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

By Marisa Wong

Madison, Wis., April 7 – Morgan Stanley plans to price fixed-to-floating leveraged CMS curve securities due April 30, 2030 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to an FWP with the Securities and Exchange Commission.

The coupon will be fixed at 10% for the first three years. Beginning April 30, 2018, it will accrue at 6 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 65% reference level, up to a maximum coupon of 10% per year. Interest is payable monthly and cannot be less than zero.

The payout at maturity will be par plus accrued interest unless either index finishes below the 50% barrier level, in which case investors will be fully exposed to the decline of the worst performing index.

Morgan Stanley & Co. LLC is the agent.

The notes will settle on April 30.

The Cusip number is 61760QFZ2.

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