Terms
| Issuer: |
Morgan Stanley Finance LLC |
| Guarantor: |
Morgan Stanley |
| Principal Amount: |
$1,000 per security |
| Index: |
S&P 500® Index (the “Index”) |
| Upside Leverage Factor: |
3 |
Payment at Maturity:
|
If the Ending Index Level is greater than the Initial Index Level, you will receive a cash payment that provides you with a return per $1,000 principal amount security equal to the Index Return multiplied by 3, subject to the Maximum Total Return of 43.77%. For example, if the Index Return is greater than or equal to 14.59%, you will receive the Maximum Total Return on the securities of 43.77%, which entitles you to the maximum payment at maturity of $1,437.70 for every $1,000 principal amount security that you hold. Accordingly, if the Index Return is positive, your payment per $1,000 principal amount security will be calculated as follows, subject to the Maximum Total Return: |
| |
$1,000 + [$1,000 x (Index Return x 3)] |
| |
If the Ending Index Level is equal to the Initial Index Level, you will receive at maturity a cash payment of $1,000 per $1,000 principal amount security. |
| |
Your investment will be fully exposed to any decline in the Index. If the Ending Index Level declines from the Initial Index Level, you will lose 1% of the principal amount of your securities for every 1% that the Index declines below the Initial Index Level and your payment per $1,000 principal amount security will be calculated as follows: |
| |
$1,000 + ($1,000 x Index Return) |
| |
You will lose some or all of your investment at maturity if the Ending Index Level declines from the Initial Index Level. |
| Index Return: |
The performance of the Index from the Initial Index Level to the Ending Index Level, calculated as follows: |
| |
Ending Index Level – Initial Index Level |
| |
Initial Index Level |
| |
The Index Return may be positive, zero or negative. |
| Maximum Total Return: |
43.77%, resulting in a maximum Payment at Maturity of $1,437.70 per security |
| Initial Index Level: |
3,783.28, which is the Index Closing Level on October 5, 2022. |
| Ending Index Level: |
The arithmetic average of the Index Closing Levels on each of the five Averaging Dates. |
| Averaging Dates†: |
April 1, 2025, April 2, 2025, April 3, 2025, April 4, 2025 and April 7, 2025 |
| Maturity Date†: |
April 10, 2025 |
| Pricing Date: |
October 6, 2022 |
| Issue Date: |
October 12, 2022 |
| Listing: |
The securities will not be listed on any securities exchange. |
| Estimated value on the Pricing Date: |
Approximately $978.40 per security, or within $25.00 of that estimate. See “Additional Terms Specific To The Securities” on page 2. |
| CUSIP / ISIN: |
61774HUZ9 / US61774HUZ99 |
| † | Subject to postponement in the event of a market disruption
event as described in the accompanying product supplement for leveraged index-linked securities. |
Investing in the Return Enhanced Notes involves a number of risks.
See “Risk Factors” beginning on page S-28 of the accompanying product supplement for leveraged index-linked securities and
“Selected Risk Considerations” beginning on page 7 of these preliminary terms.
Morgan Stanley and MSFL have filed a registration statement (including
a prospectus, as supplemented by a product supplement for leveraged index-linked securities and an index supplement) with the Securities
and Exchange Commission, or SEC, for the offering to which these preliminary terms relate. Before you invest, you should read the prospectus
in that registration statement, the product supplement for leveraged index-linked securities, 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 without cost by visiting EDGAR on the SEC website at.www.sec.gov. Alternatively, Morgan
Stanley, MSFL, any agent or any dealer participating in this offering will arrange to send you the prospectus, the product supplement
for leveraged index-linked securities, the index supplement and these preliminary terms if you so request by calling toll-free 1-800-584-6837.
You may revoke your offer to purchase the securities at any time prior
to the time at which we accept such offer on the date the securities are priced. 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 changes to the terms of the securities, we will notify
you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which
case we may reject your offer to purchase.
