Morgan Stanley plans dual directional notes linked to MAP Trend index

By Angela McDaniels

Tacoma, Wash., June 13 – Morgan Stanley Finance LLC plans to price 0% dual directional market-linked notes due Jan. 3, 2023 linked to the Morgan Stanley MAP Trend index, according to a 424B2 filing with the Securities and Exchange Commission.

If the final index level is greater than the initial index level, the payout at maturity will be par plus at least 1.25% for every 1% increase in the index. The exact upside participation rate will be set at pricing.

If the final index level is less than the initial index level, the payout will be par plus 0.5% for every 1% decrease in the index.

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.

The notes will be guaranteed by Morgan Stanley.

Morgan Stanley & Co. LLC is agent.

The notes will price June 28.

The Cusip number is 61769HFT7.

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