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Morgan Stanley plans CMS curve, S&P 500 notes with 10% initial rate
By Susanna Moon
Chicago, Sept. 23 - Morgan Stanley plans to price leveraged CMS curve and S&P 500 index-linked notes due Oct. 15, 2028 with barrier linked to the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be fixed at 10% for the first two years. After that, it will accrue at 5 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the index closes at or above the 59% coupon barrier level, up to a maximum rate of 10%. Interest will be payable monthly and cannot be less than zero.
The payout at maturity will be par unless the index finishes below the 50% trigger level, in which case investors will be fully exposed to any losses.
Morgan Stanley & Co. LLC is the agent.
The notes will price in September and settle on Oct. 15.
The Cusip number is 61760QDM3.
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