CALCULATION
OF REGISTRATION FEE
Title of Each Class of Securities
Offered
|
|
Maximum Aggregate
Offering Price
|
|
Amount of Registration
Fee
|
Contingent Income Auto-Callable Securities due 2023
|
|
$6,681,550
|
|
$867.27
|
July 2020
Pricing Supplement
No. 4,422
Registration Statement
Nos. 333-221595; 333-221595-01
Dated July 2, 2020
Filed pursuant to
Rule 424(b)(2)
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due
July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk Securities
Contingent Income Auto-Callable Securities do not guarantee the
payment of interest or the repayment of principal. Instead, the securities offer the opportunity for investors to earn a contingent
quarterly coupon at an annual rate of 8.65%, but only with respect to each determination date on which the determination closing
price of the underlying stock is greater than or equal to 70% of the initial share price, which we refer to as the downside threshold
price. In addition, if the determination closing price of the underlying stock is greater than or equal to the initial share price
on any determination date (beginning approximately six months after the original issue date), the securities will be automatically
redeemed for an amount per security equal to the stated principal amount and the contingent quarterly coupon. However, if the securities
are not automatically redeemed prior to maturity, the payment at maturity due on the securities will be as follows: (i) if the
final share price is greater than or equal to the downside threshold price, the stated principal amount and the contingent quarterly
coupon with respect to the final determination date, or (ii) if the final share price is less than the downside threshold price,
investors will be exposed to the decline in the underlying stock on a 1-to-1 basis and will receive a payment at maturity that
is less than 70% of the principal amount of the securities and could be zero. Moreover, if on any determination date the determination
closing price of the underlying stock is less than the downside threshold price, you will not receive any contingent quarterly
coupon for that quarterly period. As a result, investors must be willing to accept the risk of not receiving any contingent quarterly
coupons and also the risk of receiving a payment at maturity that is significantly less than the stated principal amount of the
securities and could be zero. Accordingly, investors could lose their entire initial investment in the securities. The securities
are for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially above-market
rate in exchange for the risk of receiving few or no contingent quarterly coupons over the 3-year term of the securities. Investors
will not participate in any appreciation of the underlying stock. The securities are unsecured obligations of Morgan Stanley Finance
LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The securities are issued as part of MSFL’s
Series A Global Medium-Term Notes program.
All payments are subject to our credit risk. If we default
on our obligations, you could lose some or all of your investment. These securities are not secured obligations and you will not
have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
FINAL Terms
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Underlying stock:
|
Amazon.com, Inc. common stock
|
Aggregate principal amount:
|
$6,681,550
|
Stated principal amount:
|
$10 per security
|
Issue price:
|
$10 per security
|
Pricing date:
|
July 2, 2020
|
Original issue date:
|
July 8, 2020 (4 business days after the pricing date)
|
Maturity date:
|
July 7, 2023
|
Early redemption:
|
The securities are not subject to early redemption until six months after the original issue date. Following this six-month non-call period, if, on any determination date, beginning on January 4, 2021, the determination closing price of the underlying stock is greater than or equal to the initial share price, the securities will be automatically redeemed for an early redemption payment on the third business day following the related determination date. No further payments will be made on the securities once they have been redeemed.
|
Early redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) the contingent quarterly coupon with respect to the related determination date.
|
Determination closing price:
|
The closing price of the underlying stock on any determination date other than the final determination date times the adjustment factor on such determination date.
|
Contingent quarterly coupon:
|
· If, on any determination date, the determination closing price or the final share price, as applicable, is greater than
or equal to the downside threshold price, we will pay a contingent quarterly coupon at an annual rate of 8.65% (corresponding
to approximately $0.21625 per quarter per security) on the related contingent payment date.
· If, on any determination date, the determination closing price or the final share price, as applicable, is less than the
downside threshold price, no contingent quarterly coupon will be paid with respect to that determination date.
|
Determination dates:
|
October 2, 2020, January 4, 2021, April 5, 2021, July 2, 2021, October 4, 2021, January 3, 2022, April 4, 2022, July 5, 2022, October 3, 2022, January 3, 2023, April 3, 2023 and July 3, 2023, subject to postponement for non-trading days and certain market disruption events. We also refer to July 3, 2023 as the final determination date.
|
Contingent payment dates:
|
With respect to each determination date other than the final determination date, the third business day after the related determination date. The payment of the contingent quarterly coupon, if any, with respect to the final determination date will be made on the maturity date.
|
Payment at maturity:
|
· If the final share price is greater than or equal to the downside threshold price:
· If the final share price is less than the downside threshold price:
|
(i) the stated principal amount plus (ii) the contingent
quarterly coupon with respect to the final determination date
(i) the stated principal amount multiplied by (ii) the
share performance factor
|
Share performance factor:
|
Final share price divided by the initial share price
|
Adjustment factor:
|
1.0, subject to adjustment in the event of certain corporate events affecting the underlying stock
|
Downside threshold price:
|
$2,023.21, which is equal to 70% of the initial share price
|
Initial share price:
|
$2,890.30, which is equal to the closing price of the underlying stock on the pricing date
|
Final share price:
|
The closing price of the underlying stock on the final determination date times the adjustment factor on such date
|
CUSIP:
|
61771C474
|
ISIN:
|
US61771C4740
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Agent:
|
Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of distribution; conflicts of interest.”
