Morgan Stanley and MSFL have filed a registration
statement (including a prospectus, as supplemented by a prospectus 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
prospectus 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 prospectus supplement and the index supplement if you
so request by calling toll-free 1-(800)-584-6837.
You may access the accompanying prospectus supplement,
index supplement and prospectus on the SEC website at.www.sec.gov as follows:
You should rely only on the information incorporated
by reference or provided in this pricing supplement or the accompanying prospectus supplement, index supplement and prospectus. We have
not authorized anyone to provide you with different information. We are not making an offer of these securities in any state where the
offer is not permitted. You should not assume that the information in this pricing supplement or the accompanying prospectus supplement,
index supplement and prospectus is accurate as of any date other than the date on the front of this document.
The Issue Price of each Security is $10. 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 Trade Date is less than $10. We estimate that the value of each Security on the Trade Date is
$9.539.
In valuing the Securities on the Trade Date, we
take into account that the Securities comprise both a debt component and a performance-based component linked to the Underliers. The estimated
value of the Securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the Underliers,
instruments based on the Underliers, 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.
In determining the economic terms of the Securities,
including the Upside Gearing, the Maximum Gain and the Downside Threshold, 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.
The price at which MS & Co. purchases the Securities
in the secondary market, absent changes in market conditions, including those related to the Underliers, 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 Securities are not fully deducted upon issuance, for a period
of up to 7 months following the Settlement 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 Underliers, 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 Securities, and, if it once chooses to make a market, may cease doing so at any time.
Final Terms |
|
Investment Timeline |
Issuer |
Morgan Stanley Finance LLC |
Guarantor |
Morgan Stanley |
Issue Price (per Security) |
$10.00 per Security |
Principal Amount |
$10.00 per Security |
Term |
Approximately 4 years |
Basket |
The Securities are linked to a weighted basket of indices,
each of which we refer to as an “Underlier,” as follows: |
|
EURO STOXX 50® Index |
40% |
|
Nikkei 225 Index |
25% |
|
FTSE® 100 Index |
17.5% |
|
Swiss Market Index |
10% |
|
S&P/ASX 200 Index |
7.5% |
Downside Threshold |
75, which is 75% of the Initial Basket Level |
Upside Gearing |
3.0 |
Maximum Gain |
83.50%, which corresponds to a maximum Payment at Maturity of $18.35 per Security. |
Payment at Maturity (per Security) |
If the Basket Return is greater than zero, MSFL
will pay you an amount equal to the lesser of:
$10 + [$10 ×
(Basket Return × Upside Gearing)]
and
$10 + ($10 × Maximum Gain).
If the Basket Return is less than or equal to zero
and the Final Basket Level is greater than or equal to the Downside Threshold, MSFL will pay you a cash payment of:
$10 per Security
If the Final Basket Level is less than the Downside
Threshold, MSFL will pay you an amount calculated as follows:
$10 + ($10 ×
Basket Return)
In this case, you could lose up to all of your Principal
Amount in an amount proportionate to the negative Basket Return. |
Basket Return
|
Final Basket Level – Initial
Basket Level
Initial Basket Level |
Initial Basket Level |
100 |
Final Basket Level |
On the Final Valuation Date, the Final Basket Level is
calculated as:
100 × [1 + (SX5E Return ×
40%) +
(NKY Return × 25%) + (UKX Return × 17.5%) + (SMI Return × 10%) + (AS51 Return × 7.5%)]
Each of the returns set forth in the formula above refers
to the return of the relevant Underlier, which represents the percentage change from the Initial Level for that Underlier to the Final
Level for that Underlier. |
Trade Date |
May 13, 2022 |
Settlement Date |
May 18, 2022 |
Final Valuation Date |
May 13, 2026* |
Maturity Date |
May 19, 2026* |
Initial Level |
In the case of the EURO STOXX 50® Index, 3,703.42; in the case of the Nikkei 225 Index, 26,427.65; in the case of the FTSE® 100 Index, 7,418.15; in the case of the Swiss Market Index, 11,650.42; and in the case of the S&P/ASX 200 Index, 7,075.112; each of which is, the Closing Level of such Underlier on the Trade Date. |
Final Level |
With respect to each Underlier, the Closing Level of such Underlier on the Final Valuation Date. |
CUSIP / ISIN |
61773Y722 / US61773Y7224 |
Calculation Agent |
Morgan Stanley & Co. LLC |
*Subject to postponement in the event of a Market Disruption Event or
for non-Index Business Days. See “Postponement of Final Valuation Date and Maturity Date” under “Additional Terms of
the Securities.”
|
Trade Date
|
|
The Initial Levels were observed, the Initial Basket Level was set to 100 and the Maximum Gain was set. |
|
|
The Final Basket Level and Basket Return are determined on the Final
Valuation Date.
|
Maturity Date
|
|
If the Basket Return is greater than zero, MSFL will pay you
a cash payment per Security equal to the lesser of:
$10 + [$10 × (Basket Return × Upside Gearing)]
and
$10 + ($10 × Maximum Gain).
If the Basket Return is less than or equal to zero and the Final
Basket Level is greater than or equal to the Downside Threshold on the Final Valuation Date, MSFL will pay you a cash payment of $10
per $10 Security.
If the Final Basket Level is less than the Downside Threshold on
the Final Valuation Date, MSFL will pay you a cash payment at maturity equal to:
|
|
|
$10 + ($10 × Basket Return)
Under these circumstances, you will lose a significant portion,
and could lose all, of your Principal Amount. |
INVESTING IN THE SECURITIES
INVOLVES SIGNIFICANT RISKS. YOU MAY LOSE YOUR ENTIRE PRINCIPAL AMOUNT. ANY PAYMENT ON THE SECURITIES 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 SECURITIES AND YOU COULD LOSE
YOUR ENTIRE INVESTMENT.
An investment in the Securities
involves significant risks. The material risks that apply to the Securities are summarized here, but we urge you to also read the “Risk
Factors” section of the accompanying prospectus. You should also consult your investment, legal, tax, accounting and other advisers
in connection with your investment in the Securities.
Risks Relating to an Investment
in the Securities
| ¨ | The Securities do not guarantee any return of principal – The terms of the Securities differ
from those of ordinary debt securities in that MSFL is not necessarily obligated to repay any of the Principal Amount at maturity. If
the Final Basket Level is less than the Downside Threshold (which is 75% of the Initial Basket Level), you will be exposed to the full
negative Basket Return and the payout owed at maturity by MSFL will be an amount in cash that is at least 25% less than the $10 Principal
Amount of each Security, resulting in a loss proportionate to the decrease in the value of the Basket from the Initial Basket Level to
the Final Basket Level. There is no minimum payment at maturity on the Securities, and, accordingly, you could lose all of your Principal
Amount in the Securities. |
| ¨ | You may incur a loss on your investment if you sell your Securities prior to maturity –
The Downside Threshold is observed on the Final Valuation Date, and the contingent repayment of principal applies only at maturity. If
you are able to sell your Securities in the secondary market prior to maturity, you may have to sell them at a loss relative to your initial
investment even if the level of the Basket would be above the Downside Threshold at that time. |
| ¨ | The Upside Gearing applies only if you hold the Securities to maturity – You should be willing
to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the secondary market, the price you
receive will likely not reflect the full economic value of the Upside Gearing or the Securities themselves, and the return you realize
may be less than the Basket Return even if such return is positive and does not exceed the Maximum Gain. You can receive the full benefit
of the Upside Gearing from MSFL and earn the potential Maximum Gain only if you hold your Securities to maturity. |
| ¨ | The appreciation potential is limited – The appreciation potential of Securities is limited
by the Maximum Gain of 83.50% (which corresponds to a maximum Payment at Maturity of $18.35 per Security). Therefore, although the Upside
Gearing enhances positive Basket Returns, you will not benefit from any positive Basket Return that, when multiplied by the Upside Gearing,
exceeds the Maximum Gain. As a result, any increase in the Final Underlying Level over the Initial Underlying Level by more than approximately
27.8333% of the Initial Underlying Level will not further increase the return on the Securities. |
| ¨ | The Securities 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 Securities – You are dependent on our ability to
pay all amounts due on the Securities at maturity, if any, 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 our credit spreads charged by the market for taking our credit risk is likely to adversely
affect the market value of the Securities. |
| ¨ | As a finance subsidiary, MSFL has no independent
operations and will have no independent assets – As a finance subsidiary, MSFL has no independent operations beyond the issuance
and administration of its securities and will have no independent assets available for distributions to holders of MSFL securities if
they make claims in respect of such securities in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such
holders will be limited to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu
with all other unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan
Stanley and its assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings
they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors
of Morgan Stanley, including holders of Morgan Stanley-issued securities. |
| ¨ | The Securities do not pay interest –
MSFL will not pay any interest with respect to the Securities over the term of the Securities. |
| ¨ | The market price of the Securities may be influenced
by many unpredictable factors – Several factors, many of which
are beyond our control, will influence the value of the Securities in the secondary market and the price at which MS & Co. may be
willing to purchase or sell the Securities in the secondary market (if at all), including: |
| o | the value of the Underliers at any time, |
| o | the volatility (frequency and magnitude of changes in value) of each of the Underliers, |
| o | dividend rates on the securities included in the Underliers, |
| o | interest and yield rates in the market, |
| o | geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the
Underliers or stock markets generally and which may affect the Final Levels, |
| o | the time remaining until the Securities 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 Securities at the time of issuance and the price that you will receive if you are able to sell your Securities prior to maturity,
as the Securities are comprised of both a debt component and a performance-based component linked to the Underliers, and these are the
types of factors that also generally affect the values of debt securities and derivatives linked to the Underliers. 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 of $10 per Security if the values of
the Underliers at the time of sale are at or below or moderately above their Initial Levels, and especially if the level of the Basket
would be near or below the Downside Threshold, or if market interest rates rise. You cannot predict the future performance of the Underliers
based on their historical performance.
