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Morgan Stanley plans CMS curve, S&P 500-linked range accrual notes
By Jennifer Chiou
New York, Oct. 3 – Morgan Stanley plans to price floating-rate CMS curve and S&P 500 index-linked range accrual securities due Oct. 31, 2034, according to an FWP with the Securities and Exchange Commission.
The coupon will accrue at 7.25% for each day that the 30-year Constant Maturity Swap rate is greater than the two-year CMS rate and the index closes at or above the 60% index reference level level. Interest is payable monthly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% of the initial level, in which case the payout will be par plus the index return with full exposure to any losses.
The notes (Cusip: 61760QFC3) will price on Oct. 28 and settle on Oct. 31.
Morgan Stanley & Co. LLC is the agent.
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