Published on 2/26/2016 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley sells $5 million fixed-to-floaters on CMS rates, S&P 500
By Wendy Van Sickle
Columbus, Ohio, Feb. 26 – Morgan Stanley priced $5 million of fixed-to-floating rate securities due Feb. 28, 2031 linked to the 30-year Constant Maturity Swap rate, two-year CMS rate and the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.
The notes will pay monthly interest at an annual rate of 10% for the first year. After that, interest will equal the product of (a) the 30-year CMS rate minus the 2-year CMS rate multiplied by 10 and (b) the number of days during the interest period in which the index closes above 75% of its initial level divided by the total number of days in the period. Interest cannot be less than 0% or more than 10%.
The payout at maturity will be par, unless the index closes below its 50% barrier level, in which case investors will be fully exposed to the index’s loss.
Morgan Stanley & Co. LLC is the agent
Issuer: | Morgan Stanley
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Issue: | Fixed-to-floating notes
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Underlying index: | S&P 500
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Amount: | $5 million
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Maturity: | Feb. 28, 2031
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Coupon: | 10% for one year; after that, product of (a) 10 times the difference of 30-year CMS rate minus 2-year CMS rate and (b) number of days in interest period when index closes above 75% of initial level divided by total number of days in interest period, cap of 10%, floor of zero; payable monthly
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Price: | Par
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Payout at maturity: | Par, unless S&P 500 index closes below 50% of initial level, in which case full exposure to loss
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Initial index level, | 1,929.80
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Pricing date: | Feb. 24
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Settlement date: | Feb. 29
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Underwriter: | Morgan Stanley & Co. LLC
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Fees: | 3.5%
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Cusip: | 61760QJM7
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