Morgan Stanley to price notes linked to Morgan Stanley MAP Trend index

By Angela McDaniels

Tacoma, Wash., Jan. 31 – Morgan Stanley Finance LLC plans to price 0% market-linked notes due Feb. 29, 2024 linked to the Morgan Stanley MAP Trend 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 plus 260% to 275% of the index return, subject to a minimum payout of par. The exact participation rate will be set at pricing.

MAP stands for multi-asset portfolio. The underlying index employs a rules-based quantitative strategy that combines a risk-weighted approach to portfolio construction with a momentum-based, or trend-following, asset allocation methodology to construct a notional portfolio.

The goal of the underlying index is to maximize returns for a given level of risk based on recent trends in the underlying assets. The investment assumption underlying the allocation strategy is two-fold: that historical volatility of the underlying assets can be used to risk-weight a portfolio, and that past trends are likely to continue to be a good indicator of the future performance of that portfolio.

The components of the underlying index consist of (a) 20 U.S.-listed exchange-traded funds representing U.S. and non-U.S. equities, fixed-income securities, commodities and real estate and (b) the Morgan Stanley Two Year Treasury index. The portfolio will consist of long-only positions in each index component, and each index component except for the treasury index is subject to a maximum exposure cap. The targeted volatility for the index is 5%.

The underlying index is calculated on an excess return basis, and therefore the level is determined by the weighted return of the portfolio reduced by the return on an equivalent cash investment receiving Libor. The underlying index performance is further reduced by a servicing cost of 0.85% per year calculated on a daily basis.

Morgan Stanley & Co. LLC is agent.

The notes will price Feb. 25.

The Cusip number is 61768DZW8.

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