Dual Directional Trigger
Principal at Risk
The Dual Directional Trigger Participation
Securities Based on the Value of the Worst Performing of the
and the Russell
Index due July 30, 2026 (the “securities”)
can be used:
gain exposure to the worst performing of two U.S. equity
obtain a positive return equal to 50% of the absolute index return
for a limited range of negative performance of the worst performing
provide limited protection against a loss of principal in the event
of a decline of either underlying index as of the valuation date
but only if the final index value of each underlying index
greater than or equal
to its respective trigger
If the final index value of
underlying index is
its respective trigger level, the
securities are exposed on a 1:1 basis to the percentage decline in
the worst performing underlying index over the term of the
securities. Accordingly, investors may lose their entire investment
in the securities.
103% (applicable only if the final index
value of each underlying index is greater than the respective
initial index value).
With respect to each underlying index, 70%
of the respective initial index value
The securities will not be listed on any
The original issue price of each security
is $1,000. 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 $1,000. We estimate that the value of
each security on the pricing date is $924.10.
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 indices. The estimated value of the securities is
determined using our own pricing and valuation models, market
inputs and assumptions relating to the underlying indices,
instruments based on the underlying indices, 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 participation rate and the trigger
levels, 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
indices, 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 indices, 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
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.