| PROSPECTUS Dated November 16, 2020 |
Pricing Supplement No. 9,343 to |
| PRODUCT SUPPLEMENT Dated November 16, 2020 |
Registration Statement Nos. 333-250103; 333-250103-01 |
| INDEX SUPPLEMENT Dated November 16, 2020 |
Dated June 8, 2023 |
| |
Rule 424(b)(2) |
Morgan
Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities
in U.S. Equities
$2,207,000
Leveraged Buffered S&P 500®
Index-Linked Notes due January 16, 2025
Fully and Unconditionally Guaranteed
by Morgan Stanley
Principal at Risk Securities
The notes are
unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley.
The notes will not bear interest. The amount that you
will be paid on your notes on the stated maturity date (January 16, 2025, subject to postponement) is based on the performance of the
S&P 500® Index as measured from the trade date (June 8, 2023) to and including the determination date (January 14,
2025, subject to postponement). If the final underlier level on the determination date is greater than the initial underlier level, the
return on your notes will be positive, subject to the maximum settlement amount ($1,196.00 for each $1,000 face amount of your notes).
If the underlier declines by up to 15.00% from the initial underlier level, you will receive the face amount of your notes. However,
if the underlier declines by more than 15.00% from the initial underlier level, the return on your notes will be negative. You could lose
your entire investment in the notes. The notes are notes issued as part of MSFL’s Series
A Global Medium-Term Notes program.
All payments are subject to our
credit risk. If we default on our obligations, you could lose some or all of your investment. These notes are not secured obligations
and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
To determine your
payment at maturity, we will calculate the underlier return, which is the percentage increase or decrease in the final underlier level
from the initial underlier level. On the stated maturity date, for each $1,000 face amount of your notes, you will receive an amount in
cash equal to:
| ● | if the underlier return is positive (the final underlier level is greater than the initial underlier level), the sum
of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) 200% times (c) the underlier return, subject to
the maximum settlement amount; |
| ● | if the underlier return is zero or negative but not below -15.00% (the final underlier level is equal to
or less than the initial underlier level but not by more than 15.00%), $1,000; or |
| ● | if the underlier return is negative and is below -15.00% (the final underlier level is less than the initial
underlier level by more than 15.00%), the sum of (i) $1,000 plus (ii) the product of (a) approximately 1.1765 times
(b) the sum of the underlier return plus 15.00% times (c) $1,000. |
Under these circumstances, you will lose some or all of your
investment.
You should read the additional disclosure herein so that you may better
understand the terms and risks of your investment.
The estimated value on the trade
date is $993.20 per note. See “Estimated Value” on page 2.
| |
Price
to public(1) |
Agent’s
commissions |
Proceeds
to us(2) |
| Per note |
$1,000 |
$0 |
$1,000 |
| Total |
$2,207,000 |
$0 |
$2,207,000 |
(1) Morgan Stanley & Co. LLC (“MS & Co.”) will
sell all of the notes that it purchases from us to an unaffiliated dealer at the original issue price of 100.00%, or $1,000 per face amount
of notes. Such dealer will sell the notes to investors at the same price without a discount or commission. Investors that purchase and
hold the notes in fee-based accounts may be charged fees based on the amount of assets held in those accounts, including the notes. For
more information, see “Additional Information About the Notes—Supplemental information regarding plan of distribution; conflicts
of interest.”
(2) See “Additional Information
About the Notes—Use of proceeds and hedging” beginning on page 19.
The notes involve risks not associated
with an investment in ordinary debt securities. See “Risk Factors” beginning on page 10.
The Securities and Exchange Commission
and state securities regulators have not approved or disapproved these notes, or determined if this document or the accompanying product
supplement, index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The notes are not deposits or savings
accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are
they obligations of, or guaranteed by, a bank.
You should read this document together
with the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also
see “Final Terms” on page 3 and “Additional Information About the Notes” on page 19.
MORGAN
STANLEY
|
About Your Prospectus
The notes are notes issued as part of MSFL’s Series A Global Medium-Term
Notes program. This prospectus includes this pricing supplement and the accompanying documents listed below. This pricing supplement constitutes
a supplement to the documents listed below and should be read in conjunction with such documents:
● Prospectus dated November 16, 2020
● Product Supplement dated November 16, 2020
● Index Supplement dated November 16, 2020
The information in this pricing supplement supersedes any conflicting
information in the documents listed above. In addition, some of the terms or features described in the listed documents may not apply
to your notes.
|
ESTIMATED VALUE
The Original Issue Price of each note is $1,000. This price includes
costs associated with issuing, selling, structuring and hedging the notes, which are borne by you, and, consequently, the estimated value
of the notes on the Trade Date is less than $1,000. We estimate that the value of each note on the Trade Date is $993.20.
What goes into the estimated value on the Trade Date?
In valuing the notes on the Trade Date, we take into account that the
notes comprise both a debt component and a performance-based component linked to the Underlier. The estimated value of the notes is determined
using our own pricing and valuation models, market inputs and assumptions relating to the Underlier, instruments based on the Underlier,
volatility and other factors including current and expected interest rates, as well as an interest rate related to our secondary market
credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the notes?
In determining the economic terms of the notes, including the Upside
Participation Rate, the Cap Level, the Maximum Settlement Amount and the Buffer Amount, we use an internal funding rate, which is likely
to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging
costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the notes would be more
favorable to you.
What is the relationship between the estimated value on the Trade
Date and the secondary market price of the notes?
The price at which MS & Co. purchases the notes in the secondary
market, absent changes in market conditions, including those related to the Underlier, may vary from, and be lower than, the estimated
value on the Trade Date, because the secondary market price takes into account our secondary market credit spread as well as the bid-offer
spread that MS & Co. would charge in a secondary market transaction of this type and other factors. However, because the costs associated
with issuing, selling, structuring and hedging the notes are not fully deducted upon issuance, for a period of up to 3 months following
the issue date, to the extent that MS & Co. may buy or sell the notes in the secondary market, absent changes in market conditions,
including those related to the Underlier, and to our secondary market credit spreads, it would do so based on values higher than the estimated
value. We expect that those higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the notes,
and, if it once chooses to make a market, may cease doing so at any time.
