CALCULATION OF REGISTRATION FEE
Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
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Amount of Registration Fee
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Callable Contingent Income Securities due 2023
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$3,000,000
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$327.30
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October 2020
Pricing Supplement No. 5,096
Registration Statement Nos. 333-221595; 333-221595-01
Dated October 21, 2020
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
Structured Investments
Opportunities in U.S. Equities and Commodities
Callable Contingent Income Securities due October
24, 2023
Payments on the Securities Based on the Worst
Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk Securities
The securities are unsecured obligations of Morgan Stanley Finance
LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The securities have the terms described
in the accompanying prospectus supplement, index supplement and prospectus, as supplemented or modified by this document. 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 determination closing price of each of the VanEck Vectors®
Gold Miners ETF and the iShares® Silver Trust (which we refer to together as the “underlying shares”)
on the related observation date is at or above 60% of its respective initial share price, which we refer to as the respective
coupon barrier level. If the determination closing price of either of the underlying shares is less than the coupon barrier
level for such underlying shares on any observation date, we will pay no interest for the related monthly period. In addition,
beginning on April 22, 2021, we will redeem the securities on any monthly redemption date for a 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, if and only if the output of a risk neutral valuation model on a business day that is at least 2 but no more than 5 business
days prior to such redemption date, based on the inputs indicated under “Call feature” below, indicates that redeeming
on such date is economically rational for us as compared to not redeeming on such date. An early redemption of the securities will
not automatically occur based on the performance of the underlying shares. At maturity, if the securities have not previously been
redeemed and if the final share price of each of the underlying shares is greater than or equal to 60% of its respective initial
share price, which we refer to as the respective downside threshold level, the payment at maturity will be the stated principal
amount and the related contingent monthly coupon. If, however, the final share price of either of the underlying shares
is less than its downside threshold level, investors will be exposed to the decline in the worst performing underlying shares 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 either of the underlying shares and also the risk of not receiving any monthly coupons during
the entire 2-year term of the securities. Because payments on the securities are based on the worst performing of the underlying
shares, a decline beyond the respective coupon barrier level and/or respective downside threshold level, as applicable, of either
of the underlying shares will result in few or no contingent monthly coupons and/or a significant loss of your investment, as applicable,
even if the other underlying shares have appreciated or have not declined as much. Investors will not participate in any appreciation
in either of the underlying shares. The securities are for investors who are willing to risk their principal and seek an opportunity
to earn interest at a potentially above-market rate in exchange for the risk of receiving no monthly interest if either
of the underlying shares closes below the coupon barrier level for such underlying shares on the observation dates, and the risk
of an early redemption of the securities based on the output of a risk neutral valuation model. 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 underlying reference asset or assets.
FINAL 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 shares:
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VanEck Vectors® Gold Miners ETF (the “GDX Shares”) and iShares® Silver Trust (the “SLV Shares”)
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Aggregate principal amount:
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$3,000,000
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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 (see “Commissions and issue price” below)
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Pricing date:
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October 21, 2020
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Original issue date:
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October 26, 2020 (3 business days after the pricing date)
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Maturity date:
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October 24, 2023
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Call feature:
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Beginning on April 22, 2021, an early redemption, in whole but not in part, will occur on a redemption date if and only if the output of a risk neutral valuation model on a business day that is at least 2 but no more than 5 business days prior to such redemption date, as selected by the calculation agent (the “determination date”), taking as input: (i) prevailing reference market levels, volatilities and correlations, as applicable and in each case as of the determination date and (ii) Morgan Stanley’s credit spreads as of the pricing date, indicates that redeeming on such date is economically rational for us as compared to not redeeming on such date. If we call the securities, we will give you notice at least 2 business days before the call date specified in the notice. No further payments will be made on the securities once they have been redeemed.
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Contingent monthly coupon:
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If, on any observation date, the determination closing price
of each of the underlying shares is greater than or equal to its respective coupon barrier level, we will pay a contingent
monthly coupon at an annual rate of 11.15% (corresponding to approximately $9.292 per month per security) on the related contingent
coupon payment date.
If, on any observation date, the determination closing price
of either of the underlying shares is less than the coupon barrier level for such underlying shares, no contingent
monthly coupon will be paid with respect to that observation date. It is possible that one or both of the underlying shares
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.
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Payment at maturity:
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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 share price of each of the underlying shares
is greater than or equal to its respective downside threshold level: the stated principal amount and the contingent monthly
coupon with respect to the final observation date.
If the final share price of either of the underlying
shares is less than its respective downside threshold level: (i) the stated principal amount multiplied by (ii)
the share performance factor of the worst performing underlying shares. Under these circumstances, the payment at maturity will
be less than 60% of the stated principal amount of the securities and could be zero.
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Terms continued on the following page
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Agent:
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Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of distribution; conflicts of interest.”
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Estimated value on the pricing date:
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$939.40 per security. See “Investment Overview” beginning on page 4.
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Commissions and issue price:
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Price to public
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Agent’s commissions(1)
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Proceeds to us(2)
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Per security
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$1,000
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$15
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$985
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Total
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$3,000,000
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$45,000
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$2,955,000
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(1)
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Selected dealers and their financial advisors will collectively receive from the agent, Morgan Stanley & Co. LLC, a
fixed sales commission of $15 for each security they sell. In addition, selected dealers and their financial advisors will receive
a structuring fee of up to $2.50 and a distribution fee of $2 for each security from the agent or its affiliates. See “Supplemental
information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution
(Conflicts of Interest)” in the accompanying prospectus supplement.
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(2)
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See “Use of proceeds and hedging” on page 36.
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The securities involve risks not associated with an investment
in ordinary debt securities. See “Risk Factors” beginning on page 13.
The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these securities, or determined if this document or the accompanying prospectus 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
prospectus supplement, 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.
References to “we,” “us” and “our”
refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Morgan Stanley
Finance LLC
Callable
Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors®
Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
Terms continued from previous page:
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Redemption payment:
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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.
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Redemption dates:
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Beginning on April 22, 2021, monthly. See “Observation Dates, Coupon Payment Dates and Redemption Dates” below. 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.
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Initial share price:
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With respect to the GDX Shares, $39.16, which is the closing
price of such underlying shares on October 19, 2020
With respect to the SLV Shares, $22.58, which is the closing
price of such underlying shares on October 19, 2020
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Final share price:
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With respect to each of the underlying shares, the respective closing price on the final observation date times the applicable adjustment factor on such day
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Determination closing price:
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With respect to each of the underlying shares, on any trading day, the closing price of such underlying shares on such day times the applicable adjustment factor on such day
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Worst performing underlying shares:
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The underlying shares with the larger percentage decrease
from the respective initial share price to the respective final share price
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Share performance factor:
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With respect to each of the underlying shares, final share price divided by the initial share price
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Coupon barrier level:
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With respect to the GDX Shares, $23.496, which is 60% of the
initial share price for such underlying shares
With respect to the SLV Shares, $13.548, which is 60% of the
initial share price for such underlying shares
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Downside threshold level:
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With respect to the GDX Shares, $23.496, which is 60% of the
initial share price for such underlying shares
With respect to the SLV Shares, $13.548, which is 60% of the
initial share price for such underlying shares
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Coupon payment dates:
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Monthly, as set forth under “Observation Dates, Coupon Payment Dates and Redemption 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; provided further that the contingent monthly coupon, if any, with respect to the final observation date shall be paid on the maturity date.
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Observation dates:
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Monthly, as set forth under “Observation Dates, Coupon Payment Dates and Redemption Dates” below, subject to postponement for non-trading days and certain market disruption events. We also refer to October 19, 2023 as the final observation date.
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Adjustment factor:
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With respect to each of the underlying shares, 1.0, subject to adjustment in the event of certain events affecting such underlying shares
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CUSIP / ISIN:
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61771EDL9 / US61771EDL92
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Listing:
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The securities will not be listed on any securities exchange.
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Observation Dates, Coupon
Payment Dates and Redemption Dates
Observation Dates
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Coupon Payment Dates / Redemption Dates
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November 19, 2020
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November 24, 2020*
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December 21, 2020
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December 24, 2020*
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January 19, 2021
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January 22, 2021*
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February 19, 2021
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February 24, 2021*
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March 19, 2021
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March 24, 2021*
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April 19, 2021
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April 22, 2021
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May 19, 2021
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May 24, 2021
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June 21, 2021
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June 24, 2021
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July 19, 2021
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July 22, 2021
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August 19, 2021
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August 24, 2021
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September 20, 2021
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September 23, 2021
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October 19, 2021
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October 22, 2021
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November 19, 2021
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November 24, 2021
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December 20, 2021
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December 23, 2021
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January 19, 2022
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January 24, 2022
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February 22, 2022
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February 25, 2022
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March 21, 2022
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March 24, 2022
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April 19, 2022
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April 22, 2022
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Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
May 19, 2022
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May 24, 2022
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June 20, 2022
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June 23, 2022
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July 19, 2022
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July 22, 2022
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August 19, 2022
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August 24, 2022
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September 19, 2022
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September 22, 2022
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October 19, 2022
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October 24, 2022
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November 21, 2022
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November 25, 2022
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December 19, 2022
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December 22, 2022
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January 19, 2023
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January 24, 2023
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February 21, 2023
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February 24, 2023
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March 20, 2023
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March 23, 2023
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April 19, 2023
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April 24, 2023
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May 19, 2023
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May 24, 2023
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June 19, 2023
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June 22, 2023
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July 19, 2023
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July 24, 2023
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August 21, 2023
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August 24, 2023
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September 19, 2023
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September 22, 2023
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October 19, 2023 (final observation date)
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October 24, 2023 (maturity date)
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*The securities are not subject to early redemption until the sixth coupon payment date, which is April 22, 2021.
