December 2021
Preliminary Terms No. 3,269
Registration Statement Nos. 333-250103;
333-250103-01
Dated December 1, 2021
Filed pursuant to Rule 433
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities
in International Equities
Market Linked
Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at
Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Fully
and Unconditionally Guaranteed by Morgan Stanley
§ Linked
to the EURO STOXX 50® Index
§ The
securities offered are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed
by Morgan Stanley. The securities will pay no interest, provide for a payment at maturity that may be significantly less than the face
amount and have the terms described in the accompanying product supplement for PLUS, index supplement and prospectus, as supplemented
or modified by this document. At maturity:
§ If
the level of the underlying index has increased, investors will receive the face amount plus a positive return equal to 167.50%
to 177.50% (to be determined on the pricing date) of the percentage increase in the level of the underlying index from the starting level
§ If
the level of the underlying index has decreased, but the underlying index has not decreased by more than 20%, investors will receive the
face amount
§ If
the underlying index has decreased by more than 20%, investors will have 1-to-1 downside exposure to the decrease in the level of the
underlying index from the starting level in excess of 20%
§ Investors
may lose up to 80% of the face amount of the securities
§ These
long-dated securities are for investors who seek an equity index-based return and who are willing to risk their investment and forgo current
income in exchange for the participation rate and buffer features that in each case apply to a limited range of performance of the underlying
index
§ The
securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program
§ All
payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment
§ These
securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any securities
included in the underlying index
|
The current estimated value of the securities
is approximately $935.30 per security, or within $35.30 of that estimate. The estimated value of the securities is determined using our
own pricing and valuation models, market inputs and assumptions relating to the underlying index, instruments based on the underlying
index, 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. See
“Estimated Value of the Securities” on page 3.
The securities have complex features and investing
in the securities involves risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning
on page 10. All payments on the securities are subject to our credit risk.
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,
index 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 for PLUS, index 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.
Commissions
and offering price:
|
Price
to public
|
Agent’s
commissions(1)(2)
|
Proceeds
to us(3)
|
Per
security
|
$1,000
|
$44.20
|
$955.80
|
Total
|
$
|
$
|
$
|
|
(1)
|
Wells Fargo Securities, LLC, an agent for this offering,
will receive a commission of up to $44.20 for each security it sells. Dealers, including Wells Fargo Advisors (“WFA”), may
receive a selling concession of up to $25 per security, and WFA will receive a distribution expense fee of $1.20 for each security sold
by WFA. See “Supplemental information concerning plan of distribution; conflicts of interest.”
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|
(2)
|
In
respect of certain securities sold in this offering, we may pay a fee of up to $1.50 per security to selected securities dealers in consideration
for marketing and other services in connection with the distribution of the securities to other securities dealers.
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(3)
|
See “Use of proceeds and hedging” on page 19.
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Product Supplement for PLUS dated November 16, 2020 Index Supplement dated November 16, 2020 Prospectus dated November 16, 2020
Morgan Stanley
|
Wells Fargo Securities
|
Morgan
Stanley Finance LLC
Market
Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at
Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Terms
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Maturity
date:
|
July 6, 2027*, subject to postponement if the calculation day is postponed
|
Market
measure:
|
EURO STOXX 50® Index (the “underlying index”)
|
Aggregate
face amount:
|
$
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Maturity
payment amount:
|
At maturity, the maturity payment amount per $1,000 face amount of
securities will be determined as follows:
· If
the ending level is greater than the starting level:
$1,000 plus:
· If
the ending level is less than or equal to the starting level, but greater than or equal to the threshold level:
$1,000
· If
the ending level is less than the threshold level:
$1,000 minus
If the ending level is less than the threshold level, you will receive
less, and up to 80% less, than the face amount of your securities at maturity.
Notwithstanding anything to the contrary in the accompanying product
supplement for PLUS, the amount you will receive at maturity will be the maturity payment amount, defined and calculated as provided
in this document.
|
Participation
rate:
|
167.50% to 177.50%, to be determined on the pricing date
|
Starting
level:
|
, which is the closing level of the underlying index on the pricing date
|
Ending
level:
|
The closing level of the underlying index on the calculation day
|
Calculation
day:
|
June 28, 2027*, subject to postponement for non-trading days and certain market disruption events
|
Threshold
level:
|
, which is 80% of the starting level
|
Face
amount:
|
$1,000 per security. References in this document to a “security” are to a security with a face amount of $1,000.
|
Pricing
date:
|
December 30, 2021*
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Original
issue date:
|
January 4, 2022* (3 business days after the pricing date)
|
CUSIP
/ ISIN:
|
61773HNA3 / US61773HNA31
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Listing:
|
The securities will not be listed on any securities exchange.
