Morgan Stanley plans to price CMS curve, Russell 2000-linked notes

By Toni Weeks

San Luis Obispo, Calif., Feb. 2 – Morgan Stanley plans to price floating-rate CMS curve and Russell 2000 index-linked notes due Feb. 27, 2035, according to an FWP filing with the Securities and Exchange Commission.

For the first five years, interest will accrue at 10% for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is positive and the index closes at or above the 65% reference level. Beginning Feb. 27, 2020, interest will accrue at four times the CMS spread for every day that the index closes at or above the 65% 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 any losses.

The notes (Cusip: 61760QFR0) are expected to price Feb. 24 and settle Feb. 27.

Morgan Stanley & Co. LLC is the agent.

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