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Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
Investment Overview
Callable Contingent Income Securities
Principal at Risk Securities
Callable Contingent Income Securities due October 24, 2023 Payments
on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares®
Silver Trust (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 determination closing price of
each of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust (which we refer
to together as the “underlying shares”) is at or above 60% of its respective initial share price, which we refer
to as the respective coupon barrier level, on the related observation date. If the determination closing price of either of
the underlying shares is less than the coupon barrier level for such underlying shares on any observation date, we will pay no
coupon for the related monthly period. It is possible that the determination closing price of one or both of the underlying shares
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 2-year term of the securities. Even
if each of the underlying shares were to close at or above the coupon barrier level for such underlying shares on some monthly
observation dates, the price of either of the underlying shares may fluctuate below the respective coupon barrier level
on others. In addition, even if one of the underlying shares were to be at or above the coupon barrier level for such underlying
shares on all monthly observation dates, you will receive a contingent monthly coupon only with respect to the observation dates
on which the other underlying shares are also at or above the respective coupon barrier level for such underlying shares, if any.
In addition, beginning on April 22, 2021, we will redeem the securities on any monthly redemption date, for a 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, if and only if the output of a risk neutral valuation model on a business day that is at least 2 but no more
than 5 business days prior to such redemption date, based on the inputs indicated under “Call feature” on the cover
page, indicates that redeeming on such date is economically rational for us as compared to not redeeming on such date. An early
redemption of the securities will not automatically occur based on the performance of the underlying shares. At maturity, if the
securities have not been previously redeemed and if the final share price of each of the underlying shares is greater than
or equal to 60% of the respective initial share price, which we refer to as the respective downside threshold level, the payment
at maturity will be the stated principal amount and the related contingent monthly coupon. If, however, the final share price of
either of the underlying shares is less than its respective downside threshold level, investors will be exposed to the decline
in the worst performing underlying shares 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 either of the underlying shares and also the risk
of not receiving any monthly coupons throughout the entire term of the securities.
Maturity:
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Approximately 3 years, unless redeemed earlier based on the output of a risk neutral valuation model
|
Contingent monthly coupon:
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If, on any observation date, the determination closing price
of each of the underlying shares is greater than or equal to its respective coupon barrier level, we will pay a contingent
monthly coupon at an annual rate of 11.15% (corresponding to approximately $9.292 per month per security) on the related contingent
coupon payment date.
If, on any observation date, the determination closing price
of either of the underlying shares is less than the coupon barrier level for such underlying shares, no contingent
monthly coupon will be paid with respect to that observation date. It is possible that one or both of the underlying shares
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.
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Early redemption:
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Beginning on April 22, 2021, we will redeem the securities on
any monthly 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, if and only if the output of a risk neutral valuation model
on a business day that is at least 2 but no more than 5 business days prior to such redemption date, based on the inputs indicated
under “Call feature” on the cover page, indicates that redeeming on such date is economically rational for us as compared
to not redeeming on such date. An early redemption of the securities will not automatically occur based on the performance of the
underlying shares. In accordance with the risk neutral valuation model determination noted herein, it is more likely that we will
redeem the securities
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk 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 determination closing price of each of the
underlying shares 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 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 redeem the securities
when the determination closing price of either of the underlying shares is below its respective coupon barrier level and/or when
the final share price of either of the underlying shares 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 redeem the securities, 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 share price of each of the underlying shares
is greater than or equal to its respective downside threshold level: the stated principal amount and the contingent monthly
coupon with respect to the final observation date.
If the final share price of either of the underlying shares
is less than its respective downside threshold level: (i) the stated principal amount multiplied by (ii) the share
performance factor of the worst performing underlying shares. Under these circumstances, the payment at maturity will be less than
60% of the stated principal amount of the securities and could be zero.
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
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 is less than $1,000. We estimate that the value of each security on the
pricing date is $939.40.
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 shares. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the
underlying shares, instruments based on the underlying shares, 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 shares, 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 shares,
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 October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
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 determination closing price of each of the underlying
shares is at or above 60% of its initial share price, 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 either of the underlying
shares closes below the coupon barrier level for such underlying shares on the observation dates, and the risk of an early redemption
of the securities based on the output of a risk neutral valuation model. 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 based on the output of a risk neutral valuation model, 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 either of the underlying shares.
Scenario 1: The securities are redeemed prior to maturity.
|
This scenario assumes that the securities are redeemed prior to the maturity date on one of the monthly redemption dates, starting on April 22, 2021, six months after the original issue date, based on the output of a risk neutral valuation model, 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 early redemption, each of the underlying shares 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 or both of the underlying shares close(s) below the respective coupon barrier level(s) 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 the securities are not redeemed on any of the monthly redemption dates, and, as a result, investors hold the securities to maturity. During the term of the securities, each of the underlying shares closes at or above its respective coupon barrier level on some monthly observation dates, but one of both of the underlying shares close(s) below the respective coupon barrier level(s) for such underlying shares on the others. Investors will receive the contingent monthly coupon for the monthly periods for which the determination closing price of each of the underlying shares is at or above its respective coupon barrier level on the related observation date, but not for the monthly periods for which one or both of the underlying shares close(s) below the respective coupon barrier level(s) on the related observation date. On the final observation date, each of the underlying shares closes at or above its respective downside threshold level. At maturity, investors receive the stated principal amount and 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 the securities are not redeemed on any of the monthly redemption dates, and, as a result, investors hold the securities to maturity. During the term of the securities, one or both of the underlying shares close(s) below the respective coupon barrier level(s) on every monthly observation date. Since one or both of the underlying shares close(s) 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 both of the underlying shares close(s) below the respective downside threshold level(s). At maturity, investors will receive an amount equal to the stated principal amount multiplied by the share performance factor of the worst performing underlying shares. 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 October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
Underlyings Summary
VanEck Vectors® Gold Miners
ETF
The VanEck Vectors® Gold Miners ETF is an exchange-traded
fund managed by VanEck, a registered investment company that seeks investment results that correspond generally to the price and
yield performance, before fees and expenses, of the NYSE Arca Gold Miners Index. VanEck Vectors® ETF Trust (the
“Trust”) is an investment portfolio managed by VanEck. Information provided to or filed with the Securities and Exchange
Commission by the Trust pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference
to Commission file numbers 333-123257 and 811-10325, respectively, through the Commission’s website at www.sec.gov. In addition,
information may be obtained from other publicly available sources. Neither the issuer nor the agent makes any representation
that any such publicly available information regarding the VanEck Vectors® Gold Miners ETF is accurate or complete.
Information as of market close on October 21, 2020:
Bloomberg Ticker Symbol:
|
GDX UP
|
Current Share Price:
|
$39.92
|
52 Weeks Ago:
|
$26.58
|
52 Week High (on 8/5/2020):
|
$44.53
|
52 Week Low (on 3/13/2020):
|
$19.00
|
This document relates only to the securities referenced hereby
and does not relate to the GDX Shares. We have derived all disclosures contained in this document regarding the Trust from the
publicly available documents described above. In connection with the offering of the securities, neither we nor the agent has participated
in the preparation of such documents or made any due diligence inquiry with respect to the Trust. Neither we nor the agent makes
any representation that such publicly available documents or any other publicly available information regarding the Trust is accurate
or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that
would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price
of the GDX Shares (and therefore the price of the GDX Shares at the time we priced the securities) have been publicly disclosed.
Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the Trust
could affect the value received with respect to the securities and therefore the value of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the GDX Shares.
We and/or our affiliates may presently or from time to time engage
in business with the Trust. In the course of such business, we and/or our affiliates may acquire non-public information with respect
to the Trust, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or
more of our affiliates may publish research reports with respect to the GDX Shares. The statements in the preceding two sentences
are not intended to affect the rights of investors in the securities under the securities laws. As a purchaser of the securities,
you should undertake an independent investigation of the Trust as in your judgment is appropriate to make an informed decision
with respect to an investment linked to the GDX Shares.
Market VectorsSM is a service mark of Van Eck Associates
Corporation (“Van Eck”). The securities are not sponsored, endorsed, sold, or promoted by Van Eck. Van Eck makes no
representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing
in the securities. Van Eck has no obligation or liability in connection with the operation, marketing, trading or sale of the securities.
The NYSE Arca Gold Miners Index.
The NYSE Arca Gold Miners Index is a modified market capitalization weighted index comprised of publicly traded companies involved
primarily in the mining of gold and silver. The NYSE Arca Gold Miners Index includes common stocks, ADRs or GDRs of selected companies
involved in the mining for gold and silver ore and are listed for trading and electronically quoted on a major stock market that
is accessible by foreign investors. For additional information about the NYSE Arca Gold Miners Index, please see the information
set forth under “NYSE Arca Gold Miners Index” in the accompanying index supplement.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
iShares® Silver Trust
The iShares® Silver Trust (the “Silver Trust”)
is an investment trust sponsored by iShares® Delaware Trust Sponsor LLC , which seeks to provide investment results
that reflect the performance of the price of silver, less the iShares® Silver Trust’s expenses and liabilities.
The assets of the iShares® Silver Trust consists primarily of silver held by a custodian on behalf of the iShares®
Silver Trust. Information provided to or filed with the Securities and Exchange Commission (the “Commission”) by the
iShares® Silver Trust pursuant to the Securities Act of 1933 can be located by reference to Commission file number
001-32863 through the Commission’s website at www.sec.gov. In addition, information may be obtained from other publicly available
sources. Neither the issuer nor the agent makes any representation that any such publicly available information regarding the
iShares® Silver Trust is accurate or complete.
All information contained in this document regarding the iShares®
Silver Trust (the “Silver Trust”), has been derived from publicly available information, without independent verification.
This information reflects the policies of, and is subject to change by, iShares® Delaware Trust Sponsor LLC, a subsidiary
of BlackRock, Inc., the sponsor of the Silver Trust. The Bank of New York Mellon is the trustee of the Silver Trust, and JPMorgan
Chase Bank, N.A. is the custodian of the Silver Trust. Shares of the Silver Trust trades under the ticker symbol “SLV”
on NYSE Arca, Inc.
The Silver Trust issues shares in exchange for deposits of silver
and distributes silver in connection with the redemption of shares. The shares of the Silver Trust are intended to constitute a
simple and cost-effective means of making an investment similar to an investment in silver.
