These Capped Airbag GEARS (the “Securities”) are unsecured
and unsubordinated debt securities issued by Morgan Stanley Finance LLC (“MSFL”) and fully and unconditionally guaranteed
by Morgan Stanley with returns linked to the performance of the S&P 500® Index (the “Underlying”). If the
Underlying Return is positive, MSFL will repay the Principal Amount at maturity plus pay a return equal to the Upside Gearing of 1.5 times
the Underlying Return, up to the Maximum Gain, which will be set on the Trade Date and is expected to be between 16.75% and 18.13%. If
the Underlying Return is equal to or less than zero but the Final Underlying Level is greater than or equal to the Downside Threshold
(90% of the Initial Underlying Level), MSFL will repay the full Principal Amount at maturity. However, if the Underlying Return is less
than zero and the Final Underlying Level is less than the Downside Threshold, MSFL will pay less than the full Principal Amount at maturity,
if anything, resulting in a loss of principal to investors of 1.111% for each 1% that the Underlying has declined by more than the Threshold
Percentage. The Securities are designed for investors who seek an opportunity to earn an equity index-based return and who are willing
to incur a loss of some or all of their Principal Amount and forgo current income and upside above the Maximum Gain. The contingent repayment
of principal applies only if you hold the Securities to maturity. If you are able to sell your Securities in the secondary market prior
to maturity, you may have to sell them at a loss relative to your initial investment even if the Underlying has not declined by more than
the Threshold Percentage as of that time. Investing in the Securities involves significant risks. You will not receive interest or
dividend payments during the term of the Securities. You may lose some or all of your Principal Amount. The contingent repayment of principal
applies only if you hold the Securities to maturity.
Morgan Stanley and MSFL have filed a registration statement (including
a prospectus, as supplemented by a prospectus supplement and an index supplement) with the SEC for the offering to which this communication
relates. Before you invest, you should read the prospectus in that registration statement, the prospectus supplement, the index supplement
and any other documents relating to this offering that Morgan Stanley and MSFL have filed with the SEC for more complete information about
Morgan Stanley, MSFL and this offering. You may get these documents for free by visiting EDGAR on the SEC website at.www.sec.gov.
Alternatively, Morgan Stanley, MSFL, any underwriter or any dealer participating in this offering will arrange to send you the prospectus,
the prospectus supplement and the index supplement if you so request by calling toll-free 1-(800)-584-6837.
You may access the accompanying prospectus supplement, index supplement
and prospectus on the SEC website at.www.sec.gov as follows:
You should rely only on the information incorporated by reference or
provided in this free writing prospectus or the accompanying prospectus supplement, index supplement and prospectus. We have not authorized
anyone to provide you with different information. We are not making an offer of these Securities in any state where the offer is not permitted.
You should not assume that the information in this free writing prospectus or the accompanying prospectus supplement, index supplement
and prospectus is accurate as of any date other than the date on the front of this document.
The Issue Price of each Security is $10. This price includes costs associated
with issuing, selling, structuring and hedging the Securities, which are borne by you, and, consequently, the estimated value of the Securities
on the Trade Date will be less than $10. We estimate that the value of each Security on the Trade Date will be approximately $9.949, or
within $0.25 of that estimate. Our estimate of the value of the Securities as determined on the Trade Date will be set forth in the final
pricing supplement.
In valuing the Securities on the Trade Date, we take into account that
the Securities comprise both a debt component and a performance-based component linked to the Underlying. The estimated value of the Securities
is determined using our own pricing and valuation models, market inputs and assumptions relating to the Underlying, instruments based
on the Underlying, 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.
In determining the economic terms of the Securities, including the Upside
Gearing, the Downside Threshold, the Threshold Percentage, the Downside Gearing and the Maximum Gain, 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 Securities
would be more favorable to you.
The price at which MS & Co. purchases the Securities in the secondary
market, absent changes in market conditions, including those related to the Underlying, 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 Securities are not fully deducted upon issuance, for a period of up to 6 months following
the Settlement Date, to the extent that MS & Co. may buy or sell the Securities in the secondary market, absent changes in market
conditions, including those related to the Underlying, 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. currently intends, but is not obligated, to make a market
in the Securities, and, if it once chooses to make a market, may cease doing so at any time.
The Securities may be suitable for you if:
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The Securities may not be suitable for you if:
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You fully understand the risks inherent in an investment in the Securities,
including the risk of loss of your entire Principal Amount.
t
You can tolerate the loss of some or all of your Principal Amount and you
are willing to make an investment that has similar downside market risk as the Underlying.
t
You believe the Underlying will appreciate over the term of the Securities
and that the appreciation is unlikely to exceed the Maximum Gain of between 16.75% and 18.13% (the actual Maximum Gain will be determined
on the Trade Date and will not be less than 16.75%).
t
You understand and accept that your potential return is limited by the
Maximum Gain and you would be willing to invest in the Securities if the Maximum Gain were set to the bottom of the range indicated on
the cover.
t
You believe the level of the Underlying will not depreciate over the term
of the Securities such that the Final Underlying Level will be less than the Downside Threshold.
t
You can tolerate fluctuations in the value of the Securities prior to maturity
that may be similar to or exceed the downside fluctuations in the level of the Underlying.
t
You are willing to hold the Securities to maturity, as set forth on the cover of this free writing prospectus, and accept that there
may be little or no secondary market for the Securities.
t
You understand and are willing to accept the risks associated with the
Underlying.
t
You do not seek current income from your investment and are willing to
forego dividends paid on the constituent stocks of the Underlying.
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You are willing to assume our credit risk, and understand that if we default
on our obligations you may not receive any amounts due to you including any repayment of principal.
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t
You do not fully understand the risks inherent in an investment in the
Securities, including the risk of loss of your entire Principal Amount.
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You cannot tolerate the loss of some or all of your Principal Amount and
you are not willing to make an investment that has similar downside market risk as the Underlying.
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You seek an investment that guarantees a full return of principal at maturity.
t
You believe that the level of the Underlying will appreciate over the term
of the Securities by a percentage that exceeds the Maximum Gain.
t
You believe that the level of the Underlying will depreciate over the term
of the Securities such that the Final Underlying Level will be less than the Downside Threshold.
t
You seek an investment that has unlimited return potential without a cap
on appreciation.
t
You would be unwilling to invest in the Securities if the Maximum Gain
were set equal to the bottom of the range indicated on the cover (the actual Maximum Gain will be determined on the Trade Date).
t
You prefer the lower risk, and therefore accept the potentially lower returns,
of conventional debt securities with comparable maturities issued by Morgan Stanley or another issuer with a similar credit rating.
t
You cannot tolerate fluctuations in the value of the Securities prior to maturity that may be similar to or exceed the downside
fluctuations in the level of the Underlying.
t
You seek current income from this investment or prefer to receive the dividends
paid on the constituent stocks of the Underlying.
t
You are unable or unwilling to hold the Securities to maturity, as set
forth on the cover of this free writing prospectus, or you seek an investment for which there will be an active secondary market.
t
You do not understand or are not willing to accept the risks associated
with the Underlying.
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You are not willing or are unable to assume the credit risk associated
with us for any payment on the Securities, including any repayment of principal.
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The investor suitability considerations identified above are not
exhaustive. Whether or not the Securities are a suitable investment for you will depend on your individual circumstances, and you should
reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the
suitability of an investment in the Securities in light of your particular circumstances. You should also review carefully the sections
entitled “Key Risks” beginning on page 6 of this free writing prospectus and “Risk Factors” beginning on page
7 of the accompanying prospectus for risks related to an investment in the Securities. For more information about the Underlying, see
the information set forth under “S&P 500® Index” on page 17.
Terms
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Issuer
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Morgan Stanley Finance LLC
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Guarantor
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Morgan Stanley
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Issue Price (per Security)
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$10.00 per Security
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Principal Amount
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$10.00 per Security
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Term
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Approximately 1.75 years
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Underlying
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S&P 500® Index
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Payment at Maturity
(per Security)
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MSFL will pay you a cash payment at maturity linked to the
performance of the Underlying during the term of the Securities.
If the Underlying Return is greater than zero,
MSFL will pay you an amount equal to the lesser of:
$10 + ($10 × Underlying Return ×
Upside Gearing);
and
$10 + ($10 × Maximum Gain).
