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Morgan Stanley plans CMS curve notes linked to Russell 2000, S&P 500
By Susanna Moon
Chicago, Feb. 14 – Morgan Stanley Finance LLC plans to price CMS curve range accrual securities due Feb. 28, 2037 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.
The notes will be guaranteed by Morgan Stanley.
Interest will be fixed at 9% for the first year. After that, the rate will accrue at 9% for each day that the 30-year ICE swap rate is at least the two-year ICE swap rate and each index closes at or above its 70% coupon barrier. Interest will be payable monthly and cannot be less than zero.
The payout at maturity will be par unless either index finishes below its 50% trigger level, in which case investors will be fully exposed to any losses of the worse performing index.
Morgan Stanley & Co. LLC is the agent.
The notes will settle on Feb. 28.
The Cusip number is 61766YBB6.
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