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

By Angela McDaniels

Tacoma, Wash., March 15 – Morgan Stanley Finance LLC plans to price leveraged CMS curve securities due March 31, 2036 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 notes will be guaranteed by Morgan Stanley.

The coupon will be fixed at 10% for the first year. After that, it will be (a) 10 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which each index closes at or above its index reference level, 50% of its initial level, subject to a maximum rate of 10% per year. Interest will be payable monthly and cannot be less than zero.

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 March 31.

The Cusip number is 61766Y2N0.

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