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

By Susanna Moon

Chicago, Jan. 7 - Morgan Stanley plans to price leveraged CMS curve and S&P 500 index-linked accrual notes due Jan. 21, 2026 with issuer fixed-rate conversion right, according to an FWP filing with the Securities and Exchange Commission.

The coupon will be 10% for the first two years. After that, the rate will accrue at five 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 coupon of 15%. Interest is payable monthly and cannot be less than zero.

Beginning Jan. 21, 2013, the issuer may elect to exercise the right to convert the coupon payment to a fixed rate of 10% from the floating rate upon notice at least 10 business days.

The payout at maturity will be par.

The notes (Cusip 61745E2K6) will settle on Jan. 21.

Morgan Stanley & Co. Inc. is the agent.

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