Observation Dates and Coupon
Payment Dates
Observation Dates
|
Coupon Payment Dates
|
11/27/2020
|
12/2/2020
|
12/28/2020
|
12/31/2020
|
1/27/2021
|
2/1/2021
|
3/1/2021
|
3/4/2021
|
3/29/2021
|
4/1/2021
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4/27/2021
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4/30/2021
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5/27/2021
|
6/2/2021
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6/28/2021
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7/1/2021
|
7/27/2021
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7/30/2021
|
8/27/2021
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9/1/2021
|
9/27/2021
|
9/30/2021
|
10/27/2021
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11/1/2021
|
11/29/2021
|
12/2/2021
|
12/27/2021
|
12/30/2021
|
1/27/2022
|
2/1/2022
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2/28/2022
|
3/3/2022
|
3/28/2022
|
3/31/2022
|
4/27/2022
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5/2/2022
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5/27/2022
|
6/2/2022
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6/27/2022
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6/30/2022
|
7/27/2022
|
8/1/2022
|
8/29/2022
|
9/1/2022
|
9/27/2022
|
9/30/2022
|
10/27/2022
|
11/1/2022
|
11/28/2022
|
12/1/2022
|
12/27/2022
|
12/30/2022
|
1/27/2023
|
2/1/2023
|
2/27/2023
|
3/2/2023
|
3/27/2023
|
3/30/2023
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4/27/2023
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5/2/2023
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5/30/2023
|
6/2/2023
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6/27/2023
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6/30/2023
|
7/27/2023
|
8/1/2023
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8/28/2023
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8/31/2023
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9/27/2023
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10/2/2023
|
10/27/2023 (final observation date)
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11/1/2023 (maturity date)
|
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due November 1, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones Industrial AverageSM
Principal at Risk Securities
Investment Overview
Callable Contingent Income Securities
Principal at Risk Securities
Callable Contingent Income Securities due November 1, 2023 Payments
on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index®
and the Dow Jones Industrial AverageSM (the “securities”) do not guarantee the repayment of principal and
do not provide for the regular payment of interest. Instead, the securities will pay a contingent monthly coupon but only if
the index closing value of each of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones
Industrial AverageSM (which we refer to together as the “underlying indices”) is at or above
70% of its respective initial index value, which we refer to as the respective coupon barrier level, on the related observation
date. If the index closing value of any underlying index is less than the coupon barrier level for such index on any observation
date, we will pay no coupon for the related monthly period. It is possible that the index closing value of one or more underlying
indices will remain below the respective coupon barrier level(s) for extended periods of time or even throughout the entire term
of the securities so that you will receive few or no contingent monthly coupons during the entire term of the securities. Even
if an underlying index were to be at or above the coupon barrier level for such index on some monthly observation dates, it may
fluctuate below the coupon barrier level on others. In addition, even if one underlying index were to be at or above the coupon
barrier level for such index on all monthly observation dates, you will receive a contingent monthly coupon only with respect to
the observation dates on which the other underlying indices are also at or above their respective coupon barrier levels, if any.
In addition, beginning on April 30, 2021, we will redeem the securities on any quarterly 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 indices. At maturity, if the
securities have not been previously redeemed and if the final index value of each underlying index is greater than or equal
to 70% of the respective initial index value, which we refer to as the downside threshold level, the payment at maturity will be
the stated principal amount and the related contingent monthly coupon. If, however, the final index value of any underlying
index is less than its downside threshold level, investors will be exposed to the decline in the worst performing underlying index
on a 1-to-1 basis and will receive a payment at maturity that is less than 70% of the stated principal amount of the securities
and could be zero. Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial
investment based on the performance of any underlying index and also the risk of not receiving any monthly coupons during the entire
3-year term of the securities.
Maturity:
|
Approximately 3 years, unless redeemed earlier based on the output of a risk neutral valuation model
|
|
|
Contingent monthly coupon:
|
If, on any observation date, the index closing value of each
underlying index is greater than or equal to its respective coupon barrier level, we will pay a contingent monthly coupon
at an annual rate of at least 8.00% (corresponding to approximately $6.667 per month per security) on the related contingent coupon
payment date. The actual contingent monthly coupon rate will be determined on the pricing date.