If the Underlying Return is equal to or less than
zero but the Final Underlying Level is greater than or equal to the Downside Threshold, MSFL will pay you the $10 Principal Amount.
If the Final Underlying Level is less than the Downside
Threshold, MSFL will pay you an amount calculated as follows:
$10 + [$10 × (Underlying Return + 10%)
× Downside Gearing]
In this case, you will lose some or all of your Principal
Amount.
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Upside Gearing
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1.5
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Maximum Gain
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Between 16.75% and 18.13%, which corresponds to a maximum Payment at Maturity of $11.675 to $11.813 per Security. The actual Maximum Gain will be determined on the Trade Date.
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Downside Threshold
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90% of the Initial Underlying Level
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Threshold Percentage
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10%
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Downside Gearing
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1.111
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Underlying Return
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Final Underlying Level – Initial Underlying Level
Initial Underlying Level
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Initial Underlying Level
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The Closing Level on the Trade Date.
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Final Underlying Level
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The Closing Level on the Final Valuation Date
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Trade Date
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July 22, 2021
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Settlement Date
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July 28, 2021
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Final Valuation Date
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April 24, 2023*
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Maturity Date
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April 27, 2023*
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CUSIP / ISIN
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61772Y582 / US61772Y5823
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Calculation Agent
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Morgan Stanley & Co. LLC (“MS & Co.”)
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*Subject to postponement in the event of a Market Disruption Event or for non-Index Business Days. See “Postponement of Final Valuation Date and Maturity Date” under “Additional Terms of the Securities.”
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Investment
Timeline
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Trade Date
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The Initial Underlying Level and Downside Threshold are determined.
The Maximum Gain is set.
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MaturityDate
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The Final Underlying Level and Underlying Return are determined as of
the Final Valuation Date.
If the Underlying Return is positive, MSFL will pay you a cash
amount at maturity equal to the lesser of:
$10 + ($10 × Underlying Return × 1.5);
and
$10 + ($10 × Maximum Gain)
per Security.
If the Underlying Return is less than or equal to zero, but the Final
Underlying Level is greater than or equal to the Downside Threshold, MSFL will pay you $10.00 cash per Security.
If the Underlying Return is less than zero and the Final Underlying
Level is less than the Downside Threshold, MSFL will pay you a cash amount at maturity equal to:
$10 + [$10 × (Underlying Return + 10%) ×
Downside Gearing]
per Security. Under these circumstances, you will lose some,
and could lose all, of your Principal Amount.
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Investing in the Securities
involves significant risks. You may lose your ENTIRE PRINCIPAL AMOUNT. Any payment on the Securities is subject TO OUR CREDITWORTHINESS.
IF WE WERE TO DEFAULT ON OUR PAYMENT OBLIGATIONS, YOU may not receive any amounts owed to you under the Securities and you could lose
your entire investment.
An investment in the Securities involves significant risks. The material
risks that apply to the Securities are summarized here, but we urge you to also read the “Risk Factors” section of the accompanying
prospectus. You should also consult your investment, legal, tax, accounting and other advisers before you invest in the Securities.
Risks Relating to an Investment in the Securities
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Your investment in the Securities may result in a loss of up to your entire
initial investment in the Securities. The terms of the Securities differ from those of ordinary debt securities in that we will not
pay interest or guarantee the payment of any of the Principal Amount at maturity. If the Underlying Return is negative and the Final Underlying
Level is less than the Downside Threshold, the payout owed at maturity will be less than the $10 Principal Amount of each Security, resulting
in a loss on the Principal Amount of 1.111% for each 1% that the Underlying has declined by more than the Threshold Percentage. Accordingly,
you could lose the entire principal amount of the Securities.
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You may incur a loss on your investment if you sell your Securities prior
to maturity. The Downside Threshold, Threshold Percentage and the contingent repayment of principal apply only on the Final Valuation
Date and only impact the Payment at Maturity. If you are able to sell your Securities prior to maturity in the secondary market, you may
have to sell them at a loss relative to your initial investment even if the Closing Level of the Underlying is at or above the Downside
Threshold at that time.
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The Upside Gearing applies only at maturity. You should be willing
to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, the price you
receive will likely not reflect the full economic value of the Upside Gearing or the Securities themselves, and the return you realize
may be less than 1.5 times the return of the Underlying at the time of sale even if such return is positive and does not exceed the Maximum
Gain. You can receive the full benefit of the Upside Gearing and earn the potential Maximum Gain only if you hold your Securities to maturity.
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Appreciation potential is limited. The appreciation potential of Securities
is limited by the Maximum Gain of 16.75% to 18.13% (which corresponds to a maximum Payment at Maturity of $11.675 to $11.813 per Security).
The actual Maximum Gain and maximum Payment at Maturity will be determined on the Trade Date. Therefore, although the Upside Gearing enhances
positive Underlying Returns, you will not benefit from any positive Underlying Return that, when multiplied by the Upside Gearing, exceeds
the Maximum Gain. As a result, any increase in the Final Underlying Level over the Initial Underlying Level by more than approximately
11.167% to 12.087% (to be determined on the Trade Date) of the Initial Underlying Level will not further increase the return on the Securities.
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No interest payments. MSFL will not make any interest payments in respect
to the Securities.
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The Securities are subject to our credit risk, and any actual or anticipated
changes to our credit ratings or our credit spreads may adversely affect the market value of the Securities. You are dependent on
our ability to pay all amounts due on the Securities at maturity, if any, and therefore you are subject to our credit risk. If we default
on our obligations under the Securities, your investment would be at risk and you could lose some or all of your investment. As a result,
the market value of the Securities 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 our credit spreads charged by the market for taking our credit risk
is likely to adversely affect the market value of the Securities.
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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 MSFL securities if they make claims in respect of such securities
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 securities issued by MSFL should accordingly assume that in any such proceedings they would 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.
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The market price of the Securities may be influenced by many unpredictable
factors. Several factors, many of which are beyond our control, will influence the value of the Securities in the secondary market
and the price at which MS & Co. may be willing to purchase or sell the Securities in the secondary market (if at all), including:
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the value of the Underlying at any time,
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the volatility (frequency and magnitude of changes in value) of the Underlying,
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o
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dividend rates on the securities included in the Underlying,
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interest and yield rates in the market,
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geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the Underlying or stock markets
generally and which may affect the Final Underlying Level,
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the time remaining until the Securities mature, and
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any actual or anticipated changes in our credit ratings or credit spreads.
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Some or all of these factors will influence
the terms of the Securities at the time of issuance and the price that you will receive if you are able to sell your Securities prior
to maturity, as the Securities are comprised of both a debt component and a performance-based
component linked to the Underlying, and
these are the types of factors that also generally affect the values of debt securities and derivatives linked to the Underlying. For
example, you may have to sell your Securities at a substantial discount from the principal amount of $10 per Security if the value of
the Underlying at the time of sale is at, below or moderately above its Initial Underlying Level or if market interest rates rise. You
cannot predict the future performance of the Underlying based on its historical performance. If the Underlying Return is negative and
the Final Underlying Level is below the Downside Threshold, you will receive at maturity an amount that is less (and that could be significantly
less) than the $10 Principal Amount of each Security, and you could lose up to your entire initial investment in the Securities.
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The amount payable on the Securities is not linked to the level of the
Underlying at any time other than the Final Valuation Date. The Final Underlying Level will be based on the Closing Level of the Underlying
on the Final Valuation Date, subject to postponement for non-Index Business Days and certain Market Disruption Events. Even if the level
of the Underlying appreciates prior to the Final Valuation Date but then drops by the Final Valuation Date, the Payment at Maturity may
be significantly less than it would have been had the Payment at Maturity been linked to the level of the Underlying prior to such drop.
Although the actual level of the Underlying on the stated Maturity Date or at other times during the term of the Securities may be higher
than the Final Underlying Level, the Payment at Maturity will be based solely on the Closing Level of the Underlying on the Final Valuation
Date as compared to the Initial Underlying Level.