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Agents:
|
Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley, and Wells Fargo Securities, LLC (“WFS”). See “Supplemental information regarding plan of distribution; conflicts of interest.”
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*To the extent we make any change to the pricing date or original issue date, the calculation day and maturity date may also be changed in our discretion to ensure that the term of the securities remains the same.
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Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Estimated
Value of the Securities
|
The face amount 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 will be less than $1,000 per security. We estimate that the value of each security on the pricing
date will be approximately $935.30, or within $35.30 of that estimate. Our estimate of the value of the securities as determined on the
pricing date will be set forth in the final pricing supplement.
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 index. The estimated value
of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying index,
instruments based on the underlying index, 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
maximum return, the participation rate and the threshold level, 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 index, 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 index, 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.
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Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Investor
Considerations
|
The Principal at Risk Securities Linked to the EURO STOXX 50®
Index due July 6, 2027 (the “securities”) can be used:
§ As
an alternative to direct exposure to the underlying index that enhances returns for a certain range of positive performance of the underlying
index
§ To
enhance returns and potentially outperform the underlying index in a moderately bullish scenario
§ To
achieve similar levels of upside exposure to the underlying index as a direct investment while using fewer dollars by taking advantage
of the participation rate
§ To
obtain a buffer against a specified level of negative performance in the underlying index
The securities are not designed for, and may not be an appropriate
investment for, investors who:
§ Seek
a liquid investment or are unable or unwilling to hold the securities to maturity
§ Are
unwilling to accept the risk that the ending level of the underlying index may decrease by more than 20% from the starting level, resulting
in a loss of some or a significant portion of the initial investment
§ Seek
uncapped exposure to the upside performance of the underlying index
§ Seek
full return of the face amount of the securities at maturity
§ Seek
current income from their investments
§ Seek
exposure to the underlying index but are unwilling to accept the risk/return trade-offs inherent in the payment at maturity for the securities
§ Are
unwilling to accept our credit risk
§ Prefer
the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings
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The considerations identified above are not
exhaustive. Whether or not the securities are an appropriate 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 appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the
“Risk Factors” herein and in the accompanying product supplement for risks related to an investment in the securities. For
more information about the underlying index, please see the section titled “EURO STOXX 50® Index” below.
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Determining
Payment at Maturity
|
At maturity, the maturity payment amount per $1,000 face amount of
securities will be determined as follows:
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Payoff Diagram
The payoff diagram below illustrates the maturity payment amount on
the securities based on the following terms:
Face amount:
|
$1,000 per security
|
Hypothetical participation rate:
|
167.50%, the bottom of the specified range
|
Threshold level:
|
80% of the starting level
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Securities Payoff Diagram
|
|
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Scenario
Analysis and Examples of Maturity Payment Amount at Maturity
|
The following scenario analysis
and examples are provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible
scenario concerning increases or decreases in the level of the underlying index relative to the starting level. We cannot predict the
ending level on the calculation day. You should not take the scenario analysis and these examples as an indication or assurance of the
expected performance of the underlying index. The numbers appearing in the examples below may have been rounded for ease of analysis.
Notwithstanding anything to the contrary in the accompanying product supplement for PLUS, the amount you will receive per
$1,000 face amount of securities at maturity will be the maturity payment amount, defined and calculated as provided in this document.
The following scenario analysis and examples illustrate the payment at maturity on a hypothetical offering of the securities, based on
the following terms*:
Investment term:
|
Approximately 5.5 years
|
Hypothetical starting level:
|
100.00
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Threshold level:
|
80.00 (80% of the hypothetical starting level)
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Hypothetical participation rate:
|
167.50%, the bottom of the specified range
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* The hypothetical starting
level of 100.00 has been chosen for illustrative purposes only and does not represent the actual starting level. The actual starting level
and participation rate will be determined on the pricing date and will be set forth under “Terms” above. For historical data
regarding the actual closing levels of the underlying index, see the historical information set forth herein.
Example 1—The level of the underlying
index increases from a starting level of 100.00 to an ending level of 130.00.
