Morgan Stanley plans CMS curve, Russell 2000-tied range accrual notes

By Susanna Moon

Chicago, Nov. 6 – Morgan Stanley plans to price leveraged CMS curve and Russell 2000 index-linked notes due Nov. 28, 2034, according to an FWP with the Securities and Exchange Commission.

The coupon will be fixed at 10% initially. Beginning May 28, 2017, it will accrue at a rate of 5 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is zero or positive for each day that the index closes at or above the 60% barrier level, up to a maximum rate of 10%. Interest is payable monthly and cannot be less than zero.

The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case the payout will be par plus the index return with full exposure to losses.

Morgan Stanley & Co. LLC is the agent.

The notes will settle on Nov. 28.

The Cusip number is 61760QFL3.

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