Published on 12/9/2015 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $1 million more CMS curve range accrual notes tied to indexes
By Marisa Wong
Morgantown, W.Va., Dec. 9 – Morgan Stanley priced $1 million of additional CMS curve range accrual securities due Nov. 30, 2035 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 $2 million. The original tranche priced Nov. 3.
The coupon is fixed at 9% for the first two years. After that, it will be 9% per year multiplied by the proportion of days on which the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is greater than or equal to zero and each index closes at or above its index reference level, 65% of its initial level. Interest is payable monthly.
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: | CMS curve range accrual securities
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Underlying indexes: | Russell 2000 and S&P 500
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Amount: | $2 million
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Maturity: | Nov. 30, 2035
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Coupon: | 9% for first two years; after that, 9% per year multiplied by proportion of days on which spread of 30-year CMS rate over two-year CMS rate is greater than or equal to zero and each index closes at or above index reference level; payable monthly
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Price: | Variable prices
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Payout at maturity: | If each index finishes at or above 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: | 1,357.941 for S&P 500, 772.7291 for Russell; 65% 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 $1 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: | 61760QJD7
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