Investment Summary
The Commodity-Linked Notes due July 3, 2025 (the “notes”)
offer 170% participation in the positive performance of the basket, subject to the maximum payment amount, and provide investors:
| § | an opportunity to gain exposure
to the basket, subject to the maximum payment amount |
| § | the repayment of principal
at maturity, subject to our credit risk |
| § | 170% participation in any appreciation
of the basket over the term of the notes, subject to the maximum payment amount |
| § | no exposure to any decline
of the basket if the notes are held to maturity |
At maturity, if the basket has depreciated or has not appreciated at
all, you will receive the stated principal amount of $1,000 per note, without any positive return on your investment. All payments
on the notes, including the repayment of principal at maturity, are subject to our credit risk.
Maturity: |
Approximately 3 years |
Participation rate: |
170% |
Maximum payment amount: |
$1,650 per note (165% of the stated principal amount) |
Basket weighting: |
12.50% for each basket commodity |
Interest: |
None |
The original issue price of each note is $1,000. This price
includes costs associated with issuing, selling, structuring and hedging the notes, which are borne by you, and, consequently, the estimated
value of the notes on the pricing date is less than $1,000. We estimate that the value of each note on the pricing date is
$925.30.
What goes into the estimated value on the pricing date?
In valuing the notes on the pricing date, we take into account that
the notes comprise both a debt component and a performance-based component linked to the basket commodities. The estimated
value of the notes is determined using our own pricing and valuation models, market inputs and assumptions relating to the basket commodities,
instruments based on the basket commodities, volatility and other factors including current and expected interest rates, as well as an
interest rate related to our secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt
trades in the secondary market.
What determines the economic terms of the notes?
In determining the economic terms of the notes, including the participation
rate and the maximum payment amount, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads
and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the
internal funding rate were higher, one or more of the economic terms of the notes would be more favorable to you.
What is the relationship between the estimated value on the pricing
date and the secondary market price of the notes?
The price at which MS & Co. purchases the notes in the secondary
market, absent changes in market conditions, including those related to the basket commodities, may vary from, and be lower than, the
estimated value on the pricing date, because the secondary market price takes into account our secondary market credit spread as well
as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and other factors.
MS & Co. may, but is not obligated to, make a market in the notes
and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Key Investment Rationale
At maturity, we will pay per note the stated principal amount of $1,000
plus a supplemental redemption amount, if any, based on the performance of an equally-weighted basket of physical commodities,
subject to the maximum payment amount. The notes are for investors who are concerned about principal risk, but seek a commodity
based-return and who are willing to forgo current income and upside above the maximum payment amount in exchange for the repayment of
principal at maturity plus the potential to receive a supplemental redemption amount, if any. All payments are subject to our
credit risk.
Repayment of Principal |
The notes offer investors 1-to-1 upside exposure to the performance of the basket, subject to the maximum payment amount, while providing for the repayment of principal in full at maturity. |
Upside Scenario |
The basket increases in value and, at maturity, you receive an amount per note equal to the sum of (i) the stated principal amount of $1,000 and (ii) 170% of the increase in the value of the basket, subject to the maximum payment amount of $1,650 per note (165% of the stated principal amount). |
Par Scenario |
The basket declines or does not appreciate in value and, at maturity, you receive only the stated principal amount of $1,000 per note. |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Hypothetical Payout on the Notes
At maturity, for each $1,000 stated principal amount of notes that you
hold, you will receive the stated principal amount of $1,000 plus a supplemental redemption amount, if any, subject to the maximum
payment amount, calculated on the determination date as follows:
(i) $1,000 times (ii) the participation rate times
(iii) the basket performance, provided that the supplemental redemption amount will not be less than zero.
Under no circumstances will the payment at maturity be greater than
the maximum payment amount of $1,650 per note (165% of the stated principal amount).
The table below illustrates the payment at maturity for each note (including,
where relevant, the supplemental redemption amount) for a hypothetical range of basket performances and does not cover the complete range
of possible payouts at maturity.