If, on any observation date, the closing value of
any underlying index is less than the coupon barrier level for such index, no contingent monthly coupon will be paid
with respect to that observation date. It is possible that one or more underlying indices will remain below the respective
coupon barrier level(s) for extended periods of time or even throughout the entire term of the securities so that you will receive
few or no contingent monthly coupons.
|
|
|
Early redemption:
|
Beginning on April 30, 2021, we will redeem the securities
on any quarterly 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 indices. In accordance with the risk neutral valuation model determination noted herein, it is more
likely that we will redeem the securities when it would otherwise be advantageous for you to continue to hold the securities.
As
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due November 1, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
such, we will be more likely to redeem the securities when the
index closing value of each underlying index on the observation dates is at or above its respective coupon barrier level, which
would otherwise result in an amount of interest payable on the securities that is greater than instruments of a comparable maturity
and credit rating trading in the market. In other words, we will be more likely to redeem the securities at a time when the securities
are paying an above-market coupon. If the securities are redeemed prior to maturity, you will receive no 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 index closing value of any underlying index is below its respective coupon barrier level and/or when the final index value
of any underlying index is expected to be below the downside threshold level, such that you will receive no contingent monthly
coupons and/or that you will suffer a significant loss on your initial investment in the securities at maturity. Therefore, if
we do not 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 index value of each underlying index 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 index value of any underlying index
is less than its respective downside threshold level: (i) the stated principal amount multiplied by (ii) the index
performance factor of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than
70% of the stated principal amount of the securities and could be zero.
|
We are using this preliminary pricing supplement to solicit from
you an offer to purchase the securities. You may revoke your offer to purchase the securities at any time prior to the time at
which we accept such offer by notifying the relevant agent. We reserve the right to change the terms of, or reject any offer to
purchase, the securities prior to their issuance. In the event of any material changes to the terms of the securities, we will
notify you.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due November 1, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones Industrial AverageSM
Principal at Risk Securities
The original issue price of each security is $1,000. This price
includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently,
the estimated value of the securities on the pricing date will be less than $1,000. We estimate that the value of each security
on the pricing date will be approximately $947.60, or within $30.00 of that estimate. Our estimate of the value of the securities
as determined on the pricing date will be set forth in the final pricing supplement.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date, we take into account
that the securities comprise both a debt component and a performance-based component linked to the underlying indices. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the
underlying indices, instruments based on the underlying indices, volatility and other factors including current and expected interest
rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our
conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities, including
the contingent monthly coupon rate, the coupon barrier levels and the downside threshold levels, we use an internal funding rate,
which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling,
structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic
terms of the securities would be more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the securities?
The price at which MS & Co. purchases the securities in the
secondary market, absent changes in market conditions, including those related to the underlying indices, may vary from, and be
lower than, the estimated value on the pricing date, because the secondary market price takes into account our secondary market
credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and
other factors. However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully
deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell
the securities in the secondary market, absent changes in market conditions, including those related to the underlying indices,
and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect that those
higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
securities, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due November 1, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones Industrial AverageSM
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest
and instead will pay a contingent monthly coupon but only if the index closing value of each underlying index is
at or above 70% of its initial index value, which we refer to as the respective coupon barrier level, on the related observation
date. These securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a
potentially above-market rate in exchange for the risk of receiving no monthly interest if any underlying index closes below the
coupon barrier level for such index on the observation dates, and the risk of an early redemption of the securities 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 by us 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 70% of the stated principal amount and could be zero. Investors
will not participate in any appreciation in any underlying index.
