Published on 12/5/2014 in the Prospect News Structured Products Daily.
New Issue: Morgan Stanley ups CMS curve, Russell 2000-linked notes to $1.1 million
By Marisa Wong
Madison, Wis., Dec. 5 – Morgan Stanley priced an additional $100,000 of fixed-to-floating-rate CMS curve and Russell 2000 index-linked range accrual securities due Nov. 28, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
This brings the total issue size to $1.1 million. The initial $1 million of notes priced on Nov. 4.
The coupon is fixed at 7.5% for the first year. After that, it will be (a) 7.5% per year multiplied by (b) the proportion of days on which the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is greater than or equal to zero and the index closes at or above the index reference level, 60% 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: | Fixed-to-floating-rate CMS curve and Russell 2000-linked range accrual notes
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| Underlyings: | 30-year CMS rate, two-year CMS rate, Russell 2000 index
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| Amount: | $1.1 million (up from $1 million)
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| Maturity: | Nov. 28, 2034
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| Coupon: | 7.5% initially; beginning Nov. 28, 2015, 7.5% per year multiplied by (b) proportion of days on which spread of 30-year CMS rate over two-year CMS rate is greater than or equal to zero and index closes at or above index reference level; payable monthly
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| Price: | Variable prices
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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 level: | Index’s closing level on Nov. 24
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| Barrier level: | 50% of initial level
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| Index reference level: | 60% of initial level
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| Pricing date: | Nov. 4 for $1 million, Nov. 26 for $100,000
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| Settlement date: | Nov. 28
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| Agent: | Morgan Stanley & Co. LLC
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| Fees: | 3.5%
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| Cusip: | 61760QFK5
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