Morgan Stanley to price CMS curve and S&P 500-linked floaters

By Toni Weeks

San Luis Obispo, Calif., March 5 – Morgan Stanley plans to price floating-rate CMS curve and S&P 500 index-linked notes due March 31, 2035, according to an FWP with the Securities and Exchange Commission.

For the first four years, interest will accrue at 10% for every day that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is greater than or equal to zero and the index closes at or above 60% of its initial level. Beginning March 31, 2019, it will accrue at 5 times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the index closes at or above the 60% reference 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% barrier level, in which case investors will be fully exposed to any losses.

Morgan Stanley & Co. LLC is the agent.

The notes will settle on March 31.

The Cusip number is 61760QFV1.

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