The Silver Trust does not engage in any activity designed to
derive a profit from changes in the price of silver. The Silver Trust’s only ordinary recurring expense is expected to be
the sponsor’s fee, which accrues daily at an annualized rate equal to 0.50% of the net asset value of the Silver Trust and
is payable monthly in arrears. The trustee of the Silver Trust will, when directed by the sponsor of the Silver Trust, and, in
the absence of such direction, may in its discretion, sell silver in such quantity and at such times as may be necessary to permit
payment of the Silver Trust sponsor’s fee and of Silver Trust expenses or liabilities not assumed by the sponsor. As a result
of the recurring sales of silver necessary to pay the Silver Trust sponsor’s fee and the Silver Trust expenses or liabilities
not assumed by the Silver Trust sponsor, the net asset value of the Silver Trust will decrease over the life of the Silver Trust.
Information as of market close on October 21, 2020:
Bloomberg Ticker Symbol:
|
SLV UP
|
Current Share Price:
|
$23.29
|
52 Weeks Ago:
|
$16.41
|
52 Week High (on 8/10/2020):
|
$27.00
|
52 Week Low (on 3/18/2020):
|
$11.21
|
This document relates only to the securities referenced hereby
and does not relate to the SLV Shares. We have derived all disclosures contained in this document regarding the Silver Trust from
the publicly available documents described above. In connection with the offering of the securities, neither we nor the agent has
participated in the preparation of such documents or made any due diligence inquiry with respect to the Silver Trust. Neither we
nor the agent makes any representation that such publicly available documents or any other publicly available information regarding
the Silver Trust is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date
hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that
would affect the trading price of the SLV Shares (and therefore the price of the SLV Shares at the time we priced the securities)
have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future
events concerning the Silver Trust could affect the value received with respect to the securities and therefore the value of the
securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the SLV Shares.
We and/or our affiliates may presently or from time to time engage
in business with the Silver Trust. In the course of such business, we and/or our affiliates may acquire non-public information
with respect to the Silver Trust, and neither we nor any of our affiliates undertakes to disclose any such information to you.
In addition, one or more of our affiliates may publish research reports with respect to the SLV Shares. The statements in the preceding
two sentences are not intended to affect the rights of investors in the securities under the securities laws. As a purchaser of
the securities, you should undertake an independent investigation of the Trust as in your judgment is appropriate to make an informed
decision with respect to an investment linked to the SLV Shares.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
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 determination closing price of each of the underlying shares on each monthly observation date, and the amount you will receive
at maturity, if any, will be determined by reference to the final share price of each of the underlying shares on the final observation
date. Any early redemption of the securities will be based on the output of a risk neutral valuation model. The actual initial
share price, coupon barrier level and downside threshold level for each of the underlying shares are set forth on the cover of
this document. All payments on the securities, if any, are subject to our credit risk. The below examples are based on the following
terms:
Contingent Monthly Coupon:
|
If, on any observation date, the determination closing price
of each of the underlying shares is greater than or equal to its respective coupon barrier level, we will pay a contingent
monthly coupon at an annual rate of 11.15% (corresponding to approximately $9.292 per month per security) on the related contingent
coupon payment date.
If, on any observation date, the determination closing price
of either of the underlying shares is less than the coupon barrier level for such underlying shares, no contingent
monthly coupon will be paid with respect to that observation date. It is possible that the price of one or both of the underlying
shares 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.
|
Call Feature:
|
Beginning on April 22, 2021, an early redemption, in whole but not in part, will occur on a redemption date if and only if the output of a risk neutral valuation model on a business day that is at least 2 but no more than 5 business days prior to such redemption date, as selected by the calculation agent (the “determination date”), taking as input: (i) prevailing reference market levels, volatilities and correlations, as applicable and in each case as of the determination date and (ii) Morgan Stanley’s credit spreads as of the pricing date, indicates that redeeming on such date is economically rational for us as compared to not redeeming on such date. If we call the securities, we will give you notice at least 2 business days before the call date specified in the notice. Any redemption payment will be 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):
|
If the final share price of each of the underlying shares
is greater than or equal to its respective downside threshold level: the stated principal amount and the contingent monthly
coupon with respect to the final observation date.
If the final share price of either of the underlying shares
is less than its respective downside threshold level: (i) the stated principal amount multiplied by (ii) the share
performance factor of the worst performing underlying shares. 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 Share Price:
|
With respect to the GDX Shares: $40.00
With respect to the SLV Shares: $25.00
|
Hypothetical Coupon Barrier Level:
|
With respect to the GDX Shares: $24.00, which is 60% of the hypothetical
initial share price for such underlying shares
With respect to the SLV Shares: $15.00, which is 60% of the hypothetical
initial share price for such underlying shares
|
Hypothetical Downside Threshold Level:
|
With respect to the GDX Shares: $24.00, which is 60% of the hypothetical
initial share price for such underlying shares
With respect to the SLV Shares: $15.00, which is 60% of the hypothetical
initial share price for such underlying shares
|
* The actual contingent monthly coupon will be an amount determined
by the calculation agent based on the number of days in the applicable payment period, calculated on a 30/360 basis. The hypothetical
contingent monthly coupon of $9.292 is used in these examples for ease of analysis.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
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):
|
Determination Closing Price
|
Contingent Monthly Coupon
|
|
GDX Shares
|
SLV Shares
|
|
Hypothetical Observation Date 1
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$36.00 (at or above coupon barrier level)
|
$27.00 (at or above coupon barrier level)
|
$9.292
|
|
Hypothetical Observation Date 2
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$38.00 (at or above coupon barrier level)
|
$10.00 (below coupon barrier level)
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$0
|
|
Hypothetical Observation Date 2
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$20.00 (below coupon barrier level)
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$9.00 (below coupon barrier level)
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$0
|
|
On hypothetical observation date 1, the GDX Shares and the SLV
Shares both close at or above their respective coupon barrier levels. Therefore, a contingent monthly coupon of $9.292 is paid
on the relevant coupon payment date.
On hypothetical observation date 2, the GDX Shares close at or
above its coupon barrier level but the SLV Shares close below its coupon barrier level. Therefore, no contingent monthly coupon
is paid on the relevant coupon payment date.
On hypothetical observation date 3, each of the underlying shares
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):
|
Final Share Price
|
Payment at Maturity
|
|
GDX Shares
|
SLV Shares
|
|
Example 1:
|
$45.00 (at or above the downside threshold level and coupon barrier level)
|
$30.00 (at or above the downside threshold level and coupon barrier level)
|
$1,009.292 (the stated principal amount plus the contingent monthly coupon with respect to the final observation date)
|
Example 2:
|
$12.00 (below the downside threshold level)
|
$20.00 (at or above the downside threshold level and coupon barrier level)
|
$1,000 × share performance factor = $1,000 × ($12.00 / $40.00) = $300
|
Example 3:
|
$16.00 (below the downside threshold level)
|
$11.25 (below the downside threshold level)
|
$1,000 × share performance factor = $1,000 × ($16.00 / $40.00) = $400
|
Example 4:
|
$16.00 (below the downside threshold level)
|
$5.00 (below the downside threshold level)
|
$1,000 × share performance factor = $1,000 × ($5.00 / $25.00) = $200
|
|
|
|
|
|
In example 1, the final share price of each of the underlying
shares is at or above its respective downside threshold level. Therefore, investors receive at maturity the stated principal amount
of the securities and the contingent monthly coupon with respect to the final observation date. However, investors do not participate
in the appreciation of either of the underlying shares.
In example 2, the final share price of one of the underlying
shares is at or above its respective downside threshold level, but the final share price of the other underlying shares is below
its respective downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying
shares at maturity and receive at maturity an amount equal to the stated principal amount times the share performance factor
of the worst performing underlying shares.
In examples 3 and 4, the final share price of each of the underlying
shares is below its respective downside threshold level, and investors receive at maturity an amount equal to the state principal
amount times the share performance factor of the worst performing underlying shares. In example 3, the GDX Shares have declined
60% from the respective initial share price to the respective final share price, while the SLV Shares have declined 55% from the
respective initial share price to the final share price. Therefore, the payment at maturity equals the stated principal amount
times the share performance factor of the GDX Shares, which are the worst performing underlying shares in this example.
In example 4, the GDX Shares have declined 60% from the respective initial share price to the respective final share price and
the SLV Shares have declined 80% from the respective initial share price to the final share price.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
Therefore, the payment at maturity equals the stated principal
amount times the share performance factor of the SLV Shares, which are the worst performing underlying shares in this example.
If the securities have not been redeemed prior to maturity
and the final share price of EITHER of the underlying shares is below its respective downside threshold level, you will be exposed
to the downside performance of the worst performing underlying shares at maturity, and your payment at maturity will be less than
$600 per security and could be zero.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the securities. For further discussion of these and other risks, you should read the section entitled
“Risk Factors” in the accompanying prospectus supplement, index supplement and prospectus. We also urge you to consult
with your investment, legal, tax, accounting and other advisers before you invest in the securities.
|
§
|
The securities do not guarantee the return of any principal. The terms of the securities differ from those of ordinary
debt securities in that they do not guarantee the repayment of principal. If the securities have not been redeemed prior to maturity
and the final share price of either of the underlying shares is less than its respective downside threshold level of 60% of its
initial share price, you will be exposed to the decline in the final share price of worst performing underlying shares, as compared
to its initial share price, on a 1-to-1 basis, and you will receive for each security that you hold at maturity an amount equal
to the stated principal amount times the share performance factor of the worst performing underlying shares. In this
case, the payment at maturity will be less than 60% of the stated principal amount and could be zero.
|
|
§
|
The securities do not provide for regular interest payments. The terms of the securities differ from those of ordinary
debt securities in that they do not provide for the regular payment of interest. The securities will pay a contingent monthly coupon
only if the determination closing price of each of the underlying shares is at or above 60% of its respective initial share price,
which we refer to as the respective coupon barrier level, on the related observation date. If, on the other hand, the determination
closing price of either of the underlying shares is lower than the coupon barrier level for such underlying shares on the relevant
observation date for any interest period, we will pay no coupon on the applicable coupon payment date. It is possible that the
determination closing price of one or both of the underlying shares will remain below the respective coupon barrier level(s) for
extended periods of time or even throughout the entire term of the securities. If you do not earn sufficient contingent monthly
coupons over the term of the securities, the overall return on the securities may be less than the amount that would be paid on
a conventional debt security of ours of comparable maturity.
