These Market-Linked Notes (the “Notes”) are unsecured and
unsubordinated debt securities issued by Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed
by Morgan Stanley. The Notes provide a return at maturity linked to the performance of the Dow Jones Industrial AverageSM (the
"Underlying"). If the Underlying Return is positive over the term of the Notes, MSFL will pay you at maturity the principal
amount plus a return equal to the Underlying Return, up to the Maximum Gain of 64%. If the Underlying Return is zero or negative over
the term of the Notes, MSFL will pay you at maturity only your principal amount. These long-dated Notes are for investors who are concerned
about principal risk but seek an equity index-based return, and who are willing to forgo current income and upside beyond the Maximum
Gain in exchange for the repayment of principal at maturity plus the potential to receive a return based on the appreciation of the Underlying,
subject to the Maximum Gain. Investing in the Notes involves significant risks. You will not receive interest or dividend payments
during the term of the Notes. You may receive little or no return on your investment in the Notes. MSFL will repay your full principal
amount only if you hold the Notes to maturity. The Notes are notes issued as part of MSFL’s Series A Global Medium-Term Notes
program.
(1) UBS Financial Services Inc., acting as dealer, will receive
from Morgan Stanley & Co. LLC, the agent, a fixed sales commission of $35 for each Note it sells. For more information, please see
“Supplemental Plan of Distribution; Conflicts of Interest” on page 14 of this pricing supplement.
(2) See “Use of Proceeds
and Hedging” on page 14.
The agent for this offering, Morgan Stanley & Co. LLC, is our affiliate
and a wholly owned subsidiary of Morgan Stanley. See “Supplemental Plan of Distribution; Conflicts of Interest” beginning
on page 14 of this pricing supplement.
Additional Information about Morgan Stanley, MSFL and the Notes |
Morgan Stanley and MSFL have filed a registration statement (including
a prospectus, as supplemented by a product supplement and an index supplement) with the SEC for the offering to which this communication
relates. In connection with your investment, you should read the prospectus in that registration statement, the product supplement, the
index supplement and any other documents relating to this offering that Morgan Stanley and MSFL have filed with the SEC for more complete
information about Morgan Stanley, MSFL and this offering. You may get these documents for free by visiting EDGAR on the SEC website at.www.sec.gov.
Alternatively, Morgan Stanley, MSFL, any underwriter or any dealer participating in this offering will arrange to send you the prospectus,
the product supplement and the index supplement if you so request by calling toll-free 1-(800)-584-6837.
You may access the accompanying product supplement, index supplement
and prospectus on the SEC website at.www.sec.gov as follows:
References to “MSFL” refer only to MSFL, references to
“Morgan Stanley,” refer only to Morgan Stanley and references to “we,” “our” and “us”
refer to MSFL and Morgan Stanley collectively. In this document, the “Notes” refers to the Market-Linked Notes that are offered
hereby. Also, references to the accompanying “prospectus”, “product supplement” and “index supplement”
mean the prospectus filed by MSFL and Morgan Stanley dated November 16, 2020, the product supplement filed by MSFL and Morgan Stanley
dated November 16, 2020 and the index supplement filed by MSFL and Morgan Stanley dated November 16, 2020, respectively.
You should rely only on the information incorporated by reference or
provided in this pricing supplement or the accompanying product supplement, index supplement and prospectus. We have not authorized anyone
to provide you with different information. We are not making an offer of these Notes in any state where the offer is not permitted. You
should not assume that the information in this pricing supplement or the accompanying product supplement, index supplement and prospectus
is accurate as of any date other than the date on the front of this document.
If the terms discussed in this pricing supplement differ from those
discussed in the product supplement, index supplement or prospectus, the terms contained in this pricing supplement will control.
The Issue Price of each Note is $1,000. This price includes costs associated
with issuing, selling, structuring and hedging the Notes, which are borne by you, and, consequently, the estimated value of the Notes
on the Trade Date is less than $1,000. We estimate that the value of each Note on the Trade Date is $944.60.
What goes into the estimated value on the Trade Date?
In valuing the Notes on the Trade Date, we take into account that the
Notes comprise both a debt component and a performance-based component linked to the Underlying. The estimated value of the Notes is determined
using our own pricing and valuation models, market inputs and assumptions relating to the Underlying, instruments based on the Underlying,
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 Notes?
In determining the economic terms of the Notes, including the Maximum
Gain, 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 Notes would be more favorable to you.
What is the relationship between the estimated value on the Trade
Date and the secondary market price of the Notes?
