Morgan Stanley plans CMS curve, S&P 500-linked range accrual notes

By Marisa Wong

Madison, Wis., June 8 – Morgan Stanley plans to price floating-rate CMS curve and S&P 500 index-linked range accrual securities due June 30, 2030, according to an FWP with the Securities and Exchange Commission.

The coupon will be 8% times the proportion of days in the interest period that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is zero or positive and the index closes at or above the 70% reference level. Interest is payable monthly and cannot be less than zero.

The payout at maturity will be par unless the index finishes below the 50% barrier 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 price on June 25 and settle on June 30.

The Cusip number is 61760QGF5.

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