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Morgan Stanley plans fixed-to-float CMS curve, Russell 2000-tied notes
By Toni Weeks
San Luis Obispo, Calif., March 5 - Morgan Stanley plans to price fixed-to-floating-rate leveraged CMS curve and Russell 2000 index-linked notes due March 31, 2034, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be 8% for the first three years. After that, it will be (a) 4 times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate multiplied by (b) the proportion of days on which the index's closing level is greater than or equal to 65% of the initial index level. The interest rate will be subject to a floor of zero and a cap of 10% per year. Interest is payable quarterly.
The payout at maturity will be par.
The notes (Cusip: 61760QEC4) will settle March 31.
Morgan Stanley & Co. LLC is the agent.
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