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Morgan Stanley plans leveraged CMS curve, Russell 2000-linked notes
By Susanna Moon
Chicago, Oct. 2 – Morgan Stanley plans to price fixed-to-floating-rate leveraged CMS curve and Russell 2000 index-linked notes due Oct. 8, 2034, according to a 424B2 filing with the Securities and Exchange Commission.
The coupon will be fixed at 11% until April 8, 2016. After that, it will be 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 60% barrier level, up to a cap of 11%. Interest is 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 the payout will be par plus the index return with full exposure to any losses.
Morgan Stanley & Co. LLC is the agent.
The notes will settle on Oct. 8.
The Cusip number is 61760QFB5.
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