Scenario 1: The securities are redeemed prior to maturity.
|
This scenario assumes that we redeem the securities based on the output of a risk neutral valuation model prior to the maturity date on one of the quarterly redemption dates, starting on April 30, 2021, 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, investors receive the contingent monthly coupon with respect to each observation date for which each underlying index closes at or above its respective coupon barrier level, but not for the monthly periods for which one of more underlying indices close below the respective coupon barrier level on the related observation date. No further payments will be made on the securities once they have been redeemed.
|
Scenario 2: The securities are not redeemed prior to maturity, and investors receive principal back at maturity.
|
This scenario assumes that we do not redeem the securities on any of the quarterly redemption dates, and, as a result, investors hold the securities to maturity. During the term of the securities, each underlying index closes at or above its respective coupon barrier level on some monthly observation dates, but one or more underlying indices close below the respective coupon barrier level(s) for such index on the others. Investors will receive the contingent monthly coupon for the monthly periods for which the index closing value of each underlying index is at or above its respective coupon barrier level on the related observation date, but not for the monthly periods for which one or more underlying indices close below the respective coupon barrier level(s) on the related observation date. At maturity, each underlying index closes at or above its downside threshold level, and so investors receive the stated principal amount and the contingent monthly coupon with respect to the final observation date.
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Scenario 3: The securities are not redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity.
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This scenario assumes that we do not redeem the securities on any of the quarterly redemption dates, and, as a result, investors hold the securities to maturity. During the term of the securities, one or more underlying indices close below the respective coupon barrier level(s) on every monthly observation date. Since one or more underlying indices close below the respective coupon barrier level(s) on every monthly observation date, investors do not receive any contingent monthly coupon. On the final observation date, one or more underlying indices close below the respective downside threshold level(s). At maturity, investors will receive an amount equal to the stated principal amount multiplied by the index performance factor of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than 70% of the stated principal amount and could be zero.
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due November 1, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones Industrial AverageSM
Principal at Risk Securities
Underlying Indices Summary
S&P 500® Index
The S&P 500® Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC (“S&P”), consists of stocks of 500 component companies selected
to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500® Index is based
on the relative value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time
as compared to the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through
1943.
Information as of market close on October 21, 2020:
Bloomberg Ticker Symbol:
|
SPX
|
Current Index Value:
|
3,435.56
|
52 Weeks Ago:
|
3,006.72
|
52 Week High (on 9/2/2020):
|
3,580.84
|
52 Week Low (on 3/23/2020):
|
2,237.40
|
For additional information about the S&P 500®
Index, see the information set forth under “S&P 500® Index” in the accompanying index supplement.
Furthermore, for additional historical information, see “S&P 500® Index Historical Performance”
below.
NASDAQ-100 Index®
The NASDAQ-100 Index®, which is calculated, maintained
and published by Nasdaq, Inc., is a modified capitalization-weighted index of 100 of the largest and most actively traded equity
securities of non-financial companies listed on The NASDAQ Stock Market LLC. The NASDAQ-100 Index® includes
companies across a variety of major industry groups. At any moment in time, the value of the NASDAQ-100 Index® equals
the aggregate value of the then-current NASDAQ-100 Index® share weights of each of the NASDAQ-100 Index® component
securities, which are based on the total shares outstanding of each such NASDAQ-100 Index® component security,
multiplied by each such security’s respective last sale price on NASDAQ (which may be the official closing price published
by NASDAQ), and divided by a scaling factor, which becomes the basis for the reported NASDAQ-100 Index® value.
Information as of market close on October 21, 2020:
Bloomberg Ticker Symbol:
|
NDX
|
Current Index Value:
|
11,665.37
|
52 Weeks Ago:
|
7,940.33
|
52 Week High (on 9/2/2020):
|
12,420.54
|
52 Week Low (on 3/20/2020):
|
6,994.29
|
For additional information about the NASDAQ-100 Index®,
see the information set forth under “NASDAQ-100 Index®” in the accompanying index supplement. Furthermore,
for additional historical information, see “NASDAQ-100 Index® Historical Performance” below.
Dow Jones Industrial AverageSM
The Dow Jones Industrial AverageSM is a price-weighted
index composed of 30 common stocks that is published by S&P Dow Jones Indices LLC, the marketing name and a licensed trademark
of CME Group Inc., as representative of the broad market of U.S. industry.
