Morgan Stanley plans protected market-linked notes on index basket

By Susanna Moon

Chicago, June 4 - Morgan Stanley plans to price 0% U.S. and international equity allocation market-linked notes due June 2019 linked to a basket of two best-performing indexes, according to an FWP filing with the Securities and Exchange Commission.

The underlying indexes will be Euro Stoxx 50 index, the Dow Jones industrial average and the Hang Seng index, with the basket weights set according to the performance of the indexes at pricing. The best-performing index will be assigned an 85% weight, the next best-performing index will be assigned a 15% weight and the worst-performing index will have a 0% weight.

The payout at maturity will be par plus at least 100% of any basket gain, with a minimum return of par plus 7%. The exact participation rate will be set at pricing.

Morgan Stanley & Co. LLC is the agent, and Morgan Stanley Smith Barney LLC is the dealer.

The notes will price and settle in June.

The Cusip number is 61755S313.

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