Published on 3/28/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley prices $15 million more leveraged CMS curve, S&P notes
By Angela McDaniels
Tacoma, Wash., March 28 - Morgan Stanley priced another $5 million of fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due March 31, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total deal size to $30 million. The issuer said it may increase the issue size further prior to the settlement date but is not required to do so.
The coupon will be fixed at 10% for the first four years. Beginning March 31, 2018, the interest rate will be (a) four 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 interest rate is subject to a floor of zero and a cap of 10% per year. 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 losses.
Morgan Stanley & Co. LLC is the agent.
| Issuer: | Morgan Stanley
|
| Issue: | Leveraged CMS curve and S&P 500-linked notes
|
| Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
|
| Amount: | $30 million, increased from $5 million
|
| Maturity: | March 31, 2034
|
| Coupon: | 10% initially; beginning March 31, 2018, (a) four 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, subject to floor of 0% and cap of 10% per year; payable monthly
|
| Price: | Variable prices
|
| Payout at maturity: | If index finishes at or above barrier level, par; otherwise, full exposure to losses
|
| Initial index level: | 1,852.56
|
| Barrier level: | 926.28, 50% of initial index level
|
| Pricing dates: | March 14 for $5 million, March 21 for $10 million, March 27 for $15 million
|
| Settlement date: | March 31
|
| Agent: | Morgan Stanley & Co. LLC
|
| Fees: | 3.5%
|
| Cusip: | 61760QEE0
|
© 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.
