Morgan Stanley plans contingent coupon market-linked notes on ETF-MAP

By Susanna Moon

Chicago, Sept. 5 - Morgan Stanley plans to price market-linked notes with past performance adjusted contingent coupon due Sept. 28, 2016 linked to the Morgan Stanley ETF-MAP index (Excess Return), according to an FWP filing with the Securities and Exchange Commission.

If the index closes above its initial level on an annual determination date and, after the first date, above the closing level on each determination date for the prior years, the notes will pay a contingent coupon for that period. The contingent coupon will be the index return minus the sum of the contingent coupon rates, if any, for each of the previous determination dates, floor of 0%.

The payout at maturity will be par of $10 plus the final contingent coupon.

The index is a rules-based quantitative strategy that attempts to maximize returns for a given level of risk.

Morgan Stanley & Co. LLC is the agent.

The notes will price on Sept. 25 and settle on Sept. 28.

The Cusip number is 617482X82.

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