| ¨ | The amount payable on the Securities is not linked
to the levels of the Underliers at any time other than the Final Valuation Date – The
Final Basket Level will be based on the Closing Levels of the Underliers on the Final Valuation Date, subject to postponement for non-Index
Business Days and certain Market Disruption Events. Even if some or all of the Underliers appreciate prior to the Final Valuation Date
but then drop by the Final Valuation Date, the Payment at Maturity may be significantly less than it would have been had the Payment at
Maturity been linked to the levels of the Underliers prior to such drop. Although the actual levels of the Underliers on the stated Maturity
Date or at other times during the term of the Securities may be higher than their Final Levels, the Payment at Maturity will be based
solely on the Closing Levels of the Underliers on the Final Valuation Date as compared to their Initial Levels. |
| ¨ | Investing in the Securities is not equivalent
to investing in the Underliers or the stocks composing the Underliers – Investing in the Securities is not equivalent to investing
in the Underliers or the stocks that constitute the Underliers. Investors in the Securities will not have voting rights or rights to receive
dividends or other distributions or any other rights with respect to the stocks that constitute the Underliers. Additionally, the Underliers
are not “total return” indices, which, in addition to reflecting the market prices of the stocks that constitute the Underliers,
would also reflect dividends paid on such stocks. The return on the Securities 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 Securities in the
Issue Price reduce the economic terms of the Securities, cause the estimated value of the Securities 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 Securities 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 Securities in the 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 7 months following the Settlement 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 Underliers, 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 Trade 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 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 Securities may be influenced by many unpredictable factors” above. |
| ¨ | The Securities will not be listed on any securities
exchange and secondary trading may be limited – The Securities will not be listed on any securities exchange. Therefore, there
may be little or no secondary market for the Securities. MS & Co. currently intends, 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.
| ¨ | 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, including trading in the constituent stocks of the Underliers, in futures or
options contracts on the Underliers or the constituent stocks of the Underliers, as well as in other instruments related to the Underliers.
As a result, these entities may be unwinding or adjusting hedge positions during the term of the Securities, and the hedging strategy
may involve greater and more frequent dynamic adjustments to the hedge as the Final Valuation Date approaches. MS & Co. and some of
our other affiliates also trade the constituent stocks of the Underliers, in futures or options contracts on the constituent stocks of
the Underliers, as well as in other instruments related to the Underliers, 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 increase the Initial Levels
of the Underliers, and, therefore, could increase the levels at or above which the Underliers must close on the Final Valuation Date so
that investors do not suffer a significant loss on their initial investment in the Securities. Additionally, such hedging or trading activities
during the term of the Securities, including on the Final Valuation Date, could adversely affect the Closing Levels of the Underliers
on the Final Valuation Date, and, accordingly, the amount of cash payable at maturity, if any. |
| ¨ | Potential conflict of interest – As
Calculation Agent, MS & Co. will determine the Initial Levels , the Upside Gearing, the Final Levels, the Final Basket Level, the
Basket Return and whether any Market Disruption Event has occurred, and will calculate the amount payable at maturity, if any. 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 Underlier
or calculation of the Final Basket Level in the event of a discontinuance of an Underlier or a Market Disruption Event. These potentially
subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding these types of
determinations, see “Additional Terms of the Securities—Postponement of Final Valuation Date and Maturity Date,” “—Discontinuance
of an Underlier; Alteration of Method of Calculation” and “—Calculation Agent and Calculations” below. In addition,
MS & Co. has determined the estimated value of the Securities 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 may publish research from time to time on financial markets and other matters that may influence the value of the Securities,
or express opinions or provide recommendations that are inconsistent with purchasing or holding the Securities. 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 Securities and the Underliers to which the Securities are linked. |
| ¨ | The U.S. federal income tax consequences of an
investment in the Securities are uncertain – Please note that the discussions in this pricing supplement concerning the U.S.
federal income tax consequences of an investment in the Securities supersede the discussions contained in the accompanying prospectus
supplement. |
Subject to the discussion
under “What Are the Tax Consequences of the Securities” in this pricing supplement, although there is uncertainty regarding
the U.S. federal income tax consequences of an investment in the Securities due to the lack of governing authority, in the opinion of
our counsel, Davis Polk & Wardwell LLP (“our counsel”), under current law, and based on current market conditions, each
Security should be treated as a single financial contract that is an “open transaction” for U.S. federal income tax purposes.
If the Internal Revenue
Service (the “IRS”) were successful in asserting an alternative treatment for the Securities, the timing and character of
income on the Securities might differ significantly from the tax treatment described herein. For example, under one possible treatment,
the IRS could seek to recharacterize the Securities as debt instruments. In that event, U.S. Holders (as defined below) would be required
to accrue into income original issue discount on the Securities every year at a “comparable yield” determined at the time
of issuance and recognize all income and gain in respect of the Securities as ordinary income. The risk that financial instruments providing
for buffers, triggers or similar downside protection features, such as the Securities, would be recharacterized as debt is greater than
the risk of recharacterization for comparable financial instruments that do not have such features. 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 in this
pricing supplement.
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 in particular 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 the
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 income (including any mandated accruals) realized by Non-U.S. Holders (as defined below) should be subject to withholding
tax; and whether these instruments are or should be subject to the “constructive ownership” rule, which very generally can
operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. 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.
Both U.S. and Non-U.S.
Holders should read carefully the discussion under “What Are the Tax Consequences of the Securities” in this pricing supplement
and consult their tax advisers regarding all aspects of the U.S. federal tax consequences of an investment in the Securities as well as
any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Risks Relating to the Underliers
| t | The probability that the Final Basket Level will be less than the Downside Threshold will depend on the volatility of the Basket
— “Volatility” refers to the frequency and magnitude of changes in the level of the Basket. Higher expected volatility
with respect to the Basket as of the Trade Date generally indicates a greater chance as of that date that the Final Basket Level will
be less than the Downside Threshold, which would result in a loss of a significant portion or all of your investment at maturity.
However, the Basket’s volatility can change significantly over the term of the Securities. The level of the Basket could fall
sharply, resulting in a significant loss of principal. You should be willing to accept the downside market risk of the Basket and
the potential loss of a significant portion or all of your investment at maturity. |
| ¨ | Changes in the values of one or more of the Underliers
may offset changes in the values of the others – Movements in
the values of the Underliers may not correlate with each other. At a time when the values of one or more Underliers increase, the values
of the other Underliers may not increase as much, or may even decline. Therefore, in calculating the Basket Return, increases in the values
of one or more Underliers may be moderated, or wholly offset, by lesser increases or declines in the values of the other Underliers. This
will be further impacted by the different weightings of the Underliers in the Basket. Changes in the more heavily weighted Underliers
will have a greater impact on the value of the Securities than changes in the lower weighted Underliers. If the Final Basket Level is
less than the Downside Threshold, you will receive at maturity an amount that is significantly less than the amount of your original investment
in the Securities, and which could be zero. |
| ¨ | The Securities are subject to risks associated
with investments in securities linked to the value of foreign equity securities – The Securities are linked to the value of
foreign equity securities. Investments in securities linked to the value of foreign equity securities involve risks associated with the
securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and
cross-shareholdings in companies in certain countries. Although the equity securities included in the Underliers are traded in foreign
currencies, the value of your Securities (as measured in U.S. dollars) will not be adjusted for any exchange rate fluctuations. Also,
there is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting
requirements of the United States Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial
reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities issued in foreign
markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes
in government, economic and fiscal policies and currency exchange laws. Local securities markets may trade a small number of securities
and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or
impossible at times. Moreover, the economies in such countries may differ favorably or unfavorably from the economy in the United States
in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance
of payment positions. |
| ¨ | Governmental regulatory actions could result in
material changes to the composition of the Underliers and could negatively affect your return on the Securities. 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 Underliers, depending on the nature of such governmental regulatory actions
and the Underlier constituent stocks that are affected. If any governmental regulatory action results in the removal of Underlier constituent
stocks that have (or historically have had) significant weights within the applicable Underlier, such removal, or even any uncertainty
relating to a possible removal, could have a material and negative effect on the level of the applicable Underlier and, therefore, your
return on the Securities. |
| ¨ | Adjustments to any of the Underliers could adversely
affect the value of the Securities – The Underlier Publisher
for each Underlier is responsible for calculating and maintaining such Underlier. The applicable Underlier Publisher may add, delete or
substitute the stocks constituting such Underlier or make other methodological changes required by certain corporate events relating to
the stocks constituting such Underlier, such as stock dividends, stock splits, spin-offs, rights offerings and extraordinary dividends,
that could change the value of the Underlier. The Underlier Publisher may discontinue or suspend calculation or publication of any of
the Underliers at any time. In these circumstances, the Calculation Agent will have the sole discretion to substitute a Successor Underlier
that is comparable to the discontinued Underlier, 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 any of the Underliers and, consequently, the
value of the Securities. |
Scenario Analysis and Examples 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 hypothetical. They do not purport to be representative of every possible
scenario concerning increases or decreases in the level of the Basket relative to the Initial Basket Level. We cannot predict the Final
Basket Level on the Final Valuation Date. You should not take the scenario analysis and these examples as an indication or assurance of
the expected performance of the Basket. The numbers appearing in the examples below have been rounded for ease of analysis. The following
scenario analysis and examples illustrate the payment at maturity for a $10.00 security on a hypothetical offering of the Securities,
based on the following terms:
Investment term: |
Approximately 4 years |
Initial Basket Level: |
100 |
Downside Threshold: |
75 |
Maximum Gain |
83.50% |
Upside Gearing: |
3.0 |
Example 1— The level of the Basket increases
to a Final Basket Level of 110. The Basket Return is greater than zero and expressed as a formula:
Basket Return = (110 - 100) / 100
= 10.00%
Because the Basket Return is greater than zero, the
Payment at Maturity for each $10.00 Principal Amount of Securities is calculated as the lesser of:
(A) $10 + ($10 × Basket Return ×
Upside Gearing), and
(B) $10 + ($10 × Maximum Gain)
= the lesser of (A) $10 + ($10 × 10%
× 3.0) and (B) $10 + ($10 × 83.50%)
= the lesser of (A) $10 + ($10 × 30%)
and (B) $10 + ($10 × 83.50%)
Payment at Maturity = $10 + [$10
× 30%] = $13.00
Because the Basket Return is equal to 10.00%,
the Payment at Maturity is equal to $13.00 per $10.00 Principal Amount of Securities, resulting in a total return on the Securities
of 30.00%.
