Morgan Stanley plans fixed-to-float CMS curve, Russell 2000-tied notes

By Marisa Wong

Madison, Wis., Aug. 2 - Morgan Stanley plans to price fixed-to-floating-rate leveraged CMS curve and Russell 2000 index-linked notes due Aug. 19, 2033, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 10% for the first two years. Beginning Aug. 19, 2015, it will be (a) four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index's closing level is greater than or equal to 65% of the initial level. The interest rate will be subject to a floor of zero and a cap of 10% per year. Interest will be payable quarterly.

The payout at maturity will be par.

The notes (Cusip: 61760QDD3) are expected to settle Aug. 19.

Morgan Stanley & Co. LLC is the agent.

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