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Morgan Stanley to price leveraged CMS curve and S&P 500-linked notes
By Angela McDaniels
Tacoma, Wash., Aug. 13 – Morgan Stanley plans to price fixed-to-floating leveraged CMS curve and S&P 500 index-linked notes due Aug. 29, 2034, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first three years. Beginning Aug. 29, 2017, it will be five times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by the proportion of days on which the index closes at or above the 65% barrier level, subject to a maximum coupon of 10% per year. Interest is payable monthly and cannot be less than zero.
If the final index level is at least 50% of the initial index level, the payout at maturity will be par. Otherwise, investors will be fully exposed to the index’s decline from its initial level.
Morgan Stanley & Co. LLC is the agent.
The notes will settle Aug. 29.
The Cusip number is 61760QES9.
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