Published on 3/31/2015 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $5.5 million more leveraged CMS curve, S&P 500 notes
By Jennifer Chiou
New York, March 31 – Morgan Stanley priced another $5.5 million of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due March 31, 2035, bringing the total amount to $7.5 million, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon is fixed at 10% for the first two years. After that, it will be six times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum of zero and a maximum of 10% per year, multiplied by the proportion of days on which the index closes at or above the index reference level, 60% of the initial level. Interest is payable monthly.
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 the settlement date but is not required to do so.
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 original $2 million)
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| Maturity: | March 31, 2035
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| Coupon: | 10% initially; beginning March 31, 2017, six times spread of 30-year CMS rate over two-year CMS rate, subject to floor of zero and cap of 10% per year, multiplied by proportion of days on which index closes at or above index reference level; payable monthly
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| Price: | Variable
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| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
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| Initial index level: | 2,056.15 (index’s closing level on March 26)
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| Barrier level: | 1,028.075, 50% of initial index level
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| Index reference level: | 1,233.69, 60% of initial index level
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| Pricing date: | March 2 for original $2 million; March 30 for $5.5 million
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| Settlement date: | March 31
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 4%
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| Cusip: | 61760QFU3
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