Because the hypothetical ending level
is greater than the hypothetical starting level, the maturity payment amount would equal $1,000 plus:
|
|
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$1,000
|
×
|
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130.00 – 100.00
|
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× 167.50%
|
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= $502.50
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|
|
|
100.00
|
|
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On the maturity date, you would receive
the maturity payment amount equal to $1,502.50 per $1,000 face amount of securities, resulting in a total return on the securities
of 50.25%.
Example 2—The level of the underlying
index decreases from a starting level of 100.00 to an ending level of 95.00.
Because the hypothetical ending level is less than
or equal to the hypothetical starting level but greater than or equal to the hypothetical threshold level, the maturity payment amount
would equal:
$1,000
Because the hypothetical ending level
is less than or equal to the hypothetical starting level but greater than or equal to the hypothetical threshold level, you would receive
the maturity payment amount equal to $1,000 per $1,000 face amount of securities, resulting in a total return on the securities
of 0%.
Example 3—The level of the underlying
index decreases from a starting level of 100.00 to an ending level of 50.00.
Because the hypothetical ending level is less than
the hypothetical starting level by more than 20%, you would lose a significant portion of the face amount of your securities and receive
the maturity payment amount equal to:
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Because the ending level is below the threshold level
on the calculation day, the securities will be exposed on a 1-to-1 basis to any decline in the level of the underlying index in excess
of 20%. Therefore, the maturity payment amount is equal to $700.00 per $1,000 face amount of securities, resulting in a total loss on
the securities of 30%.
If the ending level is below the threshold level
on the calculation day, the securities will be exposed on a 1-to-1 basis to any decline in the level of the underlying index in excess
of 20%. You may lose up to 80% of the face amount of your securities at maturity.
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Scenario Analysis – Hypothetical Maturity
Payment Amount for each $1,000 Face Amount of Securities.
Performance
of the Underlying Index*
|
Performance of the Securities(1)
|
Ending Level
|
Percentage
Change from the Starting Level to the Ending Level
|
Maturity
Payment Amount
|
Return on
Securities(2)
|
200.00
|
100.00%
|
$2,675.00
|
167.500%
|
190.00
|
90.00%
|
$2,507.50
|
150.750%
|
180.00
|
80.00%
|
$2,340.00
|
134.000%
|
170.00
|
70.00%
|
$2,172.50
|
117.250%
|
160.00
|
60.00%
|
$2,005.00
|
100.500%
|
150.00
|
50.00%
|
$1,837.50
|
83.750%
|
140.00
|
40.00%
|
$1,670.00
|
67.000%
|
130.00
|
30.00%
|
$1,502.50
|
50.250%
|
120.00
|
20.00%
|
$1,335.00
|
33.500%
|
110.00
|
10.00%
|
$1,167.50
|
16.750%
|
105.00
|
5.00%
|
$1,083.75
|
8.375%
|
100.00(3)
|
0.00%
|
$1,000.00
|
0.00%
|
90.00
|
-10.00%
|
$1,000.00
|
0.00%
|
85.00
|
-15.00%
|
$1,000.00
|
0.00%
|
80.00
|
-20.00%
|
$1,000.00
|
0.00%
|
79.00
|
-21.00%
|
$990.00
|
-1.00%
|
70.00
|
-30.00%
|
$900.00
|
-10.00%
|
60.00
|
-40.00%
|
$800.00
|
-20.00%
|
50.00
|
-50.00%
|
$700.00
|
-30.00%
|
40.00
|
-60.00%
|
$600.00
|
-40.00%
|
30.00
|
-70.00%
|
$500.00
|
-50.00%
|
20.00
|
-80.00%
|
$400.00
|
-60.00%
|
10.00
|
-90.00%
|
$300.00
|
-70.00%
|
0.00
|
-100.00%
|
$200.00
|
-80.00%
|
|
|
|
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*The underlying index excludes
cash dividend payments on stocks included in the underlying index.
(1) Assumes
a participation rate of 167.50%, the bottom of the specified range.
(2) The “Return
on Securities” is the number, expressed as a percentage, which results from comparing the maturity payment amount per $1,000 face
amount of securities to the purchase price of $1,000 per security.
(3) The hypothetical starting level
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
This section describes the material risks relating to the securities.
For further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product
supplement for PLUS, index supplement and prospectus. We also urge you to consult your investment, legal, tax, accounting and other advisers
in connection with your investment in the securities.