Neither the Securities and Exchange Commission nor any state securities
commission has approved or disapproved of the securities or passed upon the accuracy or the adequacy of these preliminary terms or the
accompanying product supplement for leveraged index-linked securities, index supplement and prospectus. Any representation to the contrary
is a criminal offense.
| |
Price to Public(1) |
Fees and Commissions(1)(2) |
Proceeds to Us(3) |
| Per security |
$1,000 |
$15.75 |
$984.25 |
| Total |
$ |
$ |
$ |
| (1) | J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will
act as placement agents for the securities. The placement agents will forgo fees for sales to certain fiduciary accounts. The total fees
represent the amount that the placement agents receive from sales to accounts other than such fiduciary accounts. The placement agents
will receive a fee from the Issuer or one of its affiliates that will not exceed $15.75 per $1,000 principal amount of securities. |
| (2) | Please see “Supplemental Plan of Distribution; Conflicts
of Interest” in these preliminary terms for information about fees and commissions. |
| (3) | See “Use of Proceeds and Hedging” on page 11. |
The agent for this offering, Morgan Stanley & Co. LLC (“MS
& Co.”), is an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental Plan of Distribution;
Conflicts of Interest” below.
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.
References to “we,”
“us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
| Morgan Stanley |
 |
ADDITIONAL TERMS SPECIFIC TO THE SECURITIES
You should read these preliminary terms together with the
prospectus dated November 16, 2020, as supplemented by the product supplement for leveraged index-linked securities dated November 16,
2020 and the index supplement dated November 16, 2020. These Return Enhanced Notes are an issuance of our leveraged index-linked securities
and their terms are further described in the product supplement for leveraged index-linked securities. These preliminary terms, together
with the documents listed below, contain the terms of the securities and supersede all other prior or contemporaneous oral statements
as well as any other written materials including preliminary or indicative pricing terms, correspondence, trade ideas, structures for
implementation, sample structures, fact sheets, brochures or other educational materials of ours. You should carefully consider, among
other things, the matters set forth in “Risk Factors” in the accompanying product supplement for leveraged index-linked securities,
as the securities involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax,
accounting and other advisers before you invest in the securities.
You may access these documents on the SEC website at.www.sec.gov
as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC website):
| · | Product Supplement for Leveraged Index-Linked Securities dated November 16, 2020: |
https://www.sec.gov/Archives/edgar/data/895421/000095010320022212/dp140489-424b2_indexls.htm
| · | Index Supplement dated November 16, 2020: |
https://www.sec.gov/Archives/edgar/data/895421/000095010320022214/dp140278_424b2-isn2020.htm
| · | Prospectus dated November 16, 2020: |
https://www.sec.gov/Archives/edgar/data/895421/000095010320022190/dp140485_424b2-base.htm
Terms used but not defined in these preliminary
terms are defined in the product supplement for leveraged index-linked securities, in the index supplement or in the prospectus.
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 $978.40, or within $25.00 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 Index. The estimated value of the securities
is determined using our own pricing and valuation models, market inputs and assumptions relating to the Index, instruments based on the
Index, 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 Upside
Leverage Factor and the Maximum Total Return, 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 Index, 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 Index, 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.
What is the Total Return on the Securities at Maturity
Assuming a Range of Performance for the Index?
The following table and graph illustrate the hypothetical
total return at maturity on the securities. The “total return” as used in these preliminary terms is the number, expressed
as a percentage, that results from comparing the payment at maturity per $1,000 principal amount security to $1,000. The hypothetical
total returns set forth below assume an Initial Index Level of 3,800 and reflect the Maximum Total Return on the securities of 43.77%.
The hypothetical total returns set forth below are for illustrative purposes only and may not be the actual total returns applicable to
a purchaser of the securities.