The price at which MS & Co. purchases the Notes in the secondary
market, absent changes in market conditions, including those related to the Underlying, may vary from, and be lower than, the estimated
value on the Trade 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 Notes are not fully deducted upon issuance, for a period of up to 12 months following
the Settlement Date, to the extent that MS & Co. may buy or sell the Notes in the secondary market, absent changes in market conditions,
including those related to the Underlying, 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. currently intends, but is not obligated, to make a market
in the Notes and, if it once chooses to make a market, may cease doing so at any time.
Investor Suitability |
The Notes may be suitable for you if: |
|
The Notes may not be suitable for you if: |
¨ |
You fully understand the risks inherent in an investment in the Notes, including the risk of receiving little or no return on your investment. |
¨ |
You seek exposure to the upside performance of the Underlying, subject to the Maximum Gain, and believe that it will appreciate over the term of the Notes. |
¨ |
You can tolerate receiving only your principal amount at maturity if the Underlying remains unchanged or declines over the term of the Notes. |
¨ |
You can tolerate fluctuations in the price of the Notes prior to maturity that may cause the market value of the Notes to decline below the price you paid for your Notes. |
¨ |
You understand and accept that your potential return is limited by the Maximum Gain, and you are willing to invest in the Notes based on the Maximum Gain of 64%. |
¨ |
You do not seek current income from your investment and are willing to forgo dividends paid on any of the constituent stocks of the Underlying. |
¨ |
You are willing to hold the Notes to maturity, as set forth on the cover of this pricing supplement, and accept that there may be little or no secondary market for the Notes. |
¨ |
You understand and are willing to accept the risks associated with the Underlying. |
¨ |
You are willing to assume our credit risk, and understand that if we default on our obligations you may not receive any amounts due to you including any repayment of principal. |
¨ |
You do not fully understand the risks inherent in an investment in the Notes, including the risk of receiving little or no return on your investment. |
¨ |
You believe that the level of the Underlying will decline over the term of the Notes. |
¨ |
You cannot tolerate the possibility of receiving only the principal amount if the Underlying remains unchanged or declines over the term of the Notes. |
¨ |
You cannot tolerate fluctuations in the price of the Notes prior to maturity that may cause the market value of the Notes to decline below the price you paid for your Notes. |
¨ |
You believe the Underlying will appreciate over the term of the Notes by a percentage that exceeds the Maximum Gain. |
¨ |
You seek an investment that has unlimited return potential without a cap on appreciation. |
¨ |
You are unwilling to invest in the Notes based on the Maximum Gain of 64%. |
¨ |
You seek a current income from your investment or prefer to receive the dividends paid on the constituent stocks of the Underlying. |
¨ |
You are unable or unwilling to hold the Notes to maturity, as set forth on the cover of this pricing supplement, or you seek an investment for which there will be an active secondary market. |
¨ |
You do not understand or are not willing to accept the risks associated with the Underlying. |
¨ |
You are not willing or are unable to assume the credit risk associated with us for any payment on the Notes, including any repayment of principal. |
The investor suitability considerations identified above are not
exhaustive. Whether or not the Notes are a suitable investment for you will depend on your individual circumstances and you should reach
an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability
of an investment in the Notes in light of your particular circumstances. You should also review carefully the sections entitled “Key
Risks” beginning on page 5 of this pricing supplement and “Risk Factors” beginning on S-23 of the accompanying product
supplement for risks related to an investment in the Notes. For more information about the Underlying, see the information set forth under
“The Dow Jones Industrial AverageSM” on page 11.
Issuer |
Morgan Stanley Finance LLC |
Guarantor |
Morgan Stanley |
Issue Price (per Note) |
$1,000 (1 Note) |
Principal Amount |
$1,000 per Note |
Term |
5 years |
Underlying |
Dow Jones Industrial AverageSM (the “index") |
Payment at Maturity
(per Note) |
MSFL will pay you a cash payment at maturity linked to the performance
of the Underlying during the term of the Notes, as follows:
If the Underlying Return is greater than zero, MSFL will pay
you an amount equal to the lesser of:
$1,000 + ($1,000 × Underlying Return);
and
$1,000 + ($1,000 × Maximum Gain).
If the Underlying Return is zero or negative, MSFL will pay you
the $1,000 principal amount and you will not receive any return on your investment.
