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Published on 2/21/2018 in the Prospect News Structured Products Daily.

Morgan Stanley plans leveraged CMS curve securities on S&P, Russell

By Marisa Wong

Morgantown, W.Va., Feb. 21 – Morgan Stanley Finance LLC plans to price leveraged CMS curve securities due Feb. 28, 2033 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

The notes are guaranteed by Morgan Stanley.

Interest will be fixed at 10% for the first year. After that, it will be 20 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate for each day that each index closes at or above its 60% reference level, up to a cap of 10% per year. Interest will be payable quarterly and cannot be less than zero.

The payout at maturity will be par unless either index finishes below its 50% barrier level, in which case investors will be fully exposed to the decline of the worse performing index.

Morgan Stanley & Co. LLC is the agent.

The notes will settle on Feb. 28.

The Cusip number is 61766YCF0.


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