Morgan Stanley eyes dual directional buffered notes tied to indexes

By Sarah Lizee

Olympia, Wash., Nov. 8 – Morgan Stanley plans to price 0% dual directional buffered participation securities due Dec. 3, 2020 linked to the worse performing of the S&P 500 index and the Russell 2000 index, according to a 424B2 filing with the Securities and Exchange Commission.

If each index finishes above the initial level, the payout at maturity will be par plus the gain of the laggard index, capped at par plus 20%.

If either index falls but not by more than 80% of its initial level, the payout will be par plus the absolute value of the return of the laggard index.

Otherwise, investors will lose 1% for each 1% loss of lesser-performing index beyond the buffer.

Morgan Stanley & Co. LLC is the agent.

The notes will price on Nov. 30 and settle on Dec. 5.

The Cusip number is 61768DQH1.

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