Morgan Stanley plans to price notes linked to ETF-Map 2 index

By Angela McDaniels

Tacoma, Wash., Feb. 28 – Morgan Stanley Finance LLC plans to price 0% market-linked notes due April 5, 2022 linked to the Morgan Stanley ETF-Map 2 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Morgan Stanley.

The payout at maturity will be par of $10 plus 115% of the index return, subject to a minimum payout of par.

The index employs 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. The underlying index is comprised of three subindexes. The potential components of each sub-index consist of U.S.-listed exchange-traded funds, representing U.S. and non-U.S. equities, fixed-income securities, commodities and real estate, and the Morgan Stanley Two Year Treasury index. Each subindex is calculated on an excess return basis. Each subindex is rebalanced once per month based on the index methodology, which seeks to determine the asset portfolio that had the maximum historical return with 5% annualized volatility during the prior 63-business day period. There is also a daily adjustment to the allocation between the asset portfolio and cash component based on the overall volatility of the asset portfolio. A servicing cost of 0.5% per annum, calculated on a daily basis, is deducted when calculating the level of the index.

Morgan Stanley & Co. LLC is the agent.

The notes will price March 29.

The Cusip number is 61768X341.

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