS curve, S&P 500-linked notes
By Angela McDaniels
Tacoma, Wash., Sept. 30 – Morgan Stanley priced $1 million principal amount of additional fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due Sept. 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The initial $3 million of notes priced Sept. 5. The issue size is now $4 million.
The coupon is 10% for the first two years. After that, 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 barrier level, 60% of the initial level, subject to a cap of 10% per year. Interest is payable monthly and cannot be less than zero.
The payout at maturity will be par unless index finishes below the 50% trigger level, in which case investors will be fully exposed to the index’s decline.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Leveraged CMS curve and S&P 500 index-linked notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $4 million, increased from $3 million
|
| Maturity: | Sept. 30, 2034
|
| Coupon: | 10% initially; beginning Sept. 30, 2016, five times spread of 30-year CMS rate over two-year CMS rate multiplied by the proportion of days on which index closes at or above barrier level, up to a cap of 10% and subject to a floor of zero; payable monthly
|
| Price: | Variable prices
|
| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
|
| Initial level: | 1,965.99 (closing level on Sept. 25)
|
| Coupon barrier: | 1,179.594, 60% of initial index level
|
| Trigger level: | 982.995, 50% of initial index level
|
| Pricing date: | Sept. 5
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| Upsized: | Sept. 29
|
| Settlement date: | Sept. 30
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 4%
|
| Cusip: | 61760QEW0
|
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