Morgan Stanley plans autocallable jump notes on three indexes

By Sarah Lizee

Olympia, Wash., Aug. 16 – Morgan Stanley Finance LLC plans to price 0% jump securities with autocallable feature due Sept. 2, 2022 tied to the worst performing of the Nasdaq-100 index, the Dow Jones industrial average and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at par plus a call premium of at least 12.5% per year if each index closes at or above its redemption threshold level on any annual determination date. For each index, the redemption threshold level will be 100% of its initial level.

If the notes are not called and the final level of each index is greater than or equal to 100% of its initial index level, the payout at maturity will be par plus at least 37.5%.

If the final level of any index is less than its initial index level but the final level of each index is greater than or equal to its downside threshold level, 70% of its initial level, the payout will be par.

If the final level of any index is less than its downside threshold level, investors will lose 1% for every 1% that the worst-performing index declines from its initial level.

The exact terms will be set at pricing.

The notes will be guaranteed by Morgan Stanley.

Morgan Stanley & Co. LLC is the agent.

The notes are expected to price Aug. 30.

The Cusip number is 61769HPG4.

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