Morgan Stanley plans buffered jump notes tied to dollar ICE swap rate

By Angela McDaniels

Tacoma, Wash., May 9 – Morgan Stanley plans to price 0% buffered jump securities due June 19, 2017 linked to the 10-year U.S. dollar ICE swap rate, according to an FWP filing with the Securities and Exchange Commission.

If the final reference rate is greater than or equal to the threshold reference rate, 85% of the initial reference rate, the payout at maturity will be par plus the fixed upside payment, which is expected to be at least 10.85% and will be set at pricing. Otherwise, investors will lose 1% for every 1% that the swap rate declines below the threshold reference rate.

Morgan Stanley & Co. LLC is the agent.

The notes will price May 13.

The Cusip number is 61760QJR6.

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