Example 2— The level of the Basket increases
to a Final Basket Level of 190. The Basket Return is greater than zero and expressed as a formula:
Basket Return = (190 - 100) / 100
= 90.00%
Because the Basket Return is greater than zero, the
Payment at Maturity for each $10.00 Principal Amount of Securities is calculated as the lesser of:
(A) $10 + ($10 × Basket Return ×
Upside Gearing), and
(B) $10 + ($10 × Maximum Gain)
= the lesser of (A) $10 + ($10 × 90%
× 3.0) and (B) $10 + ($10 × 83.50%)
= the lesser of (A) $10 + ($10 × 270%)
and (B) $10 + ($10 × 83.50%)
Payment at Maturity = $10 + [$10
× 83.50%] = $18.35
Because the Basket Return of 90% multiplied
by the Upside Gearing is greater than the Maximum Gain of 83.50%, for each $10.00 Principal Amount of Securities, MSFL will pay you $18.35
at maturity, the maximum Payment at Maturity on the Securities, resulting in a total return on the Securities of 83.50%.
This represents the maximum amount payable over the 4-year term of the Securities.
Example 3— The Final Basket Level is
equal to the Initial Basket Level of 100. The Basket Return is zero and expressed as a formula:
Basket Return = (100 – 100)
/ 100 = 0.00%
Payment at Maturity = $10.00
Because the Basket Return is zero, the Payment at Maturity
per Security is equal to the original $10.00 Principal Amount per Security, resulting in a zero percent return on the Securities.
Example 4— The level of the Basket decreases
to a Final Basket Level of 90. The Basket Return is negative and expressed as a formula:
Basket Return = (90 - 100) / 100
= -10.00%
Payment at Maturity = $10.00
Because the Basket Return is less than zero, but the
Final Basket Level is greater than or equal to the Downside Threshold on the Final Valuation Date, MSFL will pay you a Payment at Maturity
equal to $10.00 per $10.00 Principal Amount of Securities, resulting in a zero percent return on the Securities.
Example 5— The level of the Basket decreases
to a Final Basket Level of 40. The Basket Return is negative and expressed as a formula:
Basket Return = (40 - 100) / 100
= -60.00%
Payment at Maturity = $10 + ($10
× -60.00%) = $4.00
Because the Basket Return is less than zero and the
Final Basket Level is below the Downside Threshold on the Final Valuation Date, the Securities will be fully exposed to any decline in
the level of the Basket on the Final Valuation Date. Therefore, the Payment at Maturity is equal to $4.00 per $10.00 Principal Amount
of Securities, resulting in a total loss on the Securities of 60.00%.
If the Final Basket Level is below the Downside
Threshold on the Final Valuation Date, the Securities will be fully exposed to any decline in the Basket, and you will lose a significant
portion or all of your Principal Amount at maturity.
Scenario Analysis – Hypothetical Payment
at Maturity for each $10.00 Principal Amount of Securities.
Performance
of the Basket*
|
Performance
of the Securities
|
Final Basket Level
|
Basket Return
|
Upside Gearing
|
Payment at Maturity
|
Return on Securities
Purchased at $10.00(1)
|
|
200 |
100.00% |
3.0 |
$18.35 |
83.50% |
|
190 |
90.00% |
3.0 |
$18.35 |
83.50% |
|
180 |
80.00% |
3.0 |
$18.35 |
83.50% |
|
170 |
70.00% |
3.0 |
$18.35 |
83.50% |
|
160 |
60.00% |
3.0 |
$18.35 |
83.50% |
|
150 |
50.00% |
3.0 |
$18.35 |
83.50% |
|
140 |
40.00% |
3.0 |
$18.35 |
83.50% |
|
130 |
30.00% |
3.0 |
$18.35 |
83.50% |
|
127.8333 |
27.8333% |
3.0 |
$18.35 |
83.50% |
|
120 |
20.00% |
3.0 |
$16.00 |
60.00% |
|
110 |
10.00% |
3.0 |
$13.00 |
30.00% |
|
100 |
0.00% |
N/A |
$10.00 |
0.00% |
|
90 |
-10.00% |
N/A |
$10.00 |
0.00% |
|
80 |
-20.00% |
N/A |
$10.00 |
0.00% |
|
75 |
-25.00% |
N/A |
$10.00 |
0.00% |
|
74 |
-26.00% |
N/A |
$7.40 |
-26.00% |
|
70 |
-30.00% |
N/A |
$7.00 |
-30.00% |
|
60 |
-40.00% |
N/A |
$6.00 |
-40.00% |
|
50 |
-50.00% |
N/A |
$5.00 |
-50.00% |
|
40 |
-60.00% |
N/A |
$4.00 |
-60.00% |
|
30 |
-70.00% |
N/A |
$3.00 |
-70.00% |
|
20 |
-80.00% |
N/A |
$2.00 |
-80.00% |
|
10 |
-90.00% |
N/A |
$1.00 |
-90.00% |
|
0 |
-100.00% |
N/A |
$0.00 |
-100.00% |
|
*. The Basket excludes cash dividend payments
on stocks included in the Underliers.
(1) This “Return on Securities”
is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $10 Principal Amount Security to the
purchase price of $10 per Security.
What are the tax consequences of the Securities? |
Prospective investors should
note that the discussion under the section called “United States Federal Taxation” in the accompanying prospectus supplement
does not apply to the Securities issued under this pricing supplement and is superseded by the following discussion.
The following summary is a general discussion of the
principal U.S. federal income tax consequences and certain estate tax consequences of the ownership and disposition of the Securities.
This discussion applies only to investors in the Securities who:
| t | purchase the Securities in the original offering; and |
| t | hold the Securities as capital assets within the meaning of Section 1221 of
the Internal Revenue Code of 1986, as amended (the “Code”). |
This discussion does not describe all of the tax consequences
that may be relevant to a holder in light of the holder’s particular circumstances or to holders subject to special rules, such
as:
| t | certain financial institutions; |
| t | certain dealers and traders in securities or commodities; |
| t | investors holding the Securities as part of a “straddle,” wash
sale, conversion transaction, integrated transaction or constructive sale transaction; |
| t | U.S. Holders (as defined below) whose functional currency is not the U.S.
dollar; |
| t | partnerships or other entities classified as partnerships for U.S. federal
income tax purposes; |
| t | regulated investment companies; |
| t | real estate investment trusts; or |
| t | tax-exempt entities, including “individual retirement accounts”
or “Roth IRAs” as defined in Section 408 or 408A of the Code, respectively. |
If an entity that is classified as a partnership for
U.S. federal income tax purposes holds the Securities, the U.S. federal income tax treatment of a partner will generally depend on the
status of the partner and the activities of the partnership. If you are a partnership holding the Securities or a partner in such a partnership,
you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing of the Securities to you.