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Investing in the Securities is not equivalent to investing in the Underlying
or the stocks composing the Underlying. Investing in the Securities is not equivalent to investing in the Underlying or the stocks
that constitute the Underlying. Investors in the Securities will not have voting rights or rights to receive dividends or other distributions
or any other rights with respect to the stocks that constitute the Underlying. Investors in the Securities also will not participate in
any appreciation of the Underlying that, when multiplied by the Upside Gearing, exceeds the Maximum Gain, which could be significant.
Additionally, the Underlying is not a “total return” index, which, in addition to reflecting the market prices of the stocks
that constitute the Underlying, would also reflect dividends paid on such stocks. The return on the Securities will not include such a
total return feature.
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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 Securities in the Issue Price reduce the
economic terms of the Securities, cause the estimated value of the Securities to be less than the 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 Securities in secondary market transactions will likely be significantly lower
than the Issue Price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are
included in the 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.
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The inclusion of the costs of issuing,
selling, structuring and hedging the Securities in the Issue Price and the lower rate we are willing to pay as issuer make the economic
terms of the Securities less favorable to you than they otherwise would be.
However, because the costs associated with
issuing, selling, structuring and hedging the Securities are not fully deducted upon issuance, for a period of up to 6 months following
the Settlement Date, to the extent that MS & Co. may buy or sell the Securities in the secondary market, absent changes in market
conditions, including those related to the Underlying, 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.
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The estimated value of the Securities 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 Securities than those generated by others, including other dealers in the market,
if they attempted to value the Securities. 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 Securities in the secondary market (if any exists) at
any time. The value of your Securities at any time after the date of this free writing prospectus 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 of
the Securities may be influenced by many unpredictable factors” above.
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The
Securities will not be listed on any securities exchange and secondary trading may be limited. The Securities will not be listed
on any securities exchange. Therefore, there may be little or no secondary market for the Securities. MS & Co. currently intends,
but is not obligated, to make a market in the Securities 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 Securities, 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 Securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell
the Securities easily. Since other broker-dealers may not participate significantly in the secondary market for the Securities, the price
at which you may be able to trade your Securities 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 Securities, it is likely that there would be no secondary market for
the Securities. Accordingly, you should be willing to hold your Securities to maturity.
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Hedging and trading activity by our affiliates could potentially adversely
affect the value of the Securities. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities
related to the Securities, including trading in the constituent stocks of the Underlying, futures or options contracts on the Underlying
or the constituent stocks of the Underlying, as well as other instruments related to the Underlying. As a result, these entities may be
unwinding or adjusting hedge positions during the term of the Securities, and the hedging strategy may involve greater and more frequent
dynamic adjustments to the hedge as the Final Valuation Date approaches.
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MS & Co. and some of our other affiliates
also trade the constituent stocks of the Underlying, in futures or options contracts on the constituent stocks of the Underlying, as well
as in other instruments related to the Underlying, 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 Underlying Level of the Underlying,
and therefore, could increase the Downside Threshold, which is the level at or above which the Underlying must close on the Final Valuation
Date so that investors do not suffer a loss on their initial investment in the Securities. Additionally, such hedging or trading activities
during the term of the Securities, including on the Final Valuation Date, could adversely affect the Closing Level of the Underlying on
the Final Valuation Date and, accordingly, the amount of cash payable to an investor at maturity, if any.
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Potential conflict of interest. As Calculation Agent, MS & Co.
will determine the Initial Underlying Level, the Downside Threshold, the Final Underlying Level and whether any Market Disruption Event
has occurred, and will calculate the amount payable 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 Underlying or calculation of the Final Underlying Level
in the event of a discontinuance of the Underlying or a Market Disruption Event. These potentially subjective determinations may adversely
affect the payout to you at maturity, if any. For further information regarding these types of determinations, see “Additional Terms
of the Securities—Postponement of Final Valuation Date and Maturity Date,” “—Discontinuance of the Underlying;
Alteration of Method of Calculation” and “—Calculation Agent and Calculations” below. In addition, MS & Co.
has determined the estimated value of the Securities on the Trade Date.
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Potentially inconsistent research, opinions or recommendations by Morgan
Stanley, UBS or our or their respective affiliates. Morgan Stanley, UBS and our or their respective affiliates publish research from
time to time on financial markets and other matters that may influence the value of the Securities, or express opinions or provide recommendations
that are inconsistent with purchasing or holding the Securities. Any research, opinions or recommendations expressed by Morgan Stanley,
UBS or our or their respective affiliates may not be consistent with each other and may be modified from time to time without notice.
Investors should make their own independent investigation of the merits of investing in the Securities and the Underlying to which the
Securities are linked.
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The U.S. federal income tax consequences of an investment in the Securities
are uncertain. Please note that the discussions in this free writing prospectus concerning the U.S. federal income tax consequences
of an investment in the Securities supersede the discussions contained in the accompanying prospectus supplement.
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Subject to the discussion under “What
Are the Tax Consequences of the Securities” in this free writing prospectus, although there is uncertainty regarding the U.S. federal
income tax consequences of an investment in the Securities due to the lack of governing authority, in the opinion of our counsel, Davis
Polk & Wardwell LLP (“our counsel”), under current law, and based on current market conditions, each Security should be
treated as a single financial contract that is an “open transaction” for U.S. federal income tax purposes. However, because
our counsel’s opinion is based in part on market conditions as of the date of this free writing prospectus, it is subject to confirmation
on the Trade Date.
If the Internal Revenue Service (the “IRS”)
were successful in asserting an alternative treatment for the Securities, the timing and character of income on the Securities might differ
significantly from the tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize
the Securities as debt instruments. In that event, U.S. Holders (as defined below) would be required to accrue into income original issue
discount on the Securities every year at a “comparable yield” determined at the time of issuance and recognize all income
and gain in respect of the Securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar
downside protection features, such as the Securities, 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 Securities, and the IRS or a court may not agree with the tax treatment described in this free writing prospectus.
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. Holders (as defined below) 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 Securities, possibly with retroactive effect.
Both U.S. and Non-U.S. Holders should
read carefully the discussion under “What Are the Tax Consequences of the Securities” in this free writing prospectus and
consult their tax advisers regarding all aspects of the U.S. federal tax consequences of an investment in the Securities as well as any
tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Risks Relating to the Underlying
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The probability that the Final Underlying Level will be less than the Downside
Threshold will depend on the volatility of the Underlying. “Volatility” refers to the frequency and magnitude of changes
in the level of the Underlying. Higher expected volatility with respect to the Underlying as of the Trade Date generally indicates a greater
chance as of that date that the Final Underlying Level will be less than the Downside Threshold, which would result in a loss of some
or all of your investment at maturity. However, the Underlying’s volatility can change significantly over the term of the Securities.
The level of the Underlying could fall sharply, resulting in a significant loss
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of principal. You should be willing to
accept the downside market risk of the Underlying and the potential loss of some or all of your investment at maturity.
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Governmental regulatory actions could result in material changes to the
composition of the Underlying and could negatively affect your return on the Securities. Governmental regulatory actions, including
but not limited to sanctions-related actions by the U.S. or foreign governments, could make it necessary or advisable for there to be
material changes to the composition of the Underlying, depending on the nature of such governmental regulatory actions and the Underlying
constituent stocks that are affected. If any governmental regulatory action results in the removal of Underlying constituent stocks that
have (or historically have had) significant weights within the Underlying, such removal, or even any uncertainty relating to a possible
removal, could have a material and negative effect on the level of the Underlying and, therefore, your return on the Securities.
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Adjustments to the Underlying could adversely affect the value of the Securities.
The Underlying Publisher of the Underlying is responsible for calculating and maintaining the Underlying. The Underlying Publisher may
add, delete or substitute the stocks constituting the Underlying or make other methodological changes required by certain corporate events
relating to the stocks constituting the Underlying, such as stock dividends, stock splits, spin-offs, rights offerings and extraordinary
dividends, that could change the value of the Underlying. The Underlying Publisher may discontinue or suspend calculation or publication
of the Underlying at any time. In these circumstances, the Calculation Agent will have the sole discretion to substitute a Successor Underlying
that is comparable to the discontinued Underlying, and is permitted to consider indices that are calculated and published by the Calculation
Agent or any of its affiliates. Any of these actions could adversely affect the value of the Underlying and, consequently, the value of
the Securities.
