Terms continued from previous page:
|
Redemption payment:
|
The redemption payment will be an amount equal to (i) the stated principal amount plus (ii) any contingent monthly coupon otherwise due with respect to the related observation date.
|
Redemption dates:
|
Beginning after one year, quarterly, on December 2, 2020, March 3, 2021, June 1, 2021, August 31, 2021, December 1, 2021, March 3, 2022, June 1, 2022, August 31, 2022, December 1, 2022, March 2, 2023, June 1, 2023, August 31, 2023, November 30, 2023, February 29, 2024, May 31, 2024 and August 29, 2024. If any such day is not a business day, the redemption payment will be made on the next succeeding business day and no adjustment will be made to any redemption payment made on that succeeding business day.
|
Initial index value:
|
With respect to the NDX Index: ,
which is the index closing value of such index on the pricing date
With respect to the RTY Index: ,
which is the index closing value of such index on the pricing date
With respect to the INDU Index: ,
which is the index closing value of such index on the pricing date
|
Final index value:
|
With respect to each underlying index, the respective index closing value on the final observation date
|
Worst performing
underlying index:
|
The underlying index with the largest percentage decrease from the respective initial index value to the respective final index value
|
Index performance factor:
|
Final index value divided by the initial index value
|
Coupon barrier level:
|
With respect to the NDX Index: ,
which is 70% of the initial index value for such index
With respect to the RTY Index: ,
which is 70% of the initial index value for such index
With respect to the INDU Index: ,
which is 70% of the initial index value for such index
|
Downside threshold level:
|
With respect to the NDX Index: ,
which is 60% of the initial index value for such index
With respect to the RTY Index: ,
which is 60% of the initial index value for such index
With respect to the INDU Index: ,
which is 60% of the initial index value for such index
|
Coupon payment dates:
|
Monthly, as set forth under “Observation Dates and Coupon Payment Dates” below. If any such day is not a business day, that contingent monthly coupon, if any, will be paid on the next succeeding business day and no adjustment will be made to any coupon payment made on that succeeding business day. The contingent monthly coupon, if any, with respect to the final observation date shall be paid on the maturity date.
|
Observation dates:
|
Monthly, as set forth under “Observation Dates and Coupon Payment Dates” below, subject to postponement for non-index business days and certain market disruption events. We also refer to November 26, 2024 as the final observation date.
|
CUSIP / ISIN:
|
61769HL86 / US61769HL867
|
Listing:
|
The securities will not be listed on any securities exchange.
|
|
|
Morgan Stanley Finance LLC
|
Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
Observation Dates
|
Coupon Payment Dates
|
April 26, 2023
|
May 1, 2023
|
May 26, 2023
|
June 1, 2023
|
June 26, 2023
|
June 29, 2023
|
July 26, 2023
|
July 31, 2023
|
August 28, 2023
|
August 31, 2023
|
September 26, 2023
|
September 29, 2023
|
October 26, 2023
|
October 31, 2023
|
November 27, 2023
|
November 30, 2023
|
December 26, 2023
|
December 29, 2023
|
January 26, 2024
|
January 31, 2024
|
February 26, 2024
|
February 29, 2024
|
March 26, 2024
|
April 1, 2024
|
April 26, 2024
|
May 1, 2024
|
May 28, 2024
|
May 31, 2024
|
June 26, 2024
|
July 1, 2024
|
July 26, 2024
|
July 31, 2024
|
August 26, 2024
|
August 29, 2024
|
September 26, 2024
|
October 1, 2024
|
October 28, 2024
|
October 31, 2024
|
November 26, 2024 (final observation date)
|
December 2, 2024 (maturity date)
|
Morgan Stanley Finance LLC
|
Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
Investment Overview
Callable Contingent Income Securities
Principal at Risk Securities
Callable Contingent Income Securities due December 2, 2024 Payments
on the Securities Based on the Worst Performing of the Russell 2000® Index and the Dow Jones Industrial AverageSM
(the “securities”) do not guarantee the repayment of principal and do not provide for the regular payment of interest. Instead,
the securities will pay a contingent monthly coupon but only if the index closing value of each of the NASDAQ-100 Index®,
the Russell 2000® Index and the Dow Jones Industrial AverageSM (which we refer to together as the
“underlying indices”) is at or above 70% of its respective initial index value, which we refer to as the respective
coupon barrier level, on the related observation date. If the index closing value of any underlying index is
less than the coupon barrier level for such index on any observation date, we will pay no coupon for the related monthly period. It
is possible that the index closing value of one or more underlying indices will remain below the respective coupon barrier level(s)
for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent
monthly coupons during the entire term of the securities. Even if an underlying index were to be at or above the coupon barrier
level for such index on some monthly observation dates, it may fluctuate below the coupon barrier level on others. In
addition, even if one underlying index were to be at or above the coupon barrier level for such index on all monthly observation
dates, you will receive a contingent monthly coupon only with respect to the observation dates on which the other underlying indices
are also at or above their respective coupon barrier levels, if any. In addition, beginning on December 2, 2020, we will have
the right to redeem the securities at our discretion on any quarterly redemption date for the redemption payment equal to the
sum of the stated principal amount plus any contingent monthly coupon otherwise due with respect to the related observation date.