|
|
§
|
The securities have early redemption risk. The
term of the securities, and thus your opportunity to earn a potentially above-market coupon if the determination closing price
of each of the underlying shares is greater than or equal to the coupon barrier level for such underlying shares on monthly observation
dates, will be limited if we redeem the securities based
on the output of a risk neutral valuation model on any monthly redemption date, beginning April 22, 2021. The term of your investment
in the securities may be limited to as short
as six months. In accordance with the risk neutral valuation model determination noted herein, it is more likely that we will redeem
the securities when it would be advantageous
for you to continue to hold the securities. As such, we will be more likely to redeem the securities when the determination
closing price of each of the underlying shares on the observation dates is at or above the coupon barrier level for such underlying
shares, 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 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 redeem the securities when the determination closing price of either of the underlying shares is below the respective
coupon barrier level and/or when the final share price for either of the underlying shares is expected to be below the respective
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 redeem the securities, it is more likely that
you will receive few or no contingent monthly coupons and suffer a significant loss at maturity.
|
§
|
You are exposed to the price risk of each of the underlying shares, with respect to both the contingent monthly coupons,
if any, and the payment at maturity, if any. Your return on the securities is not linked to a basket consisting of each
of the underlying shares. Rather, it will be contingent upon the independent performance of each of the underlying shares. Unlike
an instrument with a return linked to a basket of underlying assets, in which risk is mitigated and diversified among all the components
of the basket, you will be exposed to the risks related to each of the underlying shares. Poor performance by either of
the underlying shares over the term of the securities may negatively affect your return and will not
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
be offset or mitigated by any positive
performance by the other underlying shares. To receive any contingent monthly coupons, each of the underlying
shares must close at or above its respective coupon barrier level on the applicable observation date. In addition, if either of
the underlying shares has declined to below its respective downside threshold level as of the final observation date, you will
be fully exposed to the decline in the worst performing underlying shares over the term of the securities on a
1-to-1 basis, even if the other underlying shares have appreciated or have not declined as much. Under this scenario, the value
of any such payment will be less than 60% of the stated principal amount and could be zero. Accordingly, your investment is subject
to the price risk of each of the underlying shares.
|
§
|
Because the securities are linked to the performance of the worst performing underlying shares, you are exposed to greater
risks of no contingent monthly coupons and sustaining a significant loss on your investment than if the securities were linked
to just one of the underlying shares. The risk that you will not receive any contingent monthly coupons, or that you will
suffer a significant loss on your investment, is greater if you invest in the securities as opposed to substantially similar securities
that are linked to the performance of just one of the underlying shares. With two underlying shares, it is more likely that any
of the underlying shares will close below its coupon barrier level on any observation date, or below its downside threshold level
on the final observation date, than if the securities were linked to only one of the underlying shares. Therefore, it is more likely
that you will not receive any contingent montly coupons and that you will suffer a significant loss on your investment.
|
|
§
|
Investing in the securities exposes investors to risks associated with investments in securities with a concentration in
the gold and silver mining industry. The securities are subject to certain risks applicable to the gold and silver mining
industry. The stocks included in the NYSE Arca Gold Miners Index and that are generally tracked by the GDX Shares are stocks of
companies primarily engaged in the mining of gold or silver. The underlying shares may be subject to increased price volatility
as they are linked to a single industry, market or sector and may be more susceptible to adverse economic, market, political or
regulatory occurrences affecting that industry, market or sector.
|
Because the GDX Shares primarily
invest in stocks, American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”) of companies
that are involved in the gold mining industry, the underlying shares are subject to certain risks associated with such companies.
Competitive pressures may have a
significant effect on the financial condition of companies in the gold mining industry. Also, gold mining companies are highly
dependent on the price of gold. Gold prices are subject to volatile price movements over short periods of time and are affected
by numerous factors. These include economic factors, including, among other things, the structure of and confidence in the global
monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the
currency in which the price of gold is generally quoted), interest rates and gold borrowing and lending rates, and global or regional
economic, financial, political, regulatory, judicial or other events. Gold prices may also be affected by industry factors such
as industrial and jewelry demand, lending, sales and purchases of gold by the official sector, including central banks and other
governmental agencies and multilateral institutions which hold gold, levels of gold production and production costs, and short-term
changes in supply and demand because of trading activities in the gold market.
The GDX Shares invest to a lesser
extent in stocks, ADRs and GDRs of companies involved in the silver mining industry. Silver mining companies are highly dependent
on the price of silver. Silver prices can fluctuate widely and may be affected by numerous factors. These include general economic
trends, technical developments, substitution issues and regulation, as well as specific factors including industrial and jewelry
demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the currency in which the
price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers, global
or regional political or economic events, and production costs and disruptions in major silver producing countries such as Mexico
and Peru. The supply of silver consists of a combination of new mine production and existing stocks of bullion and fabricated silver
held by governments, public and private financial institutions, industrial organizations and private individuals. In addition,
the price of silver has on occasion been subject to very rapid short-term changes due to speculative activities. From time to time,
above-ground inventories of silver may also influence the market. The major end-uses for silver include industrial applications,
jewelry, photography and silverware.
|
§
|
The prices of the GDX Shares are subject to currency exchange risk. Because the prices of the GDX Shares are related
to the U.S. dollar value of stocks underlying the NYSE Arca Gold Miners Index, holders of the securities will be exposed to currency
exchange rate risk with respect to the currencies in which such component securities trade. Exchange rate movements for a particular
currency are volatile and are the result of numerous factors including the supply of, and the
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
demand for, those currencies, as
well as relevant government policy, intervention or actions, but are also influenced significantly from time to time by political
or economic developments, and by macroeconomic factors and speculative actions related to the relevant region. An investor’s
net exposure will depend on the extent to which the currencies of the component securities strengthen or weaken against the U.S.
dollar and the relative weight of each currency. If, taking into account such weighting, the dollar strengthens against the currencies
of the component securities represented in the NYSE Arca Gold Miners Index, the price of the GDX Shares will be adversely affected.
|
§
|
Single commodity prices tend to be more volatile than, and may not correlate with, the prices of commodities generally. The
iShares® Silver Trust is linked exclusively to the price of silver and not to a diverse basket of commodities
or a broad-based commodity index. The price of silver may not correlate with, and may diverge significantly from, the prices of
commodities generally. Because the securities are linked to the SLV Shares, which reflect the performance of the price of a single
commodity, they carry greater risk and may be more volatile than a security linked to the prices of multiple commodities or a broad-based
commodity index. The price of silver may be, and has recently been, highly volatile, and we can give you no assurance that such
volatility will lessen.
|
|
§
|
The securities are subject to risks associated with silver. The iShares® Silver Trust seeks
to reflect generally the performance of the price of silver, less the iShares® Silver Trust’s expenses
and liabilities. The price of silver is primarily affected by global demand for and supply of silver. Silver prices can fluctuate
widely and may be affected by numerous factors. These include general economic trends, technical developments, substitution issues
and regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rate of inflation,
the relative strength of the U.S. dollar (as the currency in which the price of silver is generally quoted) and other currencies,
interest rates, central bank sales, forward sales by producers, global or regional political or economic events and production
costs and disruptions in major silver-producing countries, such as Mexico, China and Peru. The demand for and supply of silver
affect silver prices, but not necessarily in the same manner as supply and demand affect the prices of other commodities. The supply
of silver consists of a combination of new mine production and existing stocks of bullion and fabricated silver held by governments,
public and private financial institutions, industrial organizations and private individuals. In addition, the price of silver has
on occasion been subject to very rapid short-term changes due to speculative activities. From time to time, above-ground inventories
of silver may also influence the market. The major end-uses for silver include industrial applications, jewelry and silverware.
It is not possible to predict the aggregate effect of any or all of these factors.
|
|
§
|
There are risks relating to trading of commodities on the London Bullion Market Association. The investment objective
of the iShares® Silver Trust seeks to reflect generally the performance of the price of silver, less the iShares® Silver
Trust’s expenses and liabilities. The price of silver is determined by the LBMA or an independent service-provider appointed
by the LBMA. The LBMA is a self-regulatory association of bullion market participants. Although all market-making members of the
LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy test, the LBMA itself is not a regulated
entity. If the LBMA should cease operations, or if bullion trading should become subject to a value added tax or other tax or any
other form of regulation not currently in place, the role of LBMA prices as a global benchmark for the value of silver may be adversely
affected. The LBMA is a principals’ market that operates in a manner more closely analogous to an over-the-counter physical
commodity market than a regulated futures markets, and certain features of U.S. futures contracts are not present in the context
of LBMA trading. For example, there are no daily price limits on the LBMA that would otherwise restrict fluctuations in the prices
of LBMA contracts. In a declining market, it is possible that prices would continue to decline without limitation within a trading
day or over a period of trading days. The LBMA may alter, discontinue or suspend calculation or dissemination of the LBMA silver
price, which could adversely affect the value of the securities. The LBMA, or an independent service-provider appointed by the
LBMA, will have no obligation to consider your interests in calculating or revising LBMA prices.
|
|
§
|
Suspensions or disruptions of market trading in commodity and related futures markets could adversely affect the price of
the securities. The commodity markets are subject to temporary distortions or other disruptions due to various factors,
including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. In
addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract
prices which may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits”
and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price.”
Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit prices have the
effect of precluding trading in a particular contract or forcing the liquidation of contracts
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
at disadvantageous times or prices.
These circumstances could adversely affect the value of the commodity that constitutes the SLV Shares, and, therefore, the value
of the securities.
|
§
|
The contingent monthly coupon, if any, is based only on the price of each of the underlying shares on the related monthly
observation date. Whether the contingent monthly coupon will be paid on any coupon payment date will be determined at the
end of the relevant interest period, based on the determination closing price of each of the underlying shares on the relevant
monthly observation date. As a result, you will not know whether you will receive the contingent monthly coupon on any coupon payment
date until near the end of the relevant monthly period. Moreover, because the contingent monthly coupon is based solely on the
price of each of the underlying shares on monthly observation dates, if the determination closing price of either of the underlying
shares on any observation date is below the coupon barrier level for such underlying shares, you will receive no coupon for the
related interest period, even if the price of such underlying shares was at or above its respective coupon barrier level on other
days during that interest period and even if the determination closing price of the other underlying shares is at or above the
coupon barrier level for such underlying shares.
|
|
§
|
Investors will not participate in any appreciation in either of the underlying shares.
