Morgan Stanley to price contingent income autocallables tied to Valero

By Toni Weeks

San Luis Obispo, Calif., Feb. 28 - Morgan Stanley plans to price contingent income autocallable securities due March 2015 linked to the common stock of Valero Energy Corp., according to an FWP filing with the Securities and Exchange Commission.

If Valero Energy stock closes at or above the downside threshold level, 75% of the initial share price, on a quarterly determination date, the notes will pay a contingent payment of about $0.28 per $10 note for that quarter. The payment is equivalent to 11.2% per year, and the exact amount will be set at pricing.

If the closing share price is greater than or equal to the initial share price on any of the first three quarterly determination dates, the notes will be automatically redeemed at par of $10 plus the contingent payment.

If the notes are not called and the final share price is greater than or equal to the downside threshold level, the payout at maturity will be par plus the contingent payment. Otherwise, the payout will be a number of Valero Energy shares equal to $10 divided by the initial share price or, at the issuer's option, a cash amount equal to the value of those shares.

Morgan Stanley & Co. LLC is the agent with Morgan Stanley Wealth Management as dealer.

The notes (Cusip: 61760S464) will price and settle in March.

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