Morgan Stanley plans fixed-to-floaters tied to CMS curve, S&P 500

By Toni Weeks

San Diego, July 14 - Morgan Stanley plans to price fixed-to-floating-rate notes due July 29, 2026 linked to the 30-year and two-year Constant Maturity Swap rates and the S&P 500 index, 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 be a leverage factor times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the closing level of the S&P 500 index is greater than or equal to 825, subject to a maximum rate of 10%. The leverage factor is four beginning July 29, 2012, five beginning July 29, 2016 and seven beginning July 29, 2021 and until maturity.

Interest is payable quarterly and cannot be less than zero.

The payout at maturity will be par.

The notes (Cusip: 61745E4E8) will price in July and settle on July 29.

Morgan Stanley & Co. LLC will be the agent.

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