Morgan Stanley plans CMS curve range accrual notes on S&P, Russell

By Susanna Moon

Chicago, April 8 – Morgan Stanley plans to price CMS curve range accrual securities due April 30, 2035 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

The coupon will be fixed at 9% for the first year. After that, it will accrue at 9% for each day that the 30-year Constant Maturity Swap rate is greater than the two-year CMS rate and the index closes at or above the 60% barrier level. Interest is payable monthly.

The payout at maturity will be par plus accrued interest unless either index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.

Morgan Stanley & Co. LLC is the agent.

The notes will settle on April 30.

The Cusip number is 61760QFY5.

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