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Morgan Stanley plans leveraged CMS curve and S&P 500-linked notes
By Susanna Moon
Chicago, Oct. 8 – Morgan Stanley plans to price fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Oct. 31, 2034, according to an FWP with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first 2.5 years. Beginning May 31, 2017, 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 60% coupon barrier level, up to a maximum coupon of 10% per year. 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 investors will be fully exposed to any losses.
Morgan Stanley & Co. LLC is the agent.
The notes will price on Oct. 31.
The Cusip number is 61760QFF6.
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