In no event will the payment due from MSFL at maturity be less than
$1,000 per Note.
|
Maximum Gain |
64%, which corresponds to a maximum Payment at Maturity of $1,640 per Note |
Underlying Return |
Final Underlying Level – Initial Underlying Level
Initial Underlying Level
|
Initial Underlying Level |
29,134.99, which is the Index Closing Value on the Trade Date. |
Final Underlying Level |
The Index Closing Value on the Determination Date. |
Trade Date |
September 27, 2022 |
Original Issue Date |
September 30, 2022 |
Determination Date |
September 27, 2027* |
Maturity Date |
September 30, 2027* |
CUSIP / ISIN |
61774HFR4 / US61774HFR49 |
Calculation Agent |
Morgan Stanley & Co. LLC (“MS & Co.”) |
*Subject
to postponement in the event of a Market Disruption Event or for non-Index Business Days. See “—Description of Equity-Linked
Notes—Market Disruption Event” in the accompanying product supplement and “Postponement of Maturity Date” under
“Additional Terms of the Notes” below. |
Trade Date |
|
The Initial Underlying Level was determined.
The Maximum Gain was set.
|
|
|
|
Maturity Date |
|
The Final Underlying Level and Underlying Return are determined on the
Determination Date.
If the Underlying Return is greater than zero, MSFL will pay
you a cash amount per Note at maturity equal to the lesser of:
$1,000 + ($1,000 × Underlying Return);
and
$1,000 + ($1,000 × Maximum Gain)
If the Underlying Return is zero or negative, MSFL will pay you
the $1,000 principal amount and you will not receive any return on your investment.
In no event will the payment due from MSFL at maturity be less than
$1,000 per Note.
|
Investing in the Notes
involves significant risks. The Notes do not pay interest. YOU MAY RECEIVE LITTLE OR NO RETURN ON YOUR INVESTMENT IN THE NOTES. MSFL
will repay The full principal amount only if you hold the Notes to maturity. Any payment on the Notes, including the repayment of principal,
is subject to OUR creditworthiness. If WE were to default on OUR payment obligations, you may not receive any amounts owed to you under
the Notes and you could lose your entire investment.
An investment in the Notes involves significant risks. The material
risks that apply to the Notes are summarized here, but we urge you to also read the “Risk Factors” section in the accompanying
prospectus and the accompanying product supplement and index supplement. You should also consult your investment, legal, tax, accounting
and other advisers in connection with your investment in the Notes.
Risks Relating to an Investment in the Notes
| ¨ | The amount you receive at maturity may result in a return
that is less than the yield on a standard debt security of comparable maturity — The return on the Notes at maturity is linked
to the performance of the Underlying and depends on whether, and the extent to which, the Underlying Return is positive or negative. If
the Underlying Return is less than or equal to 0%, MSFL will pay you only the principal amount of $1,000 for each Note you hold at maturity.
Accordingly, the return on your investment in the Notes may be zero and, therefore, less than the amount that would be paid on a conventional
debt security of ours of comparable maturity. Moreover, if the Underlying does not appreciate sufficiently over the term of the Notes,
the overall return on the Notes (the effective yield to maturity) may still be less than the amount that would be paid on a conventional
debt security of ours of comparable maturity. The Notes have been designed for investors who are willing to forgo market floating interest
rates in exchange for a return, if any, based on the performance of the Underlying. |
| ¨ | The appreciation potential is limited — The
appreciation potential of the Notes is limited by the Maximum Gain of 64% (which corresponds to a maximum Payment at Maturity of $1,640
per Note). Therefore, you will not benefit from any positive Underlying Return that exceeds the Maximum Gain. As a result, any increase
in the Final Underlying Level over the Initial Underlying Level by more than 64% of the Initial Underlying Level will not further increase
the return on the Notes. |
| ¨ | No interest payments — MSFL will not make any
interest payments with respect to the Notes. |
| ¨ | The Notes are subject to our credit risk, and any actual
or anticipated changes to our credit ratings or our credit spreads may adversely affect the market value of the Notes – Investors
are dependent on our ability to pay all amounts due on the Notes at maturity, and, therefore, you are subject to our credit risk and to
changes in the market’s view of our creditworthiness. If we default on our obligations under the Notes, your investment would be
at risk and you could lose some or all of your investment. As a result, the market value of the Notes 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
our credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the Notes. |
| ¨ | 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. |
| ¨ | Repayment of the principal amount applies only at maturity
– You should be willing to hold your Notes to maturity. If you are able to sell your Notes in the secondary market, you may
have to sell them at a loss even if the return of the Underlying at the time of sale is positive. You will receive the principal amount
of the Notes from MSFL only at maturity, subject to our creditworthiness. |
| ¨ | The market price of the Notes will be influenced by many
unpredictable factors — Several
factors, many of which are beyond our control, will influence the value of the Notes in the secondary market and the price at which MS
& Co. may be willing to purchase or sell the Notes in the secondary market (if at all), including: |
| o | the value of the Underlying at any time, |
| o | the volatility (frequency and magnitude of changes in value) of the Underlying,
|
| o | dividend rates on the securities included
in the Underlying, |
| o | interest and yield rates in the market, |
| o | geopolitical conditions and economic,
financial, political, regulatory or judicial events that affect the Underlying or equities markets generally and which may affect the
Final Underlying Level, |
| o |
time remaining until the Notes mature, and |
| o | any actual or anticipated changes in our credit ratings or credit spreads. |
Some
or all of these factors will influence the terms of the Notes at the time of issuance and the price you will receive if you are able to
sell your Notes prior to maturity, as the Notes are comprised of both a debt component and a performance-based component linked to the
Underlying, and these are the types of factors that also generally affect the values of debt securities and derivatives linked to the
Underlying. Generally, the longer the time remaining to maturity, the more the market price of the Notes will be affected by the other
factors described above. For example, you may have to sell your Notes at a substantial discount from the principal amount of $1,000
per Note if the value of the Underlying at the time of sale is at, below or moderately above its Initial Underlying Level or if market
interest rates rise. You cannot predict the future performance of the Underlying based on its historical
performance.
