Published on 12/9/2015 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $3 million more leveraged CMS curve notes on S&P, Russell
By Marisa Wong
Morgantown, W.Va., Dec. 9 – Morgan Stanley priced $3 million of additional fixed-to-floating-rate leveraged CMS curve securities due Nov. 30, 2030 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The additional notes bring the issue size to $5 million. The initial notes priced Nov. 3.
The coupon is fixed at 10% for the first four years. 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 each index closes at or above its index reference level, 70% of its initial level, subject to a maximum rate of 10% per year. Interest is payable monthly and cannot be less than zero.
If each index finishes at or above its barrier level, 50% of its initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst-performing index.
Morgan Stanley & Co. LLC is the agent.
Issuer: | Morgan Stanley
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Issue: | Fixed-to-floating-rate leveraged CMS curve securities
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Underlying indexes: | Russell 2000 and S&P 500
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Amount: | $5 million
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Maturity: | Oct. 30, 2030
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Coupon: | 10% for first four years; after that, (a) five times spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which each index closes at or above its index reference level, subject to maximum rate of 10% per year; payable monthly and cannot be less than zero
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Price: | Variable prices
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Payout at maturity: | If each index finishes at or above its barrier level, par; otherwise, full exposure to decline of worst-performing index
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Initial levels: | 2,089.14 for S&P 500, 1,188.814 for Russell
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Index reference levels: | 1,462.398 for S&P 500, 832.1698 for Russell; 70% of initial levels
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Barrier levels: | 1,044.57 for S&P 500, 594.407 for Russell; 50% of initial levels
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Pricing date: | Nov. 3 for initial tranche; Nov. 25 for $3 million
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Settlement date: | Nov. 30
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Agent: | Morgan Stanley & Co. LLC
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Fees: | 3.5%
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Cusip: | 61760QJC9
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