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Morgan Stanley plans CMS curve and S&P 500-linked range accrual notes
By Marisa Wong
Madison, Wis., July 7 – Morgan Stanley plans to price fixed-to-floating-rate CMS curve and S&P 500 index-linked range accrual securities due July 31, 2034, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be 10% for the first year. Beginning July 31, 2015, it will be 10% multiplied by the proportion of days on which (a) the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is at least 0.99% and (b) the index’s closing level is greater than or equal to 65% of the initial index level. Interest is payable monthly and cannot be less than zero.
The payout at maturity will be par unless the final index level is less than 50% of the initial level, in which case the payout will be par plus the index return with full exposure to losses.
Morgan Stanley & Co. LLC is the agent.
The notes will settle on July 31.
The Cusip number is 61760QEK6.
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