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Hypothetical
Payments on the Securities at Maturity
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These examples are based on hypothetical terms.
The actual terms will be determined on the Trade Date.
The below scenario analysis and examples are provided for illustrative
purposes only and are purely hypothetical. They do not purport to be representative of every possible scenario concerning increases or
decreases in the value of the Underlying relative to the Initial Underlying Level. We cannot predict the Final Underlying Level or the
Closing Level of the Underlying on any other day. You should not take the scenario analysis and these examples as an indication or assurance
of the expected performance of the Underlying. The numbers set forth in the examples below have been rounded for ease of analysis. The
following scenario analysis and examples illustrate the Payment at Maturity for a $10.00 Principal Amount of Securities on a hypothetical
offering of the Securities.
The following scenario analysis and examples assume a hypothetical Initial
Underlying Level of 2,600, a hypothetical Downside Threshold of 2,340 (90% of the hypothetical Initial Underlying Level) and a Maximum
Gain of 16.75%, and reflect the Upside Gearing of 1.5 and the Threshold Percentage of 10%. The actual Initial Underlying Level, Downside
Threshold and Maximum Gain will be determined on the Trade Date.
Example 1 — The level of the Underlying
increases from an Initial Underlying Level of 2,600 to a Final Underlying Level of 2,730. The Underlying Return is calculated as follows:
(2,730 – 2,600) / 2,600 =
5%
Because the Underlying Return is greater than zero,
the Payment at Maturity for each $10.00 Principal Amount of Securities is calculated as the lesser of:
(A) $10.00
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+ ($10.00 × Underlying Return × Upside Gearing), and
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(B) $10.00
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+ ($10.00 × Maximum Gain)
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= the lesser of (A) $10.00 + ($10.00 × 5% × 1.5) and (B) $10.00 + ($10.00 × 16.75%)
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= the lesser of (A) $10.00 + ($10.00 × 7.50%) and (B) $10.00 + ($10.00 × 16.75%)
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= $10.00 + ($10.00 × 7.50%)
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= $10.00 + $0.75
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= $10.75
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Because the Underlying Return of 5% multiplied by the
Upside Gearing is less than the hypothetical Maximum Gain of 16.75%, for each $10.00 Principal Amount of Securities, MSFL will pay you
$10.75 at maturity.
Example 2 — The level of the Underlying
increases from an Initial Underlying Level of 2,600 to a Final Underlying Level of 3,900. The Underlying Return is calculated as follows:
(3,900 – 2,600) / 2,600 =
50%
Because the Underlying Return is greater than zero,
the Payment at Maturity for each $10.00 Principal Amount of Securities is calculated as the lesser of:
(A) $10.00
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+ ($10.00 × Underlying Return × Upside Gearing), and
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(B) $10.00
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+ ($10.00 × Maximum Gain)
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= the lesser of (A) $10.00 + ($10.00 × 50% × 1.5) and (B) $10.00 + ($10.00 × 16.75%)
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= the lesser of (A) $10.00 + ($10.00 × 75%) and (B) $10.00 + ($10.00 × 16.75%)
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= $10.00 + ($10.00 × 16.75%)
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= $10.00 + $1.675
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= $11.675
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Because the Underlying Return of 50% multiplied by the
Upside Gearing is greater than the hypothetical Maximum Gain of 16.75%, for each $10.00 Principal Amount of Securities, MSFL will pay
you $11.675 at maturity, the hypothetical maximum Payment at Maturity on the Securities. This represents the hypothetical maximum amount
payable over the 1.75-year term of the Securities.
Example 3 — The level of the Underlying
decreases from an Initial Underlying Level of 2,600 to a Final Underlying Level of 2,470. The Underlying Return is calculated as follows:
(2,470 – 2,600) / 2,600 =
-5%
Because the Underlying Return is negative, but the Final
Underlying Level is greater than or equal to the hypothetical Downside Threshold, at maturity, for each $10.00 Principal Amount of Securities,
MSFL will pay you the $10.00 Principal Amount (a zero percent return on the Principal Amount) at maturity.
Example 4 — The level of the Underlying
decreases from an Initial Underlying Level of 2,600 to a Final Underlying Level of 2,080. The Underlying Return is calculated as follows:
(2,080 – 2,600) / 2,600 =
-20%
Because the level of the Underlying has declined by
more than the Threshold Percentage, the Payment at Maturity for each $10.00 Principal Amount of Securities is calculated as follows:
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$10.00 + [$10.00 × (Underlying Return + 10%) × 1.111]
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= $10.00 + [$10.00 × (-20% + 10%) × 1.111]
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= $10.00 + [$10.00 × -10% × 1.111]
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Because the Underlying Return is negative and the Final
Underlying Level is less than the hypothetical Downside Threshold, MSFL will pay you less than the full Principal Amount, resulting in
a loss of 1.111% of the Principal Amount for every 1% that the level of the Underlying has declined by more than the Threshold Percentage.
The Payment at Maturity is equal to $8.89 per $10.00 Principal Amount of the Securities.
If the Final Underlying Level is less than the Downside
Threshold on the Final Valuation Date, you will suffer a loss on the Principal Amount of 1.111% for each 1% that the Underlying has declined
in excess of the Threshold Percentage. Under these circumstances, you will lose some or all of the Principal Amount at maturity.
Scenario Analysis – Hypothetical Payment
at Maturity for each $10.00 Principal Amount of Securities.
Hypothetical Final Underlying Level
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Hypothetical Underlying Return
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Upside Gearing
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Hypothetical Payment at Maturity
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Hypothetical Return on Securities (1)
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5,200.00
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100.000%
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1.5
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$11.675
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16.75%
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4,940.00
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90.000%
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1.5
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$11.675
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16.75%
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4,680.00
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80.000%
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1.5
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$11.675
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16.75%
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4,420.00
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70.000%
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1.5
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$11.675
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16.75%
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4,160.00
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60.000%
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1.5
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$11.675
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16.75%
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3,900.00
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50.000%
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1.5
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$11.675
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16.75%
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3,640.00
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40.000%
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1.5
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$11.675
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16.75%
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3,380.00
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30.000%
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1.5
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$11.675
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16.75%
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3,120.00
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20.000%
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1.5
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$11.675
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16.75%
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2,990.00
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15.000%
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1.5
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$11.675
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16.75%
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2,890.342
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11.167%
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1.5
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$11.675
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16.75%
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2,860.00
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10.000%
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1.5
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$11.500
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15.00%
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2,730.00
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5.000%
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1.5
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$10.750
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7.50%
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2,665.00
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2.500%
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1.5
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$10.375
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3.75%
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2,600.00
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0.000%
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N/A
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$10.000
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0.00%
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2,535.00
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-2.500%
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N/A
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$10.000
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0.00%
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2,470.00
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-5.000%
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N/A
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$10.000
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0.00%
|
2,340.00
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-10.000%
|
N/A
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$10.000
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0.00%
|
2,314.00
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-11.000%
|
N/A
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$9.889
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-1.11%
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2,080.00
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-20.000%
|
N/A
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$8.889
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-11.11%
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1,820.00
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-30.000%
|
N/A
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$7.778
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-22.22%
|
1,560.00
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-40.000%
|
N/A
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$6.667
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-33.33%
|
1,300.00
|
-50.000%
|
N/A
|
$5.556
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-44.44%
|
1,040.00
|
-60.000%
|
N/A
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$4.444
|
-55.56%
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780.00
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-70.000%
|
N/A
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$3.333
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-66.67%
|
520.00
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-80.000%
|
N/A
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$2.222
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-77.78%
|
260.00
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-90.000%
|
N/A
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$1.111
|
-88.89%
|
0.00
|
-100.000%
|
N/A
|
$0.000
|
-100.00%
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(1) The “Return on Securities” is the number,
expressed as a percentage, that results from comparing the Payment at Maturity per $10 Principal Amount per Security to the purchase price
of $10 per Security.
What
Are the Tax Consequences of the Securities?
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Prospective investors should
note that the discussion under the section called “United States Federal Taxation” in the accompanying prospectus supplement
does not apply to the Securities issued under this free writing prospectus and is superseded by the following discussion.