|
Estimated value on the pricing date:
|
$9.567 per security. See “Investment Summary” beginning on page 2.
|
Commissions and issue price:
|
Price to public
|
Agent’s commissions and fees
|
Proceeds to us(3)
|
Per security
|
$10
|
$0.20(1)
|
|
|
|
$0.05(2)
|
$9.75
|
Total
|
$6,681,550
|
$167,038.75
|
$6,514,511.25
|
|
(1)
|
Selected dealers, including Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors will
collectively receive from the agent, MS & Co., a fixed sales commission of $0.20 for each security they sell. See “Supplemental
information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement.
|
|
(2)
|
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each security.
|
|
(3)
|
See “Use of proceeds and hedging” on page 19.
|
The securities involve risks not associated with an investment
in ordinary debt securities. See “Risk Factors” beginning on page 7.
The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement
and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not deposits or savings accounts and
are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they
obligations of, or guaranteed by, a bank.
You should read this document together with the related
product supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Terms
of the Securities” and “Additional Information About the Securities” at the end of this document.
As used in this document, “we,” “us”
and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Morgan
Stanley Finance LLC
Contingent Income Auto-Callable Securities due
July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock
of Amazon.com, Inc.
Principal at Risk Securities
Investment Summary
Contingent Income Auto-Callable Securities
Principal at Risk Securities
The Contingent Income Auto-Callable Securities due July 7, 2023,
with 6-month Initial Non-Call Period Based on the Performance of the Common Stock of Amazon.com, Inc., which we refer to as the
securities, provide an opportunity for investors to earn a contingent quarterly coupon at an annual rate of 8.65% with respect
to each quarterly determination date on which the determination closing price or the final share price, as applicable, is greater
than or equal to 70% of the initial share price, which we refer to as the downside threshold price. It is possible that the closing
price of the underlying stock could remain below the downside threshold price for extended periods of time or even throughout the
term of the securities so that you may receive few or no contingent quarterly coupons. If the determination closing price is greater
than or equal to the initial share price on any determination date, beginning with the January 4, 2021 determination date, the
securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the
contingent quarterly coupon with respect to the related determination date. If the securities have not previously been redeemed
and the final share price is greater than or equal to the downside threshold price, the payment at maturity will also be the sum
of the stated principal amount and the contingent quarterly coupon with respect to the related determination date. However, if
the securities have not previously been redeemed and the final share price is less than the downside threshold price, investors
will be exposed to the decline in the closing price of the underlying stock, as compared to the initial share price, on a 1-to-1
basis. In this case, the payment at maturity will be less than 70% of the stated principal amount of the securities and could be
zero. Investors in the securities must be willing to accept the risk of losing their entire principal and also the risk of not
receiving any contingent quarterly coupon. In addition, investors will not participate in any appreciation of the underlying stock.
The original 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 pricing date is less than $10. We estimate that the value of each security on the
pricing date is $9.567.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date, we take into account
that the securities comprise both a debt component and a performance-based component linked to the underlying stock. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the
underlying stock, instruments based on the underlying stock, volatility and other factors including current and expected interest
rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our
conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities, including
the contingent quarterly coupon rate and the downside threshold price, 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.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the securities?
The price at which MS & Co. purchases the securities in the
secondary market, absent changes in market conditions, including those related to the underlying stock, may vary from, and be lower
than, the estimated value on the pricing 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 issue 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 stock, and to our secondary
market credit spreads, it would do so based on values higher than the estimated value. We expect that those higher values will
also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
securities, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
Key Investment Rationale
The securities offer investors an opportunity to earn a contingent
quarterly coupon at an annual rate of 8.65% with respect to each determination date on which the determination closing price or
the final share price, as applicable, is greater than or equal to 70% of the initial share price, which we refer to as the downside
threshold price. The securities may be redeemed prior to maturity for the stated principal amount per security plus the
applicable contingent quarterly coupon, and the payment at maturity will vary depending on the final share price, as follows:
|
|
Scenario 1
|
On any determination date, beginning with the January 4, 2021
determination date, the determination closing price is greater than or equal to the initial share price.
§
The securities will be automatically redeemed for (i) the stated principal amount plus (ii) the contingent quarterly
coupon with respect to the related determination date.
§
Investors will not participate in any appreciation of the underlying stock from the initial share price.
|
Scenario 2
|
The securities are not automatically redeemed prior to maturity,
and the final share price is greater than or equal to the downside threshold price.
§
The payment due at maturity will be (i) the stated principal amount plus (ii) the contingent quarterly coupon with
respect to the final determination date.
