Morgan Stanley to price contingent coupon notes linked to ETF-Map index

By Angela McDaniels

Tacoma, Wash., Sept. 11 - Morgan Stanley plans to price market-linked notes with past performance adjusted contingent coupon linked to the Morgan Stanley ETF-Map Index (Excess Return), according to an FWP filing with the Securities and Exchange Commission.

The maturity date will be sometime between April 2016 and June 2016. The exact maturity date will be set at pricing.

The notes will pay a contingent coupon annually if the index's closing level on the determination date for that year is greater than the index's closing level on each of the prior determination dates. The contingent coupon rate will be the index return minus the sum of the contingent coupon rates, if any, for each of the previous determination dates. The contingent coupon rate will not be less than 0%.

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

The index is a rules-based quantitative strategy that uses modern portfolio theory principles and the related concept of efficient frontier to attempt to maximize returns for a given level of risk. Its components consist of U.S.-listed exchange-traded funds representing U.S. and non-U.S. equities, fixed-income securities, commodities and cash. It is calculated on an excess return basis, and therefore its level is determined by the weighted return of the optimized portfolio of the index components reduced by the return on an equivalent cash investment receiving the Federal Funds rate.

The notes will price and settle in September.

Morgan Stanley & Co. LLC is the agent.

The Cusip number is 61755S651.

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