Morgan Stanley plans jump autocallables linked to S&P 500 Daily Risk

By Angela McDaniels

Tacoma, Wash., Feb. 12 – Morgan Stanley Finance LLC plans to price 0% jump notes with autocallable feature due Feb. 20, 2026 linked to the S&P 500 Daily Risk Control 10% USD Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be guaranteed by Morgan Stanley.

The notes will be automatically called at par plus 5% per year if the index closes at or above the applicable redemption threshold level on any annual determination date. The redemption threshold will be 102.5% of the initial index level on Feb. 19, 2020 and will be increase by 2.5 percentage points each year, reaching 115% of the initial index level on Feb. 18, 2025.

If the notes are not called and the final index level is greater than the initial index level, the payout at maturity will be par plus the index return. If the final index level is less than or equal to the initial index level, the payout will be par.

The index is intended to provide exposure to a broad performance benchmark for the U.S. equity markets through the S&P 500 Total Return index while attempting to provide greater stability and lower overall risk of large fluctuations in the underlying index’s performance as compared to the S&P 500 Total Return Index through the use of a volatility target.

Morgan Stanley & Co. LLC is the agent.

The notes are expected to price Feb. 15.

The Cusip number is 61768DQ99.

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