§
Investors will not participate in any appreciation of the underlying stock from the initial share price.
|
Scenario 3
|
The securities are not automatically redeemed prior to maturity,
and the final share price is less than the downside threshold price.
§
The payment due at maturity will be equal to (i) the stated principal amount multiplied by (ii) the share performance
factor. Investors will lose a significant portion, and may lose all, of their principal in this scenario.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on (1) the determination closing price and (2) the final share price.
Diagram #1: First Eleven Determination Dates
Diagram #2: Payment at Maturity if No Automatic
Early Redemption Occurs
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
Hypothetical Examples
The below examples are based on the following terms:
Hypothetical Initial Share Price:
|
$2,000.00
|
Hypothetical Downside Threshold Price:
|
$1,400.00, which is 70% of the hypothetical initial share price
|
Hypothetical Adjustment Factor:
|
1.0
|
Contingent Quarterly Coupon:
|
8.65% per annum (corresponding to approximately $0.21625 per quarter per security)1
|
Stated Principal Amount:
|
$10 per security
|
1 The actual contingent quarterly coupon will be an amount
determined by the calculation agent based on the number of days in the applicable payment period, calculated on a 30/360 day-count
basis. The hypothetical contingent quarterly coupon of $0.21625 is used in these examples for ease of analysis.
In Examples 1 and 2, the closing price of the underlying stock
fluctuates over the term of the securities and the determination closing price of the underlying stock is greater than or equal
to the hypothetical initial share price of $2,000.00 on one of the determination dates after the initial six-month non-call period.
Because the determination closing price is greater than or equal to the initial share price on one of the determination dates after
the initial six-month non-call period, the securities are automatically redeemed following the relevant determination date. In
Examples 3 and 4, the determination closing price on the first eleven determination dates is less than the initial share price,
and, consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.
|
Example 1
|
Example 2
|
Determination Dates
|
Hypothetical Determination Closing Price
|
Contingent Quarterly Coupon
|
Early Redemption Amount*
|
Hypothetical Determination Closing Price
|
Contingent Quarterly Coupon
|
Early Redemption Amount
|
#1
|
$1,025.00
|
$0
|
N/A
|
$1,650.00
|
$0.21625
|
N/A
|
#2
|
$2,000.00
|
—*
|
$10.21625
|
$1,035.50
|
$0
|
N/A
|
#3
|
N/A
|
N/A
|
N/A
|
$1,685.50
|
$0.21625
|
N/A
|
#4
|
N/A
|
N/A
|
N/A
|
$1,040.25
|
$0
|
N/A
|
#5
|
N/A
|
N/A
|
N/A
|
$1,700.00
|
$0.21625
|
N/A
|
#6
|
N/A
|
N/A
|
N/A
|
$1,750.45
|
$0.21625
|
N/A
|
#7
|
N/A
|
N/A
|
N/A
|
$1,100.50
|
$0
|
N/A
|
#8
|
N/A
|
N/A
|
N/A
|
$1,775.85
|
$0.21625
|
N/A
|
#9
|
N/A
|
N/A
|
N/A
|
$1,815.00
|
$0.21625
|
N/A
|
#10
|
N/A
|
N/A
|
N/A
|
$2,400.00
|
—*
|
$10.21625
|
#11
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
Final Determination Date
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
N/A
|
* The Early Redemption Amount includes the unpaid contingent
quarterly coupon with respect to the determination date on which the determination closing price is greater than or equal to the
initial share price and the securities are redeemed as a result.
|
§
|
In Example 1, the securities are automatically redeemed following the second determination date (which is the first
determination date following which the securities can be redeemed), as the determination closing price on the second determination
date is equal to the initial share price. You receive the early redemption payment, calculated as follows:
|
stated principal amount + contingent quarterly
coupon = $10.00 + $0.21625 = $10.21625
In this example, the early redemption feature limits the
term of your investment to approximately 6 months, and you may not be able to reinvest at comparable terms or returns. If the securities
are redeemed early, you will stop receiving contingent coupons.
§
In Example 2, the securities are automatically redeemed following the tenth determination date, as the determination
closing price on the tenth determination date is greater than the initial share price. As the determination closing prices on the
first, third, fifth,
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
sixth, eighth, ninth and tenth determination
dates are greater than or equal to the downside threshold price, you receive the contingent coupon of $0.21625 with respect to
each such determination date. Following the tenth determination date, you receive an early redemption amount of $10.21625, which
includes the contingent quarterly coupon with respect to the tenth determination date.