SUMMARY INFORMATION
|
The Leveraged Buffered S&P 500® Index-Linked Notes,
which we refer to as the notes, are unsecured obligations of MSFL and are fully and unconditionally guaranteed by Morgan Stanley. The
notes will pay no interest, do not guarantee any return of principal at maturity and have the terms described in the accompanying product
supplement, index supplement and prospectus, as supplemented or modified by this document. The notes are notes issued as part of MSFL’s
Series A Global Medium-Term Notes program.
References to “we,” “us,” and “our”
refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
|
Final Terms
Capitalized terms used but not defined herein have
the meanings assigned to them in the accompanying product supplement and prospectus. All references to “Buffer Rate,” “Cash
Settlement Amount,” “Closing Level,” “Determination Date,” “Face Amount,” “Final Underlier
Level,” “Initial Underlier Level,” “Maximum Settlement Amount,” “Original Issue Price,” “Stated
Maturity Date,” “Trade Date,” “Trading Day,” “Underlier,” “Underlier Return” and
“Upside Participation Rate” herein shall be deemed to refer to “downside factor,” “payment at maturity,”
“index closing value,” “valuation date,” “stated principal amount,” “final index value,”
“initial index value,” “maximum payment at maturity,” “issue price,” “maturity date,”
“pricing date,” “index business day,” “underlying index,” “index return” and “leverage
factor,” respectively, as used in the accompanying product supplement.
If the terms described herein are inconsistent with
those described in the accompanying product supplement or prospectus, the terms described herein shall control.
Issuer: Morgan Stanley Finance LLC
Guarantor: Morgan Stanley
Underlier: S&P 500® Index
Underlier Publisher: S&P Dow Jones Indices LLC
Notes: The accompanying product supplement refers to the notes
as the “PLUS.”
Specified currency: U.S. dollars (“$”)
Face Amount: Each note will have a Face Amount of $1,000; $2,207,000
in the aggregate for all the notes; the aggregate Face Amount of notes may be increased if the Issuer, at its sole option, decides to
sell an additional amount of the notes on a date subsequent to the date hereof.
Denominations: $1,000
and integral multiples thereof
Cash Settlement Amount (on the Stated Maturity Date): For each
$1,000 Face Amount of notes, we will pay you on the Stated Maturity Date an amount in cash equal to:
| · | if the Final Underlier Level is greater than or equal to the Cap Level, the Maximum Settlement
Amount; |
| · | if the Final Underlier Level is greater than the Initial Underlier Level but less than
the Cap Level, the sum of (i) $1,000 plus (ii) the product of (a) $1,000 times (b) the Upside Participation
Rate times (c) the Underlier Return; |
| · | if the Final Underlier Level is equal to or less than the Initial Underlier Level but
greater than or equal to the Buffer Level, $1,000; or |
| · | if the Final Underlier Level is less than the Buffer Level, the sum of (i) $1,000
plus (ii) the product of (a) $1,000 times (b) the Buffer Rate times (c) the sum
of the Underlier Return and the Buffer Amount. |
You will lose some or all of your investment
at maturity if the Final Underlier Level is less than the Buffer Level. Any payment of the Cash Settlement Amount is subject to the credit
of the Issuer.
Initial Underlier Level: 4,293.93
Final Underlier Level: The Closing Level of the Underlier on
the Determination Date, except in the limited circumstances described under “Description of PLUS—Postponement of Valuation
Date(s)” on
page S-47 of the accompanying product supplement, and subject to adjustment
as provided under “Description of PLUS—Discontinuance of Any Underlying Index or Basket Index; Alteration of Method of Calculation”
on page S-49 of the accompanying product supplement.
Underlier Return: The quotient of (i) the Final Underlier
Level minus the Initial Underlier Level divided by (ii) the Initial Underlier Level, expressed as a percentage
Upside Participation Rate: 200%
Cap Level: 4,714.73514, which is 109.80% of the Initial Underlier
Level
Maximum Settlement Amount: $1,196.00
for each $1,000 Face Amount of notes
Buffer Level: 3,649.8405, which is 85.00% of the Initial Underlier
Level
Buffer Amount: 15.00%
Buffer Rate: The quotient of the Initial Underlier Level
divided by the Buffer Level, which equals approximately 117.65%
Trade Date: June 8, 2023
Original Issue Date (Settlement Date): June 15, 2023 (5 Business
Days after the Trade Date)
Determination Date: January 14, 2025, subject to postponement
as described in the accompanying product supplement on page S-47 under “Description of PLUS—Postponement of Valuation Date(s).”
Stated Maturity Date: January 16, 2025 (2 Business Days after
the Determination Date), subject to postponement as described below.
Postponement of Stated Maturity Date: If the scheduled Determination
Date is not a Trading Day or if a market disruption event occurs on that day so that the Determination Date as postponed falls less than
two Business Days prior to the scheduled Stated Maturity Date, the Stated Maturity Date of the notes will be postponed to the second Business
Day following that Determination Date as postponed.
Closing Level: As described under “Description of PLUS—Some
Definitions—index closing value” on page S-39 of the accompanying product supplement
Business Day: As described under “Description of PLUS—Some
Definitions—business day” on page S-38 of the accompanying product supplement
Trading Day: As described under “Description of PLUS—Some
Definitions—index business day” on page S-39 of the accompanying product supplement. The product supplement refers to a Trading
Day as an “index business day.”
