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

By Jennifer Chiou

New York, Oct. 7 – Morgan Stanley plans to price fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Oct. 31, 2034, according to an FWP with the Securities and Exchange Commission.

The coupon will be fixed at 8% for the first year. Beginning on Oct. 31, 2015, it will be seven times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by the proportion of days on which the index closes at or above the 60% barrier level, subject to a maximum coupon of 10% per year. Interest is payable monthly and cannot be less than zero.

If the final index level is at least 50% of the initial index level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline from its initial level.

The notes (Cusip: 61760QFE9) will price on Oct. 31.

Morgan Stanley & Co. LLC is the agent.

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