Callable Contingent Income Securities due February 23, 2024
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the iShares® MSCI Emerging Markets ETF
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 semi-annual coupon but only if the closing level of each of the Russell 2000® Index and the iShares® MSCI Emerging Markets ETF on the related observation date is at or above 70% of its respective initial level, which we refer to as the respective coupon barrier. If the closing level of either underlying is less than the coupon barrier for such underlying on any observation date, we will pay no interest for the related semi-annual period. In addition, beginning on August 24, 2021, we will redeem the securities on any semi-annual redemption date for a redemption payment equal to the sum of the stated principal amount plus any contingent semi-annual 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 underlyings. At maturity, if the securities have not previously been redeemed and the final level of each underlying is greater than or equal to 70% of the respective initial level, which we refer to as the principal barrier, the payment at maturity will be the stated principal amount and the related contingent semi-annual coupon. If, however, the final level of either underlying is less than its principal barrier, investors will be exposed to the decline in the worst performing underlying 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 either underlying and also the risk of not receiving any semi-annual coupons during the entire three-year term of the securities. Because payments on the securities are based on the worst performing of the underlyings, a decline beyond the respective coupon barrier and/or respective principal barrier, as applicable, of either underlying will result in few or no contingent semi-annual coupons and/or a significant loss of your investment, as applicable, even if the other underlying has appreciated or has not declined as much. Investors will not participate in any appreciation in either underlying. 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 semi-annual interest if either underlying closes below the coupon barrier for such underlying 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.
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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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Underlyings:
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Russell 2000® Index (the “RTY Index”) and iShares® MSCI Emerging Markets ETF (the “EEM Shares”)
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Aggregate principal amount:
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$950,000
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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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Trade date:
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February 19, 2021
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Settlement date:
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February 24, 2021 (3 business days after the trade date)
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Maturity date:
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February 23, 2024
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Call feature:
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Beginning on August 24, 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 trade 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 semi-annual coupon:
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If, on any observation date, the closing level of each underlying is greater than or equal to its respective coupon barrier, we will pay a contingent semi-annual coupon at an annual rate of 9.25% (corresponding to approximately $46.25 per semi-annual period per security) on the related contingent coupon payment date.
If, on any observation date, the closing level of either underlying is less than the coupon barrier for such underlying, no contingent semi-annual coupon will be paid with respect to that observation date. It is possible that one or both underlyings will remain below the respective coupon barrier(s) for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent semi-annual 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 level of each underlying is greater than or equal to its respective principal barrier: the stated principal amount and the contingent semi-annual coupon with respect to the final observation date.
If the final level of either underlying is less than its respective principal barrier: (i) the stated principal amount multiplied by (ii) the performance factor of the worst performing underlying. Under these circumstances, the payment at maturity will be less than 70% of the stated principal amount of the securities and could be zero.
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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 trade date:
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$947.40 per security. See “Investment Overview” beginning on page 3.
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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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$950,000
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$14,250
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$935,750
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We also sold, pursuant to Pricing Supplement No. 661, a separate issuance of securities, being sold only to fee-based advisory accounts, with terms similar to those of this issuance but with a higher contingent semi-annual coupon rate.
(1) 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 $3 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.
(2) See “Use of proceeds and hedging” on page 35.
The securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 12.
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.
Prospectus Supplement dated November 16, 2020 Index Supplement dated November 16, 2020 Prospectus dated November 16, 2020