An early redemption of the securities will be at our discretion and will not automatically occur based on the performance of the
underlying indices. At maturity, if the securities have not been previously redeemed and if the final index value of each
underlying index is greater than or equal to 60% of the respective initial index value, which we refer to as the downside threshold
level, the payment at maturity will be the stated principal amount and, if the final index value of each underlying index is also
greater than or equal to its coupon barrier level, the related contingent monthly coupon. If, however, the final index
value of any underlying index is less than its downside threshold level, investors will be exposed to the decline in the
worst performing underlying index on a 1-to-1 basis and will receive a payment at maturity that is less than 60% of the stated
principal amount of the securities and could be zero. Accordingly, investors in the securities must be willing to
accept the risk of losing their entire initial investment based on the performance of any index and also the risk of not receiving
any monthly coupons throughout the entire term of the securities.
Maturity:
|
5 years, unless redeemed earlier at our discretion
|
Contingent monthly coupon:
|
If, on any observation date, the index closing value of each
underlying index is greater than or equal to its respective coupon barrier level, we will pay a contingent monthly coupon
at an annual rate of 7.00% to 9.00% (corresponding to approximately $5.833 to $7.500 per month per security) on the related contingent
coupon payment date. The actual contingent monthly coupon rate will be determined on the pricing date.
If, on any observation date, the closing value of any underlying
index is less than the coupon barrier level for such index, no contingent monthly coupon will be paid with respect to
that observation date. It is possible that one or more underlying indices will remain below the respective coupon barrier level(s)
for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent
monthly coupons.
|
Early redemption at the option of the issuer:
|
Beginning on December 2, 2020, we have the right to redeem the
securities on any quarterly redemption date for an early redemption payment equal to the stated principal amount plus any contingent
monthly coupon otherwise due with respect to the related observation date. Any early redemption of the securities will
be at our discretion and will not automatically occur based on the performance of the underlying indices. It is more
likely that we will redeem the securities when it would otherwise be advantageous for you to continue to hold the securities. As
such, we will be more likely to redeem the securities when the index closing value of each underlying index on the observation
dates is at or above its respective coupon barrier level, which would otherwise result in an amount of interest payable on the
securities that is greater than instruments of a comparable maturity and credit rating trading in the market. In other
words, we will be more likely to redeem the securities at a time when the securities are paying an above-market coupon. If
the securities are redeemed prior to maturity, you will receive no
|
Morgan Stanley Finance LLC
|
Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
|
more contingent monthly coupon payments, may be forced to invest
in a lower interest rate environment and may not be able to reinvest at comparable terms or returns.
On the other hand, we will be less likely to exercise our redemption
right when the index closing value of any underlying index is below its respective coupon barrier level and/or when the final index
value of any underlying index is expected to be below the downside threshold level, such that you will receive no contingent monthly
coupons and/or that you will suffer a significant loss on your initial investment in the securities at maturity. Therefore, if
we do not exercise our redemption right, it is more likely that you will receive few or no contingent monthly coupons and suffer
a significant loss at maturity.
|
Payment at maturity:
|
If the securities have not previously been redeemed, investors
will receive on the maturity date a payment at maturity determined as follows:
If the final index value of each underlying index is greater
than or equal to its respective downside threshold level: the stated principal amount and, if the final index value of each
underlying index is also greater than or equal to its respective coupon barrier level, the contingent monthly coupon with respect
to the final observation date.
