Morgan Stanley to price leveraged CMS curve notes tied to two indexes

By Marisa Wong

Morgantown, W.Va., April 13 – Morgan Stanley Finance LLC plans to price leveraged CMS curve securities due April 28, 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 notes are guaranteed by Morgan Stanley.

The coupon will be fixed at 10% for the first year. After that, it will accrue at 10 times the spread of the 30-year ICE swap rate over the two-year ICE swap rate for each day that each index closes at or above its 65% reference level, up to a maximum rate of 10% per year. Interest is payable monthly and cannot be less than zero.

The payout at maturity will be par unless either index finishes below its 50% barrier 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 April 28.

The Cusip number is 61766YAA9.

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