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Morgan Stanley plans 20-year CMS curve, S&P 500 range accrual notes
By Susanna Moon
Chicago, Sept. 9 - Morgan Stanley plans to price leveraged CMS curve and S&P 500 index-linked callable notes due Sept. 30, 2030, according to an FWP filing with the Securities and Exchange Commission.
The coupon will be 10% for the first year. After that, the rate will accrue at 10% for each day that the difference between the 30-year Constant Maturity Swap rate and the two-year CMS rate is at least zero and the level of the S&P 500 is at least 875. Interest is payable quarterly.
The payout at maturity will be par.
The notes are callable at par on any interest payment date beginning Sept. 30, 2011.
The notes (Cusip 61745EG54) will settle on Sept. 30.
Morgan Stanley & Co. Inc. is the agent.
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