Morgan Stanley in New York has priced the equity-default swap portfolio it has been marketing for the last two months. According to Securities and Exchange Commission filings, the firm has raised USD2.02 million from the notes, dubbed Corporate Portfolio Trigger Securities (DW, 6/9). Additional filings last Wednesday suggested the firm may have topped this with a further USD1.456 million, but this could not be confirmed and Morgan Stanley officials were not available to comment by press time. The trade settlement date was Thursday.
Exotic equity officials at other firms noted it is possible only a slice of the deal has been distributed publicly and the firm may have sold more notes privately. While it is a small size, one structurer said it still ranks as one of the most interesting structures he has seen this year. Only a handful of firms--including JPMorgan and Credit Suisse--have successfully launched equity-default swap portfolio deals and these were not sold publicly to retail investors.
The seven-year notes are linked to 100 North American stocks and have a loss-trigger fixed at 85% of each stock's original value. This is higher than that seen in previous deals, where the trigger for so-called equity default has been closer to 70%.