The following summary is a general
discussion of the principal U.S. federal income tax consequences and certain estate tax consequences of the ownership and disposition
of the Securities. This discussion applies only to investors in the Securities who:
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purchase the Securities in the original offering; and
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hold the Securities as capital assets within the meaning of Section 1221 of
the Internal Revenue Code of 1986, as amended (the “Code”).
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This discussion does not describe all of the tax consequences
that may be relevant to a holder in light of the holder’s particular circumstances or to holders subject to special rules, such
as:
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certain financial institutions;
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certain dealers and traders in securities or commodities;
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investors holding the Securities as part of a “straddle,” wash
sale, conversion transaction, integrated transaction or constructive sale transaction;
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U.S. Holders (as defined below) whose functional currency is not the U.S.
dollar;
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partnerships or other entities classified as partnerships for U.S. federal
income tax purposes;
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regulated investment companies;
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real estate investment trusts; or
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tax-exempt entities, including “individual retirement accounts”
or “Roth IRAs” as defined in Section 408 or 408A of the Code, respectively.
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If an entity that is classified as a partnership for
U.S. federal income tax purposes holds the Securities, the U.S. federal income tax treatment of a partner will generally depend on the
status of the partner and the activities of the partnership. If you are a partnership holding the Securities or a partner in such a partnership,
you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing of the Securities to you.
In addition, we will not attempt to ascertain whether
any issuer of any shares to which a Security relates (such shares hereafter referred to as “Underlying Shares”) is treated
as a “passive foreign investment company” (“PFIC”) within the meaning of Section 1297 of the Code or as a “U.S.
real property holding corporation” (“USRPHC”) within the meaning of Section 897 of the Code. If any issuer of Underlying
Shares were so treated, certain adverse U.S. federal income tax consequences might apply, to a U.S. Holder in the case of a PFIC and to
a Non-U.S. Holder (as defined below) in the case of a USRPHC, upon the sale, exchange or settlement of the Securities. You should refer
to information filed with the Securities and Exchange Commission or other governmental authorities by the issuers of the Underlying Shares
and consult your tax adviser regarding the possible consequences to you if any issuer is or becomes a PFIC or USRPHC.
As the law applicable to the U.S. federal income taxation
of instruments such as the Securities is technical and complex, the discussion below necessarily represents only a general summary. Moreover,
the effect of any applicable state, local or non-U.S. tax laws is not discussed, nor are any alternative minimum tax consequences or consequences
resulting from the Medicare tax on investment income.
This discussion is based on the Code, administrative
pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date of this free writing prospectus,
changes to any of which subsequent to the date hereof may affect the tax consequences described herein. Persons considering the purchase
of the Securities should consult their tax advisers with regard to the application of the U.S. federal income tax laws to their particular
situations as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
General
Although there is uncertainty regarding the U.S. federal
income tax consequences of an investment in the Securities due to the lack of governing authority, in the opinion of our counsel, under
current law, and based on current market conditions, each Security should be treated as a single financial contract that is an “open
transaction” for U.S. federal income tax purposes. However, because our counsel’s opinion is based in part on market conditions
as of the date of this free writing prospectus, it is subject to confirmation on the Trade Date.
Due to the absence of statutory, judicial or administrative
authorities that directly address the treatment of the Securities or instruments that are similar to the Securities for U.S. federal income
tax purposes, no assurance can be given that the Internal Revenue Service (the “IRS”) or a court will agree with the tax treatment
described herein. Accordingly, you should consult your tax adviser regarding all aspects of the U.S. federal tax consequences of an investment
in the Securities (including possible alternative treatments of the Securities). Unless otherwise stated, the following discussion is
based on the treatment of the Securities as described in the previous paragraph.
Tax Consequences to U.S. Holders
This section applies to you only if you are a U.S.
Holder. As used herein, the term “U.S. Holder” means a beneficial owner of a Security that is, for U.S. federal income tax
purposes:
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a citizen or individual resident of the United States;
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a corporation, or other entity taxable as a corporation, created or organized
in or under the laws of the United States, any state thereof or the District of Columbia; or
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an estate or trust the income of which is subject to U.S. federal income taxation
regardless of its source.
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Tax Treatment of the Securities
Assuming the treatment of the Securities as set forth
above is respected, the following U.S. federal income tax consequences should result.
Tax Treatment Prior to Settlement. A U.S.
Holder should not be required to recognize taxable income over the term of the Securities prior to settlement, other than pursuant to
a sale or exchange as described below.
Tax Basis. A U.S. Holder’s tax basis
in the Securities should equal the amount paid by the U.S. Holder to acquire the Securities.
Sale, Exchange or Settlement of the Securities.
Upon a sale, exchange or settlement of the Securities, a U.S. Holder should recognize gain or loss equal to the difference between the
amount realized on the sale, exchange or settlement and the U.S. Holder’s tax basis in the Securities sold, exchanged or settled.
Subject to the discussion above regarding the possible application of Section 1297 of the Code, any gain or loss recognized upon the sale,
exchange or settlement of the Securities should be long-term capital gain or loss if the U.S. Holder has held the Securities for more
than one year at such time, and short-term capital gain or loss otherwise.
Possible Alternative Tax Treatments of an Investment
in the Securities
Due to the absence of authorities that directly address
the proper tax treatment of the Securities, no assurance can be given that the IRS will accept, or that a court will uphold, the treatment
described above. In particular, the IRS could seek to analyze the U.S. federal income tax consequences of owning the Securities under
Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”). If the IRS were successful
in asserting that the Contingent Debt Regulations applied to the Securities, the timing and character of income thereon would be significantly
affected. Among other things, a U.S. Holder would be required to accrue into income original issue discount on the Securities every year
at a “comparable yield” determined at the time of their issuance, adjusted upward or downward to reflect the difference, if
any, between the actual and the projected amount of the contingent payment on the Securities. Furthermore, any gain realized by a U.S.
Holder at maturity or upon a sale, exchange or other disposition of the Securities would generally be treated as ordinary income, and
any loss realized would be treated as ordinary loss to the extent of the U.S. Holder’s prior accruals of original issue discount
and as capital loss thereafter. The risk that financial instruments providing for buffers, triggers or similar downside protection features,
such as the Securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments
that do not have such features.
Other alternative federal income tax treatments of
the Securities are also possible, which, if applied, could significantly affect the timing and character of the income or loss with respect
to the Securities. 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; 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 Securities, possibly
with retroactive effect. U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment
in the Securities, including possible alternative treatments and the issues presented by this notice.
Backup Withholding and Information Reporting
Backup withholding may apply in respect of the payment
on the Securities at maturity and the payment of proceeds from a sale, exchange or other disposition of the Securities, unless a U.S.
Holder provides proof of an applicable exemption or a correct taxpayer identification number and otherwise complies with applicable requirements
of the backup withholding rules. The amounts withheld under the backup withholding rules are not an additional tax and may be refunded,
or credited against the U.S. Holder’s U.S. federal income tax liability, provided that the required information is timely furnished
to the IRS. In addition, information returns may be filed with the IRS in connection with the payment on the Securities and the payment
of proceeds from a sale, exchange or other disposition of the Securities, unless the U.S. Holder provides proof of an applicable exemption
from the information reporting rules.
Tax Consequences to Non-U.S. Holders
This section applies to you only if you are a Non-U.S.
Holder. As used herein, the term “Non-U.S. Holder” means a beneficial owner of a Security that is, for U.S. federal income
tax purposes:
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an individual who is classified as a nonresident alien;
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a foreign corporation; or
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a foreign estate or trust.
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The term “Non-U.S. Holder” does not include
any of the following holders:
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a holder who is an individual present in the United States for 183 days or
more in the taxable year of disposition and who is not otherwise a resident of the United States for U.S. federal income tax purposes;
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certain former citizens or residents of the United States; or
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a holder for whom income or gain in respect of the Securities is effectively
connected with the conduct of a trade or business in the United States.
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Such holders should consult their tax advisers regarding
the U.S. federal income tax consequences of an investment in the Securities.
Tax Treatment upon Sale, Exchange or Settlement
of the Securities
In general.
Assuming the treatment of the Securities as set forth above is respected, and subject to the discussions below concerning backup withholding
and the possible application of Section 871(m) of the Code and the discussion above concerning the possible application of Section 897
of the Code, a Non-U.S. Holder of the Securities generally will not be subject to U.S. federal income
or withholding tax in respect of amounts paid to the Non-U.S. Holder.