Risks Relating to an Investment in the Securities
|
§
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The securities do not pay interest, and you will receive less, and up
to 80% less, than the face amount of your securities at maturity if the ending level is less than the threshold level. The terms
of the securities differ from those of ordinary debt securities in that the securities do not pay interest or repay a fixed amount of
the face amount of the securities. If the ending level is less than the threshold level, which is 80% of the starting level, you will
receive less, and up to 80% less, than the face amount of your securities at maturity. Investors may lose some or a significant portion
of their investment in the securities.
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|
§
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The market price will be influenced by many unpredictable factors.
Several factors, many of which are beyond our control, will influence the value of the securities in the secondary market and the price
at which MS & Co. or any other dealer may be willing to purchase or sell the securities in the secondary market, including the level,
volatility (frequency and magnitude of changes in level) and dividend yield of the underlying index, interest and yield rates in the market,
time remaining to maturity, geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the
underlying index or equities markets generally and which may affect the ending level of the underlying index and any actual or anticipated
changes in our credit ratings or credit spreads. Generally, the longer the time remaining to maturity, the more the market price of the
securities will be affected by the other factors described above. The level of the underlying index may be, and has recently been, volatile,
and we can give you no assurance that the volatility will lessen. See “EURO STOXX 50® Index Overview” below.
You may receive less, and up to 80% less, than the face amount per security if you try to sell your securities prior to maturity.
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|
§
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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 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.
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|
§
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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.
|
|
§
|
The amount payable on the securities is not linked to the value of the
underlying index at any time other than the calculation day. The ending level will be based on the closing level of the underlying
index on the calculation day, subject to postponement for non-trading days and certain market disruption events. Even if the level of
the underlying index increases prior to the calculation day but then decreases by the calculation day, the maturity payment amount will
be less, and may be significantly less, than it would have been had the maturity payment amount been linked to the level of the underlying
index prior to such decrease. Although the actual level of the underlying index on the maturity date or at other times during the term
of the securities may be higher than the ending level, the maturity payment amount will be based solely on the closing level of the underlying
index on the calculation day.
|
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
|
§
|
Investing in the securities is not equivalent to investing in the underlying
index. Investing in the securities is not equivalent to investing in the underlying index or its component stocks. 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 index.
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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 face amount reduce the
economic terms of the securities, cause the estimated value of the securities to be less than the face amount 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 face amount, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are
included in the face amount 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 face amount 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 index, 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.
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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. and WFS may, but are not obligated to, make a market in the securities and, if either of them
once chooses to make a market, may cease doing so at any time. When they do make a market, they will generally do so for transactions
of routine secondary market size at prices based on their respective estimates of the current value of the securities, taking into account
their respective bid/offer spreads, 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 they 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. or WFS is willing to transact. If, at any time, MS & Co. and WFS 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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§
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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
starting level, the threshold level and the ending level and will calculate the amount of cash you receive at maturity. Moreover, certain
|
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
determinations
made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such
as with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor index or calculation
of the ending level in the event of a market disruption event or discontinuance of the underlying index. These potentially subjective
determinations may adversely affect the payout to you at maturity. For further information regarding these types of determinations, see
“Description of PLUS—Postponement of Valuation Date(s)” and “—Calculation Agent and Calculations”
and related definitions in the accompanying product supplement for PLUS. In addition, MS & Co. has determined the estimated value
of the securities on the pricing date.
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§
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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 (and possibly to other instruments linked to the underlying index or its component stocks), including trading
in the stocks that constitute the underlying index as well as in other instruments related to the underlying index. 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 calculation day approaches. Some of our affiliates also trade the stocks that
constitute the underlying index and other financial instruments related to the underlying index 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 affect
the starting level, and, therefore, could increase the level at or above which the underlying index must close on the calculation day
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 calculation day, could adversely affect the level of the underlying index on the calculation
day, and, accordingly, the amount of cash an investor will receive at maturity.
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§
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The maturity date may be postponed if the calculation day is postponed.
If the scheduled calculation day is not a trading day or if a market disruption event occurs on that day so that the calculation day is
postponed and falls less than two business days prior to the maturity date, the maturity date of the securities will be postponed to the
second business day following that calculation day as postponed.
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§
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Potentially inconsistent research, opinions or recommendations by Morgan
Stanley, MSFL, WFS or our or their respective affiliates. Morgan Stanley, MSFL, WFS and our or their respective affiliates may 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, MSFL, WFS 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 index to which the securities are linked.