In this example, the early redemption feature limits the
term of your investment to approximately 30 months, and you may not be able to reinvest at comparable terms or returns. If the
securities are redeemed early, you will stop receiving contingent coupons. Further, although the underlying stock has appreciated
by 20% from its initial share price as of the tenth determination date, you receive only $10.21625 per security and do not benefit
from such appreciation.
|
Example 3
|
Example 4
|
Determination Dates
|
Hypothetical Determination Closing Price / Final Share Price
|
Contingent Quarterly Coupon
|
Early Redemption Amount*
|
Hypothetical Determination Closing Price / Final Share Price
|
Contingent Quarterly Coupon
|
Early Redemption Amount
|
#1
|
$1,300.00
|
$0
|
N/A
|
$1,240.05
|
$0
|
N/A
|
#2
|
$1,350.50
|
$0
|
N/A
|
$1,200.00
|
$0
|
N/A
|
#3
|
$1,245.00
|
$0
|
N/A
|
$1,300.50
|
$0
|
N/A
|
#4
|
$1,200.00
|
$0
|
N/A
|
$1,355.65
|
$0
|
N/A
|
#5
|
$1,275.65
|
$0
|
N/A
|
$1,300.75
|
$0
|
N/A
|
#6
|
$1,300.50
|
$0
|
N/A
|
$1,265.35
|
$0
|
N/A
|
#7
|
$1,325.75
|
$0
|
N/A
|
$1,300.45
|
$0
|
N/A
|
#8
|
$1,350.00
|
$0
|
N/A
|
$1,230.85
|
$0
|
N/A
|
#9
|
$1,300.75
|
$0
|
N/A
|
$1,305.60
|
$0
|
N/A
|
#10
|
$1,301.25
|
$0
|
N/A
|
$1,380.95
|
$0
|
N/A
|
#11
|
$1,325.65
|
$0
|
N/A
|
$1,250.00
|
$0
|
N/A
|
Final Determination Date
|
$1,200.00
|
$0
|
N/A
|
$1,700.00
|
—*
|
N/A
|
Payment at Maturity
|
$6.00
|
$10.21625
|
*The final contingent quarterly coupon, if any, will be
paid at maturity.
Examples 3 and 4 illustrate the payment at maturity per security
based on the final share price.
§
In Example 3, the closing price of the underlying stock remains below the downside threshold price on every determination
date. As a result, you do not receive any contingent coupons during the term of the securities and, at maturity, you are fully
exposed to the decline in the closing price of the underlying stock. As the final share price is less than the downside threshold
price, investors will receive a payment at maturity equal to the stated principal amount multiplied by the share performance factor,
calculated as follows:
stated principal amount × share performance
factor = $10.00 × ($1,200.00 / $2,000.00) = $6.00
In this example, the payment at maturity is significantly
less than the stated principal amount.
§
In Example 4, the closing price of the underlying stock decreases to a final share price of $1,700.00. Although the
final share price is less than the initial share price, because the final share price is still not less than the downside threshold
price, you receive the stated principal amount plus a contingent quarterly coupon with respect to the final determination
date. Your payment at maturity is calculated as follows:
$10.00 + $0.21625 = $10.21625
In this example, although the final share price represents
a 15% decline from the initial share price, you receive the stated principal amount per security plus the final contingent quarterly
coupon, equal to a total payment of $10.21625 per security at maturity, because the final share price is not less than the downside
threshold price.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the securities. For further discussion of these and other risks, you should read the section entitled
“Risk Factors” in the accompanying product supplement and prospectus. You should also consult your investment, legal,
tax, accounting and other advisers in connection with your investment in the securities.
|
§
|
The securities do not guarantee the return of any principal. The terms of the securities differ from those of ordinary
debt securities in that the securities do not guarantee the payment of regular interest or the return of any of the principal amount
at maturity. Instead, if the securities have not been automatically redeemed prior to maturity and if the final share price is
less than the downside threshold price, you will be exposed to the decline in the closing price of the underlying stock, as compared
to the initial share price, on a 1-to-1 basis and you will receive a payment that will be less than 70% of the stated principal
amount and could be zero.
|
|
§
|
You will not receive any contingent quarterly coupon for any quarterly period where the determination closing price is less
than the downside threshold price. A contingent quarterly coupon will be paid with respect to a quarterly period only if the
determination closing price is greater than or equal to the downside threshold price. If the determination closing price remains
below the downside threshold price on each determination date over the term of the securities, you will not receive any contingent
quarterly coupons.
|
|
§
|
The contingent quarterly coupon, if any, is based solely on the determination closing price or the final share price, as
applicable. Whether the contingent quarterly coupon will be paid with respect to a determination date will be based on the
determination closing price or the final share price, as applicable. As a result, you will not know whether you will receive the
contingent quarterly coupon until the related determination date. Moreover, because the contingent quarterly coupon is based solely
on the determination closing price on a specific determination date or the final share price, as applicable, if such determination
closing price or final share price is less than the downside threshold price, you will not receive any contingent quarterly coupon
with respect to such determination date, even if the closing price of the underlying stock was higher on other days during the
term of the securities.
|
|
§
|
Investors will not participate in any appreciation in the price of the underlying stock. Investors will not participate
in any appreciation in the price of the underlying stock from the initial share price, and the return on the securities will be
limited to the contingent quarterly coupon, if any, that is paid with respect to each determination date on which the determination
closing price or the final share price, as applicable, is greater than or equal to the downside threshold price. It is possible
that the closing price of the underlying stock could be below the downside threshold price on most or all of the determination
dates so that you will receive few or no contingent quarterly coupons. If you do not earn sufficient contingent quarterly coupons
over the term of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional
debt security of ours of comparable maturity.
