Morgan Stanley plans 15-year leveraged CMS curve notes linked to S&P

By Susanna Moon

Chicago, Feb. 9 – Morgan Stanley plans to price leveraged CMS curve securities due Feb. 28, 2031 linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first year, payable monthly. After that, it will accrue at 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, up to a maximum rate of 10% per year, for each day that the index closes at or above its 75% reference level. Interest will be payable monthly and cannot be less than zero.

The payout at maturity will be par unless the index finishes below its 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 Feb. 29.

The Cusip number is 61760QJM7.

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