If the final index value of any underlying index is less
than its respective downside threshold level: (i) the stated principal amount multiplied by (ii) the index performance
factor of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than
60% of the stated principal amount of the securities and could be zero.
|
We are using this preliminary pricing supplement to solicit from
you an offer to purchase the securities. You may revoke your offer to purchase the securities at any time prior to the
time at which we accept such offer by notifying the relevant agent. We reserve the right to change the terms of, or
reject any offer to purchase, the securities prior to their issuance. In the event of any material changes to the terms
of the securities, we will notify you.
Morgan Stanley Finance LLC
|
Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
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 will be less than $1,000. We estimate that the value of each
security on the pricing date will be approximately $963.90, or within $30.00 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 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 contingent monthly coupon rate, the coupon barrier levels and the downside threshold 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 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
|
Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
Key Investment Rationale
The securities do not provide for the regular payment of interest
and instead will pay a contingent monthly coupon but only if the index closing value of each underlying index is
at or above 70% of its initial index value, which we refer to as the respective coupon barrier level, on the related observation
date. These 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 no monthly interest if any underlying index closes below
the coupon barrier level for such index on the observation dates, and the risk of an early redemption of the securities at our
discretion. The following scenarios are for illustration purposes only to demonstrate how the payment at maturity and
contingent monthly coupon (if the securities have not previously been redeemed) are determined, and do not attempt to demonstrate
every situation that may occur. Accordingly, the securities may or may not be redeemed by us at our discretion, the
contingent monthly coupon may be payable with respect to none of, or some but not all of, the monthly periods, and the payment
at maturity may be less than 60% of the stated principal amount and could be zero. Investors will not participate in
any appreciation in any underlying index.
Scenario 1: The securities are redeemed prior to maturity.
|
This scenario assumes that we redeem the securities at our discretion prior to the maturity date on one of the quarterly redemption dates, starting on December 2, 2020, one year after the original issue date, for the redemption payment equal to the stated principal amount plus any contingent monthly coupon with respect to the relevant observation date, as applicable. Prior to the optional early redemption, each underlying index closes at or above its respective coupon barrier level on some or all of the monthly observation dates. In this scenario, investors receive the contingent monthly coupon with respect to each such observation date, but not for the monthly periods for which one of more underlying indices close below the respective coupon barrier level on the related observation date. No further payments will be made on the securities once they have been redeemed.
|
Scenario 2: The securities are not redeemed prior to maturity, and investors receive principal back at maturity.
|
This scenario assumes that we do not exercise our redemption right on any of the quarterly redemption dates, and, as a result, investors hold the securities to maturity. During the term of the securities, each underlying index closes at or above its respective coupon barrier level on some monthly observation dates, but one or more underlying indices close below the respective coupon barrier level(s) for such index on the others. Investors will receive the contingent monthly coupon for the monthly periods for which the index closing value of each underlying index is at or above its respective coupon barrier level on the related observation date, but not for the monthly periods for which one or more underlying indices close below the respective coupon barrier level(s) on the related observation date. At maturity, each underlying index closes at or above its downside threshold level, and so investors receive the stated principal amount and, depending on whether the final index value of each underlying index is greater than, equal to or below the respective coupon barrier level, the contingent monthly coupon with respect to the final observation date.
|
Scenario 3: The securities are not redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity.
|
This scenario assumes that we do not exercise our redemption right on any of the quarterly redemption dates, and, as a result, investors hold the securities to maturity. During the term of the securities, one or more underlying indices close below the respective coupon barrier level(s) on every monthly observation date. Since one or more underlying indices close below the respective coupon barrier level(s) on every monthly observation date, investors do not receive any contingent monthly coupon. On the final observation date, one or more underlying indices close below the respective downside threshold level(s). At maturity, investors will receive an amount equal to the stated principal amount multiplied by the index performance factor of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than 60% of the stated principal amount and could be zero.
