Morgan Stanley to price leveraged CMS curve, S&P 500-linked notes

By Marisa Wong

Madison, Wis., April 8 - Morgan Stanley plans to price fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due April 30, 2034, according to an FWP with the Securities and Exchange Commission.

The coupon will be 11% for the first two years. Beginning on April 30, 2016, it will be (a) 4 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 50% of the initial level. The interest rate will be subject to a floor of zero and a cap of 13% per year. Interest will be payable monthly.

If the final index level is greater than or equal to 50% of the initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index decline.

Morgan Stanley & Co. LLC is the agent.

The notes will settle on April 30.

The Cusip number is 61760QEF7.

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