Market disruption event: The following replaces in its entirety
the section entitled “Description of PLUS—Some Definitions—market disruption event” on page S-39 of the accompanying
product supplement:
“Market disruption event” means, with respect to the Underlier:
(i) the occurrence or existence of:
| (a) | a suspension, absence or material limitation of trading of securities then constituting 20 percent or more, by weight, of the Underlier
(or the successor index) on the relevant exchanges for such securities for more than two hours of trading or during the one-half hour
period preceding the close of the principal trading session on such relevant exchange, or |
| (b) | a breakdown or failure in the price and trade reporting systems of any relevant exchange as a result of which the reported trading
prices for securities then constituting 20 percent or more, by weight, of the Underlier (or the successor index), or futures or options
contracts, if available, relating to the Underlier (or the successor index) or the securities then constituting 20 percent or more, by
weight, of the Underlier during the last one-half hour preceding the close of the principal trading session on such relevant exchange
are materially inaccurate, or |
| (c) | the suspension, material limitation or absence of trading on any major U.S. securities market for trading in futures or options contracts
or exchange-traded funds related to the Underlier (or the successor index), or in futures or options contracts, if available, relating
to securities then constituting 20 percent or more, by weight, of the Underlier (or the successor index) for more than two hours of trading
or during the one-half hour period preceding the close of the principal trading session on such market, |
in each case as determined by the calculation agent in its sole discretion;
and
(ii) a determination by the calculation agent in its sole discretion
that any event described in clause (i) above materially interfered with our ability or the ability of any of our affiliates to unwind
or adjust all or a material portion of the hedge position with respect to the notes.
For the purpose of determining whether a market disruption event exists
at any time, if trading in a security included in the Underlier is suspended, absent or materially limited at that time, then the relevant
percentage contribution of that security to the value of the Underlier shall be based on a comparison of (x) the portion of the value
of the Underlier attributable to that security relative to (y) the overall value of the Underlier, in each case immediately before that
suspension or limitation.
For the purpose of determining whether a market disruption event has
occurred: (1) a limitation on the hours or number of days of trading will not constitute a market disruption event if it results from
an announced change in the regular business hours of the relevant exchange or market, (2) a decision to permanently discontinue trading
in the relevant futures or options contract or exchange-traded fund will not constitute a market disruption event, (3) a suspension of
trading in futures or options contracts or exchange-traded funds on the Underlier, or futures or options contracts, if available, relating
to securities then constituting 20 percent or more, by weight, of the Underlier, by the primary securities market trading in such contracts
or funds by reason of (a) a price change exceeding limits set by such securities exchange or market, (b) an imbalance of orders relating
to such contracts or funds, or (c) a disparity in bid and ask quotes relating to such contracts or funds will constitute a suspension,
absence or material limitation of trading in futures or options contracts or exchange-traded funds related to the Underlier and (4) a
“suspension, absence or material limitation of trading” on any relevant exchange or on the primary market on which futures
or options contracts or exchange-traded funds related to the Underlier are traded will not include any time when such securities market
is itself closed for trading under ordinary circumstances.
Trustee: The Bank of New York Mellon
Calculation Agent: MS & Co.
Issuer Notice To Registered Security Holders, the Trustee and the
Depositary: In the event that the Stated Maturity Date is postponed due to postponement of the Determination Date, the Issuer shall
give notice of such postponement and, once it has been determined, of the date to which the Stated Maturity Date has been rescheduled
(i) to each registered holder of the notes by mailing notice of such postponement by first class mail, postage prepaid, to such registered
holder’s last address as it shall appear upon the registry books, (ii) to the Trustee by facsimile confirmed by mailing such notice
to the Trustee by first class mail, postage prepaid, at its New York office and (iii) to The Depository Trust Company (the “depositary”)
by telephone or facsimile, confirmed by mailing such notice to the depositary by first class mail, postage prepaid. Any notice that is
mailed to a registered holder of the notes in the manner herein provided shall be conclusively presumed to have been duly given to such
registered holder, whether or not such registered holder receives the notice. The Issuer shall give such notice as promptly as possible,
and in no case later than (i) with respect to notice of postponement of the Stated Maturity Date, the Business Day immediately preceding
the scheduled Stated Maturity Date and (ii) with respect to notice of the date to which the Stated Maturity Date has been rescheduled,
the Business Day immediately following the actual Determination Date for determining the Final Underlier Level.
The Issuer shall, or shall cause the Calculation Agent to, (i) provide
written notice to the Trustee and to the depositary of the amount of cash, if any, to be delivered with respect to each Face Amount of
notes, on or prior to 10:30 a.m. (New York City time) on the Business Day preceding the Stated Maturity Date, and (ii) deliver the aggregate
cash amount due with respect to the notes, if any, to the Trustee for delivery to the depositary, as holder of the notes, on the Stated
Maturity Date.
CUSIP no.: 61774X6G3
ISIN: US61774X6G39
HYPOTHETICAL
EXAMPLES
The following table and chart
are provided for purposes of illustration only. They should not be taken as an indication or prediction of future investment results and
are intended merely to illustrate the impact that the various hypothetical Closing Levels of the Underlier on the Determination Date could
have on the Cash Settlement Amount.
The examples below are based on
a range of Final Underlier Levels that are entirely hypothetical; no one can predict what the level of the Underlier will be on any day
during the term of the notes, and no one can predict what the Final Underlier Level will be on the Determination Date. The Underlier has
at times experienced periods of high volatility — meaning that the level of the Underlier has changed considerably in relatively
short periods — and its performance cannot be predicted for any future period.
The information in the following
examples reflects hypothetical rates of return on the notes assuming that they are purchased on the Original Issue Date at the Face Amount
and held to the Stated Maturity Date. The value of the notes at any time after the Trade Date will vary based on many economic and market
factors, including interest rates, the volatility of the Underlier, our creditworthiness and changes in market conditions, and cannot
be predicted with accuracy. Any sale prior to the Stated Maturity Date could result in a substantial loss to you.
| Key
Terms and Assumptions |
|
| Face
Amount: |
$1,000 |
| Upside
Participation Rate: |
200.00% |
| Cap
Level: |
109.80% of the Initial Underlier Level |
| Maximum
Settlement Amount: |
$1,196.00 per $1,000 Face Amount of notes (119.600% of the Face Amount) |
| Minimum
Cash Settlement Amount: |
None |
| Buffer
Level: |
85.00% of the Initial Underlier Level |
| Buffer
Rate: |
Approximately 117.65% |
| Buffer
Amount: |
15.00% |
|
· Neither
a market disruption event nor a non-Trading Day occurs on the Determination Date.
· No
discontinuation of the Underlier or alteration of the method by which the Underlier is calculated.