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§
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The U.S. federal income tax consequences of an investment in the securities
are uncertain. Please read the discussion under “Additional Information—Tax considerations” in this document and
the discussion under “United States Federal Taxation” in the accompanying product supplement for PLUS (together, the “Tax
Disclosure Sections”) concerning the U.S. federal income tax consequences of an investment in the securities. If the Internal Revenue
Service (the “IRS”) were successful in asserting an alternative treatment, the timing and character of income on the securities
might differ significantly from the tax treatment described in the Tax Disclosure Sections. For example, under one possible treatment,
the IRS could seek to recharacterize the securities as debt instruments. In that event, U.S. Holders 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 the Tax Disclosure
Sections.
|
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over the
term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect
to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the
exchange-traded
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
status of the instruments and the nature
of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive
ownership” rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose
an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or
other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the securities, possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S.
federal income tax consequences of an investment in the 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.
Risks Relating to the Underlying Index
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§
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There are risks associated with investments in securities linked to the
value of foreign equity securities. The securities are linked to the value of foreign equity securities. Investments in securities
linked to the value of foreign equity securities involve risks associated with the securities markets in those countries, including risks
of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries.
Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject to the
reporting requirements of the United States Securities and Exchange Commission, and foreign companies are subject to accounting, auditing
and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities
issued in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions,
including changes in government, economic and fiscal policies and currency exchange laws. Local securities markets may trade a small number
of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings
difficult or impossible at times. Moreover, the economies in such countries may differ favorably or unfavorably from the economy in the
United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency
and balance of payment positions between countries.
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§
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Adjustments to the underlying index could adversely affect the value of
the securities. The underlying index publisher may add, delete or substitute the stocks constituting the underlying index or make
other methodological changes that could change the value of the underlying index. The underlying index publisher may discontinue or suspend
calculation or publication of the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion
to substitute a successor index that is comparable to the discontinued underlying index and is permitted to consider indices that are
calculated and published by the calculation agent or any of its affiliates. If the calculation agent
determines that there is no appropriate successor index, the maturity payment amount on the securities will be an amount based on the
closing prices at maturity of the securities composing the underlying index at the time of such discontinuance, without rebalancing or
substitution, computed by the calculation agent in accordance with the formula for calculating the underlying index last in effect prior
to discontinuance of the underlying index.
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§
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Historical levels of the underlying index should not be taken as an indication
of the future performance of the underlying index during the term of the securities. No assurance can be given as to the level of
the underlying index at any time, including on the calculation day, because historical levels of the underlying index do not provide an
indication of future performance of the underlying index.
|
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
EURO
STOXX 50® Index Overview
|
The EURO STOXX 50® Index was created by STOXX Limited,
a part of Qontigo, which is a wholly owned subsidiary of Deutsche Börse AG. Publication of the EURO STOXX 50® Index
began on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The EURO STOXX 50® Index is
composed of 50 component stocks of market sector leaders among the 20 STOXX supersectors, which includes stocks selected from the Eurozone.
The component stocks have a high degree of liquidity and represent the largest companies across all market sectors. For additional information
about the EURO STOXX 50® Index, see the information set forth under “EURO STOXX 50® Index” in
the accompanying index supplement.
The following graph sets forth the daily closing levels of the underlying
index for each quarter in the period from January 1, 2016 through November 30, 2021. The closing level of the underlying index on November
30, 2021 was 4,063.06. We obtained the information in the graph and table below from Bloomberg Financial Markets without independent verification.
The underlying index has at times experienced periods of high volatility. You should not take the historical levels of the underlying
index as an indication of its future performance, and no assurance can be given as to the closing level of the index on the calculation
day.
EURO STOXX 50®
Index
Daily Closing Levels
January 1, 2016 to November
30, 2021
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“EURO STOXX 50®” and “STOXX®”
are registered trademarks of STOXX Limited. For more information, see “EURO STOXX 50® Index” in the accompanying
index supplement.
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Additional
Terms of the Securities
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Additional Terms
Please read this information in conjunction with the summary terms
on the front cover of this document.
If the terms described herein are inconsistent with those described
in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
Certain definitions
A “trading day” means a day,
as determined by the calculation agent, on which (i) the index sponsor is scheduled to publish the level of the underlying index and (ii)
each related futures or options exchange is scheduled to be open for trading for its regular trading session.
