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Published on 8/2/2012 in the Prospect News Structured Products Daily.

Morgan Stanley to price market-linked notes linked to ETF-Map index

By Marisa Wong

Chicago, Aug. 2 - Morgan Stanley plans to price 0% market-linked notes with past performance adjusted contingent coupon based on the value of the Morgan Stanley ETF-Map Index (Excess Return), according to an FWP filing with the Securities and Exchange Commission.

The maturity date will be between December 2015 and February 2016 and will be set at pricing.

If, on an annual determination date, the index closes above the initial level and, after the first determination date, above the index level for the previous determination date, the notes will pay a contingent coupon. The contingent interest rate will equal the index return for the applicable determination date minus the sum of the contingent coupons for each of the previous determination dates, subject to a floor of zero.

The determination dates will fall in September of each year and on the third business day before the maturity date.

The payout at maturity will be par of $10 plus any contingent coupon payable with respect to the final determination date.

The underlying index components consist of U.S.-listed exchange-traded funds representing U.S. and non-U.S. equities, fixed income securities, commodities and cash.

Morgan Stanley & Co. LLC will be the agent.

The notes will price in August and settle in September.

The Cusip number is 61755S511.


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