In addition, we will not attempt to ascertain whether
any issuer of any shares to which a Security relates (such shares hereafter referred to as “Underlying Shares”) is treated
as a “passive foreign investment company” (“PFIC”) within the meaning of Section 1297 of the Code. If any issuer
of Underlying Shares were so treated, certain adverse U.S. federal income tax consequences might apply to a U.S. Holder upon the sale,
exchange or settlement of the Securities. You should refer to information filed with the Securities and Exchange Commission or other governmental
authorities by the issuers of the Underlying Shares and consult your tax adviser regarding the possible consequences to you if any issuer
is or becomes a PFIC.
As the law applicable to the U.S. federal income taxation
of instruments such as the Securities is technical and complex, the discussion below necessarily represents only a general summary. Moreover,
the effect of any applicable state, local or non-U.S. tax laws is not discussed, nor are any alternative minimum tax consequences or consequences
resulting from the Medicare tax on investment income.
This discussion is based on the Code, administrative
pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date of this pricing supplement,
changes to any of which subsequent to the date hereof may affect the tax consequences described herein. Persons considering the purchase
of the Securities should consult their tax advisers with regard to the application of the U.S. federal income tax laws to their particular
situations as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
General
Although there is uncertainty regarding the U.S. federal
income tax consequences of an investment in the Securities due to the lack of governing authority, in the opinion of our counsel, under
current law, and based on current market conditions, each Security should be treated as a single financial contract that is an “open
transaction” for U.S. federal income tax purposes.
Due to the absence of statutory, judicial or administrative
authorities that directly address the treatment of the Securities or instruments that are similar to the Securities for U.S. federal income
tax purposes, no assurance can be given that the Internal Revenue Service (the “IRS”) or a court will agree with the tax treatment
described herein. Accordingly, you should consult your tax adviser regarding all aspects of the U.S. federal tax consequences of an investment
in the Securities (including possible alternative treatments of the Securities). Unless otherwise stated, the following discussion is
based on the treatment of the Securities as described in the previous paragraph.
Tax Consequences to U.S. Holders
This section applies to you only if you are a U.S.
Holder. As used herein, the term “U.S. Holder” means a beneficial owner of a Security that is, for U.S. federal income tax
purposes:
| t | a citizen or individual resident of the United States; |
| t | a corporation, or other entity taxable as a corporation, created or organized
in or under the laws of the United States, any state thereof or the District of Columbia; or |
| t | an estate or trust the income of which is subject to U.S. federal income taxation
regardless of its source. |
Tax Treatment of the Securities
Assuming the treatment of the Securities as set forth
above is respected, the following U.S. federal income tax consequences should result.
Tax Treatment Prior to Settlement. A U.S.
Holder should not be required to recognize taxable income over the term of the Securities prior to settlement, other than pursuant to
a sale or exchange as described below.
Tax Basis. A U.S. Holder’s tax basis
in the Securities should equal the amount paid by the U.S. Holder to acquire the Securities.
Sale, Exchange or Settlement of the Securities.
Upon a sale, exchange or settlement of the Securities, a U.S. Holder should recognize gain or loss equal to the difference between the
amount realized on the sale, exchange or settlement and the U.S. Holder’s tax basis in the Securities sold, exchanged or settled.
Subject to the discussion above regarding the possible application of Section 1297 of the Code, any gain or loss recognized upon the sale,
exchange or settlement of the Securities should be long-term capital gain or loss if the U.S. Holder has held the Securities for more
than one year at such time, and short-term capital gain or loss otherwise.
Possible Alternative Tax Treatments of an Investment
in the Securities
Due to the absence of authorities that directly address
the proper tax treatment of the Securities, no assurance can be given that the IRS will accept, or that a court will uphold, the treatment
described above. In particular, the IRS could seek to analyze the U.S. federal income tax consequences of owning the Securities under
Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”). If the IRS were successful
in asserting that the Contingent Debt Regulations applied to the Securities, the timing and character of income thereon would be significantly
affected. Among other things, a U.S. Holder would be required to accrue into income original issue discount on the Securities every year
at a “comparable yield” determined at the time of their issuance, adjusted upward or downward to reflect the difference, if
any, between the actual and the projected amount of the contingent payment on the Securities. Furthermore, any gain realized by a U.S.
Holder at maturity or upon a sale, exchange or other disposition of the Securities would generally be treated as ordinary income, and
any loss realized would be treated as ordinary loss to the extent of the U.S. Holder’s prior accruals of original issue discount
and as capital loss thereafter. The risk that financial instruments providing for buffers, triggers or similar downside protection features,
such as the Securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments
that do not have such features.
Other alternative federal income tax treatments of
the Securities are also possible, which, if applied, could significantly affect the timing and character of the income or loss with respect
to the Securities. 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 in particular 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 the exchange-traded status of the instruments and the nature of the underlying property
to which the instruments are linked; and whether these instruments are or should be subject to the “constructive ownership”
rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge.
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. U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment
in the Securities, including possible alternative treatments and the issues presented by this notice.
Backup Withholding and Information Reporting
Backup withholding may apply in respect of the payment
on the Securities at maturity and the payment of proceeds from a sale, exchange or other disposition of the Securities, unless a U.S.
Holder provides proof of an applicable exemption or a correct taxpayer identification number and otherwise complies with applicable requirements
of the backup withholding rules. The amounts withheld under the backup withholding rules are not an additional tax and may be refunded,
or credited against the U.S.
Holder’s U.S. federal income tax liability,
provided that the required information is timely furnished to the IRS. In addition, information returns may be filed with the IRS in connection
with the payment on the Securities and the payment of proceeds from a sale, exchange or other disposition of the Securities, unless the
U.S. Holder provides proof of an applicable exemption from the information reporting rules.
Tax Consequences to Non-U.S. Holders
This section applies to you only if you are a Non-U.S.
Holder. As used herein, the term “Non-U.S. Holder” means a beneficial owner of a Security that is, for U.S. federal income
tax purposes:
| t | an individual who is classified as a nonresident alien; |
| t | a foreign corporation; or |
| t | a foreign estate or trust. |
The term “Non-U.S. Holder” does not include
any of the following holders:
| t | a holder who is an individual present in the United States for 183 days or
more in the taxable year of disposition and who is not otherwise a resident of the United States for U.S. federal income tax purposes; |
| t | certain former citizens or residents of the United States; or |
| t | a holder for whom income or gain in respect of the Securities is effectively
connected with the conduct of a trade or business in the United States. |
Such holders should consult their tax advisers regarding
the U.S. federal income tax consequences of an investment in the Securities.
Tax Treatment upon Sale, Exchange or Settlement
of the Securities
In general.
Assuming the treatment of the Securities as set forth above is respected, and subject to the discussions below concerning backup withholding
and the possible application of Section 871(m) of the Code, a Non-U.S. Holder of the Securities
generally will not be subject to U.S. federal income or withholding tax in respect of amounts paid to the Non-U.S. Holder.
Subject to the discussions regarding the possible
application of Section 871(m) and FATCA, if all or any portion of a Security were recharacterized as a debt instrument, any payment made
to a Non-U.S. Holder with respect to the Securities would not be subject to U.S. federal withholding tax, provided that:
| t | the Non-U.S. Holder does not own, directly or by attribution, ten percent
or more of the total combined voting power of all classes of Morgan Stanley stock entitled to vote; |
| t | the Non-U.S. Holder is not a controlled foreign corporation related, directly
or indirectly, to Morgan Stanley through stock ownership; |
| t | the Non-U.S. Holder is not a bank receiving interest under Section 881(c)(3)(A)
of the Code, and |
| t | the certification requirement described below has been fulfilled with respect
to the beneficial owner. |
Certification Requirement. The certification
requirement referred to in the preceding paragraph will be fulfilled if the beneficial owner of a Security (or a financial institution
holding a Security on behalf of the beneficial owner) furnishes to the applicable withholding agent an IRS Form W-8BEN (or other appropriate
form) on which the beneficial owner certifies under penalties of perjury that it is not a U.S. person.
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. Among the issues addressed in the notice is the degree, if any, to which any income with respect to instruments such as the
Securities should be subject to U.S. withholding tax. It is possible that any Treasury regulations or other guidance promulgated after
consideration of this issue could materially and adversely affect the withholding tax consequences of ownership and disposition of the
Securities, possibly on a retroactive basis. Non-U.S. Holders should note that we currently do not intend to withhold on any payment made
with respect to the Securities to Non-U.S. Holders (subject to compliance by such holders with the certification requirement described
above and to the discussions below regarding Section 871(m) and FATCA). However, in the event of a change of law or any formal or informal
guidance by the IRS, the U.S. Treasury Department or Congress, we may decide to withhold on payments made with respect to the Securities
to Non-U.S. Holders, and we will not be required to pay any additional amounts with respect to amounts withheld. Accordingly, Non-U.S.
Holders should consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the Securities,
including the possible implications of the notice referred to above.
Section 871(m) Withholding Tax on Dividend Equivalents
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, 2023 that do not have a delta of one with respect to any Underlying Security. Based
on our determination 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 potential application
of Section 871(m) to the Securities.
