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

New York, Sept. 3 – Morgan Stanley plans to price fixed- to floating-rate leveraged CMS curve securities due Sept. 30, 2030 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 interest rate is 10% for the first two years. After that, it will be 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate, subject to a minimum rate of zero and a maximum rate of 10% per year, for each day that each index closes at or above its index reference level, 60% of its initial level. Interest will be payable monthly.

If each index finishes at or above its barrier level, 50% of its initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the decline of the worst-performing index.

Morgan Stanley & Co. LLC is the agent.

The notes will price in September and settle on Sept. 30.

The Cusip number is 61760QHJ6.

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