Morgan Stanley plans autocallable jump notes tied to Russell, S&P 500

By Angela McDaniels

Tacoma, Wash., Dec. 20 – Morgan Stanley Finance LLC plans to price 0% jump securities with autocallable feature due Dec. 30, 2024 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to an FWP filing with the Securities and Exchange Commission.

Beginning Dec. 28, 2020, the notes will be automatically called at par plus a call premium if each index closes at or above its initial level on any semiannual determination date. The call premium is expected to be at least 8.5% per year and will be set at pricing.

If the notes have not previously been redeemed and the final level of each index is greater than or equal to its initial level, the payout at maturity will be par plus a fixed amount that is expected to be 42.5% and will be set at pricing.

If the final level of either index is less than its initial level but the final level of each index is greater than or equal to its downside threshold level, 60% of its initial level, the payout will be par.

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

The notes will be guaranteed by Morgan Stanley.

Morgan Stanley & Co. LLC is the agent.

The notes will price Dec. 24.

The Cusip number is 61769H6A8.

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