Published on 8/27/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley sells $4 million more CMS curve and Russell 2000-tied range accrual notes
By Toni Weeks
San Luis Obispo, Calif., Aug. 27 – Morgan Stanley priced another $4 million of fixed-to-floating CMS curve and Russell 2000 index-linked range accrual securities due Aug. 29, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total deal size to $6 million. The initial $2 million of the notes priced Aug. 7.
The coupon will be fixed at 7% for the first year. After that, it will accrue at 7% annualized for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is at least 0% and the index closes at or above the 50% barrier 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% trigger level, in which case the payout will be par plus the index return with full exposure to any losses.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Fixed-to-floating-rate CMS curve and Russell 2000-linked range accrual notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
|
| Amount: | $6 million, upsized from $2 million
|
| Maturity: | Aug. 29, 2034
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| Coupon: | 7% initially; beginning Aug. 29, 2015, After that, it will accrue at 7% annualized for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is at least 0% and the index closes at or above; floor of zero, payable monthly
|
| Price: | Variable
|
| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
|
| Initial level: | 1,175.17, closing level on Aug. 26
|
| Barrier level: | 587.585, 50% of initial index level
|
| Pricing dates: | Aug. 7 for $2 million; Aug. 26 for $4 million
|
| Settlement date: | Aug. 29
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 61760QER1
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