| Ending Index Level |
Index Return |
Payment on Securities (per $1,000) |
Total Return on Securities |
| 6,840.00 |
80.00% |
$1,437.70 |
43.77% |
| 5,700.00 |
50.00% |
$1,437.70 |
43.77% |
| 4,940.00 |
30.00% |
$1,437.70 |
43.77% |
| 4,560.00 |
20.00% |
$1,437.70 |
43.77% |
| 4,354.42 |
14.59% |
$1,437.70 |
43.77% |
| 4,180.00 |
10.00% |
$1,300.00 |
30.00% |
| 3,990.00 |
5.00% |
$1,150.00 |
15.00% |
| 3,800.00 |
0.00% |
$1,000.00 |
0.00% |
| 3,420.00 |
-10.00% |
$900.00 |
-10.00% |
| 3,040.00 |
-20.00% |
$800.00 |
-20.00% |
| 2,660.00 |
-30.00% |
$700.00 |
-30.00% |
| 2,280.00 |
-40.00% |
$600.00 |
-40.00% |
| 1,900.00 |
-50.00% |
$500.00 |
-50.00% |
| 0 |
-100.00% |
$0.00 |
-100.00% |
Hypothetical Examples of Amounts Payable at Maturity
The following examples illustrate how the total returns set
forth in the table and graph above are calculated.
Example 1: The level of the Index increases from the Initial
Index Level of 3,800 to an Ending Index Level of 3,990. Because the Ending Index Level of 3,990 is greater than the Initial Index
Level of 3,800 and the Index Return of 5% multiplied by 3 does not exceed the Maximum Total Return of 43.77%, the investor receives a
payment at maturity of $1,150 per $1,000 principal amount security calculated as follows:
$1,000 + [$1,000 x (5% x 3)] = $1,150
Example 2: The level of the Index increases from the
Initial Index Level of 3,800 to an Ending Index Level of 5,700. Because the Index Return of 50% multiplied by 3 exceeds the Maximum Total
Return of 43.77%, the investor receives a payment at maturity of $1,437.70 per $1,000 principal amount security, the maximum payment on
the securities.
Example 3: The level of the Index decreases from the Initial
Index Level of 3,800 to an Ending Index Level of 3,040. Because the Ending Index Level of 3,040 is less than the Initial Index Level
of 3,800, the Index Return is negative and the investor will receive a payment at maturity of $800 per $1,000 principal amount security
calculated as follows:
$1,000 + ($1,000 x -20%) = $800
Selected Purchase Considerations
| · | CAPPED APPRECIATION POTENTIAL; NO GUARANTEED RETURN OF ANY PRINCIPAL – The securities provide
the opportunity to enhance equity returns by multiplying any positive Index Return by 3, up to the Maximum Total Return on the securities
of 43.77%, resulting in a maximum Payment at Maturity of $1,437.70 for every $1,000 principal amount security. However, if the Index Return
is negative, investors will participate fully in the negative performance and will lose some or all of their investment. Because the securities
are our unsecured obligations, payment of any amount at maturity is subject to our ability to pay our obligations as they become due. |
| · | SECURITIES LINKED TO THE S&P 500® INDEX — The return on the securities is linked to the S&P 500®
Index. 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. For additional information about the S&P 500® Index, see the information
set forth under “S&P 500® Index” in the accompanying index supplement. |
| · | TAX TREATMENT – You should review carefully the section entitled “United States Federal Taxation” in the
accompanying product supplement for leveraged index-linked securities. There is uncertainty regarding the U.S. federal income tax consequences
of an investment in the securities due to the lack of governing authority. Our counsel, Davis Polk & Wardwell LLP, is unable to render
a definitive opinion on the tax treatment of the securities at this time as such opinion is dependent in part upon market conditions on
the Pricing Date. Our counsel’s opinion will therefore be provided only on the Pricing Date. However, under current law, and based
on current market conditions, our counsel believes that it is at least reasonable to treat a security as a single financial contract that
is an “open transaction” for U.S. federal income tax purposes. Assuming this treatment of the securities is respected, your
gain or loss on the securities should be treated as long-term capital gain or loss if you have held the securities for more than one year,
and short-term capital gain or loss otherwise, even if you are an initial purchaser of securities at a price that is below the principal
amount of the securities. |
The Internal Revenue Service (the “IRS”) or a
court, however, may not respect this characterization or treatment of the securities, in which case the timing and character of any income
or loss on the securities could be significantly and adversely affected. There is a risk that the IRS may seek to treat all or a portion
of the gain on the securities as ordinary income. For example, there is a risk (which, depending on the market conditions on the Pricing
Date, could be substantial) that the IRS could seek to recharacterize the securities as debt instruments. In that event, you would be
required to accrue into income original issue discount on the securities every year at a “comparable yield” determined at
the time of issuance and recognize all income and gain in respect of the securities as ordinary income. We do not plan to request a ruling
from the IRS regarding the tax treatment of the securities, and the IRS or a court may not agree with the tax treatment described above.
