Published on 1/14/2015 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $8 million leveraged CMS curve, Russell 2000-linked notes
By Toni Weeks
San Luis Obispo, Calif., Jan. 14 – Morgan Stanley priced $8 million of fixed-to-floating leveraged CMS curve and Russell 2000 index-linked notes due Jan. 30, 2035, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% initially. Beginning July 30, 2017, it will accrue at 5 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 65% reference level, up to a cap of 10%. Interest is payable monthly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% barrier level, in which case the payout will be par plus the index return with full exposure to any losses.
Morgan Stanley & Co. LLC is the agent.
Issuer: | Morgan Stanley
|
Issue: | Leveraged CMS curve and Russell 2000 index-linked notes
|
Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
|
Amount: | $8 million
|
Maturity: | Jan. 30, 2035
|
Coupon: | 10% initially; beginning July 30, 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
|
Price: | Variable
|
Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
|
Initial level: | Closing index level on Jan. 27
|
Index reference level: | 65% of initial level
|
Barrier level: | 50% of initial level
|
Pricing date: | Jan. 13
|
Settlement date: | Jan. 30
|
Agent: | Morgan Stanley & Co. LLC
|
Dealer: | Morgan Stanley Wealth Management
|
Fees: | 4%
|
Cusip: | 61760QFQ2
|
© 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.