Published on 12/5/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley sells $1 million more leveraged CMS curve, Russell 2000-linked notes
By Marisa Wong
Madison, Wis., Dec. 5 – Morgan Stanley priced an additional $1 million of fixed-to-floating leveraged CMS curve and Russell 2000 index-linked notes due Nov. 28, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total issue size to $6 million. The initial $5 million principal amount priced on Nov. 5.
The coupon will be fixed at 10% for the first three years. Beginning Nov. 28, 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 60% 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 with Morgan Stanley Wealth Management as dealer.
Issuer: | Morgan Stanley
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Issue: | Leveraged CMS curve and Russell 2000 index-linked notes
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Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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Amount: | $6 million (up from $5 million)
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Maturity: | Nov. 28, 2034
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Coupon: | 10% initially; beginning Nov. 28, 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 Nov. 24
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Index reference level: | 60% of initial index level
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Barrier level: | 50% of initial index level
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Pricing date: | Nov. 5 for $5 million, Nov. 26 for $1 million
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Settlement date: | Nov. 28
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Agent: | Morgan Stanley & Co. LLC
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Dealer: | Morgan Stanley Wealth Management
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Fees: | 4%
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Cusip: | 61760QFL3
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