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

By Angela McDaniels

Tacoma, Wash., Sept. 30 - Morgan Stanley plans to price leveraged CMS curve and S&P 500 index-linked notes due Oct. 27, 2031, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 11% for the first three years. After that, it will be (a) the applicable leverage factor times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum of zero and a maximum of 11% per year, multiplied by (b) the proportion of days on which the index closes at or above 775. The leverage factor is five in years four through 10 and 10 in years 11 through 20. Interest will be payable quarterly.

The payout at maturity will be par.

The notes (Cusip: 61745EU74) will settle on Oct. 27.

Morgan Stanley & Co. LLC is the agent.

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