Investors will not participate in any appreciation in either of the underlying shares from the initial share price for such underlying
shares, and the return on the securities will be limited to the contingent monthly coupons, if any, that are paid with respect
to each observation date on which the determination closing price of each of the underlying shares is greater than or equal to
its respective coupon barrier level until the securities are redeemed or reach maturity.
|
|
§
|
The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads
may adversely affect the market value of the securities. You are dependent on our ability to pay all amounts due on the securities
at maturity or on any coupon payment date, and therefore you are subject to our credit risk. The securities are not guaranteed
by any other entity. If we default on our obligations under the securities, your investment would be at risk and you could lose
some or all of your investment. As a result, the market value of the securities prior to maturity will be affected by changes in
the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit
spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the securities.
|
|
§
|
As a finance subsidiary, MSFL has no independent operations and will have no independent
assets. As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities
and will have no independent assets available for distributions to holders of MSFL securities if they make claims in respect of
such securities in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited
to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other
unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley
and its assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings
they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated
creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities.
|
|
§
|
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. may be willing to purchase or sell the securities in the secondary
market. We expect that generally the level of interest rates available in the market and the prices of the underlying shares on
any day, including in relation to the respective coupon barrier levels and downside threshold levels, will affect the value of
the securities more than any other factors. Other factors that may influence the value of the securities include:
|
|
o
|
the trading price and volatility (frequency and magnitude of changes in value) of the underlying shares, the stocks composing
the share underlying index with respect to the GDX Shares or the underlying commodity with respect to the SLV Shares,
|
|
o
|
whether the determination closing price of either of the underlying shares has been below its respective coupon barrier level
on any observation date,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying shares
or equity or commodity markets generally and which may affect the prices of the underlying shares,
|
|
o
|
dividend rates on the securities underlying the share underlying index with respect to the GDX Shares,
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
|
o
|
the time remaining until the securities mature,
|
|
o
|
interest and yield rates in the market,
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|
o
|
the availability of comparable instruments,
|
|
o
|
the composition of the GDX Shares and changes in the constituent stocks of the GDX Shares,
|
|
o
|
the occurrence of certain events affecting the underlying shares that may or may not require an adjustment to the adjustment
factor, and
|
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
Some
or all of these factors will influence the price that you will receive if you sell your securities prior to maturity. In particular,
if either of the underlying shares has closed near or below the respective coupon barrier level and downside threshold level, the
market value of the securities is expected to decrease substantially and you may have to sell your securities at a substantial
discount from the stated principal amount of $1,000 per security.
You cannot predict the future performance
of either of the underlying shares based on its historical performance. The price of either of the underlying shares may decrease
and close below the coupon barrier level for such underlying shares on each observation date so that you will receive no return
on your investment, and one or both of the underlying shares may close below the respective downside threshold level(s) on the
final observation date so that you lose more than 40% or all of your initial investment in the securities. There can be no assurance
that the determination closing price of each of the underlying shares will be at or above the respective coupon barrier level on
any observation date so that you will receive a coupon payment on the securities for the applicable interest period or that they
will be at or above their respective downside threshold levels on the final observation date so that you do not suffer a significant
loss on your initial investment in the securities. See “VanEck Vectors® Gold Miners ETF Historical Performance”
and “iShares® Silver Trust Historical Performance” below.
|
§
|
The antidilution adjustments the calculation agent is required to make do not cover every event that could affect the underlying
shares. MS & Co., as calculation agent, will adjust the adjustment factors for certain events affecting the underlying
shares. However, the calculation agent will not make an adjustment for every event that can affect the underlying shares. If an
event occurs that does not require the calculation agent to adjust an adjustment factor, the market price of the securities
may be materially and adversely affected.
|
|
§
|
Adjustments to the GDX Shares or the index tracked by the GDX Shares could adversely affect the value of the securities. The
investment adviser to the VanEck Vectors® Gold Miners ETF, VanEck Associates Corporation (the “Investment
Adviser”), seeks investment results that correspond generally to the price and yield performance, before fees and expenses,
of the NYSE Arca Gold Miners Index). Pursuant to its investment strategies or otherwise, the Investment Adviser may add, delete
or substitute the securities composing the VanEck Vectors® Gold Miners ETF. Any of these actions could adversely
affect the price of the GDX Shares and, consequently, the value of the securities. ICE Data Indices, LLC (“IDI”) is
responsible for calculating and maintaining the NYSE Arca Gold Miners Index. IDI may add, delete or substitute the securities constituting
the NYSE Arca Gold Miners Index or make other methodological changes that could change the level of the NYSE Arca Gold Miners Index.
IDI may discontinue or suspend calculation or publication of the NYSE Arca Gold Miners 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 NYSE
Arca Gold Miners Index and is permitted to consider indices that are calculated and published by the calculation agent or any of
its affiliates. Any of these actions could adversely affect the price of the GDX Shares and, consequently, the value of the securities.
|
|
§
|
The performance and market price of the GDX Shares and the SLV Shares, particularly during periods of market volatility,
may not correlate with the performance of the share underlying index or the component securities of the share underlying index,
with respect to the GDX Shares, or the performance of the underlying commodity, with respect to the SLV Shares, or the net asset
value per share of the respective underlying shares. The GDX Shares do not fully replicate
the share underlying index and may hold securities that are different than those included in the share underlying index, and the
SLV Shares do not fully replicate their underlying commodity.
|
With
respect to the GDX Shares, the performance of the underlying shares will reflect additional transaction costs and fees that are
not included in the calculation of the share underlying index. All of these factors may lead to a lack of correlation
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
between
the performance of the GDX Shares and the share underlying index. In addition, corporate actions (such as mergers and spin-offs)
with respect to the securities underlying the GDX Shares may impact the variance between the performances of the GDX Shares and
the share underlying index.
With
respect to the SLV Shares, the underlying shares do not fully replicate the performance of their underlying commodity due to the
fees and expenses charged by the underlying shares or by restrictions on access to the underlying commodity due to other circumstances.
The SLV Shares do not generate any income, and as the SLV Shares regularly sell their underlying commodity to pay for ongoing expenses,
the amount of its underlying commodity represented by each share gradually declines over time. The SLV Shares sell its underlying
commodity to pay expenses on an ongoing basis irrespective of whether the trading price of the shares rises or falls in response
to changes in the price of its underlying commodity. The sale by the SLV Shares of its underlying commodity to pay expenses at
a time of relatively low prices for its underlying commodity could adversely affect the value of the securities. Additionally,
there is a risk that part or all of the holdings of the SLV Shares in its underlying commodity could be lost, damaged or stolen
due to war, terrorism, theft, natural disaster or otherwise.
Additionally,
because the shares of each of the underlying shares are traded on an exchange and are subject to market supply and investor demand,
the market price of one share of each of the underlying shares may differ from the net asset value per share of such underlying
shares.
In
particular, during periods of market volatility, or unusual trading activity, trading in the components underlying each of the
underlying shares may be disrupted or limited, or such components may be unavailable in the secondary market. Under these circumstances,
the liquidity of each underlying shares may be adversely affected, market participants may be unable to calculate accurately the
net asset value per share of each of the underlying shares, and their ability to create and redeem shares of each of the underlying
shares may be disrupted. Under these circumstances, the market price of shares of each of the underlying shares may vary substantially
from the net asset value per share of each underlying shares, the level of the NYSE Arca Gold Miners Index, with respect to the
GDX Shares, or the performance of the underlying commodity, with respect to the SLV Shares.
For
all of the foregoing reasons, the performance of the GDX Shares may not correlate with the performance of the share underlying
index or the component securities of the share underlying index and the performance of the SLV Shares may not correlate with the
performance of its underlying commodity, and the performance of each of the underlying shares may not correlate with the performance
of the net asset value per share of such underlying shares. Any of these events could materially and adversely affect the prices
of each of the underlying shares and, therefore, the value of the securities. Additionally, if market volatility or these events
were to occur on the final observation date, the calculation agent would maintain discretion to determine whether such market volatility
or events have caused a market disruption event to occur, and such determination would affect the payment at maturity of the securities.
If the calculation agent determines that no market disruption event has taken place, the payment at maturity would be based solely
on the published closing price per share of each of the underlying shares on the final observation date, even if the GDX Shares
are underperforming the share underlying index or the component securities of the share underlying index, the SLV Shares are underperforming
its underlying commodity and/or any of the underlying shares is trading below the net asset value per share of such underlying
shares.
|
§
|
Investing in the securities is not equivalent to investing in the underlying shares,
the securities composing the NYSE Arca Gold Miners Index or the GDX Shares or the commodity composing the SLV Shares. Investing
in the securities is not equivalent to investing in the underlying shares, in the NYSE Arca Gold Miners Index (the “share
underlying index”), in the securities that constitute the share underlying index or in the commodity that constitutes the
SLV Shares. Investors in the securities will not have voting rights or rights to receive dividends
or other distributions or any other rights with respect to the underlying shares, in the share underlying index or the securities
that constitute the share underlying index, or in the commodity that constitutes the SLV Shares.
|
|
§
|
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 3-year term of the securities.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
MS & Co. may, but is not obligated to, make a market in the securities and, if it once chooses to make a market, may cease
doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at
prices based on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads,
market
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
volatility, the notional size of
the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that
it will be able to resell the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you
to trade or sell the securities easily. Since other broker-dealers may not participate significantly in the secondary market for
the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which
MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the securities, it is likely
that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities to maturity.
|
§
|
The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate
implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated
with issuing, selling, structuring and hedging the securities in the original issue price reduce the economic terms of the securities,
cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market
prices. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including
MS & Co., may be willing to purchase the securities in secondary market transactions will likely be significantly lower than
the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs
that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well
as other factors.