Subject to the discussions regarding the possible
application of Sections 871(m) and 897 of the Code and FATCA, if all or any portion of a Security were recharacterized as a debt instrument,
any payment made to a Non-U.S. Holder with respect to the Securities would not be subject to U.S. federal withholding tax, provided that:
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the Non-U.S. Holder does not own, directly or by attribution, ten percent
or more of the total combined voting power of all classes of Morgan Stanley stock entitled to vote;
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the Non-U.S. Holder is not a controlled foreign corporation related, directly
or indirectly, to Morgan Stanley through stock ownership;
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the Non-U.S. Holder is not a bank receiving interest under Section 881(c)(3)(A)
of the Code, and
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the certification requirement described below has been fulfilled with respect
to the beneficial owner.
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Certification Requirement. The certification
requirement referred to in the preceding paragraph will be fulfilled if the beneficial owner of a Security (or a financial institution
holding a Security on behalf of the beneficial owner) furnishes to the applicable withholding agent an IRS Form W-8BEN (or other appropriate
form) on which the beneficial owner certifies under penalties of perjury that it is not a U.S. person.
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. Among the issues addressed in the notice is the degree, if any, to which any income with respect to instruments such as the
Securities should be subject to U.S. withholding tax. It is possible that any Treasury regulations or other guidance promulgated after
consideration of this issue could materially and adversely affect the withholding tax consequences of ownership and disposition of the
Securities, possibly on a retroactive basis. Non-U.S. Holders should note that we currently do not intend to withhold on any payment made
with respect to the Securities to Non-U.S. Holders (subject to compliance by such holders with the certification requirement described
above and to the discussions regarding Sections 871(m) and 897 of the Code and FATCA). However, in the event of a change of law or any
formal or informal guidance by the IRS, the U.S. Treasury Department or Congress, we may decide to withhold on payments made with respect
to the Securities to Non-U.S. Holders, and we will not be required to pay any additional amounts with respect to amounts withheld. Accordingly,
Non-U.S. Holders should consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment
in the Securities, including the possible implications of the notice referred to above.
Section 871(m) Withholding Tax on Dividend Equivalents
Section 871(m) of the Code 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, 2023 that do not have a delta of one with respect to any Underlying Security. Based
on the terms of the Securities and current market conditions, we expect that the Securities will not have a delta of one with respect
to any Underlying Security on the Trade Date. However, we will provide an updated determination in the final pricing supplement. Assuming
that the Securities do not have a delta
of one with respect to any Underlying Security, our
counsel is of the opinion that the Securities 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 Securities.
U.S. Federal Estate Tax
Individual Non-U.S. Holders and entities the property
of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example, a trust
funded by such an individual and with respect to which the individual has retained certain interests or powers), should note that, absent
an applicable treaty exemption, the Securities may be treated as U.S. situs property subject to U.S. federal estate tax. Prospective investors
that are non-U.S. individuals, or are entities of the type described above, should consult their tax advisers regarding the U.S. federal
estate tax consequences of an investment in the Securities.
Backup Withholding and Information Reporting
Information returns may be filed with the IRS in connection
with the payment on the Securities at maturity as well as in connection with the payment of proceeds from a sale, exchange or other disposition
of the Securities. A Non-U.S. Holder may be subject to backup withholding in respect of amounts paid to the Non-U.S. Holder, unless such
Non-U.S. Holder complies with certification procedures to establish that it is not a U.S. person for U.S. federal income tax purposes
or otherwise establishes an exemption. Compliance with the certification procedures described above under “―Tax Treatment
upon Sale, Exchange or Settlement of the Securities – Certification Requirement” will satisfy the certification requirements
necessary to avoid backup withholding as well. The amount of any backup withholding from a payment to a Non-U.S. Holder will be allowed
as a credit against the Non-U.S. Holder’s U.S. federal income tax liability and may entitle the Non-U.S. Holder to a refund, provided
that the required information is timely furnished to the IRS.
FATCA
Legislation commonly referred to as “FATCA”
generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect
to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An intergovernmental
agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements. FATCA generally applies
to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source “fixed or determinable annual
or periodical” income (“FDAP income”). If the Securities were recharacterized as debt instruments, FATCA would apply
to any payment of amounts treated as interest and to payments of gross proceeds of the disposition (including upon retirement) of the
Securities. However, under proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending
finalization), no withholding will apply on payments of gross proceeds (other than amounts treated as FDAP income). If withholding were
to apply to the Securities, we would not be required to pay any additional amounts with respect to amounts withheld. Both U.S. and Non-U.S.
Holders should consult their tax advisers regarding the potential application of FATCA to the Securities.
The discussion in the preceding paragraphs under
“What Are the Tax Consequences of the Securities,” insofar as it purports to describe provisions of U.S. federal income tax
laws or legal conclusions with respect thereto, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S.
federal income tax consequences of an investment in the Securities.
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.
“Standard & Poor’s®,” “S&P®,”
“S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of Standard
and Poor’s Financial Services LLC. For more information, see “S&P 500® Index” in the accompanying
index supplement.
The following table sets forth the published high and low Closing Levels,
as well as the end-of-quarter Closing Levels, of the S&P 500® Index for each quarter in the period from January 1,
2016 through July 19, 2021. The Closing Level of the S&P 500® Index on July 19, 2021 was 4,258.49. We obtained the
information in the table below from Bloomberg Financial Markets, without independent verification. The historical Closing Levels of the
S&P 500® Index should not be taken as an indication of future performance, and no assurance can be given as to the
Closing Level of the S&P 500® Index on the Final Valuation Date.
Quarter Begin
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Quarter End
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Quarterly High
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Quarterly Low
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Quarterly Close
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1/1/2016
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3/31/2016
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2,063.95
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1,829.08
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2,059.74
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4/1/2016
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6/30/2016
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2,119.12
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2,000.54
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2,098.86
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7/1/2016
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9/30/2016
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2,190.15
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2,088.55
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2,168.27
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10/1/2016
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12/31/2016
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2,271.72
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2,085.18
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2,238.83
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1/1/2017
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3/31/2017
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2,395.96
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2,257.83
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2,362.72
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4/1/2017
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6/30/2017
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2,453.46
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2,328.95
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2,423.41
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7/1/2017
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9/30/2017
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2,519.36
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2,409.75
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2,519.36
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10/1/2017
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12/31/2017
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2,690.16
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2,529.12
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2,673.61
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1/1/2018
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3/31/2018
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2,872.87
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2,581.00
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2,640.87
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4/1/2018
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6/30/2018
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2,786.85
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2,581.88
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2,718.37
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7/1/2018
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9/30/2018
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2,930.75
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2,713.22
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2,913.98
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10/1/2018
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12/31/2018
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2,925.51
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2,351.10
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2,506.85
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1/1/2019
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3/31/2019
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2,854.88
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2,447.89
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2,834.40
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4/1/2019
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6/30/2019
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2,954.18
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2,744.45
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2,941.76
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7/1/2019
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9/30/2019
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3,025.86
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2,840.60
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2,976.74
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10/1/2019
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12/31/2019
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3,240.02
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2,887.61
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3,230.78
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1/1/2020
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3/31/2020
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3,386.15
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2,237.40
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2,584.59
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4/1/2020
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6/30/2020
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3,232.39
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2,470.50
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3,100.29
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7/1/2020
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9/30/2020
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3,580.84
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3,115.86
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3,363.00
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10/1/2020
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12/31/2020
|
3,756.07
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3,269.96
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3,756.07
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1/1/2021
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3/31/2021
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3,974.54
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3,700.65
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3,972.89
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4/1/2021
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6/30/2021
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4,297.50
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4,019.87
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4,297.50
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7/1/2021
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7/19/2021*
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4,384.63
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4,258.49
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4,258.49
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*Available information for the indicated period includes data for less
than the entire calendar quarter and accordingly, the “Quarterly High,” “Quarterly Low” and “Quarterly Close”
data indicated are for this shortened period only.
The graph below illustrates the performance of the S&P 500®
Index from January 1, 2008 through July 19, 2021, based on information from Bloomberg. Past performance of the S&P 500®
Index is not indicative of the future performance of the S&P 500® Index.