· Notes
purchased on the Original Issue Date at the Face Amount and held to the Stated Maturity Date.
|
The actual performance of the Underlier over the term of the notes,
as well as the Cash Settlement Amount, if any, may bear little relation to the hypothetical examples shown below or to the historical
levels of the Underlier shown elsewhere in this document. For information about the historical levels of the Underlier during recent periods,
see “The Underlier” below.
The levels in the left column of the table below represent hypothetical
Final Underlier Levels and are expressed as percentages of the Initial Underlier Level. The amounts in the right column represent the
hypothetical Cash Settlement Amount, based on the corresponding hypothetical Final Underlier Level (expressed as a percentage of the Initial
Underlier Level), and are expressed as percentages of the Face Amount of notes (rounded to the nearest one-thousandth of a percent). Thus,
a hypothetical Cash Settlement Amount of 100% means that the value of the cash payment that we would deliver for each $1,000 Face Amount
of notes on the Stated Maturity Date would equal 100% of the Face Amount of notes, based on the corresponding hypothetical Final Underlier
Level (expressed as a percentage of the Initial Underlier Level) and the assumptions noted above. The numbers appearing in the table and
chart below may have been rounded for ease of analysis.
| Hypothetical Final Underlier Level |
Hypothetical Cash Settlement Amount |
| (as Percentage of Initial Underlier Level) |
(as Percentage of Face Amount) |
| 200.000% |
119.600% |
| 175.000% |
119.600% |
| 150.000% |
119.600% |
| 125.000% |
119.600% |
| 120.000% |
119.600% |
| 110.000% |
119.600% |
| 109.800% |
119.600% |
| 105.000% |
110.000% |
| 103.000% |
106.000% |
| 100.000% |
100.000% |
| 95.000% |
100.000% |
| 85.000% |
100.000% |
| 80.000% |
94.118% |
| 75.000% |
88.235% |
| 50.000% |
58.824% |
| 25.000% |
29.412% |
| 0.000% |
0.000% |
If, for example, the Final Underlier Level were determined to be 25.000%
of the Initial Underlier Level, the Cash Settlement Amount would be approximately 29.412% of the Face Amount of notes, as shown in the
table above. As a result, if you purchased your notes on the Original Issue Date at the Face Amount and held them to the Stated Maturity
Date, you would lose approximately 70.588% of your investment. If you purchased your notes at a premium to the Face Amount, you would
lose a correspondingly higher percentage of your investment.
If the Final Underlier Level were determined to be 150.000% of the Initial
Underlier Level, the Cash Settlement Amount would be capped at the Maximum Settlement Amount (expressed as a percentage of the Face Amount),
or 119.600% of each $1,000 Face Amount of notes, as shown in the table above. As a result, if you purchased the notes on the Original
Issue Date at the Face Amount and held them to the Stated Maturity Date, you would not benefit from any increase in the Final Underlier
Level above the Cap Level of 109.800% of the Initial Underlier Level.
Payoff Diagram
The following chart shows a graphical illustration of the hypothetical
Cash Settlement Amount (expressed as a percentage of the Face Amount of notes), if the Final Underlier Level (expressed as a percentage
of the Initial Underlier Level) were any of the hypothetical levels shown on the horizontal axis. The chart shows that any hypothetical
Final Underlier Level (expressed as a percentage of the Initial Underlier Level) of less than the Buffer Level of 85.00% (the section
left of the 85.00% marker on the horizontal axis) would result in a hypothetical Cash Settlement Amount of less than 100% of the Face
Amount of notes (the section below the 100% marker on the vertical axis), and, accordingly, in a loss of principal to the holder of the
notes. The chart also shows that any hypothetical Final Underlier Level (expressed as a percentage of the Initial Underlier Level) of
greater than 109.800% (the section right of the Cap Level of 109.800% marker on the horizontal axis) would result in a capped return on
your investment and a Cash Settlement Amount equal to the Maximum Settlement Amount.
RISK FACTORS
| This section describes the material risks relating to the notes. For further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product supplement and prospectus. We also urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the notes. |
RISKS RELATING TO AN INVESTMENT IN THE NOTES
The Notes Do Not Pay Interest Or Guarantee The
Return Of Any Of Your Principal
The terms of the notes differ from those of ordinary debt securities
in that the notes do not pay interest and do not guarantee any return of principal at maturity. If the Final Underlier Level has declined
by an amount greater than the Buffer Amount of 15.00% from the Initial Underlier Level, you will receive for each note that you hold a
Cash Settlement Amount that is less than the Face Amount of each note by an amount proportionate to the decline in the level of the Underlier
below 85.00% of the Initial Underlier Level times the Buffer Rate of approximately 117.65%. As there is no minimum Cash Settlement Amount
on the notes, you could lose your entire initial investment.
Also, the market price of your notes prior to the Stated Maturity Date
may be significantly lower than the purchase price you pay for your notes. Consequently, if you sell your notes before the Stated Maturity
Date, you may receive significantly less than the amount of your investment in the notes.
The Appreciation Potential Of The Notes Is Limited
By The Maximum Settlement Amount
The appreciation potential of the notes is limited by the Maximum Settlement
Amount of $1,196.00 per note, or 119.600% of the Face
Amount. Although the Upside Participation Rate provides 200% exposure to any increase in the Final Underlier Level over the Initial Underlier
Level, because the Cash Settlement Amount will be limited to 119.600% of the Face Amount for the notes, any increase in the Final Underlier
Level over the Initial Underlier Level by more than 9.80% of the Initial Underlier Level will not further increase the return on the notes.