|
The inclusion of the costs of issuing,
selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the securities less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months
following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes
in market conditions, including those related to the underlying shares, 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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|
§
|
Hedging and trading activity by our affiliates could potentially 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 shares, the share underlying index with respect to the GDX Shares or the underlying commodity
with respect to the SLV Shares), including trading in the securities that constitute the share 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 final observation date approaches. Some of our affiliates also
trade the underlying shares and other financial instruments related to the underlying shares, the underlying commodity and the
share 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 October 19, 2020 could potentially increase the initial share price of either of the underlying
shares, and, therefore, could increase (i) the coupon barrier level, which, if the securities have not been redeemed, is the value
at or above which such underlying shares must close on the observation dates in order for you to earn a contingent quarterly coupon
(depending also on the performance of the other underlying shares), and (ii) the downside threshold level, which, if the securities
have not been redeemed prior to maturity, is the value at or above which the underlying shares must close on the final observation
date so that you are not exposed to the negative performance of the worst performing underlying shares at maturity (depending also
on the performance of the
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
other underlying shares). Additionally,
such hedging or trading activities during the term of the securities could affect the value of either of the underlying shares
on the observation dates, and, accordingly, whether we pay a contingent monthly coupon on the securities and the amount of cash
you receive at maturity, if any (depending also on the performance of the other underlying shares).
|
§
|
The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the securities. As calculation agent, MS & Co. will determine the initial share price, coupon barrier level and downside
threshold level for each of the underlying shares, the payment at maturity, if any, whether you receive a contingent monthly coupon
on each coupon payment date and whether to make any adjustments to the adjustment factors. Moreover, certain determinations made
by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such
as with respect to the occurrence or non-occurrence of market disruption events or calculation of the closing price of either of
the underlying shares in the event of a market disruption event. These potentially subjective determinations may affect the payout
to you upon an early redemption or at maturity, if any. For further information regarding these types of determinations, see “Additional
Terms of the Securities—Additional Terms—Calculation agent,” “—Market disruption event,” “—Postponement
of observation dates,” “—Discontinuance of the GDX Shares and/or the share underlying index; alteration of method
of calculation,” “—“Discontinuance of the SLV Shares; alteration of method of calculation” and “—Alternate
exchange calculation in case of an event of default” below. In addition, MS & Co. has determined the estimated value
of the securities on the pricing date.
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|
§
|
The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal
authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects
of the tax treatment of the securities are uncertain.
|
Please read the discussion under
“Additional Information—Tax considerations” in this document concerning the U.S. federal income tax consequences
of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract
that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your
regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse
tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. We do not
plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities,
and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative
treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the
tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities
as debt instruments. In that event, U.S. Holders (as defined below) would be required to accrue into income original issue discount
on the securities every year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference,
if any, between the actual and the projected amount of any contingent payments on the securities) and recognize all income and
gain in respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar
downside protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial instruments that do not have such features.
Non-U.S. Holders (as defined
below) should note that we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at
a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision, and will
not be required to pay any additional amounts with respect to amounts withheld.
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts
described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and
timing of income or loss and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding
tax. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an
investment in the securities, including possible
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
alternative treatments, the issues
presented by this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Morgan Stanley Finance LLC
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Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
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VanEck Vectors®
Gold Miners ETF Historical Performance
The following graph sets forth the daily closing prices of the
GDX Shares for the period from January 1, 2015 through October 21, 2020. The related table sets forth the published high and low
closing prices, as well as end-of-quarter closing prices, of the GDX Shares for each quarter in the same period. The closing price
of the GDX Shares on October 21, 2020 was $39.92. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification. The GDX Shares have at times experienced periods of high volatility, and you should
not take the historical closing prices of the GDX Shares as an indication of their future performance. No assurance can be given
as to the closing price of the GDX Shares on any observation date, including the final observation date.
GDX Shares Daily
Closing Prices
January 1, 2015
to October 21, 2020
|
|
* The black solid line in the graph indicates both the coupon barrier level and the downside threshold level of $23.496, each of which is 60% of the initial share price.
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
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Principal at Risk Securities
VanEck Vectors® Gold Miners ETF (CUSIP 92189F106)
|
High ($)
|
Low ($)
|
Period End ($)
|
2015
|
|
|
|
First Quarter
|
22.94
|
17.67
|
18.24
|
Second Quarter
|
20.82
|
17.76
|
17.76
|
Third Quarter
|
17.85
|
13.04
|
13.74
|
Fourth Quarter
|
16.90
|
13.08
|
13.72
|
2016
|
|
|
|
First Quarter
|
20.86
|
12.47
|
19.98
|
Second Quarter
|
27.70
|
19.53
|
27.70
|
Third Quarter
|
31.32
|
25.45
|
26.43
|
Fourth Quarter
|
25.96
|
18.99
|
20.92
|
2017
|
|
|
|
First Quarter
|
25.57
|
21.14
|
22.81
|
Second Quarter
|
24.57
|
21.10
|
22.08
|
Third Quarter
|
25.49
|
21.21
|
22.96
|
Fourth Quarter
|
23.84
|
21.42
|
23.24
|
2018
|
|
|
|
First Quarter
|
24.60
|
21.27
|
21.98
|
Second Quarter
|
23.06
|
21.81
|
22.31
|
Third Quarter
|
22.68
|
17.57
|
18.52
|
Fourth Quarter
|
21.09
|
18.39
|
21.09
|
2019
|
|
|
|
First Quarter
|
23.36
|
20.31
|
22.42
|
Second Quarter
|
26.17
|
20.17
|
25.56
|
Third Quarter
|
30.95
|
24.58
|
26.71
|
Fourth Quarter
|
29.49
|
26.19
|
29.28
|
2020
|
|
|
|
First Quarter
|
31.05
|
19.00
|
23.04
|
Second Quarter
|
37.21
|
24.03
|
36.68
|
Third Quarter
|
44.53
|
36.17
|
39.16
|
Fourth Quarter (through October 21, 2020)
|
40.96
|
38.11
|
39.92
|
Morgan Stanley Finance LLC
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iShares® Silver
Trust Historical Performance
The following graph sets forth the daily closing prices of the
SLV Shares for the period from January 1, 2015 through October 21, 2020. The related table sets forth the published high and low
closing prices, as well as end-of-quarter closing prices, of the SLV Shares for each quarter in the same period. The closing price
of the SLV Shares on October 21, 2020 was $23.29. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification. The SLV Shares have at times experienced periods of high volatility, and you should
not take the historical closing prices of the SLV Shares as an indication of their future performance. No assurance can be given
as to the closing price of the SLV Shares on any observation date, including the final observation date.
SLV Shares Daily Closing
Prices
January 1, 2015 to October
21, 2020
|
|
* The black solid line in the graph indicates both the coupon barrier level and the downside threshold level of $13.548, each of which is 60% of the initial share price.
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
iShares® Silver Trust (CUSIP 46428Q109)
|
High ($)
|
Low ($)
|
Period End ($)
|
2015
|
|
|
|
First Quarter
|
17.61
|
14.84
|
15.93
|
Second Quarter
|
16.89
|
15.03
|
15.03
|
Third Quarter
|
14.99
|
13.56
|
13.87
|
Fourth Quarter
|
15.42
|
13.06
|
13.19
|
2016
|
|
|
|
First Quarter
|
15.16
|
13.17
|
14.68
|
Second Quarter
|
17.87
|
14.20
|
17.87
|
Third Quarter
|
19.60
|
17.62
|
18.20
|
Fourth Quarter
|
17.87
|
14.91
|
15.11
|
2017
|
|
|
|
First Quarter
|
17.44
|
15.44
|
17.25
|
Second Quarter
|
17.53
|
15.30
|
15.71
|
Third Quarter
|
17.10
|
14.73
|
15.74
|
Fourth Quarter
|
16.41
|
14.85
|
15.99
|
2018
|
|
|
|
First Quarter
|
16.56
|
15.28
|
15.41
|
Second Quarter
|
16.26
|
15.07
|
15.15
|
Third Quarter
|
15.17
|
13.23
|
13.73
|
Fourth Quarter
|
14.52
|
13.15
|
14.52
|
2019
|
|
|
|
First Quarter
|
15.07
|
14.07
|
14.18
|
Second Quarter
|
14.46
|
13.46
|
14.33
|
Third Quarter
|
18.34
|
14.05
|
15.92
|
Fourth Quarter
|
16.92
|
15.48
|
16.68
|
2020
|
|
|
|
First Quarter
|
17.40
|
11.21
|
13.05
|
Second Quarter
|
17.10
|
13.02
|
17.01
|
Third Quarter
|
27.00
|
16.71
|
21.64
|
Fourth Quarter (through October 21, 2020)
|
23.41
|
21.73
|
23.29
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
Additional Terms of the Securities
Please read this information in conjunction with the summary
terms on the front cover of this pricing supplement.
Additional Terms:
|
|
If the terms described herein are inconsistent with those described in the accompanying prospectus supplement, index supplement or prospectus, the terms described herein shall control.
|
Share underlying index (with respect to the GDX Shares):
|
NYSE Arca Gold Miners Index
|
Share underlying index publisher (with respect to the GDX Shares):
|
ICE Data Indices, LLC, or any successor thereof
|
Share underlying index (with respect to the SLV Shares):
|
Silver
|
Denominations:
|
$1,000 per security and integral multiples thereof
|
Interest period:
|
The monthly period from and including the original issue date (in the case of the first interest period) or the previous scheduled coupon payment date, as applicable, to but excluding the following scheduled coupon payment date, with no adjustment for any postponement thereof.
|
Senior security or subordinated security:
|
Senior
|
Specified currency:
|
U.S. dollars
|
Record date:
|
One business day prior to the related scheduled coupon payment date; provided that any contingent monthly coupon payable at maturity shall be payable to the person to whom the payment at maturity shall be payable.
|
Day count convention:
|
Interest will be computed on the basis of a 360-day year of twelve 30-day months.
|
Postponement of observation dates:
|
The observation dates are subject to postponement due to non-trading
days or certain market disruption events, as described in the following paragraph.
