Morgan Stanley plans CMS curve range accrual notes linked to indexes

By Angela McDaniels

Tacoma, Wash., Nov. 6 – Morgan Stanley plans to price CMS curve range accrual securities due Nov. 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 is fixed at 9% for the first two years. After that, it will be 9% per year multiplied by the proportion of days on which the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate is greater than or equal to zero and each index closes at or above its index reference level, 65% 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 settle Nov. 30.

The Cusip number is 61760QJD7.

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