Morgan Stanley plans 15-year range accrual notes on CMS curve, S&P 500

By Jennifer Chiou

New York, June 21 - Morgan Stanley plans to price leveraged CMS curve and S&P 500 index-linked accrual notes due June 30, 2026, according to an FWP with the Securities and Exchange Commission.

The coupon will be 10.25% for the first two years. After that, it will be the product of four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate and the proportion of days on which the S&P 500 index closes at or above 935. Interest is payable and reset quarterly and cannot be less than zero. There is a maximum rate of 12% per year.

The payout at maturity will be par.

The notes (Cusip: 61745EZ87) will settle on June 30.

Morgan Stanley & Co. Inc. is the agent.

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