Published on 4/8/2015 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $5 million leveraged CMS curve notes tied to S&P, Russell
By Marisa Wong
Madison, Wis., April 8 – Morgan Stanley priced $5 million fixed-to-floating leveraged CMS curve securities due April 30, 2030 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first year. Beginning April 30, 2016, it will accrue at 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 50% reference level, up to a maximum coupon of 10% per year. Interest is payable monthly and cannot be less than zero.
The payout at maturity will be par plus accrued interest unless either index finishes below the 50% barrier level, in which case 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 leveraged CMS curve securities
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| Underlying indexes: | S&P 500, Russell 2000
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| Amount: | $5 million
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| Maturity: | April 30, 2030
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| Coupon: | Fixed at 10% for first year; beginning April 30, 2016, it will accrue at 10 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the 50% reference level, up to a maximum coupon of 10% per year, floor of 0%; payable monthly
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| Price: | Variable
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| Payout at maturity: | Par plus accrued interest unless either index finishes below 50% barrier level, in which case investors will be fully exposed to decline of worst performing index
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| Initial levels: | Index closing levels on April 27
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| Pricing date: | April 2
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| Settlement date: | April 30
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.75%
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| Cusip: | 61760QFX7
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