| ¨ | The amount payable on the Notes is not linked to the level
of the Underlying at any time other than the Determination Date. The Final Underlying Level will be based on the Index Closing Value
of the Underlying on the Determination Date, subject to postponement for non-Index Business Days and certain Market Disruption Events.
Even if the level of the Underlying appreciates prior to the Determination Date but then drops by the Determination Date, the Payment
at Maturity may be significantly less than it would have been had the Payment at Maturity been linked to the level of the Underlying prior
to such drop. Although the actual level of the Underlying on the stated Maturity Date or at other times during the term of the Notes may
be higher than the Final Underlying Level, the Payment at Maturity will be based solely on the Index Closing Value of the Underlying on
the Determination Date as compared to the Initial Underlying Level. |
| ¨ | Investing in the Notes is not equivalent to investing
in the Underlying or the stocks composing the Underlying. Investing in the Notes is not equivalent to investing in the Underlying
or the stocks that constitute the Underlying. Investors in the Notes will not have voting rights or rights to receive dividends or other
distributions or any other rights with respect to the stocks that constitute the Underlying. Investors in the Notes also will not participate
in any appreciation of the Underlying that exceeds the Maximum Gain, which could be significant. Additionally, the Underlying is not a
“total return” index, which, in addition to reflecting the market prices of the stocks that constitute the Underlying, would
also reflect dividends paid on such stocks. The return on the Notes will not include such a total-return feature. |
| ¨ | 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 Notes in the Issue Price
reduce the economic terms of the Notes, cause the estimated value of the Notes to be less than the 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 Notes in secondary market transactions will likely be significantly lower
than the Issue Price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are
included in the 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 Notes in the Issue Price and the lower rate we are willing to pay as issuer make the economic terms
of the Notes less favorable to you than they otherwise would be.
However, because the costs associated with
issuing, selling, structuring and hedging the Notes are not fully deducted upon issuance, for a period of up to 12 months following the
Settlement Date, to the extent that MS & Co. may buy or sell the Notes in the secondary market, absent changes in market conditions,
including those related to the Underlying, 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 Notes 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 Notes than those generated by others, including other dealers
in the market, if they attempted to value the Notes. In addition, the estimated value on the Trade Date does not represent a minimum or
maximum price at which dealers, including MS & Co., would be willing to purchase your Notes in the secondary market (if any exists)
at any time. The value of your Notes at any time after the date of this pricing supplement 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 of the Notes
will be influenced by many unpredictable factors” above. |
| ¨ | The Notes will not be listed on any securities exchange
and secondary trading may be limited — The Notes will not be listed on any securities exchange. Therefore, there may be little
or no secondary market for the Notes. MS & Co. currently intends, but is not obligated, to make a market in the Notes 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 Notes, taking into account its bid/offer spread, our credit spreads, market 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 Notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Notes
easily. Since other broker-dealers may not participate significantly in the secondary market for the Notes, the price at which you may
be able to trade your Notes 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 Notes, it is likely that there would be no secondary market for the Notes. Accordingly,
you should be willing to hold your Notes to maturity.