The “relevant stock exchange”
for any security underlying the underlying index means the primary exchange or quotation system on which such security is traded, as determined
by the calculation agent.
The “related futures or options exchange”
for the underlying index means an exchange or quotation system where trading has a material effect (as determined by the calculation agent)
on the overall market for futures or options contracts relating to the underlying index.
Market disruption events
A “market disruption event”
means any of (A), (B), (C) or (D) below, as determined by the calculation agent in its sole discretion:
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(A)
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Any of the following events occurs or exists with respect to any security included in the underlying index
or any successor index, and the aggregate of all securities included in the underlying index or successor index with respect to which
any such event occurs comprise 20% or more of the level of the underlying index or successor index:
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·
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a material suspension of or limitation imposed
on trading by the relevant stock exchange for such security or otherwise at any time during the one-hour period that ends at the scheduled
closing time for the relevant stock exchange for such security on that day, whether by reason of movements in price exceeding limits permitted
by the relevant stock exchange or otherwise;
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·
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any event, other than an early closure, that
materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, such
security on its relevant stock exchange at any time during the one-hour period that ends at the scheduled closing time for the relevant
stock exchange for such security on that day; or
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·
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the closure on any exchange business day of the
relevant stock exchange for such security prior to its scheduled closing time unless the earlier closing is announced by such relevant
stock exchange at least one hour prior to the earlier of (i) the actual closing time for the regular trading session on such relevant
stock exchange and (ii) the submission deadline for orders to be entered into the relevant stock exchange system for execution at the
scheduled closing time for such relevant stock exchange on that day.
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(B)
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Any of the following events occurs or exists with respect to futures or options contracts relating to
the underlying index or any successor index:
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·
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a material suspension of or limitation imposed
on trading by any related futures or options exchange or otherwise at any time during the one-hour period that ends at the close of trading
on such related futures or options exchange on that day, whether by reason of movements in price exceeding limits permitted by the related
futures or options exchange or otherwise;
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·
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any event, other than an early closure, that
materially disrupts or impairs the ability of market participants in general to effect transactions in, or obtain market values for, futures
or options contracts relating to the underlying index or successor index on any related futures or options exchange at any time during
the one-hour period that ends at the close of trading on such related futures or options exchange on that day; or
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·
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the closure on any exchange business day of any
related futures or options exchange prior to its scheduled closing time unless the earlier closing time is announced by such related futures
or options exchange at least one hour prior to the earlier of (i) the actual closing time for the regular trading
|
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
session on such
related futures or options exchange and (ii) the submission deadline for orders to be entered into the related futures or options exchange
system for execution at the close of trading for such related futures or options exchange on that day.
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(C)
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The index sponsor fails to publish the level of the underlying index or any successor index (other than
as a result of the index sponsor having discontinued publication of the underlying index or successor index and no successor index being
available).
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(D)
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Any related futures or options exchange fails to open for trading during its regular trading session.
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For purposes of determining whether a market disruption
event has occurred:
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(1)
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the relevant percentage contribution of a security included in the underlying index or any successor index
to the level of such index will be based on a comparison of (x) the portion of the level of such index attributable to that security to
(y) the overall level of such index, in each case using the official opening weightings as published by the index sponsor as part of the
market opening data;
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(2)
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the “scheduled closing time” of any relevant stock exchange or related futures or options
exchange on any trading day means the scheduled weekday closing time of such relevant stock exchange or related futures or options exchange
on such trading day, without regard to after hours or any other trading outside the regular trading session hours; and
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(3)
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an “exchange business day” means any trading day on which (i) the index sponsor publishes
the level of the underlying index or any successor index and (ii) each related futures or options exchange is open for trading during
its regular trading session, notwithstanding any related futures or options exchange closing prior to its scheduled closing time.
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Postponement of the calculation day
If a market disruption event occurs or is continuing
on the calculation day, then the calculation day will be postponed to the first succeeding trading day on which a market disruption event
has not occurred and is not continuing; however, if such first succeeding trading day has not occurred as of the eighth trading day after
the originally scheduled calculation day, that eighth trading day shall be deemed to be the calculation day. If the calculation day has
been postponed eight trading days after the originally scheduled calculation day and a market disruption event occurs or is continuing
on such eighth trading day, the calculation agent will determine the closing level of the underlying index on such eighth trading day
in accordance with the formula for and method of calculating the closing level of the underlying index last in effect prior to commencement
of the market disruption event, using the closing price (or, with respect to any relevant security, if a market disruption event has occurred
with respect to such security, its good faith estimate of the value of such security at the scheduled closing time of the relevant stock
exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant stock exchange) on
such date of each security included in the underlying index. As used herein, “closing price” means, with respect to
any security on any date, the relevant stock exchange traded or quoted price of such security as of the scheduled closing time of the
relevant stock exchange for such security or, if earlier, the actual closing time of the regular trading session of such relevant stock
exchange.