If You Purchase Your Notes At A Premium To The
Face Amount, The Return On Your Investment Will Be Lower Than The Return On Notes Purchased At The Face Amount, And The Impact Of Certain
Key Terms Of The Notes Will Be Negatively Affected
The Cash Settlement Amount will not be adjusted based on the issue price
you pay for the notes. If you purchase notes at a price that differs from the Face Amount of notes, then the return on your investment
in such notes held to the Stated Maturity Date will differ from, and may be substantially less than, the return on notes purchased at
the Face Amount. If you purchase your notes at a premium to the Face Amount and hold them to the Stated Maturity Date, the return on your
investment in the notes will be lower than it would have been had you purchased the notes at the Face Amount or at a discount to the Face
Amount. In addition, the impact of the Buffer Level and the Cap Level on the return on your investment will depend upon the price you
pay for your notes relative to the Face Amount. For example, if you purchase your notes at a premium to the Face Amount, the Cap Level
will reduce your potential percentage return on the notes to a greater extent than would have been the case for notes purchased at the
Face Amount or at a discount to the Face Amount. Similarly, the Buffer Level will provide less protection of the investment amount for
notes purchased at a premium to the Face Amount than for notes purchased at the Face Amount or a discount to the Face Amount.
The Market Price Will Be Influenced By Many Unpredictable
Factors
Several factors, many of which are beyond our control, will influence
the value of the notes in the secondary market and the price at which MS & Co. may be willing to purchase or sell the notes in the
secondary market, including: the level of the Underlier, volatility (frequency and magnitude of changes in value) of the Underlier and
dividend yield of the Underlier, interest and yield rates, time remaining to maturity, geopolitical conditions and economic, financial,
political and regulatory or judicial events that affect the Underlier or equities markets generally and which may affect the Final Underlier
Level of the Underlier and any actual or anticipated changes in our credit ratings or credit spreads. The level of the
Underlier may be, and has been, volatile, and we can give you no assurance
that the volatility will lessen. See “The Underlier” below. You may receive less, and possibly significantly less, than the
Face Amount per note if you try to sell your notes prior to maturity.
The Notes Are Subject To Our Credit Risk, And
Any Actual Or Anticipated Changes To Our Credit Ratings Or Credit Spreads May Adversely Affect The Market Value Of The Notes
You are dependent on our ability to pay all amounts due on the notes
at maturity, and therefore you are subject to our credit risk. If we default on our obligations under the notes, your investment would
be at risk and you could lose some or all of your investment. As a result, the market value of the notes prior to maturity will be affected
by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in
the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the notes.
As A Finance Subsidiary, MSFL Has No Independent
Operations And Will Have No Independent Assets
As a finance subsidiary, MSFL has no independent operations beyond the
issuance and administration of its securities and will have no independent assets available for distributions to holders of the notes
if they make claims in respect of such notes in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders
will be limited to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all
other unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley
and its assets under the guarantee. Holders of the notes should accordingly assume that in any such proceedings they could not have any
priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley,
including holders of Morgan Stanley-issued securities.
The Amount Payable On The Notes Is Not Linked
To The Level Of The Underlier At Any Time Other Than The Determination Date
The Final Underlier Level will be based on the Closing Level on the
Determination Date, subject to adjustment for non-Trading Days and certain market disruption events. Even if the level of the Underlier
appreciates prior to the Determination Date but then drops by the Determination Date, the Cash Settlement Amount may be less, and may
be significantly less, than it would have been had the Cash Settlement Amount been linked to the level of the Underlier prior to such
drop. Although the actual level of the Underlier on the Stated Maturity Date or at other times during the term of the notes may be higher
than the Final Underlier Level, the Cash Settlement Amount will be based solely on the Closing Level on the Determination Date.
Investing In The Notes Is Not Equivalent To Investing
In The Underlier
Investing in the notes is not equivalent to investing in the Underlier
or its component stocks. Investors in the notes will not have voting rights or rights to receive dividends or other distributions or any
other rights with respect to stocks that constitute the Underlier.
The Rate We Are Willing To Pay For Securities
Of This Type, Maturity And Issuance Size Is Likely To Be Lower Than The Rate Implied By Our Secondary Market Credit Spreads And Advantageous
To Us. Both The Lower Rate And The Inclusion Of Costs Associated With Issuing, Selling, Structuring And Hedging The Notes In The Original
Issue Price Reduce The Economic Terms Of The Notes, Cause The Estimated Value Of The Notes To Be Less Than The Original Issue Price And
Will Adversely Affect Secondary Market Prices
Assuming no change in market conditions or any other relevant factors,
the prices, if any, at which dealers, including MS & Co., may be willing to purchase the notes in secondary market transactions will
likely be significantly lower than the Original Issue Price, because secondary market prices will exclude the issuing, selling, structuring
and hedging-related costs that are included in the Original Issue Price and borne by you and because the secondary market prices will
reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of
this type as well as other factors.
The inclusion of the costs of issuing, selling, structuring and hedging
the notes, including a fee payable by our affiliate MS & Co. for the use of the electronic platform of SIMON Markets LLC, which is
a broker-
dealer in which an affiliate of Goldman Sachs & Co. LLC, a dealer
participating in the distribution of the notes, holds an indirect minority equity interest, in the Original Issue Price and the lower
rate we are willing to pay as issuer make the economic terms of the notes less favorable to you than they otherwise would be.
However, because the costs associated with issuing, selling, structuring
and hedging the notes are not fully deducted upon issuance, for a period of up to 3 months following the issue date, to the extent that
MS & Co. may buy or sell the notes in the secondary market, absent changes in market conditions, including those related to the Underlier,
and to our secondary market credit spreads, it would do so based on values higher than the estimated value, and we expect that those higher
values will also be reflected in your brokerage account statements.
The Estimated Value Of The Notes Is Determined
By Reference To Our Pricing And Valuation Models, Which May Differ From Those Of Other Dealers And Is Not A Maximum Or Minimum Secondary
Market Price
These pricing and valuation models are proprietary and rely in part
on subjective views of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As a result,
because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of the notes
than those generated by others, including other dealers in the market, if they attempted to value the notes. In addition, the estimated
value on the Trade Date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase
your notes in the secondary market (if any exists) at any time. The value of your notes at any time after the date hereof will vary based
on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The
Market Price Will Be Influenced By Many Unpredictable Factors” above.
