New Issue: Morgan Stanley prices $2 million 20-year leveraged CMS curve, S&P 500-linked notes

By Toni Weeks

San Diego, Aug. 3 - Morgan Stanley priced $2 million of leveraged CMS curve and S&P 500 index-linked notes due Aug. 22, 2031, according to a 424B2 filing with the Securities and Exchange Commission.

The coupon will be 12% for the first year. After that, the rate will accrue at the applicable leverage factor 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 index is at least 875. The leverage factor is four beginning Aug. 22, 2012, steps up to five on Aug. 22, 2016, to seven on Aug. 22, 2021 and to 10 on Aug. 22, 2026. Interest is payable quarterly, with a cap of 12% and a floor of zero.

The payout at maturity will be par.

Morgan Stanley & Co. LLC is the agent.

Issuer:	Morgan Stanley
Issue:	Leveraged CMS curve and S&P 500 index-linked notes
Amount:	$2 million
Maturity:	Aug. 22, 2031
Coupon:	12% for first year; thereafter, rate will accrue at the applicable leverage factor times the spread of the 30-year CMS rate over the two-year CMS rate for each day that the S&P 500 is at least 875; the leverage factor is four beginning Aug. 22, 2012, stepping up to five on Aug. 22, 2016, to seven on Aug. 22, 2021 and to 10 on Aug. 22, 2026; cap of 12% and floor of zero; payable quarterly
Price:	Variable
Payout at maturity:	Par
Pricing date:	Aug. 1
Settlement date:	Aug. 22
Agent:	Morgan Stanley & Co. LLC
Fees:	4%
Cusip:	61745E5S6

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