Morgan Stanley plans Sifma Municipal Swap index, Libor accrual notes

By Angela McDaniels

Tacoma, Wash., Nov. 16 - Morgan Stanley plans to price Sifma Municipal Swap index and Libor accrual notes due Nov. 30, 2019, according to an FWP filing with the Securities and Exchange Commission.

The interest rate is Libor plus 125 basis points plus an amount equal to 1.25% per year multiplied by the proportion of days on which the average Sifma/Libor quotient is less than 70%. Interest is payable quarterly and is subject to a floor of 3% per year and a cap of 8% per year for each interest period.

On any day, the average Sifma/Libor quotient is (a) the non-compounded daily weighted average of all the values of the Sifma index for the 90-calendar-day period ending on that day divided by (b) Libor.

The payout at maturity will be par.

The notes (Cusip 61745E4X6) are expected to price Nov. 24 and settle Nov. 30.

Morgan Stanley & Co. Inc. is the agent.

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