| ¨ | Hedging and trading activity by our affiliates could potentially
adversely affect the value of the Notes — One or more of our affiliates and/or third-party dealers expect to carry out hedging
activities related to the Notes (and possibly to other instruments linked to the Underlying or its constituent stocks), including trading
in the stocks that constitute the Underlying as well as in other instruments related to the Underlying. As a result, these entities may
be unwinding or adjusting hedge positions during the term of the Notes, and the hedging strategy may involve greater and more frequent
dynamic adjustments to the hedge as the Determination Date approaches. Some of our affiliates also trade the stocks that constitute the
Underlying and other financial instruments related to the Underlying 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 the Trade Date could potentially affect the Initial Underlying Level
and, therefore, could increase the level above which the Underlying must close on the Determination Date before you would receive a payment
at maturity that exceeds your initial investment in the Notes. Additionally, such hedging or trading activities during the term of the
Notes, including on the Determination Date, could adversely affect the Index Closing Value of the Underlying on the Determination Date
and, accordingly, the amount of cash payable to an investor at maturity. |
| ¨ | Potential conflict of interest — As Calculation
Agent, MS & Co. will determine the Initial Underlying Level, the Final Underlying Level and whether any Market Disruption Event has
occurred, and will calculate the amount payable at maturity. 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 and the selection of a Successor Underlying or calculation of the Final Underlying Level in the event of a
discontinuance of the Underlying or a Market Disruption Event. These potentially subjective determinations may adversely affect the payout
to you at maturity. For further information regarding these types of determinations, see “Description of Equity-Linked Notes—General
Terms of the Notes—Some Definitions” and “Description of Equity-Linked Notes—Discontinuance of Any Underlying
Index; Alteration of Method of Calculation” in the accompanying product supplement. In addition, MS & Co. has determined the
estimated value of the Notes on the Trade Date. |
| ¨ | Potentially inconsistent research, opinions or recommendations
by Morgan Stanley, UBS or our or their respective affiliates — Morgan Stanley, UBS and our or their respective affiliates publish
research from time to time on financial markets and other matters that may influence the value of the Notes, or express opinions or provide
recommendations that are inconsistent with purchasing or holding the Notes. Any research, opinions or recommendations expressed by Morgan
Stanley, UBS or our or their respective affiliates may not be consistent with each other and may be modified from time to time without
notice. Investors should make their own independent investigation of the merits of investing in the Notes and the Underlying to which
the Notes are linked. |
Risks Relating to the Underlying
| ¨ | Governmental regulatory actions could result in material
changes to the composition of the Underlying and could negatively affect your return on the Notes. Governmental regulatory actions,
including but not limited to sanctions-related actions by the U.S. or foreign governments, could make it necessary or advisable for there
to be material changes to the composition of the Underlying, depending on the nature of such governmental regulatory actions and the Underlying
constituent stocks that are affected. If any governmental regulatory action results in the removal of Underlying constituent stocks that
have (or historically have had) significant weights within the Underlying, such removal, or even any uncertainty relating to a possible
removal, could have a material and negative effect on the level of the Underlying and, therefore, your return on the Notes. |
| ¨ | Adjustments to the Underlying could adversely affect the
value of the Notes. The Underlying publisher of the Underlying is responsible for calculating and maintaining the Underlying. The
Underlying publisher may add, delete or substitute the stocks constituting the Underlying or make other methodological changes required
by certain corporate events relating to the stocks constituting the Underlying, such as stock dividends, stock splits, spin-offs, rights
offerings and extraordinary dividends, that could change the value of the Underlying. The underlying publisher may discontinue or suspend
calculation or publication of the Underlying at any time. In these circumstances, the Calculation Agent will have the sole discretion
to substitute a Successor Underlying that is comparable to the discontinued Underlying, 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 value of the
Underlying and, consequently, the value of the Notes. |
Hypothetical Payments on the Notes at Maturity |
These examples are based on hypothetical terms.
The actual terms are set forth on the cover of this pricing supplement.
The below scenario analysis and examples are provided for illustrative
purposes only and are purely hypothetical. They do not purport to be representative of every possible scenario concerning increases or
decreases in the value of the Underlying relative to the Initial Underlying Level. We cannot predict the Final Level on the Determination
Date. You should not take the scenario analysis and these examples as an indication or assurance of the expected performance of the Underlying.
The numbers set forth in the examples below have been rounded for ease of analysis. The following scenario analysis and examples illustrate
the Payment at Maturity for a $1,000 principal amount of Notes on a hypothetical offering of the Notes, based on the following terms:
Investment term: |
5 years |
Principal amount: |
$1,000 |
Hypothetical Initial Underlying Level: |
30,000 |
Maximum Gain: |
64% |
Example 1 — The level of the Underlying
increases from an Initial Underlying Level of 30,000 to a Final Underlying Level of 36,000. The Underlying Return is calculated as
follows:
(36,000 – 30,000) / 30,000
= 20%
Because the Underlying Return is greater than zero,
the Payment at Maturity for each $1,000 Principal Amount of Notes is calculated as the lesser of:
(A) $1,000 + ($1,000 × Underlying
Return), and
(B) $1,000 + ($1,000 × Maximum
Gain)
= the lesser of (A) $1,000 +
($1,000 × 20%) and (B) $1,000 + ($1,000 × 64%)
= $1,000 + ($1,000 × 20%)
= $1,000 + $200
= $1,200
Because the Underlying Return of 20% is less than the
Maximum Gain of 64%, for each $1,000 Principal Amount of Notes, MSFL will pay you $1,200 at maturity.