|
Morgan Stanley Finance LLC
|
Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
Underlying Indices Summary
NASDAQ-100 Index®
The NASDAQ-100 Index®, which is calculated, maintained
and published by Nasdaq, Inc., is a modified capitalization-weighted index of 100 of the largest and most actively traded equity
securities of non-financial companies listed on The NASDAQ Stock Market LLC. The NASDAQ-100 Index® includes companies
across a variety of major industry groups. At any moment in time, the value of the NASDAQ-100 Index® equals the
aggregate value of the then-current NASDAQ-100 Index® share weights of each of the NASDAQ-100 Index®
component securities, which are based on the total shares outstanding of each such NASDAQ-100 Index® component security,
multiplied by each such security’s respective last sale price on NASDAQ (which may be the official closing price published
by NASDAQ), and divided by a scaling factor, which becomes the basis for the reported NASDAQ-100 Index® value.
Information as of market close on October 28, 2019:
Bloomberg Ticker Symbol:
|
NDX
|
Current Index Value:
|
8,110.669
|
52 Weeks Ago:
|
6,713.902
|
52 Week High (on 10/28/2019):
|
8,110.669
|
52 Week Low (on 12/24/2018):
|
5,899.354
|
|
|
For additional information about the NASDAQ-100 Index®,
see the information set forth under “NASDAQ-100 Index®” in the accompanying index supplement. Furthermore,
for additional historical information, see “NASDAQ-100 Index® Historical Performance” below.
Russell 2000® Index
The Russell 2000® Index is an index calculated,
published and disseminated by FTSE Russell, and measures the composite price performance of stocks of 2,000 companies incorporated
in the U.S. and its territories. All 2,000 stocks are traded on a major U.S. exchange and are the 2,000 smallest securities
that form the Russell 3000® Index. The Russell 3000® Index is composed of the 3,000 largest
U.S. companies as determined by market capitalization and represents approximately 98% of the U.S. equity market. The
Russell 2000® Index consists of the smallest 2,000 companies included in the Russell 3000® Index
and represents a small portion of the total market capitalization of the Russell 3000® Index. The Russell
2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity market.
Information as of market close on October 28, 2019:
Bloomberg Ticker Symbol:
|
RTY
|
Current Index Value:
|
1,571.933
|
52 Weeks Ago:
|
1,477.306
|
52 Week High (on 5/6/2019):
|
1,614.976
|
52 Week Low (on 12/24/2018):
|
1,266.925
|
|
|
For additional information about the Russell 2000®
Index, see the information set forth under “Russell 2000® Index” in the accompanying index supplement. Furthermore,
for additional historical information, see “Russell 2000® Index Historical Performance” below.
Dow Jones Industrial AverageSM
The Dow Jones Industrial AverageSM is a price-weighted
index composed of 30 common stocks that is published by S&P Dow Jones Indices LLC, the marketing name and a licensed trademark
of CME Group Inc., as representative of the broad market of U.S. industry.
Information as of market close on October 28, 2019:
Bloomberg Ticker Symbol:
|
INDU
|
Current Index Value:
|
27,090.72
|
52 Weeks Ago:
|
24,442.92
|
|
|
Morgan Stanley Finance LLC
|
Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
52 Week High (on 7/15/2019):
|
27,359.16
|
52 Week Low (on 12/24/2018):
|
21,792.20
|
|
|
For additional information about the Dow Jones Industrial AverageSM,
see the information set forth under “Dow Jones Industrial AverageSM” in the accompanying index supplement. Furthermore,
for additional historical information, see “Dow Jones Industrial AverageSM Historical Performance” below.
Morgan Stanley Finance LLC
|
Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent monthly coupon is paid with respect to an observation date and how to calculate the payment at maturity. The
following examples are for illustrative purposes only. Whether you receive a contingent monthly coupon will be determined
by reference to the index closing value of each underlying index on each monthly observation date, and the amount you will receive
at maturity, if any, will be determined by reference to the final index value of each underlying index on the final observation
date. Any early redemption of the securities will be at our discretion. The actual initial index value, coupon
barrier level, and downside threshold level for each underlying index will be determined on the pricing date. All payments
on the securities, if any, are subject to our credit risk. The below examples are based on the following terms:
Hypothetical Contingent Monthly Coupon:
|
If, on any observation date, the index closing value of each
underlying index is greater than or equal to its respective coupon barrier level, we will pay a contingent monthly coupon
at an annual rate of 8.00% (corresponding to approximately $6.667 per month per security) on the related contingent coupon payment
date. The actual contingent monthly coupon rate will be determined on the pricing date.