If a market disruption event with respect to either of the underlying
shares occurs on any scheduled observation date, or if any such observation date is not a trading day, the closing price solely
for such underlying shares for such date will be determined on the immediately succeeding trading day on which no market disruption
event will have occurred with respect to such affected underlying shares; provided that the determination closing price
for either of the underlying shares will not be determined on a date later than the fifth scheduled trading day after the scheduled
observation date and if such date is not a trading day, or if there is a market disruption event on such date, the calculation
agent will determine the closing price of the affected underlying shares on such fifth trading day based on the mean, as determined
by the calculation agent, of the bid prices for such underlying shares for such date obtained from as many recognized dealers in
such security, but not exceeding three, as will make such bid prices available to the calculation agent. Bids of MS & Co. or
any of its affiliates may be included in the calculation of such mean, but only to the extent that any such bid is the highest
of the bids obtained. If no bid prices are provided from any third-party dealers, the closing price will be determined by the calculation
agent in its sole and absolute discretion (acting in good faith) taking into account any information that it deems relevant.
|
Postponement of coupon payment dates
(including the maturity date and redemption dates):
|
If any scheduled coupon payment date is not a business day, that monthly coupon, if any, shall be paid on the next succeeding business day; provided that the contingent monthly coupon, if any, with respect to the final observation date shall be paid on the maturity date; provided further that if, due to a market disruption event or otherwise, any observation date with respect to either of the underlying shares is postponed so that it falls less than two business days prior to the scheduled coupon payment date, maturity date or redemption date, as applicable, the coupon payment date, maturity date or redemption date, as applicable, shall be postponed to the second business day following the observation date as postponed, by which date the closing price of each of the underlying shares has been determined. In any of these cases, no adjustment shall be made to any contingent monthly coupon payment, payment at maturity or redemption payment made on that postponed date.
|
Business day:
|
Any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions are authorized or required by law or regulation to close in The City of New York.
|
Trading day:
|
Trading day means, in respect of the GDX Shares, a day, as determined
by the calculation agent, that is a day on which the relevant exchange for such underlying shares is open for trading during its
regular trading session, notwithstanding any such relevant exchange closing prior to its scheduled closing time.
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
|
Trading day means, in respect of the SLV Shares, a day, as determined by the calculation agent, on which NYSE Arca (or if NYSE Arca is no longer the principal exchange or trading market for the SLV Shares, such exchange or principal trading market for the SLV Shares that serves as the price-source for the SLV Shares) is open for trading during its regular session, notwithstanding such exchange or principal trading market closing prior to its scheduled closing time.
|
Closing price:
|
Subject to the provisions set out under “Discontinuance
of the GDX Shares and/or the share underlying index; alteration of method of calculation” and “Discontinuance of the
SLV Shares; alteration of method of calculation” below, the closing price for one share of an underlying shares (or one unit
of any other security for which a closing price must be determined) on any trading day means:
(i) if
such underlying shares (or any such other security) are listed on a national securities exchange (other than the Nasdaq), the last
reported sale price, regular way, of the principal trading session on such day on the principal national securities exchange registered
under the Securities Exchange Act of 1934, as amended, on which such underlying shares (or any such other security) are listed,
(ii) if
such underlying shares (or any such other security) are securities of the Nasdaq, the official closing price of such underlying
shares published by the Nasdaq on such day, or
(iii) if
such underlying shares (or any such other security) are not listed on any national securities exchange but are included in the
OTC Bulletin Board Service (the “OTC Bulletin Board”) operated by the Financial Industry Regulatory Authority, Inc.
(“FINRA”), the last reported sale price of the principal trading session on the OTC Bulletin Board on such day for
such underlying shares.
If such underlying shares (or any such other security) are listed
on any national securities exchange but the last reported sale price or the official closing price published by such exchange,
or by the Nasdaq, as applicable, is not available pursuant to the preceding sentence, then the closing price for one share of such
underlying shares (or one unit of any such other security) on any trading day will mean the last reported sale price of the principal
trading session on the over-the-counter market as reported on the Nasdaq or the OTC Bulletin Board on such day. If a market disruption
event (as defined below) occurs with respect to either of the underlying shares (or any such other security) or the last reported
sale price or the official closing price published by the Nasdaq, as applicable, for such underlying shares (or any such other
security) is not available pursuant to either of the two preceding sentences, then the closing price for any trading day will be
the mean, as determined by the calculation agent, of the bid prices for such underlying shares (or any such other security) for
such trading day obtained from as many recognized dealers in such security, but not exceeding three, as will make such bid prices
available to the calculation agent. Bids of MS & Co. and its successors or any of its affiliates may be included in the calculation
of such mean, but only to the extent that any such bid is the highest of the bids obtained. If no bid prices are provided from
any third-party dealers, such closing price will be determined by the calculation agent in its sole and absolute discretion (acting
in good faith) taking into account any information that it deems relevant. The term “OTC Bulletin Board Service” will
include any successor service thereto, or, if applicable, the OTC Reporting Facility operated by FINRA. See “Discontinuance
of the GDX Shares and/or the share underlying index; alteration of method of calculation” and “Discontinuance of the
SLV Shares; alteration of method of calculation” below.
|
Market disruption event:
|
With respect to the GDX Shares, market disruption event means:
(i) the occurrence or existence of any of:
(a) a suspension, absence or material limitation
of trading of the GDX Shares on the primary market for the GDX Shares for more than two hours of trading or during the one-half
hour period preceding the close of the principal trading session in such market; or a breakdown or failure in the price and trade
reporting systems of the primary market for the GDX Shares as a result of which the reported trading prices for the GDX Shares
during the last one-half hour preceding the close of the principal trading session in such market are materially inaccurate; or
the suspension, absence or material limitation of trading on the primary market for trading in futures or options contracts related
to the GDX Shares, if available, during the one-half hour period preceding the close of the principal trading session in the applicable
market, in each case as determined by the calculation agent in its sole discretion; or
(b) a suspension, absence or material limitation
of trading of securities then constituting 20 percent or more of the value of the share underlying index for the GDX Shares on
the relevant exchange(s) for such securities for more than two hours of trading or during the one-half hour period preceding the
close of the principal trading session on such relevant exchange(s), in each case as determined by the calculation agent in its
sole discretion; or
(c) the suspension, material limitation or absence
of trading on any major U.S. securities market for trading in futures or options contracts related to the share underlying index
or the underlying shares for more than two hours of trading or during the one-half hour period preceding the close of the
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
|
principal trading session on such market,
in each case as determined by the calculation agent in its sole
discretion; and
(ii) a determination by the calculation agent in its sole discretion
that any event described in clause (i) above materially interfered with our ability or the ability of any of our affiliates to
unwind or adjust all or a material portion of the hedge position with respect to the securities.
For the purpose of determining whether a market disruption event
exists at any time with respect to the GDX Shares, if trading in a security included in the share underlying index is materially
suspended or materially limited at that time, then the relevant percentage contribution of that security to the level of the share
underlying index will be based on a comparison of (x) the portion of the level of the share underlying index attributable to that
security relative to (y) the overall level of the share underlying index, in each case immediately before that suspension or limitation.
For the purpose of determining whether a market disruption event
has occurred with respect to the GDX Shares: (1) a limitation on the hours or number of days of trading will not constitute a market
disruption event if it results from an announced change in the regular business hours of the relevant exchange or market, (2) a
decision to permanently discontinue trading in the GDX Shares or in the futures or options contract related to the share underlying
index or the GDX Shares will not constitute a market disruption event, (3) a suspension of trading in futures or options contracts
on the share underlying index or the GDX Shares by the primary securities market trading in such contracts by reason of (a) a price
change exceeding limits set by such securities exchange or market, (b) an imbalance of orders relating to such contracts or (c)
a disparity in bid and ask quotes relating to such contracts will constitute a suspension, absence or material limitation of trading
in futures or options contracts related to the share underlying index or the GDX Shares and (4) a “suspension, absence or
material limitation of trading” on any relevant exchange or on the primary market on which futures or options contracts related
to the share underlying index or the GDX Shares are traded will not include any time when such securities market is itself closed
for trading under ordinary circumstances. Regarding any permanent discontinuance of trading in the GDX Shares, see “Discontinuance
of the GDX Shares and/or the share underlying index; alteration of method of calculation” below.
With respect to the SLV Shares, market disruption event means:
(i) the
occurrence or existence of any of:
a. a suspension,
absence or material limitation of trading of the SLV Shares on the primary market for the SLV Shares for more than two hours of
trading or during the one-half hour period preceding the close of the principal trading session in such market; or a breakdown
or failure in the price and trade reporting systems of the primary market for the SLV Shares as a result of which the reported
trading prices for the SLV Shares during the last one-half hour preceding the close of the principal trading session in such market
are materially inaccurate; or the suspension, absence or material limitation of trading on the primary market for trading in futures
or options contracts related to the SLV Shares, if available, during the one-half hour period preceding the close of the principal
trading session in the applicable market; or
b. a suspension,
material limitation or absence of trading on any major U.S. securities market for trading in futures or options contracts related
to the SLV Shares for more than two hours of trading or during the one-half hour period preceding the close of the principal trading
session on such market,
in each case as determined by the calculation agent
in its sole discretion, and
(ii) a
determination by the calculation agent in its sole discretion that any event described in clause (i) above materially interfered
with our ability or the ability of any of our affiliates to unwind or adjust all or a material portion of the hedge position with
respect to the securities.
For the purpose of determining whether a market disruption event
in respect of the SLV Shares has occurred: (1) a limitation on the hours or number of days of trading will not constitute a market
disruption event if it results from an announced change in the regular business hours of the market, (2) a decision to permanently
discontinue trading in the SLV Shares or in the relevant futures or options contract will not constitute a market disruption event,
(3) a suspension of trading in futures or options contracts on the SLV Shares by the primary securities market trading in such
contracts by reason of (a) a price change exceeding limits set by such securities exchange or market, (b) an imbalance of orders
relating to such contracts or (c) a disparity in bid and ask quotes relating to such contracts will constitute a suspension, absence
or material limitation of trading in futures or options contracts related to the SLV Shares and (4) a “suspension, absence
or material limitation of trading” on the primary market on which futures or options contracts related to the SLV Shares
are traded will not include any time when such securities market is itself closed for trading under ordinary circumstances.
