Morgan Stanley plans buffered participation notes linked to ETF basket

By Toni Weeks

San Luis Obispo, Calif., May 6 – Morgan Stanley plans to price 0% buffered participation securities due May 13, 2020 linked to a basket of exchange-traded funds, according to a 424B2 filing with the Securities and Exchange Commission.

The basket components are the WisdomTree Europe Hedged Equity Fund, the iShares Russell 2000 ETF and the Energy Select Sector SPDR fund.

The basket components will not be weighted at the beginning of the term of the securities. Instead, on the May 8, 2020 determination date, the component with the best performance will be allocated a weighting of 45%, the basket component with the second-best performance will be allocated a weighting of 35%, and the basket component with the worst performance will be allocated a weighting of 20%.

If the basket return is positive, the payout at maturity will be par plus the basket return. Investors will receive par if the basket return is negative but not less than negative 10% and will lose 1% for every 1% basket decline beyond the 10% buffer.

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

The notes will price May 8.

The Cusip number is 61764V794.

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