In 2007, the U.S. Treasury Department and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses on whether to require holders of these instruments to accrue income over the term of their investment. It also asks
for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether short-term
instruments should be subject to any such accrual regime; the relevance of factors such as exchange-traded status of the instruments and
the nature of the underlying property to which the instruments are linked; the degree, if any, to which any income (including any mandated
accruals) realized by non-U.S. holders should be subject to withholding tax; and whether these investments are or should be subject to
the “constructive ownership” rule, as discussed above. While the notice requests comments on appropriate transition rules
and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the securities, possibly with retroactive effect.
As discussed in the accompanying product supplement for leveraged
index-linked securities, Section 871(m) of 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 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 the terms of the securities and current market conditions, we expect that the
securities will not have a delta of one with respect to any Underlying Security on the Pricing Date. However, we will provide an updated
determination in the pricing supplement. Assuming that the securities do not have a delta of one with respect to any Underlying Security,
our counsel is of the opinion that the securities 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 treatment
of the securities, including possible alternative characterizations, the potential application of the constructive ownership rule, the
issues presented by the 2007 notice, the potential application of Section 871(m) and any tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
The discussion in the preceding paragraphs under “Tax
Treatment” and the section entitled “United States Federal Taxation” in the accompanying product supplement for leveraged
index-linked securities, 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 securities.
Selected
Risk Considerations
An investment in the securities involves significant risks.
Investing in the securities is not equivalent to investing directly in the Index or any of the component stocks of the Index. The material
risks relating to the securities are described below and are explained in more detail in the “Risk Factors” section of the
accompanying product supplement for leveraged index-linked securities and prospectus.
Risks Relating
to an Investment in the Securities
| · | YOUR INVESTMENT IN THE SECURITIES MAY RESULT IN A LOSS – The securities do not guarantee
any return of principal. The return on the securities at maturity is linked to the performance of the Index and will depend on whether,
and the extent to which, the Index Return is positive or negative. Your investment will be fully exposed to any decline in the Ending
Index Level as compared to the Initial Index Level. There is no minimum payment at maturity on the securities, and, accordingly, you could
lose your entire initial investment in the securities. |
| · | YOUR MAXIMUM GAIN ON THE SECURITIES IS LIMITED TO THE MAXIMUM TOTAL RETURN – If the Ending
Index Level is greater than the Initial Index Level, for each $1,000 principal amount security, you will receive at maturity $1,000 plus
an additional amount that will not exceed the Maximum Total Return of 43.77% of the stated principal amount, resulting in a maximum Payment
at Maturity of $1,437.70 per security, regardless of the appreciation of the Index, which may be significant. |
| · | THE SECURITIES DO NOT PAY INTEREST – Unlike ordinary debt securities, the securities do
not pay interest and do not guarantee any return of principal at maturity. |
| · | THE SECURITIES ARE SUBJECT TO OUR CREDIT RISK, AND ANY ACTUAL OR ANTICIPATED CHANGES TO OUR CREDIT
RATINGS OR CREDIT SPREADS MAY ADVERSELY AFFECT THE MARKET VALUE OF THE SECURITIES – You are dependent on our ability to pay
all amounts due on the securities at maturity, and therefore you are subject to our credit risk. If we default on our obligations under
the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the
securities prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any actual or anticipated
decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely
affect the market value of the securities. |
| · | AS A FINANCE SUBSIDIARY, MSFL HAS NO INDEPENDENT OPERATIONS AND WILL HAVE NO INDEPENDENT ASSETS –
As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have no
independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy,
resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee
by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan Stanley.
Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities issued
by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari passu
with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities. |
| · | MANY ECONOMIC AND MARKET FACTORS WILL IMPACT THE VALUE OF THE SECURITIES –The value of
the securities will be affected by a number of economic and market factors that may either offset or magnify each other, including: |
| · | the value of the Index at any time, including on the Averaging Dates; |
| · | the volatility (frequency and magnitude of changes in value) of the Index; |
| · | interest and yield rates in the market; |
| · | the dividend rate on the common stocks underlying the Index; |
| · | geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the securities constituting
the Index or securities markets generally and which may affect the Ending Index Level; |
| · | the time remaining until the securities mature; and |
| · | our creditworthiness, including any actual or anticipated changes in our credit ratings or credit spreads. |
Some or all of these factors will
influence the price you will receive if you sell your securities prior to maturity. Generally, the longer the time remaining to maturity,
the more the market price of the securities will be affected by the other factors described above. For example, you may have to sell your
securities at a substantial discount from the principal amount if, at the time of sale, the Index is at or below the Initial Index Level.
You can review a graph setting
forth the historical performance of the Index in the section of these preliminary terms called “Historical Information.”
You cannot predict the future
performance of the Index based on its historical performance. The value of the Index may decrease so that you will receive at maturity
a payment that is less than the principal amount of the securities by an amount proportionate to the decrease in the value of the Index.
In addition, there can be no assurance that the value of the Index will increase so that you will receive at maturity an amount in excess
of the principal amount of the securities. Nor can there be any assurance that the value of the Index will not increase by more than the
maximum total return, in which case you will receive only the stated principal amount plus the maximum total return.
| · | INVESTING IN THE SECURITIES IS NOT EQUIVALENT TO INVESTING IN THE INDEX – Investing in
the securities is not equivalent to investing in the Index or its component stocks. Investors in the securities will not have voting rights
or rights to receive cash dividends or other distributions or any other rights that holders of securities composing the S&P 500®
Index would have. |
| · | THE RATE WE ARE WILLING TO PAY FOR SECURITIES OF THIS
TYPE, MATURITY AND ISSUANCE SIZE IS LIKELY TO BE LOWER THAN THE RATE IMPLIED BY OUR SECONDARY MARKET CREDIT SPREADS AND ADVANTAGEOUS
TO US. BOTH THE LOWER RATE AND THE INCLUSION OF COSTS ASSOCIATED WITH ISSUING, SELLING, STRUCTURING AND HEDGING THE SECURITIES IN THE
ORIGINAL ISSUE PRICE REDUCE THE ECONOMIC TERMS OF THE SECURITIES, CAUSE THE ESTIMATED VALUE OF THE SECURITIES TO BE LESS THAN THE ORIGINAL
ISSUE PRICE AND WILL ADVERSELY AFFECT SECONDARY MARKET PRICES– Assuming no change in market conditions or any other relevant
factors, the prices, if any, at which dealers, including MS & Co., may be willing to purchase the securities in secondary market
transactions will likely be significantly lower than the original issue price, because secondary market prices will exclude the issuing,
selling, structuring and hedging-related costs that are included in the original issue price and borne by you and because the secondary
market prices will reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary market
transaction of this type as well as other factors. |
The inclusion of the costs
of issuing, selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the securities less favorable to you than they otherwise would be.
However, because the costs
associated with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6
months following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes
in market conditions, including those related to the Index, and to our secondary market credit spreads, it would do so based on values
higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage account statements.
| · | THE ESTIMATED VALUE OF THE SECURITIES IS DETERMINED BY REFERENCE TO OUR PRICING AND VALUATION MODELS,
WHICH MAY DIFFER FROM THOSE OF OTHER DEALERS AND IS NOT A MAXIMUM OR MINIMUM SECONDARY MARKET PRICE– These pricing and valuation
models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which
may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield
a higher estimated value of the securities than those generated by others, including other dealers in the market, if they attempted to
value the securities. In addition, the estimated value on the Pricing Date does not represent a minimum or maximum price at which dealers,
including MS & Co., would be willing to purchase your securities in the secondary market (if any exists) at any time. The value of
your securities at any time after the date of this document will vary based on many factors that cannot be predicted with accuracy, including
our creditworthiness and changes in market conditions. See also “Many economic and market factors will impact the value of the securities”
above. |
| · | LACK OF LIQUIDITY – The securities will not be listed on any securities exchange. Therefore,
there may be little or no secondary market for the securities. Morgan Stanley & Co. LLC (“MS & Co.”) may, but is not
obligated to, make a market in the securities and, if it once chooses to make a market, may cease doing so at any time. When it does make
a market, it will generally do so for transactions of routine secondary market size at prices based on its estimate of the current value
of the securities, taking into account its bid/offer spread, our credit spreads, market volatility, the notional size of the proposed
sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell
the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities
easily. Since other broker-dealers may not participate significantly in the secondary market for the securities, the price at which you
may be able to trade your securities is likely to depend on the price, if any, at which MS & Co. is willing to transact. If, at any
time, MS & Co. were to cease making a market in the securities, it is likely that there would be no secondary market for the securities.
