Morgan Stanley to price leveraged CMS curve, S&P 500-linked notes

By Marisa Wong

Madison, Wis., Aug. 20 - Morgan Stanley plans to price fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Aug. 30, 2028, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 12% for the first year. Beginning on Aug. 30, 2014, it will be (a) five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index's closing level is greater than or equal to 60% of the initial level. The interest rate will be subject to a floor of zero and a cap of 12% per year. Interest will be payable quarterly.

The payout at maturity will be par unless the index falls by more than 50%, in which case investors will be fully exposed to the decline.

The notes (Cusip: 61760QDG6) are expected to settle on Aug. 30.

Morgan Stanley & Co. LLC is the agent.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.