The Notes Will Not Be Listed On Any Securities
Exchange And Secondary Trading May Be Limited
The notes will not be listed on any securities exchange. Therefore,
there may be little or no secondary market for the notes. MS & Co. may, but is not obligated to, make a market in the notes and, if
it once chooses to make a market, may cease doing so at any time. When it does make a market, it will generally do so for transactions
of routine secondary market size at prices based on its estimate of the current value of the notes, taking into account its bid/offer
spread, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions,
the time remaining to maturity and the likelihood that it will be able to resell the notes. Even if there is a secondary market, it may
not provide enough liquidity to allow you to trade or sell the notes easily. Since other broker-dealers may not participate significantly
in the secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any,
at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the notes, it is likely that
there would be no secondary market for the notes. Accordingly, you should be willing to hold your notes to maturity.
The Calculation Agent, Which Is A Subsidiary
Of Morgan Stanley And An Affiliate Of MSFL, Will Make Determinations With Respect To The Notes
As calculation agent, MS & Co. will determine the Initial Underlier
Level and the Final Underlier Level and will calculate the Cash Settlement Amount you receive at maturity, if any. Moreover, certain determinations
made by MS & Co. in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as
with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor index or calculation of
the Final Underlier Level in the event of a market disruption event or discontinuance of the Underlier. These potentially subjective determinations
may adversely affect the Cash Settlement Amount at maturity, if any. For further information regarding these types of determinations,
see “Description of PLUS—Postponement of Valuation Date(s)” and “—Calculation Agent and Calculations”
in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the notes on the Trade Date.
Hedging And Trading Activity By Our Affiliates
Could Potentially Adversely Affect The Value Of The Notes
One or more of our affiliates and/or third-party dealers expect to carry
out hedging activities related to the notes (and possibly to other instruments linked to the Underlier or its component stocks), including
trading in the stocks that constitute the Underlier as well as in other instruments related to the Underlier. As a result, these entities
may be unwinding or adjusting hedge positions during the term of the notes, and the hedging strategy may involve greater and more frequent
dynamic adjustments to the hedge as the Determination Date approaches. Some of our affiliates also trade the stocks that constitute the
Underlier and other financial instruments related to the Underlier on a regular basis as part of their general broker-dealer and other
businesses. Any of these hedging or trading activities on or prior to the Trade Date could potentially increase the Initial Underlier
Level, and, therefore, could increase the level at or above which the Underlier must close on the Determination Date so that investors
do not suffer a loss on their initial investment in the notes. Additionally, such hedging or trading activities during the term of the
notes, including on the Determination Date, could adversely affect the level of the Underlier on the Determination Date, and, accordingly,
the Cash Settlement Amount an investor will receive at maturity, if any. Furthermore, if the dealer from which you purchase notes is to
conduct trading and hedging activities for us in connection with the notes, that dealer may profit in connection with such trading and
hedging activities and such profit, if any, will be in addition to the compensation that the dealer receives for the sale of the notes
to you. You should be aware that the potential to earn a profit in connection with hedging activities may create a further incentive for
the dealer to sell the notes to you, in addition to the compensation they would receive for the sale of the notes.
We May Sell An Additional Aggregate Face Amount
Of Notes At A Different Issue Price
At our sole option, we may decide to sell an additional aggregate Face
Amount of notes subsequent to the date hereof. The issue price of the notes in the subsequent sale may differ substantially (higher or
lower) from the issue price you paid as provided on the cover of this document.
The U.S. Federal Income Tax Consequences Of An
Investment In The Notes Are Uncertain
Please read the discussion under “Tax Considerations” in
this document and the discussion under “United States Federal Taxation” in the accompanying product supplement (together,
the “Tax Disclosure Sections”) concerning the U.S. federal income tax consequences of an investment in the notes. If the Internal
Revenue Service (the “IRS”) were successful in asserting an alternative treatment, the timing and character of income on the
notes might differ significantly from the tax treatment described in the Tax Disclosure Sections. There is a risk that the IRS may seek
to treat all or a portion of the gain on the notes as ordinary income. For example, due to the terms of the notes and current market conditions,
there is a risk that the IRS could seek to recharacterize the notes as debt instruments. In that event, U.S. Holders would be required
to accrue into income original issue discount on the notes every year at a “comparable yield” determined at the time of issuance
and recognize all income and gain in respect of the notes as ordinary income. The risk that financial instruments providing for buffers,
triggers or similar downside protection features, such as the notes, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial instruments that do not have such features. We do not plan to request a ruling from the IRS regarding the tax
treatment of the notes, and the IRS or a court may not agree with the tax treatment described in the Tax Disclosure Sections.
In 2007, the U.S. Treasury Department and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks
for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether short-term
instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments
and the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the “constructive ownership” rule, which very generally can operate to recharacterize certain long-term capital gain as
ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates,
any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax
consequences of an investment in the notes, possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax
advisers regarding the U.S. federal income tax consequences of an investment in the notes, including possible alternative treatments,
the issues presented by this notice and any tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
RISKS RELATING TO THE UNDERLIER
The Underlier Reflects The Price Return Of The
Stocks Composing The Underlier, Not A Total Return
The return on the notes is based on the performance of the Underlier,
which reflects the changes in the market prices of the stocks composing the Underlier. It is not, however, linked to a “total return”
version of the Underlier, which, in addition to reflecting those price returns, would also reflect all dividends and other distributions
paid on the stocks composing the Underlier. The return on the notes will not include such a total return feature.
Adjustments To The Underlier Could Adversely
Affect The Value Of The Notes
The publisher of the Underlier may add, delete or substitute the stocks
constituting the Underlier or make other methodological changes that could change the level of the Underlier. The publisher of the Underlier
may discontinue or suspend calculation or publication of the Underlier at any time. In these circumstances, the calculation agent will
have the sole discretion to substitute a successor index that is comparable to the discontinued Underlier and is permitted to consider
indices that are calculated and published by the calculation agent or any of its affiliates. If the calculation agent determines that
there is no appropriate successor index, the Cash Settlement Amount on the notes will be an amount based on the closing prices at maturity
of the securities composing the Underlier at the time of such discontinuance, without rebalancing or substitution, computed by the calculation
agent in accordance with the formula for calculating the Underlier last in effect prior to discontinuance of the Underlier.
