By Susanna Moon
Chicago, June 25 – Morgan Stanley priced another $10 million of fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due June 30, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The latest add-on brings the total deal size to $25 million.
The issuer priced $1 million of the notes on June 3, $9 million on June 10 and another $10 million on June 23.
The coupon is fixed at 11% for the first year. After that, it will be five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by the proportion of days on which the index closes at or above the 50% barrier level, subject to a maximum coupon of 11%. Interest is payable monthly and cannot be less than zero.
If the index finishes at or above the 50% barrier level, the payout at maturity will be par. Otherwise, investors will be fully exposes to losses.
Morgan Stanley & Co. LLC is the agent.
Issuer: | Morgan Stanley
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Issue: | Leveraged CMS curve and S&P 500 index-linked notes
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Underlyings: | 30-year CMS rate, two-year CMS rate, S&P 500 index
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Amount: | $25 million, up from $1 million
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Maturity: | June 30, 2034
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Coupon: | 11% initially; beginning June 30, 2015, five times spread of 30-year CMS rate over two-year CMS rate multiplied by proportion of days on which index closes at or above barrier level, up to a cap of 11% and a floor of zero; payable monthly
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Price: | Variable
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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: | Closing level on June 25
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Barrier level: | 50% of initial index level
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Pricing dates: | June 3 for $1 million, June 10 for $14 million and June 23 for $10 million
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Settlement date: | June 30
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Agent: | Morgan Stanley & Co. LLC
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Fees: | 3.5%
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Cusip: | 61760QEH3
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