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

By Jennifer Chiou

New York, Aug. 6 – Morgan Stanley plans to price fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Aug. 29, 2034, according to an FWP with the Securities and Exchange Commission.

The coupon will be 11% for the first year. Beginning on Aug. 29, 2015, it will be (a) five 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 index level. The interest rate will be subject to a floor of 0% and a cap of 11% per year. Interest is payable monthly.

The payout at maturity will be par unless the final index level is less than 50% of the initial level, in which case the payout will be par plus the index return with full exposure to losses.

The notes (Cusip: 61760QEP5) will settle on Aug. 29.

Morgan Stanley & Co. LLC is the agent.

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