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Morgan Stanley plans fixed-to-floaters tied to CMS curve, S&P 500
By Toni Weeks
San Diego, Aug. 18 - Morgan Stanley plans to price fixed-to-floating-rate notes due Aug. 31, 2031 linked to the 30-year and two-year Constant Maturity Swap rates and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be 10% for the first three years. After that, the rate will be the applicable leverage factor times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the closing level of the S&P 500 index is greater than or equal to 775, subject to a maximum rate of 10%. The applicable leverage factor is 4 beginning Aug. 31, 2014, 5 beginning Aug. 31, 2015, 7 beginning Aug. 31, 2021 and 10 beginning Aug. 31, 2026.
Interest is payable quarterly and cannot be less than zero.
The payout at maturity will be par.
The notes (Cusip: 61745EF97) will settle on Aug. 31.
Morgan Stanley & Co. LLC will be the agent.
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