Postponement of maturity date
If the scheduled calculation day is not a trading
day or if a market disruption event occurs on that day so that the calculation day as postponed 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 calculation
day as postponed.
Underlying index publisher
STOXX Limited, or any successor thereof
Interest
None
Denominations
$1,000 per security and integral multiples thereof
Trustee
The Bank of New York Mellon
Calculation agent
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
MS & Co.
Issuer notice to registered security holders, the trustee and
the depositary
In the event that the maturity date is postponed due to postponement
of the calculation day, 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 actual calculation day for determining the ending level.
The issuer shall, or shall cause the calculation agent to, (i) provide
written notice to the trustee and to the depositary of the amount of cash 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 to the trustee for delivery to the depositary, as holder of the securities, on
the maturity date.
Underlying index
The accompanying product supplement refers to the underlying index
as the “underlying asset.”
Face amount
The accompanying product supplement refers to the face amount as the
“stated principal amount.”
Calculation day
The accompanying product supplement refers to the calculation day as
the “valuation date.”
Maturity payment amount
The accompanying product supplement refers to the maturity payment
amount as the “payment at maturity.”
Closing level
The accompanying product supplement refers to the closing level as
the “index closing value.” Notwithstanding the definition of “index closing value” in the accompanying product
supplement, the “closing level” on any trading day means the closing value of the underlying index or any successor index
reported by Bloomberg Financial Services, or any successor reporting service the calculation agent may select, on such trading day.
Starting level
The accompanying product supplement refers to the starting level as
the “initial value” or “initial index value.”
Ending level
The accompanying product supplement refers to the ending level as the
“final value” or “final index value.”
Maximum return
The accompanying product supplement refers to the maximum return as
the “maximum payment at maturity.”
Participation rate
The accompanying product supplement refers to the participation rate
as the “leverage factor.”
Threshold level
The accompanying product supplement refers to the threshold level as
the “trigger level.”
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
Additional
Information About the Securities
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Minimum ticketing size
$1,000 / 1 security
Tax considerations
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, under current law, and based on current market conditions, a 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 document, it is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected
and subject to the discussion in “United States Federal Taxation” in the accompanying product supplement for PLUS, the following
U.S. federal income tax consequences should result based on current law:
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§
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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.
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§
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Upon sale, exchange or settlement of the securities, a U.S. Holder should
recognize gain or loss equal to the difference between the amount realized and the U.S. Holder’s tax basis in the securities. Such
gain or loss should be long-term capital gain or loss if the investor has held the securities for more than one year, and short-term capital
gain or loss otherwise.
|
In 2007, the U.S. Treasury Department
and the Internal Revenue Service (the “IRS”) released a notice requesting comments on the U.S. federal income tax treatment
of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require holders of
these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including
the character of income or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual
regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the underlying property to which
the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should
be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” rule,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly
with retroactive effect.
As discussed in the accompanying product
supplement for PLUS, Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder
(“Section 871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents paid
or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S.
equities (each, an “Underlying Security”). Subject to certain exceptions, Section 871(m) generally applies to securities that
substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable
Treasury regulations (a “Specified Security”). However, pursuant to an IRS notice, Section 871(m) will not apply to securities
issued before January 1, 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
pricing 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.
Both U.S. and non-U.S. investors
considering an investment in the securities should read the discussion under “Risk Factors” in this document and the discussion
under “United States Federal Taxation” in the accompanying product supplement for PLUS and consult their tax advisers regarding
all aspects of the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments,
the issues presented by the aforementioned notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing
jurisdiction.
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
The discussion in the preceding paragraphs under
“Tax considerations” and the discussion contained in the section entitled “United States Federal Taxation” in
the accompanying product supplement for PLUS, insofar as they purport to describe provisions of U.S. federal income tax laws or legal
conclusions with respect thereto, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax
consequences of an investment in the 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, $1,000 per security issued, because, when we enter into hedging
transactions in order to meet our obligations under the securities, our hedging counterparty will reimburse the cost of the agent’s
commissions. The costs of the securities borne by you and described beginning on page 3 above comprise the agent’s commissions and
the cost of issuing, structuring and hedging the securities.
