Morgan Stanley plans dual directional buffered notes on Russell, S&P

New York, May 4 – Morgan Stanley Finance LLC plans to price 0% dual directional buffered participation securities due May 12, 2021 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to an FWP filing with the Securities and Exchange Commission.

If both indexes finish above their initial levels, the payout at maturity will be par plus the gain of the worse performing index.

If either index declines but both end at or above 62.5% to 66.5% of their initial values, the payout will be par plus 0.15 times the absolute return of the worse performing index.

The payout will be par less 1.5038 to 1.6 times the decline beyond the 33.5% to 37.5% buffer of the worse performing index if the worse performing index declines by more than the buffer amount. The exact buffer amount and downside factor will be set at pricing.

The notes are guaranteed by Morgan Stanley.

Morgan Stanley & Co. LLC is the agent.

The notes will price on May 7 and settle on May 17.

The Cusip number is 61768CZ75.

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