U.S. Federal Estate Tax
Individual Non-U.S. Holders and entities the property
of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example, a trust
funded by such an individual and with respect to which the individual has retained certain interests or powers), should note that, absent
an applicable treaty exemption, the Securities may be treated as U.S. situs property subject to U.S. federal estate tax. Prospective investors
that are non-U.S. individuals, or are entities of the type described above, should consult their tax advisers regarding the U.S. federal
estate tax consequences of an investment in the Securities.
Backup Withholding and Information Reporting
Information returns may be filed with the IRS in connection
with the payment on the Securities at maturity as well as in connection with the payment of proceeds from a sale, exchange or other disposition
of the Securities. A Non-U.S. Holder may be subject to backup withholding in respect of amounts paid to the Non-U.S. Holder, unless such
Non-U.S. Holder complies with certification procedures to establish that it is not a U.S. person for U.S. federal income tax purposes
or otherwise establishes an exemption. Compliance with the certification procedures described above under “―Tax Treatment
upon Sale, Exchange or Settlement of the Securities – Certification Requirement” will satisfy the certification requirements
necessary to avoid backup withholding as well. The amount of any backup withholding from a payment to a Non-U.S. Holder will be allowed
as a credit against the Non-U.S. Holder’s U.S. federal income tax liability and may entitle the Non-U.S. Holder to a refund, provided
that the required information is timely furnished to the IRS.
FATCA
Legislation commonly referred to as “FATCA”
generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect
to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An intergovernmental
agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements. FATCA generally applies
to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source “fixed or determinable annual
or periodical” income (“FDAP income”). If the Securities were recharacterized as debt instruments, FATCA would apply
to any payment of amounts treated as interest and to payments of gross proceeds of the disposition (including upon retirement) of the
Securities. However, under proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending
finalization), no withholding will apply on payments of gross proceeds (other than amounts treated as FDAP income). If withholding were
to apply to the Securities, we would not be required to pay any additional amounts with respect to amounts withheld. Both U.S. and Non-U.S.
Holders should consult their tax advisers regarding the potential application of FATCA to the Securities.
The discussion in the preceding paragraphs under
“What Are the Tax Consequences of the Securities,” insofar as it purports to describe provisions of U.S. federal income tax
laws or legal conclusions with respect thereto, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S.
federal income tax consequences of an investment in the Securities.
The EURO STOXX 50®
Index was created by STOXX Limited, a part of Qontigo, which is a wholly owned subsidiary of Deutsche Börse AG. Publication of the
EURO STOXX 50® Index began on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The EURO
STOXX 50® Index is composed of 50 component stocks of market sector leaders among the 20 STOXX supersectors, which includes
stocks selected from the Eurozone. The component stocks have a high degree of liquidity and represent the largest companies across all
market sectors. For additional information about the EURO STOXX 50® Index, see the information set forth under “EURO
STOXX 50® Index” in the accompanying index supplement.
“EURO STOXX 50®” and “STOXX®”
are registered trademarks of STOXX Limited. For more information, see “EURO STOXX 50® Index” in the accompanying
index supplement.
The following table sets forth the published high
and low Closing Levels, as well as the end-of-quarter Closing Levels, of the EURO STOXX 50® Index for each quarter in the
period from January 1, 2017 through May 13, 2022. The Closing Level of the EURO STOXX 50® Index on May 13, 2022 was 3,703.42.
We obtained the information in the table below from Bloomberg Financial Markets, without independent verification. The historical Closing
Levels of the EURO STOXX 50® Index should not be taken as an indication of future performance, and no assurance can be
given as to the Closing Level of the EURO STOXX 50® Index on the Final Valuation Date.
Quarter Begin |
Quarter End |
Quarterly High |
Quarterly Low |
Quarterly Close |
1/1/2017 |
3/31/2017 |
3,500.93 |
3,230.68 |
3,500.93 |
4/1/2017 |
6/30/2017 |
3,658.79 |
3,409.78 |
3,441.88 |
7/1/2017 |
9/30/2017 |
3,594.85 |
3,388.22 |
3,594.85 |
10/1/2017 |
12/31/2017 |
3,697.40 |
3,503.96 |
3,503.96 |
1/1/2018 |
3/31/2018 |
3,672.29 |
3,278.72 |
3,361.50 |
4/1/2018 |
6/30/2018 |
3,592.18 |
3,340.35 |
3,395.60 |
7/1/2018 |
9/30/2018 |
3,527.18 |
3,293.36 |
3,399.20 |
10/1/2018 |
12/31/2018 |
3,414.16 |
2,937.36 |
3,001.42 |
1/1/2019 |
3/31/2019 |
3,409.00 |
2,954.66 |
3,351.71 |
4/1/2019 |
6/30/2019 |
3,514.62 |
3,280.43 |
3,473.69 |
7/1/2019 |
9/30/2019 |
3,571.39 |
3,282.78 |
3,569.45 |
10/1/2019 |
12/31/2019 |
3,782.27 |
3,413.31 |
3,745.15 |
1/1/2020 |
3/31/2020 |
3,865.18 |
2,385.82 |
2,786.90 |
4/1/2020 |
6/30/2020 |
3,384.29 |
2,662.99 |
3,234.07 |
7/1/2020 |
9/30/2020 |
3,405.35 |
3,137.06 |
3,193.61 |
10/1/2020 |
12/31/2020 |
3,581.37 |
2,958.21 |
3,552.64 |
1/1/2021 |
3/31/2021 |
3,926.20 |
3,481.44 |
3,919.21 |
4/1/2021 |
6/30/2021 |
4,158.14 |
3,924.80 |
4,064.30 |
7/1/2021 |
9/30/2021 |
4,246.13 |
3,928.53 |
4,048.08 |
10/1/2021 |
12/31/2021 |
4,401.49 |
3,996.41 |
4,298.41 |
1/1/2022 |
3/31/2022 |
4,392.15 |
3,505.29 |
3,902.52 |
4/1/2022 |
5/13/2022* |
3,951.12 |
3,526.86 |
3,703.42 |
* 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 EURO STOXX 50® Index from January 1, 2008 through May 13, 2022, based
on information from Bloomberg. Past performance of the EURO STOXX 50® Index is not indicative of the future performance
of the EURO STOXX 50® Index.
The Nikkei 225 Index is a stock
index calculated, published and disseminated by Nikkei Inc. (formerly known as Nihon Keizai Shimbun, Inc.), which we refer to as Nikkei,
that measures the composite price performance of selected Japanese stocks. The Nikkei 225 Index currently is based on 225 underlying
stocks trading on the Tokyo Stock Exchange (the “TSE”) representing a broad cross-section of Japanese industries. Stocks
listed in the First Section of the TSE are among the most actively traded stocks on the TSE. All 225 Nikkei Underlying Stocks
are stocks listed in the First Section of the TSE. Nikkei rules require that the 75 most liquid issues (one-third of the component
count of the Nikkei 225 Index) be included in the Nikkei 225 Index. Nikkei first calculated and published the Nikkei 225 Index
in 1970. The 225 companies included in the Nikkei 225 Index are divided into six sector categories: technology, financials,
consumer goods, materials, capital goods/others and transportation and utilities. For additional information about the Nikkei
225 Index, see the information set forth under “Nikkei 225 Index” in the accompanying index supplement.
Nikkei, the publisher of the Nikkei 225 Index, has the copyright to
the Nikkei 225 Index. All rights to the Nikkei 225 Index are owned by Nikkei. Nikkei has the right to change the
contents of the Nikkei 225 Index and to cease compilation and publication of the Nikkei 225 Index. In addition, Nikkei has
no relationship to us or the securities; it does not sponsor, endorse, authorize, sell or promote the securities, and has no obligation
or liability in connection with the administration, marketing or trading of the securities or with the calculation of the return on your
investment. For more information, see “Nikkei 225 Index” in the accompanying index supplement.
The following table sets forth the published high and low Closing Levels,
as well as the end-of-quarter Closing Levels, of the Nikkei 225 Index for each quarter in the period from January 1, 2017 through May
13, 2022. The Closing Level of the Nikkei 225 Index on May 13, 2022 was 26,427.65. We obtained the information in the table below from
Bloomberg Financial Markets, without independent verification. The historical Closing Levels of the Nikkei 225 Index should not be taken
as an indication of future performance, and no assurance can be given as to the Closing Level of the Nikkei 225 Index on the Final Valuation
Date.
