Published on 10/11/2013 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $3 million more leveraged CMS curve, S&P 500-linked notes
By Angela McDaniels
Tacoma, Wash., Oct. 11 - Morgan Stanley priced another $3 million of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due Oct. 15, 2028, according to a 424B2 filing with the Securities and Exchange Commission.
The issuer previously priced $5 million of the notes on Sept. 20 and $3 million on Oct. 8. The total issue size is now $11 million. The size may be further increased prior to the Oct. 15 settlement date.
The coupon is 10% for the first two years. Beginning Oct. 15, 2015, it will be (a) five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index's closing level is at least 59% of the initial index level.
Interest is payable quarterly. The interest rate is subject to a floor of zero and a cap of 10% per year.
If the final index level is greater than or equal to the barrier level, 50% of the initial level, then the payout at maturity will be par. If the final index level is less than the barrier level, investors will be fully exposed to the index's decline from its initial level.
Morgan Stanley & Co. LLC is the agent.
Issuer: | Morgan Stanley
|
Issue: | Fixed-to-floating-rate leveraged CMS curve and S&P 500-linked notes
|
Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
Amount: | $11 million, increased from $5 million
|
Maturity: | Oct. 15, 2028
|
Coupon: | 10% for first two years; beginning Oct. 15, 2015, five times spread of 30-year CMS rate over two-year CMS rate multiplied by proportion of days on which S&P 500 closes at or above index reference level, subject to minimum rate of zero and maximum rate of 10% per year; payable quarterly
|
Price: | Variable prices
|
Payout at maturity: | If final index level is greater than or equal to barrier level, par; if final index level is less than barrier level, full exposure to index's decline from initial level
|
Initial index level: | 1,656.4
|
Index reference level: | 977.276, 59% of initial index level
|
Barrier level: | 828.2, 50% of initial index level
|
Pricing dates: | Sept. 20 for $5 million, Oct. 8 for $3 million, Oct. 9 for $3 million
|
Settlement date: | Oct. 15
|
Agent: | Morgan Stanley & Co. LLC
|
Fees: | 4%
|
Cusip: | 61760QDM3
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.