Published on 1/10/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $1 million leveraged CMS curve, S&P 500 notes
By Marisa Wong
Madison, Wis., Jan. 10 - Morgan Stanley priced $1 million of fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Jan. 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first year. Beginning on Jan. 30, 2015, it will be (a) the leverage factor 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 greater than or equal to 50% of the initial level. The leverage factor will be 5 initially and will step up to 6 beginning on Jan. 30, 2019, to 8 on Jan. 30, 2024 and to 10 on Jan. 30, 2029.
The interest rate will be subject to a floor of zero and a cap of 10% per year. Interest will be 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 any losses.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Leveraged CMS curve and S&P 500-linked notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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| Amount: | $1 million
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| Maturity: | Jan. 30, 2034
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| Coupon: | 10% initially; beginning Jan. 30, 2015, (a) leverage factor times spread of 30-year CMS rate over two-year CMS rate multiplied by (b) proportion of days on which index's closing level is greater than or equal to barrier level; leverage factor will be 5 initially and will step up to 6 beginning on Jan. 30, 2019, to 8 on Jan. 30, 2024 and to 10 on Jan. 30, 2029; interest rate subject to a floor of 0% and a cap of 10% per year; payable monthly
|
| Price: | Variable
|
| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to any losses
|
| Barrier level: | 50% of initial index level
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| Pricing date: | Jan. 8
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| Settlement date: | Jan. 30
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| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 61760QDW1
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