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Morgan Stanley plans CMS curve range accrual notes linked to indexes
By Susanna Moon
Chicago, Aug. 31 – Morgan Stanley plans to price CMS curve range accrual securities due Sept. 30, 2035 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be fixed at 9% for the first year. After that, it will accrue at 9% for each day that the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is at least zero and each index closes at or above its 60% barrier level. Interest will be payable monthly.
The payout at maturity will be par unless either index finishes below its 50% trigger level, in which case investors will be fully exposed to any losses of the worst performing index.
Morgan Stanley & Co. LLC is the agent.
The notes will settle on Sept. 30.
The Cusip number is 61760QHH0.
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