Morgan Stanley plans fixed-to-float CMS curve, S&P 500-linked notes

By Toni Weeks

San Luis Obispo, Calif., June 11 - Morgan Stanley plans to price fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due June 28, 2028, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 9% for the first two years. Beginning June 28, 2015, it will be (a) four times the spread of the 30-year Constant Maturity Swap rate over the five-year CMS rate multiplied by (b) the proportion of days on which the index's closing level is greater than or equal to 1,150. The interest rate will be subject to a floor of zero and a cap of 9% per year. Interest will be payable quarterly.

The payout at maturity will be par.

The notes (Cusip: 61760QCT9) are expected to settle June 28.

Morgan Stanley & Co. LLC is the agent with Morgan Stanley Smith Barney LLC as dealer.

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