Accordingly, you should be willing to hold your securities to maturity. |
| · | POTENTIAL CONFLICTS – We and our affiliates play a variety of roles in connection with
the issuance of the securities, including acting as calculation agent and hedging our obligations under the securities. |
In performing these duties, the economic
interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the securities.
As calculation agent, MS
& Co. may make certain determinations that 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 index or calculation of the Ending Index
Level in the event of a market disruption event or discontinuance of the Index. These potentially subjective determinations may adversely
affect the payout to you at maturity, if any. For further information regarding these types of determinations, see “Description
of Leveraged Index-Linked Securities— Market Disruption Event,” “—Postponement
of Observation Date; Averaging Dates,” “—Alternate Exchange Calculation in Case of an Event of Default,” “—Discontinuance
of Any Underlying Index; Alteration of Method of Calculation,” “—Calculation Agent and Calculations” and related
definitions in the accompanying product supplement.
Additionally, some of our
affiliates also trade financial instruments related to the Index on a regular basis as part of their general broker-dealer and other businesses.
Any of these hedging or trading activities on or prior to October 5, 2022 could potentially affect the Initial Index Level. We will not
have any obligation to consider your interests as a holder of the securities in taking any corporate action that might affect the level
of the Index and the value of the securities. In addition, MS & Co. has determined the estimated value of the securities on the Pricing
Date.
| · | HEDGING AND TRADING ACTIVITY BY OUR AFFILIATES COULD POTENTIALLY ADVERSELY AFFECT THE VALUE OF THE
SECURITIES– One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the securities
(and to other instruments linked to the Index or its component stocks), including trading in the stocks that constitute the Index as well
as in other instruments related to the Index. As a result, these entities may be unwinding or adjusting hedge positions during the term
of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the Averaging Dates
approach. Some of our affiliates also trade the stocks that constitute the Index and other financial instruments related to the Index
on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior
to October 5, 2022 could potentially increase the Initial Index Level, and, therefore, could increase the value at or above which the
Index must close on the Averaging Dates so that investors do not suffer a loss on their initial investment in the securities. |
| · | THE OFFERING OF THE SECURITIES MAY BE TERMINATED BEFORE THE PRICING DATE — If we determine
prior to pricing that it is not reasonable to treat your purchase and ownership of the securities as an “open transaction”
for U.S. federal income tax purposes, the offering of the securities will be terminated. |
Risks Relating
to the Index
| · | ADJUSTMENTS TO THE INDEX COULD ADVERSELY AFFECT THE VALUE OF THE SECURITIES –The index
publisher may add, delete or substitute the stocks constituting the Index or make other methodological changes that could change the value
of the Index. The index publisher may discontinue or suspend calculation or publication of the Index at any time. In these circumstances,
the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued Index. The
calculation agent could have an economic interest that is different than that of investors in the securities insofar as, for example,
the calculation agent is permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates.
