Morgan Stanley plans leveraged CMS curve, S&P 500 index-linked notes

By Marisa Wong

Madison, Wis., July 15 - Morgan Stanley plans to price leveraged CMS curve and S&P 500 index-linked notes due July 29, 2026, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 11.5% for the first year. After that, interest will accrue at a leverage factor times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the level of the S&P 500 is at least 825, up to a maximum rate of 10% per year in any interest payment period. The leverage factor will equal four from July 29, 2012 up to July 29, 2016, five from July 29, 2016 up to July 29, 2021 and seven from July 29, 2021 to maturity. Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par.

The notes (Cusip: 61745E4L2) will settle on July 29.

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.