Morgan Stanley plans CMS curve, S&P 500 notes with 10% initial rate

By Susanna Moon

Chicago, Nov. 15 - Morgan Stanley plans to price leveraged CMS curve and S&P 500 index-linked notes due Nov. 29, 2028 with barrier linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first year. After that, it will accrue at 5 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 50% coupon barrier level, up to a maximum rate of 10%. Interest will be payable monthly and cannot be less than zero.

The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses.

Morgan Stanley & Co. LLC is the agent.

The notes will settle on Nov. 29.

The Cusip number is 61760QDS0.

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