Morgan Stanley plans autocallable step-up notes linked to oil index

By Angela McDaniels

Tacoma, Wash., Feb. 26 – Morgan Stanley plans to price contingent income autocallable step-up securities due March 31, 2025 linked to the S&P GSCI Crude Oil Index – Excess Return, according to a 424B2 filing with the Securities and Exchange Commission.

Each quarter, the notes will pay a contingent coupon if the index closes at or above the coupon barrier level, 75% of the initial index level, on the determination date for that quarter. The contingent coupon rate will be 7% per year for years one and two, 8% per year for years three through six and 10% per year for years seven through 10.

Beginning March 26, 2018, the notes will be automatically called at par plus the contingent coupon if the index closes at or above the initial index level on any quarterly determination date other than the final determination date.

If the final index level is greater than or equal to the coupon barrier level, the payout at maturity will be par plus the final contingent coupon. If the final index level is greater than or equal to the downside threshold level, 50% of the initial index level, but less than the coupon barrier level, the payout will be par. If the final index level is less than the downside threshold level, investors will be fully exposed to the index’s decline.

Morgan Stanley & Co. LLC is the agent.

The notes will price March 26 and settle March 31.

The Cusip number is 61762GDG6.

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