Morgan Stanley plans to price leveraged CMS curve, S&P 500 accrual notes with conversion right

By Marisa Wong

Madison, Wis., April 6 - Morgan Stanley plans to price leveraged CMS curve and S&P 500 index-linked accrual notes due April 26, 2026 with issuer fixed-rate conversion right, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 11% for the first year. After that, the rate will accrue at four times the spread of the 30-year Constant Maturity Swap rate over the two-year CMS rate for each day that the S&P 500 is at least 975, up to a maximum rate of 12% per year in any interest payment period. Interest is payable quarterly and cannot be less than zero.

Beginning April 26, 2012, the issuer may elect to exercise the right to convert the coupon payment to a fixed rate of 11% from the floating rate upon notice at least five business days.

The payout at maturity will be par.

The notes (Cusip: 61745EH46) will settle on April 26.

Morgan Stanley & Co. Inc. is the agent.

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