If the calculation agent determines that there is no appropriate successor index, at maturity the payout on the securities will be an
amount based on the closing prices at maturity of the securities constituting the Index at the time of such discontinuance, without rebalancing
or substitution, computed by the calculation agent in accordance with the formula for calculating the Index last in effect prior to discontinuance
of the Index. |
Additional Terms
of the Securities
Underlying Index
Publisher
S&P Dow Jones Indices LLC
or any successor thereof
Denominations
$1,000 per security and integral
multiples thereof
Interest Rate
None
Issuer Notice
to Registered Security Holders, the Trustee and the Depositary:
In the event that the Maturity
Date is postponed due to postponement of the final Averaging Date, the issuer shall give notice of such postponement and, once it has
been determined, of the date to which the Maturity Date has been rescheduled (i) to each registered holder of the securities by mailing
notice of such postponement by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon
the registry books, (ii) to the trustee by facsimile confirmed by mailing such notice to the trustee by first class mail, postage prepaid,
at its New York office and (iii) to The 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 securities
in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or not such registered
holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice
of postponement of the Maturity Date, the business day immediately preceding the scheduled Maturity Date and (ii) with respect to notice
of the date to which the Maturity Date has been rescheduled, the business day immediately following the actual final Averaging Date.
The issuer shall, or shall cause
the calculation agent to, (i) provide written notice to the trustee and to the depositary of the amount of cash, if any, to be delivered
with respect to each stated principal amount of the securities, 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 securities, if any, to the trustee for delivery
to the depositary, as holder of the securities, on the Maturity Date.
Additional Information About the Securities
Use of Proceeds and Hedging
The proceeds from the sale of the securities will be used
by us for general corporate purposes. We will receive, in aggregate, $1,000 per security issued, because, when we enter into hedging transactions
in order to meet our obligations under the securities, our hedging counterparty will reimburse the cost of the Agent’s commissions.
The costs of the securities borne by you and described on page 2 above comprise the Agent’s commissions and the cost of issuing,
structuring and hedging the securities.
On or prior to October 5, 2022, we will hedge our anticipated
exposure in connection with the securities by entering into hedging transactions with our affiliates and/or third party dealers. We expect
our hedging counterparties to take positions in stocks of the Index, in futures and/or options contracts on the Index or any component
stocks of the Index listed on major securities markets, or in any other securities or instruments that they may wish to use in connection
with such hedging. Such purchase activity could potentially increase the value of the Index on October 5, 2022, and therefore could increase
the value at or above which the Index must close on the Averaging Dates so that investors do not suffer a loss on their initial investment
in the securities. In addition, through our affiliates, we are likely to modify our hedge position throughout the term of the securities,
including on the Averaging Dates, by purchasing and selling the stocks constituting the Index, futures or options contracts on the Index
or its component stocks listed on major securities markets or positions in any other available securities or instruments that we may wish
to use in connection with such hedging activities. As a result, these entities may be unwinding or adjusting hedge positions during the
term of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the Averaging
Dates approach. We cannot give any assurance that our hedging activities will not affect the value of the Index, and, therefore, adversely
affect the value of the securities or the payment you will receive at maturity, if any.
Historical Information
The following graph sets forth the historical performance
of the S&P 500® Index based on the daily Index Closing Levels from January 1, 2017 through October 5, 2022. The Index
Closing Level on October 5, 2022 was 3,783.28. We obtained the Index Closing Levels below from Bloomberg Financial Markets, without independent
verification. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg Financial
Markets.
The historical levels of the Index should not be taken as
an indication of future performance, and no assurance can be given as to the Index Closing Level on any of the Averaging Dates. We cannot
give you assurance that the performance of the Index will result in the return of any of your initial investment.
Historical Performance of the S&P
500® Index
“Standard & Poor’s®,” “S&P®,”
“S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of Standard
and Poor’s Financial Services LLC. See “S&P 500® Index” in the accompanying index supplement.
Supplemental Plan of Distribution; Conflicts of Interest
JPMorgan Chase Bank, N.A., J.P. Morgan Securities LLC and its affiliates
will act as placement agents for the securities and will receive a fee from the Issuer or one of its affiliates that will not exceed $15.75
per $1,000 principal amount of securities, but will forgo any fees for sales to certain fiduciary accounts.
MS & Co. is an affiliate of MSFL and a wholly owned subsidiary of
Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging the
securities. When MS & Co. prices this offering of securities, it will determine the economic terms of the securities such that for
each security the estimated value on the Pricing Date will be no lower than the minimum level described in “Additional Terms Specific
To The Securities” on page 2.
MS & Co. will conduct this offering in compliance with the requirements
of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member
firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any of our other affiliates
may not make sales in this offering to any discretionary account.
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