Morgan Stanley plans leveraged buffered notes linked to fund basket

By Susanna Moon

Chicago, April 9 – Morgan Stanley plans to price 0% notes due Nov. 5, 2020 with leveraged upside participation to a cap and fixed percentage buffered downside linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the SPDR S&P 500 ETF Trust with a 60% weight, the SPDR S&P MidCap 400 ETF with a 20% weight and the iShares Russell 2000 ETF with a 20% weight.

The payout at maturity will be par plus 1.5 times any basket gain, up to the maximum settlement amount of $1,560 to $1,610 per $1,000 principal amount.

Investors will receive par if the basket falls by up to 20% and will lose 1% for every 1% decline beyond 20%.

The exact deal terms will be set at pricing.

Morgan Stanley & Co. LLC is the agent.

The notes will price on April 30 and settle on May 5.

The Cusip number is 61761JYG8.

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