|
|
§
|
The automatic early redemption feature may limit the term of your investment to approximately six months. If the securities
are redeemed early, you may not be able to reinvest at comparable terms or returns. The term of your investment in the securities
may be limited to as short as approximately six months by the automatic early redemption feature of the securities. If the securities
are redeemed prior to maturity, you will receive no more contingent quarterly coupons and may be forced to invest in a lower interest
rate environment and may not be able to reinvest at comparable terms or returns.
|
|
§
|
The market price will be influenced by many unpredictable factors. Several factors 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. Although we expect that generally the closing price of the underlying stock on any day will affect the value of the securities
more than any other single factor, other factors that may influence the value of the securities include:
|
|
o
|
the trading price and volatility (frequency and magnitude of changes in value) of the underlying stock,
|
|
o
|
whether the determination closing price has been below the downside threshold price on any determination date,
|
|
o
|
dividend rates on the underlying stock,
|
|
o
|
interest and yield rates in the market,
|
|
o
|
time remaining until the securities mature,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying stock
and which may affect the final share price of the underlying stock,
|
|
o
|
the occurrence of certain events affecting the underlying stock that may or may not require an adjustment to the adjustment
factor, and
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
The price of the underlying stock may be, and has
recently been, volatile, and we can give you no assurance that the volatility will lessen. See “Amazon.com, Inc. Overview”
below. You may receive less, and possibly significantly less, than the stated principal amount per security if you try to sell
your securities prior to maturity.
|
§
|
The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads
may adversely affect the market value of the securities. You are dependent on our ability to pay all amounts due on the securities
on each contingent payment date, upon automatic redemption or at maturity, 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 the credit spreads charged by the market
for taking our credit risk is likely to adversely affect the market value of the securities.
|
|
§
|
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.
|
|
§
|
Investing in the securities is not equivalent to investing in the common stock of Amazon.com, Inc. 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 underlying stock. As a result, any return on the securities will not reflect the return you would realize if you actually owned
shares of the underlying stock and received the dividends paid or distributions made on them.
|
|
§
|
No affiliation with Amazon.com, Inc. Amazon.com, Inc. is not an affiliate of ours, is not involved with this offering
in any way, and has no obligation to consider your interests in taking any corporate actions that might affect the value of the
securities. We have not made any due diligence inquiry with respect to Amazon.com, Inc. in connection with this offering.
|
|
§
|
We may engage in business with or involving Amazon.com, Inc. without regard to your interests. We or our affiliates
may presently or from time to time engage in business with Amazon.com, Inc. without regard to your interests and thus may acquire
non-public information about Amazon.com, Inc. Neither we nor any of our affiliates undertakes to disclose any such information
to you. In addition, we or our affiliates from time to time have published and in the future may publish research reports with
respect to Amazon.com, Inc., which may or may not recommend that investors buy or hold the underlying stock.
|
|
§
|
The antidilution adjustments the calculation agent is required to make do not cover every corporate event that could affect
the underlying stock. MS & Co., as calculation agent, will adjust the adjustment factor for certain corporate events affecting
the underlying stock, such as stock splits, stock dividends and extraordinary dividends, and certain other corporate actions involving
the issuer of the underlying stock, such as mergers. However, the calculation agent will not make an adjustment for every corporate
event that can affect the underlying stock. For example, the calculation agent is not required to make any adjustments if the issuer
of the underlying stock or anyone else makes a partial tender or partial exchange offer for the underlying stock, nor will adjustments
be made following the final determination date. In addition, no adjustments will be made for regular cash dividends, which are
expected to reduce the price of the underlying stock by the amount of such dividends. If an event occurs that does not require
the calculation agent to adjust the adjustment factor, such as a regular cash dividend, the market price of the securities and
your return on the securities may be materially and adversely affected. For example, if the record date for a regular cash dividend
were to occur on or shortly before a determination date, this may decrease the determination closing price to be less than the
downside threshold price (resulting in no contingent quarterly coupon being paid with respect to such date) or the final share
price to be less than the downside threshold price (resulting in a loss of a significant portion of all of your investment in the
securities), materially and adversely affecting your return.
|
|
§
|
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.
may, 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
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
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.
|
§
|
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 original issue price reduce the economic terms of the securities,
cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market
prices. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including
MS & Co., may be willing to purchase the securities in secondary market transactions will likely be significantly lower than
the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs
that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well
as other factors.
|
The inclusion of the costs of issuing, selling, structuring
and hedging the securities in the original 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 issue 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 stock, and to our secondary market credit spreads, it would do so based on
values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage account
statements.
|
§
|
The estimated value of the 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 pricing 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 document will vary based on many factors that cannot be predicted with accuracy,
including our creditworthiness and changes in market conditions. See also “The market price will be influenced by many unpredictable
factors” above.