Example 2 — The level of the Underlying
increases from an Initial Underlying Level of 30,000 to a Final Underlying Level of 54,000. The Underlying Return is calculated as
follows:
(54,000 – 30,000) / 30,000
= 80%
Because the Underlying Return is greater than zero,
the Payment at Maturity for each $1,000 Principal Amount of Notes is calculated as the lesser of:
(A) $1,000 + ($1,000 × Underlying
Return), and
(B) $1,000 + ($1,000 × Maximum
Gain)
= the lesser of (A) $1,000 +
($1,000 × 80%) and (B) $1,000 + ($1,000 × 64%)
= $1,000 + ($1,000 × 64%)
= $1,000 + $640
= $1,640
Because the Underlying Return of 80% is greater than
the Maximum Gain of 64%, for each $1,000 Principal Amount of Notes, MSFL will pay you only $1,640 at maturity, the maximum Payment at
Maturity on the Notes. This represents the maximum amount payable over the term of the Notes.
Example 3 — The level of the Underlying
decreases from an Initial Level of 30,000 to a Final Level of 15,000. The Underlying Return is negative and expressed as a
formula:
Underlying Return = (15,000 - 30,000)
/ 30,000 = -50.00%
Payment at Maturity = $1,000
Because the Underlying Return is less than zero, MSFL
will pay you only the $1,000 principal amount at maturity and you will not receive any positive return on your investment.
The table below illustrates the Payment at Maturity for a hypothetical
range of Underlying Returns and does not cover the complete range of possible payouts at maturity.
Underlying Return |
Final Underlying Level |
Principal Amount |
Payment at Maturity |
Hypothetical Return on $1,000 Note(1) |
100% |
60,000 |
$1,000 |
$1,640 |
64% |
90% |
57,000 |
$1,000 |
$1,640 |
64% |
80% |
54,000 |
$1,000 |
$1,640 |
64% |
70% |
51,000 |
$1,000 |
$1,640 |
64% |
64% |
49,200 |
$1,000 |
$1,640 |
64% |
60% |
48,000 |
$1,000 |
$1,600 |
60% |
50% |
45,000 |
$1,000 |
$1,500 |
50% |
40% |
42,000 |
$1,000 |
$1,400 |
40% |
30% |
39,000 |
$1,000 |
$1,300 |
30% |
20% |
36,000 |
$1,000 |
$1,200 |
20% |
10% |
33,000 |
$1,000 |
$1,100 |
10% |
0% |
30,000 |
$1,000 |
$1,000 |
0% |
-10% |
27,000 |
$1,000 |
$1,000 |
0% |
-20% |
24,000 |
$1,000 |
$1,000 |
0% |
-30% |
21,000 |
$1,000 |
$1,000 |
0% |
-40% |
18,000 |
$1,000 |
$1,000 |
0% |
-50% |
15,000 |
$1,000 |
$1,000 |
0% |
-60% |
12,000 |
$1,000 |
$1,000 |
0% |
-70% |
9,000 |
$1,000 |
$1,000 |
0% |
-80% |
6,000 |
$1,000 |
$1,000 |
0% |
-90% |
3,000 |
$1,000 |
$1,000 |
0% |
-100% |
0 |
$1,000 |
$1,000 |
0% |
* The Underlying excludes cash dividend payments on stocks included
in the Underlying.
(1) The “Hypothetical Return on $1,000 Note” is the number,
expressed as a percentage, that results from comparing the Payment at Maturity per $1,000 principal amount per Note to the purchase price
of $1,000 per Note.
What Are the Tax Consequences of the Notes? |
In the opinion of our counsel, Davis Polk & Wardwell LLP, the Notes
should be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as described in the section
of the accompanying product supplement called “United States Federal Taxation—Tax Consequences to U.S. Holders.” Under
this treatment, if you are a U.S. taxable investor, you generally will be subject to annual income tax based on the “comparable
yield” (as defined in the accompanying product supplement) of the Notes, adjusted upward or downward to reflect the difference,
if any, between the actual and projected amount of the payments on the Notes. In addition, any gain recognized by U.S. taxable investors
on the sale or exchange, or at maturity, of the Notes generally will be treated as ordinary income. We have determined that the “comparable
yield” for the Notes is a rate of 5.4789% per annum, compounded semi-annually. Based on the comparable yield set forth above, the
“projected payment schedule” for a Note (assuming an issue price of $1,000) consists of a single projected amount equal to
$1,310.5441 due at maturity.