Additional Terms of the Securities
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If the terms discussed in this free writing prospectus differ from those
discussed in the prospectus supplement, index supplement or prospectus, the terms contained in this free writing prospectus will control.
Some Definitions
We have defined some of the terms that we use frequently in this free
writing prospectus below:
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“Closing Level” means, on any Index Business Day for the Underlying,
the closing value of the Underlying, or any Successor Underlying (as defined under “—Discontinuance of the Underlying; Alteration
of Method of Calculation” below) published at the regular weekday close of trading on that Index Business Day by the Underlying
Publisher. In certain circumstances, the Closing Level will be based on the alternate calculation of the Underlying as described under
“—Discontinuance of the Underlying; Alteration of Method of Calculation.”
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“Underlying Publisher” means S&P Dow Jones Indices LLC or
any successor thereto.
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“Index Business Day” means a day, for the Underlying, as determined
by the Calculation Agent, on which trading is generally conducted on each of the Relevant Exchange(s) for the Underlying, other than a
day on which trading on such exchange(s) is scheduled to close prior to the time of the posting of its regular final weekday closing price.
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“Market Disruption Event” means:
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(i) the
occurrence or existence of any of:
(a) a suspension, absence or material limitation
of trading of stocks then constituting 20 percent or more of the value of the Underlying (or the Successor Underlying (as defined below
under “—Discontinuance of the Underlying; Alteration of Method of Calculation”)) on the Relevant Exchange 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 stocks then constituting 20
percent or more of the value of the Underlying (or the Successor Underlying) 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 Underlying (or the Successor Underlying) 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 Securities.
For the purpose of determining whether a Market Disruption
Event exists at any time, if trading in a security included in the Underlying is materially suspended or materially limited at that time,
then the relevant percentage contribution of that security to the value of the Underlying shall be based on a comparison of (x) the portion
of the value of the Underlying attributable to that security relative to (y) the overall value of the Underlying, 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 Underlying 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 Underlying 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 Underlying are traded will not include any time when
such securities market is itself closed for trading under ordinary circumstances.
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“Relevant Exchange” means, with respect to the Underlying, the
primary exchange(s) or market(s) of trading for (i) any security then included in the Underlying, or any Successor Underlying, and (ii)
any futures or options contracts related to the Underlying or to any security then included in the Underlying.
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Postponement of Final Valuation Date and Maturity Date
If the scheduled Final Valuation Date is not an Index Business Day or
if a Market Disruption Event with respect to the Underlying occurs on such date, the Closing Level for such date will be determined on
the immediately succeeding Index Business Day on which no Market Disruption Event shall have occurred; provided that the Closing Level
with respect to the Final Valuation Date will not be determined on a date later than the fifth scheduled Index Business Day after the
scheduled Final Valuation Date, and if such date is not an Index Business Day or if there is a Market Disruption Event on such date, the
Calculation Agent will determine the Closing Level of the Underlying on such date in accordance with the formula for calculating such
Underlying last in effect prior to the commencement of the Market Disruption Event (or prior to the non-Index Business Day), without rebalancing
or substitution, using the closing price (or, if trading in the relevant securities has been materially suspended
or materially limited, its good faith estimate of
the closing price that would have prevailed but for such suspension, limitation or non-Index Business Day) on such date of each security
most recently constituting the Underlying.
If the Final Valuation Date is postponed so that it falls less than
two business days prior to the scheduled Maturity Date, the Maturity Date will be the second business day following the Final Valuation
Date, as postponed.
Alternate Exchange Calculation in case of an Event of Default
If an event of default with respect to the Securities shall have occurred
and be continuing, the amount declared due and payable upon any acceleration of the Securities (the “Acceleration Amount”)
will be an amount, determined by the Calculation Agent in its sole discretion, that is equal to the cost of having a Qualified Financial
Institution, of the kind and selected as described below, expressly assume all our payment and other obligations with respect to the Securities
as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent
economic value to you with respect to the Securities. That cost will equal:
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the lowest amount that a Qualified Financial Institution would charge to effect this assumption or undertaking, plus
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o
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the reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of the Securities in preparing any documentation
necessary for this assumption or undertaking.
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During the Default Quotation Period for the Securities, which we describe
below, the holders of the Securities and/or we may request a Qualified Financial Institution to provide a quotation of the amount it would
charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the
quotation. The amount referred to in the first bullet point above will equal the lowest—or, if there is only one, the only—quotation
obtained, and as to which notice is so given, during the Default Quotation Period. With respect to any quotation, however, the party not
obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the Qualified Financial
Institution providing the quotation and notify the other party in writing of those grounds within two business days after the last day
of the Default Quotation Period, in which case that quotation will be disregarded in determining the Acceleration Amount.
Notwithstanding the foregoing, if a voluntary or involuntary liquidation,
bankruptcy or insolvency of, or any analogous proceeding is filed with respect to MSFL or Morgan Stanley, then depending on applicable
bankruptcy law, your claim may be limited to an amount that could be less than the Acceleration Amount.
If the maturity of the Securities is accelerated because of an event
of default as described above, we shall, or shall cause the Calculation Agent to, provide written notice to the Trustee at its New York
office, on which notice the Trustee may conclusively rely, and to the Depositary of the Acceleration Amount and the aggregate cash amount
due, if any, with respect to the Securities as promptly as possible and in no event later than two business days after the date of such
acceleration.
Default Quotation Period
The Default Quotation Period is the period beginning on the day the
Acceleration Amount first becomes due and ending on the third business day after that day, unless:
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o
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no quotation of the kind referred to above is obtained, or
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o
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every quotation of that kind obtained is objected to within five business days after the due date as described above.
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If either of these two events occurs, the Default Quotation Period will
continue until the third business day after the first business day on which prompt notice of a quotation is given as described above.
If that quotation is objected to as described above within five business days after that first business day, however, the Default Quotation
Period will continue as described in the prior sentence and this sentence.
In any event, if the Default Quotation Period and the subsequent two
business day objection period have not ended before the Final Valuation Date, then the Acceleration Amount will equal the principal amount
of the Securities.
Qualified Financial Institutions
For the purpose of determining the Acceleration Amount at any time,
a Qualified Financial Institution must be a financial institution organized under the laws of any jurisdiction in the United States or
Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and rated
either:
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A-2 or higher by Standard & Poor’s Ratings Services or any successor, or any other comparable rating then used by that rating
agency, or
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o
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P-2 or higher by Moody’s Investors Service or any successor, or any other comparable rating then used by that rating agency.
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Discontinuance of the Underlying; Alteration of Method of Calculation
If the Underlying Publisher of the Underlying discontinues publication
of the Underlying and the Underlying Publisher or another entity (including MS & Co.) publishes a successor or substitute index that
the Calculation Agent determines, in its sole discretion, to be comparable to the discontinued Underlying (such index being referred to
herein as a “Successor Underlying”), then any subsequent Closing Level of the Underlying will be determined by reference to
the published value of such Successor Underlying at the regular weekday close of trading on any Index Business Day that the Closing Level
is to be determined, and, to the extent the Closing Level of the Successor Underlying differs from the Closing Level of the Underlying
at the time of such substitution, proportionate adjustments will be made by the Calculation Agent to the Initial Underlying Level and
Downside Threshold.
Upon any selection by the Calculation Agent of a Successor Underlying,
the Calculation Agent will cause written notice thereof to be furnished to the Trustee, to us and to the Depositary, as holder of the
Securities, within three business days of such selection. We expect that such notice will be made available to you, as a beneficial owner
of such Securities, in accordance with the standard rules and procedures of the Depositary and its direct and indirect participants.
If the Underlying Publisher discontinues publication of the Underlying
prior to, and such discontinuance is continuing on, the Final Valuation Date and the Calculation Agent determines, in its sole discretion,
that no Successor Underlying is available at such time, then the Calculation Agent will determine the Closing Level of the Underlying
for such date. The Closing Level of the Underlying will be computed by the Calculation Agent in accordance with the formula for and method
of calculating the Underlying last in effect prior to such discontinuance, using the closing price (or, if trading in the relevant securities
has been materially suspended or materially limited, its good faith estimate of the closing price that would have prevailed but for such
suspension or limitation) at the close of the principal trading session of the Relevant Exchange on such Final Valuation Date of each
security most recently constituting the Underlying without any rebalancing or substitution of such securities following such discontinuance.
