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Morgan Stanley to price leveraged CMS curve, S&P 500-linked notes
By Jennifer Chiou
New York, Sept. 9 - Morgan Stanley plans to price fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Sept. 30, 2028, according to an FWP with the Securities and Exchange Commission.
The coupon will be 9% for the first year. Beginning on Sept. 30, 2014, it will be (a) five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index's closing level is greater than or equal to 75% of the initial level. The interest rate will be subject to a floor of zero and a cap of 9% per year. Interest will be payable quarterly.
The payout at maturity will be par.
The notes (Cusip: 61760QDK7) are expected to settle on Sept. 30.
Morgan Stanley & Co. LLC is the agent.
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