Morgan Stanley plans CMS curve and Russell 2000-linked range accrual notes

By Susanna Moon

Chicago, Aug. 6 – Morgan Stanley plans to price fixed-to-floating-rate CMS curve and Russell 2000 index-linked range accrual securities due Aug. 29, 2034, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be fixed at 7% for the first year. After that, it will accrue at 7% 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 50% barrier 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% of the initial level, in which case the payout will be par plus the index return with full exposure to any losses.

Morgan Stanley & Co. LLC is the agent.

The notes will settle on Aug. 29.

The Cusip number is 61760QER1.

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