|
|
§
|
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 (and to other
instruments linked to the underlying stock), including trading in the underlying stock. 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 determination date approaches. Some of our affiliates also trade the underlying stock
and other financial instruments related to the underlying stock 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 pricing date could potentially increase the initial share
price, and, as a result, could potentially increase the downside threshold price, which is the price at or above which the underlying
stock must close on each determination date in order for you to earn a contingent quarterly coupon, and, if the securities are
not called prior to maturity, in order for you to avoid being exposed to the negative price performance of the underlying stock
at maturity. Additionally, such hedging or trading activities during the term of the securities could potentially affect the price
of the underlying stock on the determination dates, and, accordingly, whether the securities are automatically called prior to
maturity, and, if the securities are not called prior to maturity, the payout to you at maturity, if any.
|
|
§
|
The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the securities. As calculation agent, MS & Co. will determine the initial share price, the downside threshold price,
the final share price, whether the contingent quarterly coupon will be paid on each contingent payment date, whether the securities
will be redeemed following any determination date, whether a market disruption event has occurred, whether to make any adjustments
to the adjustment factor and the payment that you will receive upon an automatic early redemption or 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 nonoccurrence of market disruption events and certain adjustments
to the adjustment factor. These potentially subjective determinations may affect the payout to you upon an automatic early redemption
or at maturity, if any. For further information regarding these types of determinations, see “Description of Auto-Callable
Securities—Auto-Callable Securities Linked to Underlying Shares” and “—Calculation Agent and Calculations”
in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the securities on the pricing
date.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
|
§
|
The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal
authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects
of the tax treatment of the securities are uncertain.
|
Please read the discussion under
“Additional Information—Tax considerations” in this document concerning the U.S. federal income tax consequences
of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract
that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your
regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse
tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. We do not
plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities,
and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative
treatment for the securities, the timing and character of income or loss 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 (as adjusted based on the difference,
if any, between the actual and the projected amount of any contingent payments on the securities) 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.
Non-U.S. Holders (as defined
below) should note that we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at
a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision, and will
not be required to pay any additional amounts with respect to amounts withheld.
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. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts
described in the notice, it is possible that 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. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and
timing of income or loss and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding
tax. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an
investment in the securities, including possible alternative treatments, the issues presented by this notice and any tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
Amazon.com, Inc. Overview
Amazon.com, Inc. offers electronic retail services to consumer
customers, seller customers and developer customers. The underlying stock is registered under the Securities Exchange Act of 1934,
as amended (the “Exchange Act”). Information provided to or filed with the Securities and Exchange Commission by Amazon.com,
Inc. pursuant to the Exchange Act can be located by reference to the Securities and Exchange Commission file number 000-22513 through
the Securities and Exchange Commission’s website at www.sec.gov. In addition, information regarding Amazon.com, Inc. may
be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. Neither the issuer nor the agent makes any representation that such publicly available documents or any other publicly
available information regarding the issuer of the underlying stock is accurate or complete.
Information as of market close on July 2, 2020:
Bloomberg Ticker Symbol:
|
AMZN
|
Exchange:
|
Nasdaq
|
Current Stock Price:
|
$2,890.30
|
52 Weeks Ago:
|
$1,934.31
|
52 Week High (on 7/2/2020):
|
$2,890.30
|
52 Week Low (on 3/12/2020):
|
$1,676.61
|
Current Dividend Yield:
|
N/A
|
The following table sets forth the published high and low closing
prices of, as well as dividends on, the underlying stock for each quarter from January 1, 2017 through July 2, 2020. The closing
price of the underlying stock on July 2, 2020 was $2,890.30. The associated graph shows the closing prices of the underlying stock
for each day from January 1, 2015 through July 2, 2020. We obtained the information in the table and graph below from Bloomberg
Financial Markets, without independent verification. The historical performance of the underlying stock should not be taken as
an indication of its future performance, and no assurance can be given as to the price of the underlying stock at any time, including
on the determination dates.
Common Stock of Amazon.com, Inc. (CUSIP 023135106)
|
High ($)
|
Low ($)
|
Dividends ($)
|
2017
|
|
|
|
First Quarter
|
886.54
|
753.67
|
-
|
Second Quarter
|
1,011.34
|
884.67
|
-
|
Third Quarter
|
1,052.80
|
938.60
|
-
|
Fourth Quarter
|
1,195.83
|
957.10
|
-
|
2018
|
|
|
|
First Quarter
|
1,598.39
|
1,189.01
|
-
|
Second Quarter
|
1,750.08
|
1,371.99
|
-
|
Third Quarter
|
2,039.51
|
1,693.96
|
-
|
Fourth Quarter
|
2,004.36
|
1,343.96
|
-
|
2019
|
|
|
|
First Quarter
|
1,819.26
|
1,500.28
|
-
|
Second Quarter
|
1,962.46
|
1,692.69
|
-
|
Third Quarter
|
2,020.99
|
1,725.45
|
-
|
Fourth Quarter
|
1,869.80
|
1,705.51
|
-
|
2020
|
|
|
|
First Quarter
|
2,170.22
|
1,676.61
|
-
|
Second Quarter
|
2,764.41
|
1,906.59
|
-
|
Third Quarter (through July 2, 2020)
|
2,890.30
|
2,878.70
|
|
We make no representation as to the amount of dividends, if any,
that Amazon.com, Inc. may pay in the future. In any event, as an investor in the Contingent Income Auto-Callable Securities, you
will not be entitled to receive dividends, if any, that may be payable on the common stock of Amazon.com, Inc.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
Common Stock of Amazon.com,
Inc. – Daily Closing Prices
January 1, 2015 to July
2, 2020
|
|
*The red solid line indicates the downside threshold price of
$2,023.21, which is 70% of the initial share price.