Quarter Begin |
Quarter End |
Quarterly High |
Quarterly Low |
Quarterly Close |
1/1/2017 |
3/31/2017 |
19,633.75 |
18,787.99 |
18,909.26 |
4/1/2017 |
6/30/2017 |
20,230.41 |
18,335.63 |
20,033.43 |
7/1/2017 |
9/30/2017 |
20,397.58 |
19,274.82 |
20,356.28 |
10/1/2017 |
12/31/2017 |
22,939.18 |
20,356.28 |
22,764.94 |
1/1/2018 |
3/31/2018 |
24,124.15 |
20,617.86 |
21,454.30 |
4/1/2018 |
6/30/2018 |
23,002.37 |
21,292.29 |
22,304.51 |
7/1/2018 |
9/30/2018 |
24,120.04 |
21,546.99 |
24,120.04 |
10/1/2018 |
12/31/2018 |
24,270.62 |
19,155.74 |
20,014.77 |
1/1/2019 |
3/31/2019 |
21,822.04 |
19,561.96 |
21,205.81 |
4/1/2019 |
6/30/2019 |
22,307.58 |
20,408.54 |
21,275.92 |
7/1/2019 |
9/30/2019 |
22,098.84 |
20,261.04 |
21,755.84 |
10/1/2019 |
12/31/2019 |
24,066.12 |
21,341.74 |
23,656.62 |
1/1/2020 |
3/31/2020 |
24,083.51 |
16,552.83 |
18,917.01 |
4/1/2020 |
6/30/2020 |
23,178.10 |
17,818.72 |
22,288.14 |
7/1/2020 |
9/30/2020 |
23,559.30 |
21,710.00 |
23,185.12 |
10/1/2020 |
12/31/2020 |
27,568.15 |
22,977.13 |
27,444.17 |
1/1/2021 |
3/31/2021 |
30,467.75 |
27,055.94 |
29,178.80 |
4/1/2021 |
6/30/2021 |
30,089.25 |
27,448.01 |
28,791.53 |
7/1/2021 |
9/30/2021 |
30,670.10 |
27,013.25 |
29,452.66 |
10/1/2021 |
12/31/2021 |
29,808.12 |
27,528.87 |
28,791.71 |
1/1/2022 |
3/31/2022 |
29,332.16 |
24,717.53 |
27,821.43 |
4/1/2022 |
5/13/2022* |
27,787.98 |
25,748.72 |
26,427.65 |
* 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 Nikkei 225 Index from January 1, 2008 through May 13, 2022, based on information from
Bloomberg. Past performance of the Nikkei 225 Index is not indicative of the future performance of the Nikkei 225 Index.
The FTSE® 100
Index, which is calculated, published and disseminated by FTSE Russell, is a free-float-adjusted index which measures the composite price
performance of stocks of the largest 100 companies (determined on the basis of market capitalization) traded on the London Stock Exchange.
The 100 stocks included in the FTSE® 100 Index (the “FTSE Underlying Stocks”) are selected from a reference
group of stocks trading on the London Stock Exchange which are in turn selected by excluding certain stocks that have low liquidity based
on public float, accuracy and reliability of prices, size and number of trading days. The FTSE Underlying Stocks are selected from this
reference group by selecting 100 stocks with the largest market value. For additional information about the FTSE® 100 Index,
see the information set forth under “FTSETM 100 Index” in the accompanying index supplement.
“FTSETM” and “FootsieTM”
are trademarks of London Stock Exchange Plc and The Financial Times Limited. For more information, see “FTSETM 100 Index”
in the accompanying index supplement.
The following table sets forth the published high and low Closing Levels,
as well as the end-of-quarter Closing Levels, of the FTSE® 100 Index for each quarter in the period from January 1, 2017
through May 13, 2022. The Closing Level of the FTSE® 100 Index on May 13, 2022 was 7,418.15. We obtained the information
in the table below from Bloomberg Financial Markets, without independent verification. The historical Closing Levels of the FTSE®
100 Index should not be taken as an indication of future performance, and no assurance can be given as to the Closing Level of the FTSE®
100 Index on the Final Valuation Date.
Quarter Begin |
Quarter End |
Quarterly High |
Quarterly Low |
Quarterly Close |
1/1/2017 |
3/31/2017 |
7,429.81 |
7,099.15 |
7,322.92 |
4/1/2017 |
6/30/2017 |
7,547.63 |
7,114.36 |
7,312.72 |
7/1/2017 |
9/30/2017 |
7,542.73 |
7,215.47 |
7,372.76 |
10/1/2017 |
12/31/2017 |
7,687.77 |
7,300.49 |
7,687.77 |
1/1/2018 |
3/31/2018 |
7,778.64 |
6,888.69 |
7,056.61 |
4/1/2018 |
6/30/2018 |
7,877.45 |
7,030.46 |
7,636.93 |
7/1/2018 |
9/30/2018 |
7,776.65 |
7,273.54 |
7,510.20 |
10/1/2018 |
12/31/2018 |
7,510.28 |
6,584.68 |
6,728.13 |
1/1/2019 |
3/31/2019 |
7,355.31 |
6,692.66 |
7,279.19 |
4/1/2019 |
6/30/2019 |
7,523.07 |
7,161.71 |
7,425.63 |
7/1/2019 |
9/30/2019 |
7,686.61 |
7,067.01 |
7,408.21 |
10/1/2019 |
12/31/2019 |
7,644.90 |
7,077.64 |
7,542.44 |
1/1/2020 |
3/31/2020 |
7,674.56 |
4,993.89 |
5,671.96 |
4/1/2020 |
6/30/2020 |
6,484.30 |
5,415.50 |
6,169.74 |
7/1/2020 |
9/30/2020 |
6,292.65 |
5,799.08 |
5,866.10 |
10/1/2020 |
12/31/2020 |
6,602.65 |
5,577.27 |
6,460.52 |
1/1/2021 |
3/31/2021 |
6,873.26 |
6,407.46 |
6,713.63 |
4/1/2021 |
6/30/2021 |
7,184.95 |
6,737.30 |
7,037.47 |
7/1/2021 |
9/30/2021 |
7,220.14 |
6,844.39 |
7,086.42 |
10/1/2021 |
12/31/2021 |
7,420.69 |
6,995.87 |
7,384.54 |
1/1/2022 |
3/31/2022 |
7,672.40 |
6,959.48 |
7,515.68 |
4/1/2022 |
5/13/2022* |
7,669.56 |
7,216.58 |
7,418.15 |
* 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 FTSE® 100 Index from January 1, 2008 through May 13, 2022, based on
information from Bloomberg. Past performance of the FTSE® 100 Index is not indicative of the future performance of
the FTSE® 100 Index.
The Swiss Market Index (“SMI®”)
represents approximately 80% of the free-float capitalization of the Swiss equity market. The Swiss Market Index consists of the 20 largest
and most liquid equities of the Swiss Performance Index®. The composition of the Swiss Market Index is reviewed annually,
and in order to ensure a high degree of continuity in the composition of the Swiss Market Index, the component stocks are subject to a
special procedure for adding them to the Swiss Market Index or removing them based on free-float market capitalization and liquidity.
For additional information about the Swiss Market Index, see the information set forth under “Swiss Market Index” in the accompanying
index supplement.
SMI® is a trademark of SIX Swiss Exchange. For more information,
see “Swiss Market Index” in the accompanying index supplement.
The following table sets forth the published high and low Closing Levels,
as well as the end-of-quarter Closing Levels, of the Swiss Market Index for each quarter in the period from January 1, 2017 through May
13, 2022. The Closing Level of the Swiss Market Index on May 13, 2022 was 11,650.42. We obtained the information in the table below from
Bloomberg Financial Markets, without independent verification. The historical Closing Levels of the Swiss Market Index should not be taken
as an indication of future performance, and no assurance can be given as to the Closing Level of the Swiss Market Index on the Final Valuation
Date.
Quarter Begin |
Quarter End |
Quarterly High |
Quarterly Low |
Quarterly Close |
1/1/2017 |
3/31/2017 |
8,704.39 |
8,219.87 |
8,658.89 |
4/1/2017 |
6/30/2017 |
9,127.61 |
8,529.28 |
8,906.89 |
7/1/2017 |
9/30/2017 |
9,176.99 |
8,814.54 |
9,157.46 |
10/1/2017 |
12/31/2017 |
9,452.32 |
9,084.04 |
9,381.87 |
1/1/2018 |
3/31/2018 |
9,611.61 |
8,509.29 |
8,740.97 |
4/1/2018 |
6/30/2018 |
9,000.89 |
8,456.95 |
8,609.30 |
7/1/2018 |
9/30/2018 |
9,201.22 |
8,529.59 |
9,087.99 |
10/1/2018 |
12/31/2018 |
9,175.21 |
8,195.64 |
8,429.30 |
1/1/2019 |
3/31/2019 |
9,525.92 |
8,429.30 |
9,477.84 |
4/1/2019 |
6/30/2019 |
9,988.55 |
9,363.18 |
9,898.24 |
7/1/2019 |
9/30/2019 |
10,098.59 |
9,533.98 |
10,078.32 |
10/1/2019 |
12/31/2019 |
10,730.15 |
9,757.28 |
10,616.94 |
1/1/2020 |
3/31/2020 |
11,263.01 |
8,160.79 |
9,311.92 |
4/1/2020 |
6/30/2020 |
10,266.29 |
9,168.98 |
10,045.30 |
7/1/2020 |
9/30/2020 |
10,552.04 |
10,005.90 |
10,187.00 |
10/1/2020 |
12/31/2020 |
10,703.51 |
9,556.14 |
10,703.51 |
1/1/2021 |
3/31/2021 |
11,121.42 |
10,522.22 |
11,047.37 |
4/1/2021 |
6/30/2021 |
12,028.45 |
10,970.93 |
11,942.72 |
7/1/2021 |
9/30/2021 |
12,545.35 |
11,485.58 |
11,642.45 |
10/1/2021 |
12/31/2021 |
12,970.53 |
11,569.39 |
12,875.66 |
1/1/2022 |
3/31/2022 |
12,939.17 |
11,057.06 |
12,161.53 |
4/1/2022 |
5/13/2022* |
12,528.61 |
11,444.18 |
11,650.42 |
* 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 Swiss Market Index from January 1, 2008 through May 13, 2022, based on information
from Bloomberg. Past performance of the Swiss Market Index is not indicative of the future performance of the Swiss Market Index.
