Morgan Stanley to price autocallable jump notes on MAP Trend index

By Marisa Wong

Morgantown, W.Va., Aug. 22 – Morgan Stanley Finance LLC plans to price 0% jump notes with autocallable feature due Aug. 28, 2024 linked to the Morgan Stanley MAP Trend index, according to an FWP filing with the Securities and Exchange Commission.

The notes will be guaranteed by Morgan Stanley.

After a two-year non-call period, the notes will be automatically called at par plus an early redemption premium of 9.07% per year if the index closes at or above the applicable redemption threshold on any of the five annual determination dates beginning Aug. 23, 2019. The redemption premium is 18.14% for the first call date and 54.42% for the fifth call date. The redemption threshold is 106% of the initial index level for the first determination date and steps up by 3% each year to a redemption threshold of 118% for the fifth determination date.

If the notes have not been called, the payout at maturity will be par plus any index gain. If the index finishes flat or falls, the payout will be par.

The underlying index, established on March 7, employs a rules-based quantitative strategy that combines a risk-weighted approach to portfolio construction with a momentum-based asset allocation methodology to construct a notional portfolio. In addition, the strategy imposes an overall volatility-targeting feature on the resulting portfolio.

The goal of the underlying index is to seek positive return opportunities in different market environments 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 MAP Trend index consist of 20 U.S.-listed exchange traded funds and the Morgan Stanley Two Year Treasury index. The asset portfolio constructed by the MAP Trend index’s methodology 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 underlying index is 5%.

Morgan Stanley & Co. LLC is the agent.

The notes will price on Aug. 23.

The Cusip number is 61768CPJ0.

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