Morgan Stanley plans leveraged CMS curve notes linked to S&P, Russell

By Susanna Moon

Chicago, Sept. 8 – Morgan Stanley plans to price fixed- to floating-rate leveraged CMS curve securities due Sept. 30, 2030 linked to the worse performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

The interest rate is 10% for the first two years. After that, it will be 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, up to a maximum rate of 10% per year, for each day that each index closes at or above its 60% reference level. Interest will be payable monthly and cannot be less than zero.

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

Morgan Stanley & Co. LLC is the agent.

The notes will settle on Sept. 30.

The Cusip number is 61760QHJ6.

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