Morgan Stanley plans leveraged CMS curve, Russell 2000-linked notes

By Angela McDaniels

Tacoma, Wash., Feb. 20 - Morgan Stanley plans to price fixed-to-floating-rate leveraged CMS curve and Russell 2000 index-linked notes due Feb. 28, 2034, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 10% for the first four years. Beginning Feb. 28, 2018, it will be (a) four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index's closing level is greater than or equal to 50% of the initial index level. The interest rate is subject to a floor of zero and a cap of 10% per year. Interest will be payable monthly.

If the final index level is greater than or equal to the 50% barrier level, the payout at maturity will be par. Otherwise, investors will have one-to-one exposure to the index's decline.

Morgan Stanley & Co. LLC is the agent.

The notes will settle Feb. 28.

The Cusip number is 61760QEA8.

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