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Morgan Stanley plans leveraged CMS curve, S&P 500 index-linked notes
By Jennifer Chiou
New York, Sept. 13 - Morgan Stanley plans to price CMS curve and S&P 500 index-linked accrual notes due Sept. 30, 2031, according to an FWP with the Securities and Exchange Commission.
The coupon will be 10% for the first five years. After that, it will accrue at a specified leverage factor times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the S&P 500 index is at least 850, up to a maximum coupon of 10%. Interest is payable quarterly.
The leverage factor is five from Sept. 30, 2016 until Sept. 30, 2021, seven until Sept. 30, 2026 and then 10 until Sept. 30, 2031.
The payout at maturity will be par.
The notes (Cusip: 61745EN72) will settle on Sept. 30.
Morgan Stanley & Co. LLC is the agent.
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