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Morgan Stanley plans leveraged CMS curve, S&P 500-linked notes
By Angela McDaniels
Tacoma, Wash., May 8 - Morgan Stanley plans to price fixed-to-floating-rate leveraged CMS curve and S&P 500 index-linked notes due May 30, 2034, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be 10% for the first three years. Beginning May 30, 2017, it will be (a) four 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 50% of the initial index level. The interest rate is subject to a floor of zero and a cap of 10% per year. Interest will be payable monthly.
If the final index level is greater than or equal to the 50% barrier level, the payout at maturity will be par. Otherwise, investors will have one-to-one exposure to the index's decline.
Morgan Stanley & Co. LLC is the agent.
The notes will settle May 30.
The Cusip number is 61760QEG5.
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