If, on any observation date, the closing value of any underlying
index is less than the coupon barrier level for such index, no contingent monthly coupon will be paid with respect to
that observation date. It is possible that one or more underlying indices will remain below the respective coupon barrier level(s)
for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent
monthly coupons.
|
Optional Early Redemption:
|
Beginning on December 2, 2020, we will have the right to redeem the securities at our discretion on any quarterly redemption date for a redemption payment equal to the stated principal amount plus any contingent monthly coupon otherwise due with respect to the related observation date. If the securities are redeemed prior to maturity, you will receive no more contingent monthly coupon payments, may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns.
|
Payment at Maturity (if the securities have not been redeemed early at our option):
|
If the final index value of each underlying index is greater
than or equal to its respective downside threshold level: the stated principal amount and, if the final index value of each
underlying index is also greater than or equal to its respective coupon barrier level, the contingent monthly coupon with
respect to the final observation date.
If the final index value of any underlying index is less
than its respective downside threshold level: (i) the stated principal amount multiplied by (ii) the index performance
factor of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than
60% of the stated principal amount of the securities and could be zero.
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Index Value:
|
With respect to the NDX Index: 7,400
With respect to the RTY Index: 1,200
With respect to the INDU Index: 24,000
|
Hypothetical Coupon Barrier Level:
|
With respect to the NDX Index: 5,180, which is 70% of the hypothetical
initial index value for such index
With respect to the RTY Index: 840, which is 70% of the hypothetical
initial index value for such index
With respect to the INDU Index: 16,800, which is 70% of the hypothetical
initial index value for such index
|
Hypothetical Downside Threshold Level:
|
With respect to the NDX Index: 4,440, which is 60% of the hypothetical
initial index value for such index
With respect to the RTY Index: 720, which is 60% of the hypothetical
initial index value for such index
With respect to the INDU Index: 14,400, which is 60% of the hypothetical
initial index value for such index
|
* The actual contingent monthly coupon will be an amount determined
by the calculation agent based on the actual contingent monthly coupon rate and the number of days in the applicable payment period,
calculated on a 30/360 basis. The hypothetical contingent monthly coupon of $6.667 is used in these examples for ease
of analysis.
Morgan Stanley Finance LLC
|
Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
How to determine whether a contingent monthly
coupon is payable with respect to an observation date (if the securities have not been previously redeemed):
|
Index Closing Value
|
Contingent Monthly Coupon
|
|
NDX Index
|
RTY Index
|
INDU Index
|
|
Hypothetical Observation Date 1
|
5,500 (at or above coupon barrier level)
|
950 (at or above coupon barrier level)
|
17,000 (at or above coupon barrier level)
|
$6.667
|
Hypothetical Observation Date 2
|
5,400 (at or above coupon barrier level)
|
1,200 (at or above coupon barrier level)
|
13,000 (below coupon barrier level)
|
$0
|
Hypothetical Observation Date 3
|
4,000 (below coupon barrier level)
|
600 (below coupon barrier level)
|
17,500 (at or above coupon barrier level)
|
$0
|
Hypothetical Observation Date 4
|
3,800 (below coupon barrier level)
|
500 (below coupon barrier level)
|
12,500 (below coupon barrier level)
|
$0
|
On hypothetical observation date 1, the NDX Index, the RTY Index
and the INDU Index all close at or above their respective coupon barrier levels. Therefore a contingent monthly coupon of $6.667
is paid on the relevant coupon payment date.
On each of the hypothetical observation dates 2 and 3, at least
one underlying index closes at or above its coupon barrier level but one or both of the other underlying indices close below their
respective coupon barrier level(s). Therefore, no contingent monthly coupon is paid on the relevant coupon payment date.