Information as of market close on October 21, 2020:
Bloomberg Ticker Symbol:
|
INDU
|
Current Index Value:
|
28,210.82
|
52 Weeks Ago:
|
26,827.64
|
52 Week High (on 2/12/2020):
|
29,551.42
|
52 Week Low (on 3/23/2020):
|
18,591.93
|
For additional information about the Dow Jones Industrial AverageSM,
see the information set forth under “Dow Jones Industrial AverageSM” in the accompanying index supplement.
Furthermore, for additional historical information, see “Dow Jones Industrial AverageSM Historical Performance”
below.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due November 1, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones Industrial AverageSM
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent monthly coupon is paid with respect to an observation date and how to calculate the payment at maturity. The
following examples are for illustrative purposes only. Whether you receive a contingent monthly coupon will be determined by reference
to the index closing value of each underlying index on each monthly observation date, and the amount you will receive at maturity,
if any, will be determined by reference to the final index value of each underlying index on the final observation date. Any early
redemption of the securities will be based on the output of a risk neutral valuation model. The actual initial index value, coupon
barrier level and downside threshold level for each underlying index will be determined on the pricing date. All payments on the
securities, if any, are subject to our credit risk. The below examples are based on the following terms:
Hypothetical Contingent Monthly Coupon:
|
If, on any observation date, the index closing value of each
underlying index is greater than or equal to its respective coupon barrier level, we will pay a contingent monthly coupon
at an annual rate of 8.00% (corresponding to approximately $6.667 per month per security) on the related contingent coupon payment
date. The actual contingent monthly coupon rate will be determined on the pricing date.
If, on any observation date, the closing value of
any underlying index is less than the coupon barrier level for such index, no contingent monthly coupon will be paid
with respect to that observation date. It is possible that one or more underlying indices will remain below the respective
coupon barrier level(s) for extended periods of time or even throughout the entire term of the securities so that you will receive
few or no contingent monthly coupons.
|
Call Feature:
|
Beginning on April 30, 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 index value of each underlying index 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 index value of any underlying index
is less than its respective downside threshold level: (i) the stated principal amount multiplied by (ii) the index
performance factor of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than
70% of the stated principal amount of the securities and could be zero.
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Index Value:
|
With respect to the SPX Index: 2,500
With respect to the NDX Index: 10,000
With respect to the INDU Index: 20,000
|
Hypothetical Coupon Barrier Level:
|
With respect to the SPX Index: 1,750, which is 70% of
the hypothetical initial index value for such index
With respect to the NDX Index: 7,000, which is 70% of
the hypothetical initial index value for such index
With respect to the INDU Index: 14,000, which is 70%
of the hypothetical initial index value for such index
|
Hypothetical Downside Threshold Level:
|
With respect to the SPX Index: 1,750, which is 70% of
the hypothetical initial index value for such index
With respect to the NDX Index: 7,000, which is 70% of
the hypothetical initial index value for such index
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due November 1, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones Industrial AverageSM
Principal at Risk Securities
|
With respect to the INDU Index: 14,000, which is 70% of the hypothetical initial index value for such index
|
* The actual contingent monthly coupon will be an amount
determined by the calculation agent based on the actual contingent monthly coupon rate and the number of days in the
applicable payment period, calculated on a 30/360 basis. The hypothetical contingent monthly coupon of $6.667 is used in
these examples for ease of analysis.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due November 1, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones Industrial AverageSM
Principal at Risk Securities
How to determine whether a contingent monthly
coupon is payable with respect to an observation date (if the securities have not been previously redeemed):
|
Index Closing Value
|
Contingent Monthly Coupon
|
|
SPX Index
|
NDX Index
|
INDU Index
|
|
Hypothetical Observation Date 1
|
3,000 (at or above coupon barrier level)
|
9,000 (at or above coupon barrier level)
|
21,000 (at or above coupon barrier level)
|
$6.667
|
Hypothetical Observation Date 2
|
1,900 (at or above coupon barrier level)
|
8,600 (at or above coupon barrier level)
|
8,000 (below coupon barrier level)
|
$0
|
Hypothetical Observation Date 3
|
1,000 (below coupon barrier level)
|
6,000 (below coupon barrier level)
|
17,000 (at or above coupon barrier level)
|
$0
|
Hypothetical Observation Date 4
|
1,200 (below coupon barrier level)
|
5,000 (below coupon barrier level)
|
9,000 (below coupon barrier level)
|
$0
|
On hypothetical observation date 1, the SPX Index, the NDX Index
and the INDU Index all close at or above their respective coupon barrier levels. Therefore a contingent monthly coupon of $6.667
is paid on the relevant coupon payment date.
