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Morgan Stanley plans leveraged CMS curve securities on S&P, Russell
By Susanna Moon
Chicago, May 25 – Morgan Stanley Finance LLC plans to price leveraged CMS curve securities due Feb. 28, 2037 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a FWP filing with the Securities and Exchange Commission.
The notes will be guaranteed by Morgan Stanley.
Interest will be fixed at 9% for the first three years. After that, it will be 20 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 70% reference level, up to a maximum rate of 9% per year. Interest will be payable monthly.
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 the decline of the worse performing index.
Morgan Stanley & Co. LLC is the agent.
The notes will settle on May 31.
The Cusip number is 61766YBJ9.
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