On hypothetical observation date 4, each underlying index closes
below its respective coupon barrier level and accordingly no contingent monthly coupon is paid on the relevant coupon payment date.
How to calculate the payment at maturity (if
the securities have not been redeemed early at our option):
|
Final Index Value
|
Payment at Maturity
|
|
NDX Index
|
RTY Index
|
INDU Index
|
|
Example 1:
|
7,500 (at or above the downside threshold level and coupon barrier level)
|
1,300 (at or above the downside threshold level and coupon barrier level)
|
25,000 (at or above the downside threshold level and coupon barrier level)
|
$1,006.667 (the stated principal amount plus the contingent monthly coupon with respect to the final observation date)
|
Example 2:
|
6,400 (at or above the downside threshold level and coupon barrier level)
|
800 (at or above the downside threshold level but below the coupon barrier level)
|
18,000 (at or above the downside threshold level and coupon barrier level)
|
$1,000.00 (the stated principal amount)
|
Example 3:
|
4,700 (at or above the downside threshold level)
|
1,200 (at or above the downside threshold level)
|
9,600 (below the downside threshold level)
|
$1,000 x index performance factor of the worst performing underlying = $1,000 x (9,600 / 24,000) = $400
|
Example 4:
|
3,700 (below the downside threshold level)
|
480 (below the downside threshold level)
|
10,000 (below the downside threshold level)
|
$1,000 x (480 / 1,200) = $400
|
Example 5:
|
3,330 (below the downside threshold level)
|
360 (below the downside threshold level)
|
9,600 (below the downside threshold level)
|
$1,000 x (360 / 1,200) = $300
|
Morgan Stanley Finance LLC
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Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
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Example 6:
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2,220 (below the downside threshold level)
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480 (below the downside threshold level)
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9,600 (below the downside threshold level)
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$1,000 x (2,220 / 7,400) = $300
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In example 1, the final index values of the NDX Index, the RTY
Index and the INDU Index are all at or above their downside threshold levels. Therefore, investors receive at maturity
the stated principal amount of the securities and the contingent monthly coupon with respect to the final observation date. Investors
do not participate in the appreciation of any underlying index.
In example 2, the final index value of each underlying index
is at or above its respective downside threshold level. However, the final index value of the RTY Index is below its
respective coupon barrier level. Therefore, investors receive at maturity the stated principal amount of the securities
but do not receive the contingent monthly coupon with respect to the final observation date.
In examples 3 and 4, the final index value(s) of one or two of
the underlying indices are at or above their respective downside threshold level(s) but the final index value(s) of one or both
of the other underlying indices are below their respective downside threshold level(s). Therefore, investors are exposed
to the downside performance of the worst performing underlying index at maturity and receive at maturity an amount equal to the
stated principal amount times the index performance factor of the worst performing underlying index.
Similarly, in examples 5 and 6, the final index value of each
underlying index is below its respective downside threshold level, and investors receive at maturity an amount equal to the stated
principal amount times the index performance factor of the worst performing underlying index. In example 5, the
NDX Index has declined 55% from its initial index value to its final index value, the RTY Index has declined 70% from its initial
index value to its final index value and the INDU Index has declined 60% from its initial index value to its final index value. Therefore,
the payment at maturity equals the stated principal amount times the index performance factor of the RTY Index, which is
the worst performing underlying index in this example. In example 6, the NDX Index has declined 70% from its initial
index value to its final index value, the RTY Index has declined 60% from its initial index value and the INDU Index has declined
60% from its initial index value to its final index value. Therefore the payment at maturity equals the stated principal
amount times the index performance factor of the NDX Index, which is the worst performing underlying index in this example.
If the securities have not been redeemed prior to maturity
and the final index value of ANY underlying index is below its respective downside threshold level, you will be exposed to the
downside performance of the worst performing underlying index at maturity, and your payment at maturity will be less than $600
per security and could be zero.
Morgan Stanley Finance LLC
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Callable Contingent Income Securities due December 2, 2024
Payments on the Securities Based on the Worst Performing of the NASDAQ-100 Index®, the Russell 2000® Index and the Dow Jones Industrial AverageSM
Principal at Risk Securities
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