This document relates only to the securities referenced
hereby and does not relate to the underlying stock or other securities of Amazon.com, Inc. We have derived all disclosures contained
in this document regarding Amazon.com, Inc. stock from the publicly available documents described above. In connection with the
offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence
inquiry with respect to Amazon.com, Inc. Neither we nor the agent makes any representation that such publicly available documents
or any other publicly available information regarding Amazon.com, Inc. is accurate or complete. Furthermore, we cannot give any
assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of
the publicly available documents described above) that would affect the trading price of the underlying stock (and therefore the
price of the underlying stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any
such events or the disclosure of or failure to disclose material future events concerning Amazon.com, Inc. could affect the value
received with respect to the securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates makes any representation
to you as to the performance of the underlying stock.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
Additional Terms of the Securities
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional Terms:
|
|
If the terms described herein are inconsistent with those described in the accompanying product supplement or prospectus, the terms described herein shall control.
|
Interest period:
|
The quarterly period from and including the original issue date (in the case of the first interest period) or the previous scheduled contingent payment date, as applicable, to but excluding the following scheduled contingent payment date, with no adjustment for any postponement thereof.
|
Day count convention:
|
Interest will be computed on the basis of a 360-day year of twelve 30-day months.
|
Record date:
|
The record date for each contingent payment date shall be the date one business day prior to such scheduled contingent payment date; provided, however, that any contingent quarterly coupon payable at maturity or upon redemption shall be payable to the person to whom the payment at maturity or early redemption payment, as the case may be, shall be payable.
|
Underlying stock:
|
The accompanying product supplement refers to the underlying stock as the “underlying shares.”
|
Underlying stock issuer:
|
Amazon.com, Inc. The accompanying product supplement refers to the underlying stock issuer as the “underlying company.”
|
Downside threshold price:
|
The accompanying product supplement refers to the downside threshold price as the “trigger level.”
|
Postponement of maturity date:
|
If the scheduled final determination date is not a trading day or if a market disruption event occurs on that day so that the final determination date is postponed and falls less than two business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the second business day following that final determination date as postponed.
|
Postponement of contingent payment dates:
|
If a contingent payment date (including the maturity date) is postponed as a result of the postponement of the relevant determination date, no adjustment shall be made to any contingent quarterly coupon paid on that postponed date.
|
Antidilution adjustments:
|
The following replaces in its entirety the portion of the
section entitled “Antidilution Adjustments” in the accompanying product supplement for auto-callable securities from
the start of paragraph 5 to the end of such section.
5. If (i) there occurs any reclassification or change of the
underlying stock, including, without limitation, as a result of the issuance of any tracking stock by the underlying stock issuer,
(ii) the underlying stock issuer or any surviving entity or subsequent surviving entity of the underlying stock issuer (the “successor
corporation”) has been subject to a merger, combination or consolidation and is not the surviving entity, (iii) any statutory
exchange of securities of the underlying stock issuer or any successor corporation with another corporation occurs (other than
pursuant to clause (ii) above), (iv) the underlying stock issuer is liquidated, (v) the underlying stock issuer issues to all of
its shareholders equity securities of an issuer other than the underlying stock issuer (other than in a transaction described in
clause (ii), (iii) or (iv) above) (a “spin-off event”) or (vi) a tender or exchange offer or going-private transaction
is consummated for all the outstanding shares of the underlying stock (any such event in clauses (i) through (vi), a “reorganization
event”), the method of determining whether an early redemption has occurred and the amount payable upon an early redemption
date or at maturity for each security will be as follows:
· Upon any determination date (beginning with the January 4, 2021 determination date) following the effective date of a reorganization
event and prior to the final determination date: If the exchange property value (as defined below) is greater than or equal to
the initial share price, the securities will be automatically redeemed for an early redemption payment.
· Upon the final determination date, if the securities have not previously been automatically redeemed: You will receive
for each security that you hold a payment at maturity equal to:
Ø
If the exchange property value on the final determination date is greater than or equal to the downside threshold price:
(i) the stated principal amount plus (ii) the contingent quarterly coupon with respect to the final determination date
Ø
If the exchange property value on the final determination date is less than the downside threshold price: (i) the stated
principal amount multiplied by (ii) the share performance factor. For purposes of calculating the share performance factor, the
“final share price” will be deemed to equal the exchange property value on the final determination date.
