Morgan Stanley plans contingent income autocallables on oil indexes

By Angela McDaniels

Tacoma, Wash., April 27 – Morgan Stanley plans to price contingent income autocallable securities due May 30, 2025 linked to the worst performing of the S&P GSCI Crude Oil Index Excess Return and the S&P GSCI Brent Crude Index Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon at an annualized rate of 9% if each index closes at or above its coupon barrier level, 75% of its initial level, on the determination date for that quarter.

Beginning May 26, 2016, the notes will be called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly determination date.

If the final level of each index is greater than or equal to its downside threshold level, 50% of its initial level, the payout at maturity will be par plus the final contingent coupon, if any. Otherwise, investors will lose 1% for every 1% that the final level of the worst-performing index is less than its initial level.

Morgan Stanley & Co. LLC is the agent.

The notes will price May 26 and settle May 29.

The Cusip number is 61762GDW1.

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