Morgan Stanley plans CMS curve range accrual notes linked to indexes

By Susanna Moon

Chicago, Feb. 9 – Morgan Stanley plans to price CMS curve range accrual securities due Feb. 29, 2036 linked to the worse 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 8% for the first five years, payable monthly. 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 65% reference level. Interest will be payable monthly.

The payout at maturity will be par unless index finishes below its 50% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.

Morgan Stanley & Co. LLC is the agent.

The notes will settle on Feb. 29.

The Cusip number is 61760QJL9.

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