Morgan Stanley plans autocallable quarterly review notes linked to oil

By Toni Weeks

San Luis Obispo, Calif., Feb. 20 - Morgan Stanley plans to price 0% autocallable quarterly review notes due March 11, 2015 with step-down call level feature linked to West Texas Intermediate light sweet crude oil, according to a 424B2 filing with the Securities and Exchange Commission.

The notes will be automatically called at 102.75 if the settlement price of oil is greater than or equal to the initial oil price on June 6, at 105.5 if the settlement price is at least 95% of the initial price on Sept. 8, 2014 or at 108.25 if the settlement price is at least 90% of the initial price on Dec. 8, 2014.

If the notes are not called and the final oil price is at least 85% of the initial price, the payout will be 111% of par, or $1,110 per $1,000 of notes. If the price declines by 20% or less, the payout will be par. If the price declines by more than 20%, investors will lose 1% for every 1% that the final price is less than the initial price.

The final oil price will be the average of the oil prices on the five trading days ending March 6, 2015.

Morgan Stanley & Co. LLC is the agent with J.P. Morgan Securities LLC as dealer.

The notes are expected to price Feb. 21 and settle Feb. 26.

The Cusip number is 61762GBB9.

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