Past Performance is No Guide to Future Performance
The actual performance of the Underlier over the term of the notes,
as well as the amount payable at maturity, may bear little relation to the historical Closing Levels of the Underlier or to the hypothetical
return examples set forth herein. We cannot predict the future performance of the Underlier.
THE UNDERLIER
The S&P 500® Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC (“S&P”), consists of stocks of 500 component companies selected to provide
a performance benchmark for the U.S. equity markets. The calculation of the S&P 500® Index is based on the relative
value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time as compared to the
aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through 1943. For additional
information about the S&P 500® Index, see the information set forth under “S&P 500® Index”
in the accompanying index supplement.
In addition, information about the Underlier may be obtained from other
sources including, but not limited to, the Underlier Publisher’s website (including information regarding (i) the Underlier’s
top ten constituents and (ii) the Underlier’s sector weightings). We are not incorporating by reference into this document the website
or any material it includes. Neither the issuer nor the agent makes any representation that such publicly available information regarding
the Underlier is accurate or complete.
Information as of market close on June 8, 2023:
| Bloomberg Ticker Symbol: |
SPX |
| Current Index Value: |
4,293.93 |
| 52 Weeks Ago: |
4,115.77 |
| 52 Week High (on 8/16/2022): |
4,305.20 |
| 52 Week Low (on 10/12/2022): |
3,577.03 |
The following graph sets forth the daily Closing Levels of the Underlier
for each quarter in the period from January 1, 2018 through June 8, 2023. The Closing Level of the Underlier on June 8, 2023 was 4,293.93.
We obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The Underlier has at
times experienced periods of high volatility. The actual performance of the Underlier over the term of the notes, as well as the amount
payable at maturity, may bear little relation to the historical Closing Levels of the Underlier or to the hypothetical return examples
set forth herein. We cannot predict the future performance of the Underlier. You should not take the historical levels of the Underlier
as an indication of its future performance, and no assurance can be given as to the Closing Level of the Underlier on the Determination
Date.
|
S&P 500® Index
Daily Index Closing Values
January 1, 2018 to June 8, 2023
|
| |
 |
|
| |
|
|
“Standard & Poor’s®,” “S&P®,”
“S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of Standard
and Poor’s Financial Services LLC. See “S&P 500® Index” in the accompanying index supplement.
TAX CONSIDERATIONS
Although there is uncertainty regarding the U.S. federal income tax
consequences of an investment in the notes due to the lack of governing authority, in the opinion of our counsel, Davis Polk & Wardwell
LLP, under current law, and based on current market conditions, it is more likely than not that a note will be treated as a single financial
contract that is an “open transaction” for U.S. federal income tax purposes.
Assuming this treatment of the notes is respected and subject to the
discussion in “United States Federal Taxation” in the accompanying product supplement, the following U.S. federal income tax
consequences should result based on current law:
| § | A U.S. Holder should not be required to recognize taxable income over the
term of the notes prior to settlement, other than pursuant to a sale or exchange. |
| § | Upon sale, exchange or settlement of the notes, a U.S. Holder should recognize
gain or loss equal to the difference between the amount realized and the U.S. Holder’s tax basis in the notes. Such gain or loss
should be long-term capital gain or loss if the investor has held the notes for more than one year, and short-term capital gain or loss
otherwise. |
There is a risk that the Internal Revenue Service (the “IRS”)
may seek to treat all or a portion of the gain on the notes as ordinary income. For example, due to the terms of the notes and current
market conditions, there is a risk that the IRS could seek to recharacterize the notes as debt instruments. In that event, U.S. Holders
would be required to accrue into income original issue discount on the notes every year at a “comparable yield” determined
at the time of issuance and recognize all income and gain in respect of the notes as ordinary income.
In 2007, the U.S. Treasury Department and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice
focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks
for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether short-term
instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments
and the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated
accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject
to the “constructive ownership” rule, which very generally can operate to recharacterize certain long-term capital gain as
ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates,
any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax
consequences of an investment in the notes, possibly with retroactive effect.
As discussed in the accompanying product supplement, Section 871(m)
of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section 871(m)”) generally
impose a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with
respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities (each, an “Underlying Security”).
Subject to certain exceptions, Section 871(m) generally applies to securities that substantially replicate the economic performance of
one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”).
However, pursuant to an IRS notice, Section 871(m) will not apply to securities issued before January 1, 2025 that do not have a delta
of one with respect to any Underlying Security. Based on our determination that the notes do not have a delta of one with respect to any
Underlying Security, our counsel is of the opinion that the notes should not be Specified Securities and, therefore, should not be subject
to Section 871(m).
Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. If withholding is required, we will not be required to pay any
additional amounts with respect to the amounts so withheld. You should consult your tax adviser regarding the potential application of
Section 871(m) to the notes.
Both U.S. and non-U.S. investors considering an investment in the
notes should read the discussion under “Risk Factors” in this document and the discussion under “United States Federal
Taxation” in the accompanying product supplement and consult their tax advisers regarding all aspects of the U.S. federal income
tax consequences of an investment in the notes, including possible alternative treatments, the
issues presented by the aforementioned notice and any tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
The discussion in the preceding paragraphs under “Tax considerations”
and the discussion contained in the section entitled “United States Federal Taxation” in the accompanying product supplement,
insofar as they purport to describe provisions of U.S. federal income tax laws or legal conclusions with respect thereto, constitute the
full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of an investment in the notes.
ADDITIONAL INFORMATION
ABOUT THE NOTES
No interest or dividends: The notes will not pay interest or
dividends.
No listing: The notes will not be listed on any securities exchange.
No redemption: The notes will not be subject to any redemption
right.
