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Morgan Stanley plans 20-year CMS curve, S&P 500-linked accrual notes
By Susanna Moon
Chicago, Sept. 1 - Morgan Stanley plans to price CMS curve and S&P 500 index-linked accrual notes due Sept. 16, 2031, according to an FWP with the Securities and Exchange Commission.
The coupon will be 10% for the first four years. After that, it will accrue at a leverage factor times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the S&P 500 index is at least 775, up to a maximum coupon of 10%.
The leverage factor will be four times until Sept 16, 2016, five times until Sept 16, 2021, seven times until Sept 16, 2026 and 10 times after that until maturity.
Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par.
Morgan Stanley & Co. LLC is the agent.
The notes will settle on Sept. 16.
The Cusip number is 61745EL58.
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