The S&P/ASX 200 Index is
Australia’s large-capitalization tradable equity index and Australia’s institutional benchmark. The S&P/ASX 200 Index
measures the performance of the 200 largest index-eligible stocks listed on the Australian Securities Exchange by float-adjusted market
capitalization. Only stocks that are actively and regularly traded are considered for inclusion in the S&P/ASX 200 Index. The index
is float-adjusted, and, as of April 2020, covers approximately 80% of Australian equity market capitalization. For additional information
about the S&P/ASX 200 Index, see the information set forth under “S&P/ASX 200 Index” in the accompanying index supplement.
“Standard & Poor’s®,” “S&P®”
and “S&P/ASX 200®” are trademarks of Standard and Poor’s Financial Services LLC. For more information,
see “S&P/ASX 200 Index” in the accompanying index supplement.
The following table sets forth the published high and low Closing Levels,
as well as the end-of-quarter Closing Levels, of the S&P/ASX 200 Index for each quarter in the period from January 1, 2017 through
May 13, 2022. The Closing Level of the S&P/ASX 200 Index on May 13, 2022 was 7,075.112. We obtained the information in the table below
from Bloomberg Financial Markets, without independent verification. The historical Closing Levels of the S&P/ASX 200 Index should
not be taken as an indication of future performance, and no assurance can be given as to the Closing Level of the S&P/ASX 200 Index
on the Final Valuation Date.
Quarter Begin |
Quarter End |
Quarterly High |
Quarterly Low |
Quarterly Close |
1/1/2017 |
3/31/2017 |
5,896.229 |
5,610.972 |
5,864.905 |
4/1/2017 |
6/30/2017 |
5,956.523 |
5,665.721 |
5,721.494 |
7/1/2017 |
9/30/2017 |
5,785.102 |
5,655.420 |
5,681.610 |
10/1/2017 |
12/31/2017 |
6,088.143 |
5,651.766 |
6,065.129 |
1/1/2018 |
3/31/2018 |
6,135.807 |
5,759.365 |
5,759.365 |
4/1/2018 |
6/30/2018 |
6,232.134 |
5,751.924 |
6,194.633 |
7/1/2018 |
9/30/2018 |
6,352.236 |
6,128.717 |
6,207.561 |
10/1/2018 |
12/31/2018 |
6,185.486 |
5,467.639 |
5,646.400 |
1/1/2019 |
3/31/2019 |
6,263.885 |
5,557.755 |
6,180.731 |
4/1/2019 |
6/30/2019 |
6,687.413 |
6,181.259 |
6,618.772 |
7/1/2019 |
9/30/2019 |
6,845.083 |
6,405.528 |
6,688.348 |
10/1/2019 |
12/31/2019 |
6,863.998 |
6,492.990 |
6,684.075 |
1/1/2020 |
3/31/2020 |
7,162.494 |
4,546.035 |
5,076.827 |
4/1/2020 |
6/30/2020 |
6,148.426 |
5,067.482 |
5,897.882 |
7/1/2020 |
9/30/2020 |
6,167.641 |
5,784.065 |
5,815.941 |
10/1/2020 |
12/31/2020 |
6,756.673 |
5,791.501 |
6,587.096 |
1/1/2021 |
3/31/2021 |
6,917.274 |
6,587.096 |
6,790.667 |
4/1/2021 |
6/30/2021 |
7,386.174 |
6,828.694 |
7,313.023 |
7/1/2021 |
9/30/2021 |
7,628.923 |
7,196.713 |
7,332.159 |
10/1/2021 |
12/31/2021 |
7,513.373 |
7,185.545 |
7,444.642 |
1/1/2022 |
3/31/2022 |
7,589.757 |
6,838.282 |
7,499.588 |
4/1/2022 |
5/13/2022* |
7,592.790 |
6,941.031 |
7,075.112 |
* 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 S&P/ASX 200 Index from January 1, 2008 through May 13, 2022, based on information
from Bloomberg. Past performance of the S&P/ASX 200 Index is not indicative of the future performance of the S&P/ASX 200
Index.
Additional Terms of the Securities |
If the terms discussed in this pricing supplement
differ from those discussed in the prospectus supplement, index supplement or prospectus, the terms contained in this pricing supplement
will control.
Some Definitions
We have defined some of the terms that we use frequently
in this pricing supplement below:
| t | “Closing Level” means, on any Index Business
Day for an Underlier, the closing value of such Underlier, or any Successor Underlier (as defined under “—Discontinuance of
an Underlier; Alteration of Method of Calculation” below) published at the regular weekday close of trading on such Index Business
Day by the Underlier Publisher for such Underlier. In certain circumstances, the Closing Level for an Underlier will be based on the alternate
calculation of such Underlier as described under “—Discontinuance of an Underlier; Alteration of Method of Calculation.” |
| t | “Underlier Publisher” means, with respect
to the SX5E Index, STOXX Limited or any successor thereto; with respect to the NKY Index, Nikkei Inc. or any successor thereto; with respect
to the UKX Index, FTSE Russell or any successor thereto; with respect to the SMI Index, SIX Group Ltd. or any successor thereto; and with
respect to the AS51 Index, S&P Dow Jones Indices LLC or any successor thereto. |
| t | “Index Business Day” means, with respect
to each Underlier, a day, as determined by the Calculation Agent, on which trading is generally conducted on the Relevant Exchange, other
than a day on which trading on any Relevant Exchange is scheduled to close prior to the time of the posting of its regular final weekday
closing price. |
| t | “Market Disruption Event” means, with
respect to each Underlier: |
(i) the
occurrence or existence of any of:
(a) a suspension, absence
or material limitation of trading of stocks then constituting 20 percent or more of the value of such Underlier (or Successor Underlier
(as defined below under “—Discontinuance of an Underlier; Alteration of Method of Calculation”)) on the Relevant Exchange
for such securities for more than two hours of trading or during the one-half hour period preceding the close of the principal trading
session on such Relevant Exchange, or
(b) a breakdown or failure
in the price and trade reporting systems of any Relevant Exchange as a result of which the reported trading prices for stocks then constituting
20 percent or more of the value of such Underlier (or Successor Underlier) during the last one-half hour preceding the close of the principal
trading session on such Relevant Exchange are materially inaccurate, or
(c) the suspension, material
limitation or absence of trading on any major U.S. securities market for trading in futures or options contracts or exchange-traded funds
related to such Underlier (or Successor Underlier) for more than two hours of trading or during the one-half hour period preceding the
close of the principal trading session on such market,
in each case as determined
by the Calculation Agent in its sole discretion; and
(ii) a
determination by the Calculation Agent in its sole discretion that any event described in clause (i) above materially interfered with
our ability or the ability of any of our affiliates to unwind or adjust all or a material portion of the hedge position with respect to
the Securities.
For the purpose of determining whether
a Market Disruption Event exists at any time with respect to any Underlier, if trading in a security included in such Underlier is materially
suspended or materially limited at that time, then the relevant percentage contribution of that security to the value of such Underlier
shall be based on a comparison of (x) the portion of the value of such Underlier attributable to that security relative to (y) the overall
value of such Underlier, in each case immediately before that suspension or limitation.
For the purpose of determining
whether a Market Disruption Event has occurred with respect to any Underlier: (1) a limitation on the hours or number of days of trading
will not constitute a Market Disruption Event if it results from an announced change in the regular business hours of the Relevant Exchange
or market, (2) a decision to permanently discontinue trading in the relevant futures or options contract or any exchange-traded fund will
not constitute a Market Disruption Event, (3) a suspension of trading in futures or options contracts or exchange-traded funds on such
Underlier by the primary securities market trading in such contracts or funds by reason of (a) a price change exceeding limits set by
such securities exchange or market, (b) an imbalance of orders relating to such contracts or funds, or (c) a disparity in bid and ask
quotes relating to such contracts or funds will constitute a suspension, absence or material limitation of trading in futures or options
contracts or exchange-traded funds related to such Underlier and (4) a “suspension, absence or material limitation of trading”
on any Relevant Exchange or on the primary market on which futures or options contracts or exchange-traded funds related to such Underlier
are traded will not include any time when such securities market is itself closed for trading under ordinary circumstances.
| t | “Relevant Exchange” means, with respect
to each Underlier, the primary exchange(s) or market(s) of trading for (i) any security then included in such Underlier, or any Successor
Underlier, and (ii) any futures or options contracts related to such Underlier or to any security then included in such Underlier. |
Postponement of Final Valuation Date and Maturity
Date
If the scheduled Final Valuation Date is not an Index
Business Day with respect to any Underlier or if a Market Disruption Event occurs on such date with respect to any Underlier, the Closing
Level with respect to such affected Underlier (but not the unaffected Underliers) for such date will be determined on the immediately
succeeding Index Business Day on which no Market Disruption Event occurs with respect to such affected Underlier. The Final Basket Level
will be determined on the date on which the Closing Level for each of the Underliers for such date has been determined; provided that
the Closing Level for any affected Underlier with respect to the Final Valuation Date will not be determined on a date later than the
fifth scheduled Index Business Day after the scheduled Final Valuation Date. If such date is not an Index Business Day or if there is
a Market Disruption Event with respect to the affected Underlier on such date, the Calculation Agent will determine the Closing Level
of such Underlier on such date in accordance with the formula for calculating such Underlier last in effect prior to the commencement
of the Market Disruption Event (or prior to the non-Index Business Day), without rebalancing or substitution, using the closing price
(or, if trading in the relevant securities has been materially suspended or materially limited, its good faith estimate of the closing
price that would have prevailed but for such suspension, limitation or non-Index Business Day) on such date of each security most recently
constituting such Underlier.