On each of the hypothetical observation dates 2 and 3, at least
one underlying index closes at or above its coupon barrier level but one or both of the other underlying indices close below their
respective coupon barrier level(s). Therefore, no contingent monthly coupon is paid on the relevant coupon payment date.
On hypothetical observation date 4, each underlying index closes
below its respective coupon barrier level and accordingly no contingent monthly coupon is paid on the relevant coupon payment date.
How to calculate the payment
at maturity (if the securities have not been redeemed early):
|
Final Index Value
|
Payment at Maturity
|
|
SPX Index
|
NDX Index
|
INDU Index
|
|
Example 1:
|
3,000 (at or above the downside threshold level and coupon barrier level)
|
11,800 (at or above the downside threshold level and coupon barrier level)
|
26,000 (at or above the downside threshold level and coupon barrier level)
|
$1,006.667 (the stated principal amount plus the contingent monthly coupon with respect to the final observation date)
|
Example 2:
|
1,900 (at or above the downside threshold level)
|
8,600 (at or above the downside threshold level)
|
8,000 (below the downside threshold level)
|
$1,000 × index performance factor of the worst performing underlying = $1,000 × (8,000 / 20,000) = $400
|
Example 3:
|
1,200 (below the downside threshold level)
|
4,000 (below the downside threshold level)
|
25,000 (at or above the downside threshold level)
|
$1,000 × (4,000 / 10,000) = $400
|
Example 4:
|
1,125 (below the downside threshold level)
|
3,000 (below the downside threshold level)
|
8,000 (below the downside threshold level)
|
$1,000 × (3,000 / 10,000) = $300
|
Example 5:
|
750 (below the downside threshold level)
|
4,000 (below the downside threshold level)
|
8,000 (below the downside threshold level)
|
$1,000 × (750 / 2,500) = $300
|
In example 1, the final index values of the SPX Index, the NDX
Index and the INDU Index are all at or above their downside threshold levels. Therefore, investors receive at maturity the stated
principal amount of the securities and the contingent monthly coupon with respect to the final observation date. Investors do not
participate in the appreciation of any underlying index.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due November 1, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones Industrial AverageSM
Principal at Risk Securities
In examples 2 and 3, the final index value(s) of one or two of
the underlying indices are at or above their respective downside threshold level(s) but the final index value(s) of one or both
of the other underlying indices are below their respective downside threshold level(s). Therefore, investors are exposed to the
downside performance of the worst performing underlying index at maturity and receive at maturity an amount equal to the stated
principal amount times the index performance factor of the worst performing underlying index.
Similarly, in examples 4 and 5, the final index value of each
underlying index is below its respective downside threshold level, and investors receive at maturity an amount equal to the stated
principal amount times the index performance factor of the worst performing underlying index. In example 4, SPX Index has
declined 55% from its initial index value to its final index value, the NDX Index has declined 70% from its initial index value
to its final index value and the INDU Index has declined 60% from its initial index value to its final index value. Therefore,
the payment at maturity equals the stated principal amount times the index performance factor of the NDX Index, which is
the worst performing underlying index in this example. In example 5, the SPX Index has declined 70% from its initial index value
to its final index value, the NDX Index has declined 60% from its initial index value and the INDU Index has declined 60% from
its initial index value to its final index value. Therefore the payment at maturity equals the stated principal amount times
the index performance factor of the SPX Index, which is the worst performing underlying index in this example.
If the securities have not been redeemed prior to maturity
and the final index value of ANY underlying index is below its respective downside threshold level, you will be exposed to the
downside performance of the worst performing underlying index at maturity, and your payment at maturity will be less than $700
per security and could be zero.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due November 1, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index, the NASDAQ-100 Index® and the Dow Jones Industrial AverageSM
Principal at Risk Securities