Published on 7/6/2015 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $3 million CMS curve, S&P 500-linked range accrual notes
By Marisa Wong
Madison, Wis., July 6 – Morgan Stanley priced $3 million of floating-rate CMS curve and S&P 500 index-linked range accrual securities due June 30, 2030, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be 8% times the proportion of days in the interest period that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is zero or positive and the index closes at or above the 70% reference level. 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 losses.
Morgan Stanley & Co. LLC is the agent.
Issuer: | Morgan Stanley
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Issue: | Floating-rate CMS curve and S&P 500 index-linked range accrual securities
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Amount: | $3 million
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Maturity: | June 30, 2030
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Coupon: | 8% times the proportion of days in the interest period that the spread of the 30-year CMS rate over the two-year CMS rate is zero or positive and the index closes at or above the reference level, subject to floor of zero; payable monthly
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Price: | Variable
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Payout at maturity: | Par unless the index finishes below the | barrier level, in which case par plus the index return with full exposure to losses
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Initial index level: | 2,102.31
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Reference index level: | 1,471.617, 70% of initial level
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Barrier level: | 1,051.155, 50% of initial level
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Pricing date: | June 25
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Settlement date: | June 30
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Agent: | Morgan Stanley & Co. LLC
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Fees: | 3.5%
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Cusip: | 61760QGF5
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