On or prior to the pricing 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 stocks of the underlying index, in futures and options contracts on the underlying index and
any component stocks of the underlying index listed on major securities markets or positions in any other available securities or instruments
that they may wish to use in connection with such hedging. Such purchase activity could increase the level of the underlying index on
the pricing date, and therefore increase the level at or above which the underlying index must close on the calculation day so that investors
do not suffer a loss on their 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 calculation day, by purchasing and selling the stocks constituting the
underlying index, futures or options contracts on the underlying index or its component stocks listed on major securities markets or positions
in any other available securities or instruments that we may wish to use in connection with such hedging activities. As a result, these
entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater
and more frequent dynamic adjustments to the hedge as the calculation day approaches. We cannot give any assurance that our hedging activities
will not affect the level of the underlying index, and, therefore, adversely affect the value of the securities or the payment you will
receive at maturity. For further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging” in the
accompanying product supplement for PLUS.
Additional considerations
Client accounts over which Morgan Stanley, Morgan
Stanley Wealth Management or any of their respective subsidiaries have investment discretion are not permitted to purchase the securities,
either directly or indirectly.
Supplemental information regarding plan of distribution;
conflicts of interest
MS & Co. and WFS will act as the agents for
this offering. WFS will receive a commission of up to $44.20 for each security it sells. WFS proposes to offer the securities in part
directly to the public at the price to public set forth on the cover page of this document and in part to Wells Fargo Advisors (“WFA”)
(the trade name of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors
Financial Network, LLC), an affiliate of WFS, or other securities dealers at such price less a selling concession of up to $25 per security.
In addition to the selling concession allowed to WFA, WFS will pay $1.20 per security of the commission to WFA as a distribution expense
fee for each security sold by WFA.
In addition, in respect of certain securities sold
in this offering, we may pay a fee of up to $1.50 per security to selected securities dealers in consideration for marketing and other
services in connection with the distribution of the securities to other securities dealers.
See "Plan of Distribution (Conflicts of Interest)"
in the accompanying product supplement for PLUS for information about the distribution arrangements for the securities. References therein
to "agent" refer to each of MS & Co. and WFS, as agents for this offering, except that references to "agent" in
the context of offers to certain Morgan Stanley dealers and compliance with FINRA Rule 5121 do not apply to WFS. MS & Co., WFS or
their affiliates may enter into hedging transactions with us in connection with this offering.
MS & Co. is an affiliate of MSFL and a wholly
owned subsidiary of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable,
hedging the securities. When MS & Co. prices this offering of securities, it will determine the economic terms of the securities,
including the maximum return, such that for each security the estimated value on the pricing date will be no lower than the minimum level
described in “Estimated Value of the Securities” beginning on page 3.
MS & Co. will conduct this offering in compliance with the requirements
of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member
firm’s distribution of the
Morgan Stanley Finance LLC
Market Linked Securities—Leveraged Upside Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the EURO STOXX 50® Index due July 6, 2027
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. See “Plan of Distribution (Conflicts
of Interest)” and “Use of Proceeds and Hedging” in the accompanying product supplement for PLUS.
Where you can find more information
Morgan Stanley and MSFL have filed a registration
statement (including a prospectus, as supplemented by the product supplement for PLUS and the index supplement) with the Securities and
Exchange Commission, or SEC, for the offering to which this communication relates. You should read the prospectus in that registration
statement, the product supplement for PLUS, 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
without cost by visiting EDGAR on the SEC web site at.www.sec.gov. Alternatively, Morgan Stanley, MSFL,
any underwriter or any dealer participating in the offering will arrange to send you the product supplement for PLUS, index supplement
and prospectus if you so request by calling toll-free 1-(800)-584-6837.
You may access these documents on the SEC web site
at.www.sec.gov as follows:
Product Supplement for PLUS dated November 16, 2020
Index Supplement dated November 16, 2020
Prospectus dated November 16, 2020
Terms used but not defined in this document are
defined in the product supplement for PLUS, in the index supplement or in the prospectus.
“Performance Leveraged Upside SecuritiesSM”
and “PLUSSM” are our service marks.
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