Purchase at amount other than Face
Amount: The amount we will pay you on the Stated Maturity Date for your notes will not be adjusted
based on the issue price you pay for your notes, so if you acquire notes at a premium (or discount) to the Face Amount and hold them to
the Stated Maturity Date, it could affect your investment in a number of ways. The return on your investment in such notes will be lower
(or higher) than it would have been had you purchased the notes at the Face Amount. Also, the Buffer Level would not offer the same measure
of protection to your investment as would be the case if you had purchased the notes at the Face Amount. Additionally, the Cap Level would
be triggered at a lower (or higher) percentage return than indicated below, relative to your initial investment. See “Risk Factors—If
You Purchase Your Notes At A Premium To The Face Amount, The Return On Your Investment Will Be Lower Than The Return On Notes Purchased
At The Face Amount, And The Impact Of Certain Key Terms Of The Notes Will Be Negatively Affected” beginning on page 10 of this document.
Use of proceeds and hedging: The proceeds from the sale of the
notes will be used by us for general corporate purposes. We will receive, in aggregate, $1,000 per note issued. The costs of the notes
borne by you and described on page 2 comprise the cost of issuing, structuring and hedging the notes.
On or prior to the Trade Date, we will hedge our anticipated exposure
in connection with the notes, by entering into hedging transactions with our affiliates and/or third-party dealers. We expect our hedging
counterparties to take positions in stocks of the Underlier, futures and options contracts on the Underlier, and any component stocks
of the Underlier listed on major securities markets or positions in any other available securities or instruments that they may wish to
use in connection with such hedging. Such purchase activity could increase the level of the Underlier on the Trade Date, and therefore
increase the level at or above which the Underlier must close on the Determination Date so that investors do not suffer a loss on their
initial investment in the notes. In addition, through our affiliates, we are likely to modify our hedge position throughout the term of
the notes, including on the Determination Date, by purchasing and selling the stocks constituting the Underlier, futures or options contracts
on the Underlier or its component stocks listed on major securities markets or positions in any other available securities or instruments
that we may wish to use in connection with such hedging activities. As a result, these entities may be unwinding or adjusting hedge positions
during the term of the notes, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the Determination
Date approaches. We cannot give any assurance that our hedging activities will not affect the level of the Underlier, and, therefore,
adversely affect the value of the notes or the payment you will receive at maturity, if any. For further information on our use of proceeds
and hedging, see “Use of Proceeds and Hedging” in the accompanying product supplement.
Additional considerations: Client accounts over which Morgan
Stanley, Morgan Stanley Wealth Management or any of their respective subsidiaries have investment discretion are not permitted to purchase
the notes, either directly or indirectly.
Supplemental information regarding plan of distribution; conflicts
of interest: MS & Co., acting as our agent, will sell all of the notes that it purchases from us to an unaffiliated dealer at
the original issue price of 100.00%, or $1,000 per Face Amount of notes. Such dealer will sell the notes to investors at the same price
without a discount or commission. MS & Co., the agent for this offering, is our affiliate. Because MS & Co. is both our affiliate
and a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”), the underwriting arrangements for this offering
must comply with the requirements of FINRA Rule 5121 regarding a FINRA member firm’s distribution of the securities of an affiliate
and related conflicts of interest. In accordance with FINRA Rule 5121, MS & Co. may not make sales in offerings of the notes to any
of its discretionary accounts without the prior written approval of the customer.
MS & Co. is an affiliate of MSFL and a wholly owned subsidiary of
Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging the
notes.
MS & Co. will conduct this offering in compliance with the requirements
of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member
firm’s distribution of the notes of an affiliate and related conflicts of interest. MS & Co. or any of our other affiliates
may not make sales in this offering to any discretionary account. See “Plan of Distribution (Conflicts of Interest)” and “Use
of Proceeds and Hedging” in the accompanying product supplement.
Settlement: We expect to deliver the notes against payment for
the notes on the Original Issue Date, which will be the fifth scheduled Business Day following the Trade Date. Under Rule 15c6-1 of the
Securities Exchange Act of 1934, as amended, trades in the secondary market generally are required to settle in two Business Days, unless
the parties to a trade expressly agree otherwise. Accordingly, if the Original Issue Date is more than two Business Days after the Trade
Date, purchasers who wish to transact in the notes more than two Business Days prior to the Original Issue Date will be required to specify
alternative settlement arrangements to prevent a failed settlement.
WHERE YOU CAN
FIND MORE INFORMATION
MSFL and Morgan Stanley have filed a registration statement (including
a prospectus, as supplemented by the product supplement and the index supplement) with the Securities and Exchange Commission, or SEC,
for the offering to which this communication relates. You should read the prospectus in that registration statement, the product supplement,
the index supplement and any other documents relating to this offering that MSFL and Morgan Stanley have filed with the SEC for more complete
information about MSFL, Morgan Stanley and this offering. You may get these documents without cost by visiting EDGAR on the SEC web site
at.www.sec.gov. Alternatively, MSFL and/or Morgan Stanley will arrange to send you the product supplement, index supplement and prospectus
if you so request by calling toll-free 800-584-6837.
You may access these documents on the SEC web site at.www.sec.gov.as
follows:
Prospectus dated November 16, 2020
Product Supplement dated November 16, 2020
Index Supplement dated November 16, 2020
Terms used but not defined in this document are defined in the product
supplement, in the index supplement or in the prospectus.
VALIDITY OF
THE NOTES
In the opinion of Davis Polk & Wardwell LLP, as special counsel
to MSFL and Morgan Stanley, when the notes offered by this pricing supplement have been executed and issued by MSFL, authenticated by
the trustee pursuant to the MSFL Senior Debt Indenture (as defined in the accompanying prospectus) and delivered against payment as contemplated
herein, such notes will be valid and binding obligations of MSFL and the related guarantee will be a valid and binding obligation of Morgan
Stanley, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’
rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts
of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of
fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above and (ii) any provision
of the MSFL Senior Debt Indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision
of applicable law by limiting the amount of Morgan Stanley’s obligation under the related guarantee. This opinion is given as of
the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware
Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization,
execution and delivery of the MSFL Senior Debt Indenture and its authentication of the notes and the validity, binding nature and enforceability
of the MSFL Senior Debt Indenture with respect to the trustee, all as stated in the letter of such counsel dated November 16, 2020, which
is Exhibit 5-a to the Registration Statement on Form S-3 filed by Morgan Stanley on November 16, 2020.
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