Notwithstanding these alternative arrangements, discontinuance of the publication of the Underlying may adversely affect the value of
the Securities.
If at any time the method of calculating the Underlying or Successor
Underlying, or the value thereof, is changed in a material respect, or if the Underlying or Successor Underlying is in any other way modified
so that such index does not, in the opinion of the Calculation Agent, fairly represent the value of such index had such changes or modifications
not been made, then, from and after such time, the Calculation Agent will, at the close of business in New York City on each date on which
the Closing Level is to be determined, make such calculations and adjustments as, in the good faith judgment of the Calculation Agent,
may be necessary in order to arrive at a value of a stock index comparable to the Underlying or Successor Underlying, as the case may
be, as if such changes or modifications had not been made, and the Calculation Agent will calculate the Closing Level with reference to
the Underlying or Successor Underlying, as adjusted. Accordingly, if the method of calculating the Underlying or Successor Underlying
is modified so that the value of such index is a fraction of what it would have been if it had not been modified (e.g., due to a split
in the index), then the Calculation Agent will adjust such index in order to arrive at a value of the Underlying or Successor Underlying
as if it had not been modified (e.g., as if such split had not occurred).
Trustee
The “Trustee” for each offering of notes issued under our
Senior Debt Indenture, including the Securities, will be The Bank of New York Mellon, a New York banking corporation.
Agent
The “agent” is MS & Co.
Calculation Agent and Calculations
The “Calculation Agent” for the Securities will be MS &
Co. As Calculation Agent, MS & Co. will determine, among other things, the Initial Underlying Level, the Downside Threshold, the Final
Underlying Level, the Underlying Return and the Payment at Maturity.
All determinations made by the Calculation Agent will be at the sole
discretion of the Calculation Agent and will, in the absence of manifest error, be conclusive for all purposes and binding on you, the
Trustee and us.
All calculations with respect to the Payment at Maturity, if any, will
be rounded to the nearest one hundred-thousandth, with five one-millionths rounded upward (e.g., .876545 would be rounded to .87655);
all dollar amounts related to determination of the amount of cash payable per Security will be rounded to the nearest ten-thousandth,
with five one hundred-thousandths rounded upward (e.g., .76545 would be rounded up to .7655); and all dollar amounts paid on the aggregate
number of Securities will be rounded to the nearest cent, with one-half cent rounded upward.
Because the Calculation Agent is our affiliate, the economic interests
of the Calculation Agent and its affiliates may be adverse to your interests, as an owner of the Securities, including with respect to
certain determinations and judgments that the Calculation Agent must make in determining the Final Underlying Level or whether a Market
Disruption Event has occurred. See “—Discontinuance of the Underlying; Alteration of Method of Calculation,” and the
definition of Market Disruption Event. MS & Co. is obligated to carry out its duties and functions as Calculation Agent in good faith
and using its reasonable judgment.
Issuer Notice to Registered Security Holders, the Trustee and the
Depositary
In the event that the Maturity Date of the Securities is postponed due
to a postponement of the Final Valuation Date, the Issuer shall give notice of such postponement and, once it has been determined, of
the date to which the Maturity Date has been rescheduled (i) to each registered holder of the Securities 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 Securities 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 Maturity Date, the Business Day immediately preceding the scheduled Maturity Date and (ii) with respect to notice
of the date to which the Maturity Date has been rescheduled, the Business Day immediately following the Final Valuation Date as postponed.
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 stated principal
amount of the Securities, on or prior to 10:30 a.m. (New York City time) on the Business Day preceding the Maturity Date, and (ii) deliver
the aggregate cash amount due with respect to the Securities, if any, to the Trustee for delivery to the Depositary, as holder of the
Securities, on the Maturity Date.
Additional Information About the Securities
|
Use of Proceeds and Hedging
The proceeds from the sale of the Securities will be used by us for
general corporate purposes. We will receive, in aggregate, $10 per Security issued. The costs of the Securities borne by you and described
on page 2 above comprise the cost of issuing, structuring and hedging the Securities. See also “Use of Proceeds” in the accompanying
prospectus.
On or prior to the Trade Date, we will hedge our anticipated exposure
in connection with the Securities, by entering into hedging transactions with our affiliates and/or third-party dealers. We expect our
hedging counterparties to take positions in the constituent stocks of the Underlying, in futures or options contracts on the Underlying
or the constituent stocks of the Underlying, as well as in other instruments related to the Underlying that they may wish to use in connection
with such hedging. Such purchase activity could potentially increase the Initial Underlying Level, and therefore increase the Downside
Threshold, which is the level at or above which the Underlying must close on the Final Valuation Date so that you do not suffer a loss
on your initial investment in the Securities. In addition, through our affiliates, we are likely to modify our hedge position throughout
the term of the Securities, including on the Final Valuation Date, by purchasing and selling the constituent stocks of the Underlying,
futures or options contracts on the Underlying or the constituent stocks of the Underlying, as well as other instruments related to the
Underlying that we may wish to use in connection with such hedging activities, including by purchasing or selling any such securities
or instruments on the Final Valuation Date. As a result, these entities may be unwinding or adjusting hedge positions during the term
of the Securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the Final Valuation
Date approaches. We cannot give any assurance that our hedging activities will not affect the level of the Underlying and, therefore,
adversely affect the value of the Securities or the amount payable at maturity, if any.
Supplemental Plan of Distribution; Conflicts of Interest
MS & Co. will act as the agent for this offering. We will agree
to sell to MS & Co., and MS & Co. will agree to purchase, all of the Securities at the issue price indicated on the cover of this
document. UBS Financial Services Inc. will act as placement agent at an issue price of $10 per Security. All sales of the Securities will
be made to certain fee-based advisory accounts for which UBS Financial Services Inc. is an investment advisor and will not receive a sales
commission.
MS & Co. is our affiliate 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 Securities.
When MS & Co. prices this offering of Securities, it will determine the economic terms of the Securities, including the level of the
Maximum Gain, such that for each Security the estimated value on the Trade Date will be no lower than the minimum level described in “Additional
Information about Morgan Stanley, MSFL and the Securities” on page 2.
MS & Co. will conduct this offering in compliance with the requirements
of Rule 5121 of the Financial Industry Regulatory Authority, Inc. (“FINRA”), regarding a FINRA member firm’s distribution
of the securities 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.
In order to facilitate the offering of the Securities, the agent may
engage in transactions that stabilize, maintain or otherwise affect the price of the Securities. Specifically, the agent may sell more
Securities than it is obligated to purchase in connection with the offering, creating a naked short position in the Securities, for its
own account. The agent must close out any naked short position by purchasing the Securities in the open market. A naked short position
is more likely to be created if the agent is concerned that there may be downward pressure on the price of the Securities in the open
market after pricing that could adversely affect investors who purchase in the offering. As an additional means of facilitating the offering,
the agent may bid for, and purchase, the Securities or the constituent stocks of the Underlying in the open market to stabilize the price
of the Securities. Any of these activities may raise or maintain the market price of the Securities above independent market levels or
prevent or retard a decline in the market price of the Securities. The agent is not required to engage in these activities, and may end
any of these activities at any time. An affiliate of the agent has entered into a hedging transaction with us in connection with this
offering of Securities. See “—Use of Proceeds and Hedging” above.
Form of Securities
The Securities will be issued in the form of one or more fully registered
global securities which will be deposited with, or on behalf of, the Depositary and will be registered in the name of a nominee of the
Depositary. The Depositary’s nominee will be the only registered holder of the Securities. Your beneficial interest in the Securities
will be evidenced solely by entries on the books of the securities intermediary acting on your behalf as a direct or indirect participant
in the Depositary. In this free writing prospectus, all references to payments or notices to you will mean payments or notices to the
Depositary, as the registered holder of the Securities, for distribution to participants in accordance with the Depositary’s procedures.
For more information regarding the Depositary and book entry notes, please read “Forms of Securities—The Depositary”
and “Securities Offered on a Global Basis Through the Depositary” in the accompanying prospectus.
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