Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 23 2020 - 6:02AM
Edgar (US Regulatory)
Morgan Stanley
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Free
Writing Prospectus to Preliminary Terms No. 5,122
Registration
Statement Nos. 333-221595; 333-221595-01
Dated
October 22, 2020; Filed pursuant to Rule 433
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2-Year Worst-of NDX, SPX and RTY Contingent Income Auto-Callable
Securities
This document provides a summary of the terms of
the securities. Investors must carefully review the accompanying preliminary terms referenced below, product supplement, index
supplement and prospectus, and the “Risk Considerations” on the following page, prior to making an investment decision.
Summary Terms
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Issuer:
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Morgan Stanley Finance LLC
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Guarantor:
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Morgan Stanley
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Underlying indices:
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NASDAQ-100
Index® (“NDX”), S&P 500® Index (“SPX”) and Russell 2000®
Index (“RTY”)
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Stated principal amount:
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$1,000 per security
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Issue price:
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$1,000 per security
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Pricing date:
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October 30, 2020
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Original issue date:
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November 4, 2020 (3 business days after the pricing date)
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Maturity date:
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November 3, 2022
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Contingent quarterly coupon:
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A contingent coupon will be paid on the securities on
each coupon payment date but only if the index closing value of each underlying index is at or above its respective coupon
threshold level on the related observation date. If payable, the contingent quarterly coupon will be an amount in cash per
stated principal amount corresponding to a return of 8.80% per annum (corresponding to approximately $22.00 per quarter per security)
for each interest payment period for each applicable observation date.
If, on any observation date, the index closing value
of any underlying index is less than its respective coupon threshold level, we will pay no coupon for the applicable quarterly
period.
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Payment at maturity1:
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If the securities have not been automatically redeemed
prior to maturity, the payment at maturity will be determined as follows:
If the final index value of each underlying index
is greater than or equal to its respective downside threshold level, investors will receive the stated principal amount
plus the contingent quarterly 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, investors will receive (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 70% of the stated principal amount of the securities and could be zero.
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Early redemption:
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If, on any redemption determination date, beginning
on February 1, 2021, the index closing value of each underlying index is greater than or equal to its respective
initial index value, the securities will be automatically redeemed for an early redemption payment on the related early redemption
date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any
early redemption date if the index closing value of any underlying index is below the respective initial index value for such
underlying index on the related redemption determination date.
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Early redemption payment:
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The early redemption payment will be an amount equal to the stated principal amount plus the contingent quarterly coupon with respect to the related observation date.
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Initial index value:
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The index closing value on the pricing date for each underlying
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Final index value:
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The index closing value on the final observation date for each underlying
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Worst performing underlying:
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The underlying index with the largest percentage decrease from the respective initial index value to the respective final index value
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Index performance factor:
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Final index value divided by the initial index value
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Redemption determination dates:
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Quarterly, as set forth below, subject to postponement for non-index business days and certain market disruption events.
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Early redemption dates:
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Beginning on February 4, 2021, quarterly, as set forth below. If any such day is not a business day, that early redemption payment will be made on the next succeeding business day and no adjustment will be made to any early redemption payment made on that succeeding business day.
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Observation dates:
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Quarterly, as set forth below, subject to postponement for non-index business days and certain market disruption events.
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Coupon payment dates:
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Quarterly, beginning February 4, 2021, as set forth below; provided that if any such day is not a business day, that coupon payment will be made on the next succeeding business day and no adjustment will be made to any coupon payment made on that succeeding business day. The contingent quarterly coupon, if any, with respect to the final observation date will be paid on the maturity date.
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Downside threshold level:
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70% of the initial index value for each underlying
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Coupon threshold level:
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70% of the initial index value for each underlying
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CUSIP / ISIN:
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61771EEF1 / US61771EEF16
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Preliminary terms:
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https://www.sec.gov/Archives/edgar/data/895421/
000095010320020448/dp139128_fwp-ps5122.htm
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Observation dates
/
Redemption determination
dates
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Coupon payment
dates /
Early redemption
dates
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February 1, 2021
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February 4, 2021
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April 30, 2021
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May 5, 2021
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July 30, 2021
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August 4, 2021
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November 1, 2021
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November 4, 2021
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January 31, 2022
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February 3, 2022
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May 2, 2022
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May 5, 2022
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August 1, 2022
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August 4, 2022
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October 31, 2022 (final observation date)
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November 3, 2022 (maturity date)
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Hypothetical Payout at Maturity1 (if the securities have not been previously redeemed)
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Change in Worst Performing Underlying
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Payment at Maturity
(excluding any
coupon payable at maturity)
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+40%
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$1,000.00
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+30%
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$1,000.00
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+20%
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$1,000.00
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+10%
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$1,000.00
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0%
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$1,000.00
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-10%
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$1,000.00
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-20%
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$1,000.00
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-30%
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$1,000.00
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-31%
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$690.00
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-40%
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$600.00
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-50%
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$500.00
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-60%
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$400.00
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-70%
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$300.00
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-80%
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$200.00
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-90%
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$100.00
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-100%
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$0
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1 All payments are subject to our credit risk
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The issuer has filed a registration
statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should
read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov.
Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus
if you request it by calling toll-free 1-800-584-6837.
Underlying Indices
For more information about the underlying indices, including
historical performance information, see the accompanying preliminary terms.
Risk Considerations
The risks set forth below are discussed in more detail
in the “Risk Factors” section in the accompanying preliminary terms. Please review those risk factors carefully prior
to making an investment decision.
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·
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The securities do not guarantee the return
of any principal.
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·
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The securities do not provide for the regular
payment of interest.
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·
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You are exposed to the price risk of each
underlying index, with respect to both the contingent quarterly coupons, if any, and the payment at maturity, if any.
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·
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Because the securities are linked to the performance
of the worst performing underlying index, you are exposed to greater risks of receiving no contingent quarterly coupons and sustaining
a significant loss on your investment than if the securities were linked to just one index.
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·
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The contingent quarterly coupon, if any, is
based on the value of each underlying index on only the related quarterly observation date at the end of the related interest period.
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·
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Investors will not participate in any appreciation
in any underlying index.
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·
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The market price will be influenced by many
unpredictable factors.
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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.
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·
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The estimated value of the securities is approximately
$953.40 per security, or within $35.00 of that estimate, and 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.
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·
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As a finance subsidiary, MSFL has no independent
operations and will have no independent assets.
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The
securities are linked to the Russell 2000® Index and are subject to risks
associated with small-capitalization companies.
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·
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Not equivalent to investing in the underlying
indices.
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·
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The securities will not be listed on any securities
exchange and secondary trading may be limited. Accordingly, you should be willing to hold your securities for the entire 2-year
term of the securities.
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·
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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 original issue price reduce the economic terms of the securities, cause the estimated value of the securities
to be less than the original issue price and will adversely affect secondary market prices.
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·
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Hedging and trading activity by our affiliates
could potentially affect the value of the securities.
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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.
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·
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Adjustments to the underlying indices could
adversely affect the value of the securities.
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·
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The U.S. federal income tax consequences of
an investment in the securities are uncertain.
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Tax Considerations
You should review carefully the discussion in the accompanying
preliminary terms under the caption “Additional Information About the Securities—Tax considerations” concerning
the U.S. federal income tax consequences of an investment in the securities, and you should consult your tax adviser.
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