You should read the discussion under “United States Federal Taxation”
in the accompanying product supplement concerning the U.S. federal income tax consequences of an investment in the Notes.
The following table states the amount of interest income (without taking
into account any adjustment to reflect the difference, if any, between the actual and the projected amount of the contingent payment on
a Note) that will be deemed to have accrued with respect to a Note for each accrual period (assuming a day count convention of 30 days
per month and 360 days per year), based upon the comparable yield set forth above.
ACCRUAL
PERIOD |
INTEREST
INCOME DEEMED TO ACCRUE DURING ACCRUAL PERIOD (PER NOTE) |
TOTAL
INTEREST INCOME DEEMED TO HAVE ACCRUED FROM ORIGINAL ISSUE DATE (PER NOTE) AS OF END OF ACCRUAL PERIOD |
Original Issue Date through December 31, 2022 |
$13.6973 |
$13.6973 |
January 1, 2023 through June 30, 2023 |
$27.7697 |
$41.4670 |
July 1, 2023 through December 31, 2023 |
$28.5305 |
$69.9975 |
January 1, 2024 through June 30, 2024 |
$29.3120 |
$99.3095 |
July 1, 2024 through December 31, 2024 |
$30.1150 |
$129.4245 |
January 1, 2025 through June 30, 2025 |
$30.9400 |
$160.3645 |
July 1, 2025 through December 31, 2025 |
$31.7876 |
$192.1521 |
January 1, 2026 through June 30, 2026 |
$32.6584 |
$224.8105 |
July 1, 2026 through December 31, 2026 |
$33.5531 |
$258.3636 |
January 1, 2027 through June 30, 2027 |
$34.4722 |
$292.8358 |
July 1, 2027 through the Maturity Date |
$17.7083 |
$310.5441 |
The comparable yield and the projected payment schedule are not provided
for any purpose other than the determination of U.S. Holders’ accruals of interest income and adjustments thereto in respect of
the Notes for U.S. federal income tax purposes, and we make no representation regarding the actual amount of the payments that will be
made on the Notes.
If you are a non-U.S. investor, please also read the section of the
accompanying product supplement called “United States Federal Taxation—Tax Consequences to Non-U.S. Holders.”
As discussed in the accompanying product supplement, Section 871(m)
of the Internal Revenue Code of 1986, as amended (the “Code”), and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents paid or deemed paid
to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities (each,
an “Underlying Security”). Subject to certain exceptions, Section 871(m) generally applies to securities that substantially
replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury
regulations (a “Specified Security”). However, pursuant to an Internal Revenue Service (“IRS”) notice, Section
871(m) will not apply to securities issued before January 1, 2025 that do not have a delta of one with respect to any Underlying Security.
Based on our determination that the Notes do not have a delta of one with respect to any Underlying Security, our counsel is of the opinion
that the Notes should not be Specified Securities and, therefore, should not be subject to Section 871(m). Our determination is not binding
on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular
circumstances, including whether you enter into other transactions with respect to an Underlying Security. If withholding is required,
we will not be required to pay any additional amounts with respect to the amounts so withheld. You should consult your tax adviser
regarding the potential application of Section 871(m) to the Notes.
You should consult your tax adviser regarding all aspects of the
U.S. federal income tax consequences of an investment in the Notes, as well as any tax consequences arising under the laws of any state,
local or non-U.S. taxing jurisdiction.
The discussion in the preceding paragraphs under “What Are
the Tax Consequences of the Notes?” and the discussion contained in the section entitled “United States Federal Taxation”
in the accompanying product supplement, insofar as they purport to describe provisions of U.S. federal income tax laws or legal conclusions
with respect thereto, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of an investment in the Notes.
The 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. For additional information about the Dow Jones Industrial AverageSM,
see the information set forth under “Dow Jones Industrial AverageSM” in the accompanying index supplement.
“Dow Jones,” “Dow Jones Industrial Average,”
“Dow Jones Indexes” and “DJIA” are service marks of Dow Jones Trademark Holdings LLC. For more information, see
“Dow Jones Industrial AverageSM” in the accompanying index supplement.
Historical Information
The following table presents the published high and low closing values,
as well as end-of-quarter closing values, of the Underlying from January 1, 2017 through September 27, 2022. The closing value of the
Underlying on September 27, 2022 was 29,134.99. We obtained the closing values and other information below from Bloomberg Financial Markets,
without independent verification. The Underlying experiences periods of high volatility, and you should not take the historical values
of the Underlying as an indication of future performance.
