Morgan Stanley plans CMS curve range accrual notes on Russell, S&P

By Wendy Van Sickle

Columbus, Ohio, May 6 – Morgan Stanley Finance LLC plans to price CMS curve range accrual securities due May 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.

Interest is payable monthly at a rate of 8% per year for each day the 30-year ICE swap rate is greater than the two-year Ice swap rate and each index closes above 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 May 31.

The Cusip number is 61766YAC5.

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