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
Discontinuance of the GDX Shares and/or the share underlying index; alteration of method of calculation:
|
If trading in the GDX Shares on every applicable national securities
exchange, on the OTC Bulletin Board and in the over-the-counter market is permanently discontinued or the VanEck Vectors®
Gold Miners ETF is liquidated or otherwise terminated (a “GDX discontinuance or liquidation event”), the closing price
of the GDX Shares on any trading day following the GDX discontinuance or liquidation event will be determined by the calculation
agent and will be deemed to equal the product of (i) the closing value of the share underlying index for the GDX Shares (or any
successor index, as described below) on such date (taking into account any material changes in the method of calculating the share
underlying index following such GDX discontinuance or liquidation event) and (ii) a fraction, the numerator of which is the closing
price of the GDX Shares and the denominator of which is the closing value of the share underlying index (or any successor index,
as described below), each determined as of the last day prior to the occurrence of the GDX discontinuance or liquidation event
on which a closing price was available.
If, subsequent to a GDX discontinuance or liquidation event,
the share underlying index publisher discontinues publication of the share underlying index and the share underlying index publisher
or another entity (including MS & Co.) publishes a successor or substitute index that the calculation agent determines, in
its sole discretion, to be comparable to the discontinued the share underlying index (such index being referred to herein as a
“successor index”), then any subsequent closing price for the GDX Shares on any trading day following a GDX discontinuance
or liquidation event will be determined by reference to the published value of such successor index at the regular weekday close
of trading on such trading day, and, to the extent the value of the successor index differs from the value of the share underlying
index at the time of such substitution, proportionate adjustments shall be made by the calculation agent for purposes of calculating
payments on the securities.
Upon any selection by the calculation agent of a successor index,
the calculation agent will cause written notice thereof to be furnished to the trustee, to us and to the depositary, as holder
of the securities, within three business days of such selection. We expect that such notice will be made available to you, as a
beneficial owner of the securities, in accordance with the standard rules and procedures of the depositary and its direct and indirect
participants.
If, subsequent to a GDX discontinuance or liquidation event,
the share underlying index publisher discontinues publication of the share underlying index prior to, and such discontinuance is
continuing on,any relevant date of calculation, and the calculation agent determines, in its sole discretion, that no successor
index is available at such time, then the calculation agent will determine the closing price for the GDX Shares for such date.
Such closing price will be computed by the calculation agent in accordance with the formula for and method of calculating the share
underlying index last in effect prior to such discontinuance, using the closing price (or, if trading in the relevant securities
has been materially suspended or materially limited, its good faith estimate of the closing price that would have prevailed but
for such suspension or limitation) at the close of the principal trading session of the relevant exchange on such date of each
security most recently composing the share underlying index without any rebalancing or substitution of such securities following
such discontinuance.
|
Discontinuance of the SLV Shares; alteration of method of calculation:
|
If trading in the SLV Shares on every applicable national securities exchange is permanently discontinued or the SLV Shares are liquidated or otherwise terminated (an “SLV discontinuance or liquidation event”), the securities will be deemed accelerated to the fifth business day following the date notice of such SLV discontinuance or liquidation event is provided to holders of the SLV Shares under the terms of the SLV Shares (the date of such notice, the “liquidation announcement date” and the fifth business day following the liquidation announcement date, the “acceleration date”), and the payment to you on the acceleration date will be equal to the fair market value of the securities on the trading day immediately following the liquidation announcement date as determined by the calculation agent in its sole discretion based on its internal models, which will take into account the reasonable costs incurred by us or any of our affiliates in unwinding any related hedging arrangements.
|
Antidilution adjustments:
|
The adjustment factor with respect to each of the underlying
shares shall be adjusted as follows:
If such underlying shares are subject to a stock split or reverse
stock split, then once such split has become effective, the adjustment factor for such underlying shares will be adjusted by the
calculation agent to equal the product of the prior adjustment factor and the number of shares issued in such stock split or reverse
stock split with respect to one share of such underlying shares.
No adjustment to an adjustment factor pursuant to the paragraph
above will be required unless such adjustment would require a change of at least 0.1% in the amount being adjusted as then in effect.
Any number so adjusted will be rounded to the nearest one hundred-thousandth with five one-millionths being rounded upward.
The calculation agent will be solely responsible for the determination
and calculation of any adjustments to the adjustment factors or method of calculating the adjustment factors and of any related
determinations, and its determinations and calculations with respect thereto will be conclusive in the absence of manifest error.
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
Alternate exchange calculation in case
of an event of default:
|
If an event of default with respect to the securities shall have
occurred and be continuing, the amount declared due and payable upon any acceleration of the securities (the “Acceleration
Amount”) will be an amount, determined by the calculation agent in its sole discretion, that is equal to the cost of having
a qualified financial institution, of the kind and selected as described below, expressly assume all our payment and other obligations
with respect to the securities as of that day and as if no default or acceleration had occurred, or to undertake other obligations
providing substantially equivalent economic value to you with respect to the securities. That cost will equal:
· the
lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus
· the
reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of the securities in preparing any documentation
necessary for this assumption or undertaking.
During the default quotation period for the securities, which
we describe below, the holders of the securities and/or we may request a qualified financial institution to provide a quotation
of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the
other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest—or,
if there is only one, the only—quotation obtained, and as to which notice is so given, during the default quotation period.
With respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds,
to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing
of those grounds within two business days after the last day of the default quotation period, in which case that quotation will
be disregarded in determining the Acceleration Amount.
Notwithstanding the foregoing, if a voluntary or involuntary
liquidation, bankruptcy or insolvency of, or any analogous proceeding is filed with respect to MSFL or Morgan Stanley, then depending
on applicable bankruptcy law, your claim may be limited to an amount that could be less than the Acceleration Amount.
If the maturity of the securities is accelerated because of an
event of default as described above, we shall, or shall cause the calculation agent to, provide written notice to the trustee at
its New York office, on which notice the trustee may conclusively rely, and to the depositary of the Acceleration Amount and the
aggregate cash amount due, if any, with respect to the securities as promptly as possible and in no event later than two business
days after the date of such acceleration.
Default quotation period
The default quotation period is the period beginning on the day
the Acceleration Amount first becomes due and ending on the third business day after that day, unless:
· no
quotation of the kind referred to above is obtained, or
· every
quotation of that kind obtained is objected to within five business days after the due date as described above.
If either of these two events occurs, the default quotation period
will continue until the third business day after the first business day on which prompt notice of a quotation is given as described
above. If that quotation is objected to as described above within five business days after that first business day, however, the
default quotation period will continue as described in the prior sentence and this sentence.
In any event, if the default quotation period and the subsequent
two business day objection period have not ended before the final observation date, then the Acceleration Amount will equal the
principal amount of the securities.
Qualified financial institutions
For the purpose of determining the Acceleration Amount at any
time, a qualified financial institution must be a financial institution organized under the laws of any jurisdiction in the United
States or Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date
of issue and rated either:
· A-2
or higher by Standard & Poor’s Ratings Services or any successor, or any other comparable rating then used by that rating
agency, or
· P-2
or higher by Moody’s Investors Service or any successor, or any other comparable rating then used by that rating agency.
|
Trustee:
|
The Bank of New York Mellon, a New York banking corporation
|
Calculation agent:
|
The calculation agent for the securities will be MS & Co.
All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence
of manifest error, be conclusive for
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities
|
all purposes and binding on you, the trustee and us.
All calculations with respect to the contingent monthly coupon,
the redemption payment and the payment at maturity, if any, shall be made by the calculation agent and shall be rounded to the
nearest one hundred-thousandth, with five one-millionths rounded upward (e.g., .876545 would be rounded to .87655); all dollar
amounts related to determination of the amount of cash payable per stated principal amount, if any, shall be rounded to the nearest
ten-thousandth, with five one hundred-thousandths rounded upward (e.g., .76545 would be rounded up to .7655); and all dollar amounts
paid on the aggregate principal amount of the securities shall be rounded to the nearest cent, with one-half cent rounded upward.
Because the calculation agent is our affiliate, the economic
interests of the calculation agent and its affiliates may be adverse to your interests as an investor in the securities, including
with respect to certain determinations and judgments that the calculation agent must make in determining the payment that you will
receive, if any, on each coupon payment date, upon early redemption or at maturity or whether a market disruption event has occurred.
See “Market disruption event,” “Discontinuance of the GDX Shares and/or the share underlying index; alteration
of method of calculation” and “Discontinuance of the SLV Shares; alteration of method of calculation.” MS &
Co. is obligated to carry out its duties and functions as calculation agent in good faith and using its reasonable judgment.
|
Issuer notices to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the final observation date, the issuer shall give notice of such postponement and, once it has been determined, of the date
to which the maturity date has been rescheduled (i) to each registered holder of the securities by mailing notice of such postponement
by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books,
(ii) to the trustee by facsimile, confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its
New York office and (iii) to the depositary by telephone or facsimile confirmed by mailing such notice to the depositary by first
class mail, postage prepaid. Any notice that is mailed to a registered holder of the securities in the manner herein provided shall
be conclusively presumed to have been duly given to such registered holder, whether or not such registered holder receives the
notice. The issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice of postponement
of the maturity date, the business day immediately preceding the scheduled maturity date, and (ii) with respect to notice of the
date to which the maturity date has been rescheduled, the business day immediately following the final observation date as postponed.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash to be delivered as contingent monthly coupon, if any, with respect to the securities on or prior to 10:30 a.m. (New York City
time) on the business day preceding each coupon payment date, and (ii) deliver the aggregate cash amount due with respect to the
applicable coupon to the trustee for delivery to the depositary, as holder of the securities, on the applicable coupon payment
date.
In the event that any coupon payment date is postponed due to
the postponement of the relevant observation date, the issuer shall give notice of such postponement and, once it has been determined,
of the date to which the applicable coupon payment 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 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 any coupon payment date, the business day immediately preceding the applicable scheduled
coupon payment date, and (ii) with respect to notice of the date to which the applicable coupon payment date has been rescheduled,
the business day immediately following the applicable observation date as postponed.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash, if any, to be delivered with respect to the securities, on or prior to 10:30 a.m. (New York City time) on the business day
preceding the redemption date or the business day preceding the maturity date, as applicable, and (ii) deliver the aggregate cash
amount due with respect to the securities, if any, to the trustee for delivery to the depositary, as holder of the securities,
on the redemption date or maturity date, as applicable.
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Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 24, 2023
Payments on the Securities Based on the Worst Performing of the VanEck Vectors® Gold Miners ETF and the iShares® Silver Trust
Principal at Risk Securities