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Morgan Stanley plans CMS curve, S&P 500 notes with 50% barrier
By Susanna Moon
Chicago, Aug. 29 - Morgan Stanley plans to price leveraged CMS curve and S&P 500 index-linked notes due Sept. 27, 2028 with barrier linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be 12% for the first year. After that, it will be 8 times the spread of the 30-year Constant Maturity Swap rate over the five-year CMS rate for each day that the index closes at or above the 50% barrier level, up to a maximum rate of 12%. Interest will be 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 Sept. 27.
The Cusip number is 61760QDJ0.
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