Following the effective date of a reorganization event, the contingent
quarterly coupon will be payable for each determination date on which the exchange property value is greater than or equal to the
downside threshold price.
In the event exchange property consists of securities, those
securities will, in turn, be subject to the antidilution adjustments set forth in paragraphs 1 through 5.
For purposes of determining whether or not the exchange property
value is less than the initial share price or less than the downside threshold price, “exchange property value” means
(x) for any cash received in any reorganization event, the value, as determined by the Calculation Agent, as of the date of receipt,
of such cash
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
|
received for one share of the underlying stock, as adjusted by
the adjustment factor at the time of such reorganization event, (y) for any property other than cash or securities received in
any such reorganization event, the market value, as determined by the Calculation Agent in its sole discretion, as of the date
of receipt, of such exchange property received for one share of the underlying stock, as adjusted by the adjustment factor at the
time of such reorganization event and (z) for any security received in any such reorganization event, an amount equal to the closing
price, as of the day on which the exchange property value is determined, per share of such security multiplied by the quantity
of such security received for each share of the underlying stock, as adjusted by the adjustment factor at the time of such reorganization
event.
For purposes of paragraph 5 above, in the case of a consummated
tender or exchange offer or going-private transaction involving consideration of particular types, exchange property shall be deemed
to include the amount of cash or other property delivered by the offeror in the tender or exchange offer (in an amount determined
on the basis of the rate of exchange in such tender or exchange offer or going-private transaction). In the event of a tender or
exchange offer or a going-private transaction with respect to exchange property in which an offeree may elect to receive cash or
other property, exchange property shall be deemed to include the kind and amount of cash and other property received by offerees
who elect to receive cash.
Following the occurrence of any reorganization event referred
to in paragraph 5 above, all references in this offering document and in the related product supplement with respect to the securities
to “the underlying stock” shall be deemed to refer to the exchange property and references to a “share”
or “shares” of the underlying stock shall be deemed to refer to the applicable unit or units of such exchange property,
unless the context otherwise requires.
No adjustment to the adjustment factor will be required unless
such adjustment would require a change of at least 0.1% in the adjustment factor then in effect. The adjustment factor resulting
from any of the adjustments specified above will be rounded to the nearest one hundred-thousandth, with five one-millionths rounded
upward. Adjustments to the adjustment factor will be made up to the close of business on the final determination date.
No adjustments to the adjustment factor or method of calculating
the adjustment factor will be required other than those specified above. The adjustments specified above do not cover all events
that could affect the determination closing price or the final share price of the underlying stock, including, without limitation,
a partial tender or exchange offer for the underlying stock.
The Calculation Agent shall be solely responsible for the determination
and calculation of any adjustments to the adjustment factor or method of calculating the adjustment factor and of any related determinations
and calculations with respect to any distributions of stock, other securities or other property or assets (including cash) in connection
with any corporate event described in paragraphs 1 through 5 above, and its determinations and calculations with respect thereto
shall be conclusive in the absence of manifest error.
The Calculation Agent will provide information as to any adjustments
to the adjustment factor or to the method of calculating the amount payable at maturity of the securities made pursuant to paragraph
5 above upon written request by any investor in the securities.
|
Trustee:
|
The Bank of New York Mellon
|
Calculation agent:
|
MS & Co.
|
Issuer notices to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the final determination 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 determination date as postponed.
In the event that the securities are subject to early redemption,
the issuer shall, (i) on the business day following the applicable determination date, give notice of the early redemption and
the early redemption payment, including specifying the payment date of the amount due upon the early redemption, (x) to each registered
holder of the securities by mailing notice of such early redemption by first class mail, postage prepaid, to such registered holder’s
last address as it shall appear upon the registry books, (y) 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 (z) to the depositary by telephone or facsimile confirmed
by mailing such notice to the depositary by first class mail, postage prepaid, and (ii) on or prior to the early redemption date,
deliver the aggregate cash amount due with respect to the securities to the trustee for delivery to the depositary, as holder of
the securities. 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.
This notice shall be given by the issuer or, at the issuer’s request, by the trustee in the name and at the expense of the
issuer, with any such request to be accompanied by a copy of the notice to be given.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash to be delivered as contingent quarterly coupon, if any, with respect to each security on or prior to 10:30 a.m. (New York
City time) on the business day preceding each contingent payment date, and (ii) deliver the aggregate cash amount due, if any,
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Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities
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with respect to the contingent quarterly coupon to the trustee
for delivery to the depositary, as holder of the securities, on the applicable contingent payment date.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash, if any, to be delivered with respect to 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.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due July 7, 2023, with 6-month Initial Non-Call Period
Based on the Performance of the Common Stock of Amazon.com, Inc.
Principal at Risk Securities