By Angela McDaniels
Tacoma, Wash., Oct. 22 – Morgan Stanley priced $3 million principal amount of fixed-to-floating-rate leveraged CMS curve and Russell 2000 index-linked notes due Oct. 31, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is fixed at 11% for the first year. After that, it will be (a) five 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 closes at or above the index reference level, 60% of the initial level, subject to a maximum rate of 11% per year. Interest is 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 the index’s decline.
The issuer said it may increase the issue size prior to settlement but is not required to do so.
Morgan Stanley & Co. LLC is the agent.
Issuer: | Morgan Stanley
|
Issue: | Fixed-to-floating-rate CMS curve and Russell 2000-linked range accrual notes
|
Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
|
Amount: | $3 million
|
Maturity: | Oct. 31, 2034
|
Coupon: | 11% initially; beginning Oct. 31, 2015, (a) five times spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which index closes at or above index reference level, subject to maximum rate of 11% per year; payable monthly and cannot be less than zero
|
Price: | Variable prices
|
Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
|
Initial level: | Index’s closing level on Oct. 28
|
Barrier level: | 50% of initial level
|
Index reference level: | 60% of initial level
|
Pricing date: | Oct. 20
|
Settlement date: | Oct. 31
|
Agent: | Morgan Stanley & Co. LLC
|
Fees: | 4%
|
Cusip: | 61760QFG4
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.