Published on 10/7/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $4 million leveraged CMS curve, Russell-linked notes
By Jennifer Chiou
New York, Oct. 7 – Morgan Stanley priced $4 million of fixed-to-floating leveraged CMS curve and Russell 2000 index-linked notes due Oct. 8, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer said it may increase the issue size prior to the Oct. 8 settlement date but is not required to do so.
The coupon is fixed at 11% for the first two years. After that, it will be five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum of zero and a maximum of 11% per year, multiplied by the proportion of days on which the index closes at or above the index reference level, 50% of the initial level. Interest is payable monthly.
If the index finishes at or above the 50% barrier level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
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| Issue: | Leveraged CMS curve and Russell 2000 index-linked notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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| Amount: | $4 million
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| Maturity: | Oct. 8, 2034
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| Coupon: | 11% initially; beginning on April 8, 2016, five times spread of 30-year CMS rate over two-year CMS rate, subject to floor of zero and cap of 11%, multiplied by proportion of days on which index closes at or above index reference level; payable monthly
|
| Price: | Variable
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| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
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| Initial index level: | 1,104.743
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| Index reference/barrier level: | 50% of initial index level
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| Pricing date: | Oct. 3
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| Settlement date: | Oct. 8
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 4%
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| Cusip: | 61760QFB5
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