If the Final Valuation Date is postponed so that it
falls less than two business days prior to the scheduled Maturity Date, the Maturity Date will be the second business day following the
Final Valuation Date, as postponed.
Alternate Exchange Calculation in case of an Event
of Default
If an event of default with respect to the Securities shall have occurred
and be continuing, the amount declared due and payable upon any acceleration of the Securities (the “Acceleration Amount”)
will be an amount, determined by the Calculation Agent in its sole discretion, that is equal to the cost of having a Qualified Financial
Institution, of the kind and selected as described below, expressly assume all our payment and other obligations with respect to the Securities
as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent
economic value to you with respect to the Securities. That cost will equal:
| o | the lowest amount that a Qualified Financial Institution would charge to effect this assumption or undertaking, plus |
| o | the reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of the Securities in preparing any documentation
necessary for this assumption or undertaking. |
During the Default Quotation Period for the Securities, which we describe
below, the holders of the Securities and/or we may request a Qualified Financial Institution to provide a quotation of the amount it would
charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the
quotation. The amount referred to in the first bullet point above will equal the lowest—or, if there is only one, the only—quotation
obtained, and as to which notice is so given, during the Default Quotation Period. With respect to any quotation, however, the party not
obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the Qualified Financial
Institution providing the quotation and notify the other party in writing of those grounds within two business days after the last day
of the Default Quotation Period, in which case that quotation will be disregarded in determining the Acceleration Amount.
Notwithstanding the foregoing, if a voluntary or involuntary liquidation,
bankruptcy or insolvency of, or any analogous proceeding is filed with respect to MSFL or Morgan Stanley, then depending on applicable
bankruptcy law, your claim may be limited to an amount that could be less than the Acceleration Amount.
If the maturity of the Securities is accelerated because of an event
of default as described above, we shall, or shall cause the Calculation Agent to, provide written notice to the Trustee at its New York
office, on which notice the Trustee may conclusively rely, and to the Depositary of the Acceleration Amount and the aggregate cash amount
due, if any, with respect to the Securities as promptly as possible and in no event later than two business days after the date of such
acceleration.
Default Quotation Period
The Default Quotation Period is the period beginning on the day the
Acceleration Amount first becomes due and ending on the third business day after that day, unless:
| o | no quotation of the kind referred to above is obtained, or |
| o | every quotation of that kind obtained is objected to within five business days after the due date as described above. |
If either of these two events occurs, the Default Quotation Period will
continue until the third business day after the first business day on which prompt notice of a quotation is given as described above.
If that quotation is objected to as described above within five business days after that first business day, however, the Default Quotation
Period will continue as described in the prior sentence and this sentence.
In any event, if the Default Quotation Period and the subsequent two
business day objection period have not ended before the Final Valuation Date, then the Acceleration Amount will equal the principal amount
of the Securities.
Qualified Financial Institutions
For the purpose of determining the Acceleration Amount at any time,
a Qualified Financial Institution must be a financial institution organized under the laws of any jurisdiction in the United States or
Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and rated
either:
| o | A-2 or higher by Standard & Poor’s Ratings Services or any successor, or any other comparable rating then used by that rating
agency, or |
| o | P-2 or higher by Moody’s Investors Service or any successor, or any other comparable rating then used by that rating agency. |
Discontinuance of an Underlier; Alteration of Method
of Calculation
If an Underlier Publisher of the relevant Underlier
discontinues publication of such Underlier and the Underlier Publisher or another entity (including MS & Co.) publishes a successor
or substitute index that the Calculation Agent determines, in its sole discretion, to be comparable to such discontinued Underlier (such
index being referred to herein as a “Successor Underlier”), then any subsequent Closing Level for the discontinued Underlier
will be determined by reference to the published value of such Successor Underlier at the regular weekday close of trading on any Index
Business Day that the Closing Level for such Underlier is to be determined, and, to the extent the Closing Level of the Successor Underlier
differs from the Closing Level of the relevant Underlier at the time of such substitution, proportionate adjustments will be made by the
Calculation Agent for purposes of calculating payments on the Securities.
Upon any selection by the Calculation Agent of a Successor
Underlier, the Calculation Agent will cause written notice thereof to be furnished to the Trustee, to us and to the Depositary, as holder
of the Securities, within three business days of such selection. We expect that such notice will be made available to you, as a beneficial
owner of such Securities, in accordance with the standard rules and procedures of the Depositary and its direct and indirect participants.
If an Underlier Publisher discontinues publication
of the relevant Underlier prior to, and such discontinuance is continuing on, the Final Valuation Date and the Calculation Agent determines,
in its sole discretion, that no Successor Underlier is available at such time, then the Calculation Agent will determine the Closing Level
for such Underlier for such date. The Closing Level of such Underlier will be computed by the Calculation Agent in accordance with the
formula for and method of calculating such Underlier last in effect prior to such discontinuance, using the closing price (or, if trading
in the relevant securities has been materially suspended or materially limited, its good faith estimate of the closing price that would
have prevailed but for such suspension or limitation) at the close of the principal trading session of the Relevant Exchange on the Final
Valuation Date of each security most recently constituting such Underlier without any rebalancing or substitution of such securities following
such discontinuance. Notwithstanding these alternative arrangements, discontinuance of the publication of any Underlier may adversely
affect the value of the Securities.
If at any time the method of calculating an Underlier
or Successor Underlier, or the value thereof, is changed in a material respect, or if an Underlier or Successor Underlier is in any other
way modified so that such index does not, in the opinion of the Calculation Agent, fairly represent the value of such index had such changes
or modifications not been made, then, from and after such time, the Calculation Agent will, at the close of business in New York City
on each date on which the Closing Level for such index is to be determined, make such calculations and adjustments as, in the good faith
judgment of the Calculation Agent, may be necessary in order to arrive at a value of a stock index comparable to such Underlier or Successor
Underlier, as the case may be, as if such changes or modifications had not been made, and the Calculation Agent will calculate the Closing
Level with reference to such Underlier or Successor Underlier, as adjusted. Accordingly, if the method of calculating such Underlier or
Successor Underlier is modified so that the value of such index is a fraction of what it would have been if it had not been modified (e.g.,
due to a split in such index), then the Calculation Agent will adjust such index in order to arrive at a value of such Underlier or Successor
Underlier as if it had not been modified (e.g., as if such split had not occurred).
Trustee
The “Trustee” for each offering of notes
issued under our Senior Debt Indenture, including the Securities, will be The Bank of New York Mellon, a New York banking corporation.
Agent
The “agent” is MS & Co.
Calculation Agent and Calculations
The “Calculation Agent” for the Securities
will be MS & Co. As Calculation Agent, MS & Co. will determine, among other things, the Initial Levels, the Final Levels, the
Final Basket Level, the Basket Return and the Payment at Maturity.
All determinations made by the Calculation Agent will
be at the sole discretion of the Calculation Agent and will, in the absence of manifest error, be conclusive for all purposes and binding
on you, the Trustee and us.
All calculations with respect to the Payment at Maturity,
if any, will be rounded to the nearest one billionth, with five ten-billionths rounded upward (e.g., .9876543215 would be rounded to .987654322);
all dollar amounts related to determination of the amount of cash payable per Security will be rounded to the nearest ten-thousandth,
with five one hundred-thousandths rounded upward (e.g., .76545 would be rounded up to .7655); and all dollar amounts paid on the aggregate
number of Securities will be rounded to the nearest cent, with one-half cent rounded upward.
Because the Calculation Agent is our affiliate, the
economic interests of the Calculation Agent and its affiliates may be adverse to your interests, as an owner of the Securities, including
with respect to certain determinations and judgments that the Calculation Agent must make in determining the Final Basket Level or whether
a Market Disruption Event has occurred. See “—Discontinuance of an Underlier; Alteration of Method of Calculation,”
and the definition of Market Disruption Event. MS & Co. is obligated to carry out its duties and functions as Calculation Agent in
good faith and using its reasonable judgment.
Issuer
Notice to Registered Security Holders, the Trustee and the Depositary
In the event that the Maturity
Date of the Securities is postponed due to a postponement of the Final Valuation 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 Final
Valuation Date as postponed.
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 |