Quarter Begin |
Quarter End |
Quarterly High |
Quarterly Low |
Quarterly Close |
1/1/2017 |
3/31/2017 |
21,115.55 |
19,732.40 |
20,663.22 |
4/1/2017 |
6/30/2017 |
21,528.99 |
20,404.49 |
21,349.63 |
7/1/2017 |
9/30/2017 |
22,412.59 |
21,320.04 |
22,405.09 |
10/1/2017 |
12/31/2017 |
24,837.51 |
22,557.60 |
24,719.22 |
1/1/2018 |
3/31/2018 |
26,616.71 |
23,533.20 |
24,103.11 |
4/1/2018 |
6/30/2018 |
25,322.31 |
23,644.19 |
24,271.41 |
7/1/2018 |
9/30/2018 |
26,743.50 |
24,174.82 |
26,458.31 |
10/1/2018 |
12/31/2018 |
26,828.39 |
21,792.20 |
23,327.46 |
1/1/2019 |
3/31/2019 |
26,091.95 |
22,686.22 |
25,928.68 |
4/1/2019 |
6/30/2019 |
26,753.17 |
24,815.04 |
26,599.96 |
7/1/2019 |
9/30/2019 |
27,359.16 |
25,479.42 |
26,916.83 |
10/1/2019 |
12/31/2019 |
28,645.26 |
26,078.62 |
28,538.44 |
1/1/2020 |
3/31/2020 |
29,551.42 |
18,591.93 |
21,917.16 |
4/1/2020 |
6/30/2020 |
27,572.44 |
20,943.51 |
25,812.88 |
7/1/2020 |
9/30/2020 |
29,100.50 |
25,706.09 |
27,781.70 |
10/1/2020 |
12/31/2020 |
30,606.48 |
26,501.60 |
30,606.48 |
1/1/2021 |
3/31/2021 |
33,171.37 |
29,982.62 |
32,981.55 |
4/1/2021 |
6/30/2021 |
34,777.76 |
33,153.21 |
34,502.51 |
7/1/2021 |
9/30/2021 |
35,625.40 |
33,843.92 |
33,843.92 |
10/1/2021 |
12/31/2021 |
36,488.63 |
34,002.92 |
36,338.30 |
1/1/2022 |
3/31/2022 |
36,799.65 |
32,632.64 |
34,678.35 |
4/1/2022 |
6/30/2022 |
35,160.79 |
29,888.78 |
30,775.43 |
7/1/2022 |
9/27/2022* |
34,152.01 |
29,134.99 |
29,134.99 |
| * | Available information for the indicated period includes data for less than the entire calendar quarter and accordingly, the “Quarterly
High,” “Quarterly Low” and “Quarterly Close” data indicated are for this shortened period only. |
The graph below illustrates the performance of the Dow Jones Industrial
AverageSM from January 1, 2008 through September 27, 2022, based on information from Bloomberg. Past performance of the
Dow Jones Industrial AverageSM is not indicative of its future performance.
Additional Terms of the Notes |
If the terms described herein are inconsistent with those described
in the prospectus supplement, index supplement or prospectus, the terms described herein shall control.
The accompanying product supplement refers to the Principal Amount
as the “Stated Principal Amount,” the Initial Underlying Level as the “Initial Index Value,” the Final Level as
the “Final Index Value” and the Trade Date as the “Pricing Date.”
Index Publisher
S&P Dow Jones Indices LLC, or any successor thereto.
Interest
None
Bull or Bear Notes
Bull notes
Call Right
The Notes are not callable prior to the Maturity Date.
Postponement of Maturity Date
If the Determination Date is postponed so that it falls less than two
Business Days prior to the scheduled Maturity Date, the Maturity Date will be postponed to the second Business Day following the Determination
Date as postponed.
Equity-linked Notes
All references to “equity-linked notes” or related terms
in the accompanying product supplement for equity-linked notes shall be deemed to refer to the Notes when read in conjunction with this
document.
Trustee
The Bank of New York Mellon
Calculation Agent
MS & Co.
Issuer Notice to Registered Note Holders, the Trustee and the Depositary
In the event that the Maturity Date is postponed due to postponement
of the Determination 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 Notes 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 Depository
Trust Company (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 Notes 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 actual Determination Date for determining the final index value.
The issuer shall, or shall cause the calculation agent to, (i) 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
payment at maturity on or prior to 10:30 a.m. (New York City time) on the Business Day preceding the Maturity Date and (ii) deliver the
aggregate cash amount due with respect to the Notes to the trustee for delivery to the depositary, as a holder of the Notes, on the Maturity
Date.