Basket performance |
Stated principal amount |
Supplemental redemption amount |
Payment at maturity |
Percent return on $1,000 note |
60% |
$1,000 |
$650 |
$1,650 |
65.00% |
55% |
$1,000 |
$650 |
$1,650 |
65.00% |
50% |
$1,000 |
$650 |
$1,650 |
65.00% |
45% |
$1,000 |
$650 |
$1,650 |
65.00% |
40% |
$1,000 |
$650 |
$1,650 |
65.00% |
38.24% |
$1,000 |
$650 |
$1,650 |
65.00% |
35% |
$1,000 |
$595 |
$1,595 |
59.50% |
30% |
$1,000 |
$510 |
$1,510 |
51.00% |
20% |
$1,000 |
$340 |
$1,340 |
34.00% |
10% |
$1,000 |
$170 |
$1,170 |
17.00% |
5% |
$1,000 |
$85 |
$1,085 |
8.50% |
0% |
$1,000 |
$0 |
$1,000 |
0.00% |
0% |
$1,000 |
$0 |
$1,000 |
0% |
-10% |
$1,000 |
$0 |
$1,000 |
0% |
-20% |
$1,000 |
$0 |
$1,000 |
0% |
-30% |
$1,000 |
$0 |
$1,000 |
0% |
-40% |
$1,000 |
$0 |
$1,000 |
0% |
-50% |
$1,000 |
$0 |
$1,000 |
0% |
-60% |
$1,000 |
$0 |
$1,000 |
0% |
-70% |
$1,000 |
$0 |
$1,000 |
0% |
-80% |
$1,000 |
$0 |
$1,000 |
0% |
-90% |
$1,000 |
$0 |
$1,000 |
0% |
-100% |
$1,000 |
$0 |
$1,000 |
0% |
|
|
|
|
|
How it works
| § | Upside Scenario. If the basket
performance is positive, investors would receive the $1,000 stated principal amount per note plus 170% of the appreciation of the
basket over the term of the notes, subject to the maximum payment amount. |
| § | If the basket appreciates 10%, the investor would receive a 17% return, or $1,170 per note. |
| § | If the basket appreciates 40%, the investor would receive only the maximum payment amount of 165% of the stated principal amount,
or $1,650 per note. |
| § | Par Scenario. If the basket performance
is less than or equal to 0%, investors would receive the $1,000 stated principal amount per note. |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Calculation of the Payment at Maturity
Basket Appreciation Example 1
Below is an example of how to calculate the payment
at maturity if the basket has appreciated. This example is based on the participation rate of 170% and the hypothetical data
in the table below. The initial and final basket commodity prices below are hypothetical and do not reflect the actual initial
or final basket commodity price for any basket commodity. The actual initial basket commodity price of each basket commodity
is set forth on the cover page of this document. The numbers appearing below may have been rounded for ease of analysis. As
the basket has appreciated in value, the basket performance is positive and the payment at maturity includes a supplemental redemption
amount based on the performance of the basket.
Basket commodity
|
Weight in
Basket
|
Hypothetical
Initial basket commodity price
|
Hypothetical
Final basket commodity price
|
Percentage
Change
|
WTI crude oil |
12.50% |
$100 |
$120 |
20% |
Brent crude oil |
12.50% |
$100 |
$90 |
-10% |
Natural gas |
12.50% |
$7.00 |
$5.25 |
-25% |
Corn |
12.50% |
800¢ |
880¢ |
10% |
Soybeans |
12.50% |
1,600¢ |
1,520¢ |
-5% |
Wheat |
12.50% |
1,000¢ |
1,400¢ |
40% |
Copper |
12.50% |
$10,000 |
$11,000 |
10% |
Zinc |
12.50% |
$2,000 |
$1,800 |
-10% |
|
|
|
|
|
Basket performance = sum
of the products of (x) the final basket commodity price for each basket commodity minus the initial basket commodity price for
such basket commodity divided by the initial basket commodity price of such basket commodity and (y) the basket commodity weighting
for such basket commodity:
[(final WTI crude oil price –
initial WTI crude oil price) / initial WTI crude oil price] × 12.50%; plus
[(final Brent crude oil price – initial Brent crude oil price) / initial Brent crude oil price] × 12.50%;
plus
[(final natural gas price – initial natural gas price) / initial natural gas price] × 12.50%; plus
[(final corn price – initial corn price) / initial corn price] × 12.50%; plus
[(final soybeans price – initial soybeans price) / initial soybeans price] × 12.50%; plus
[(final wheat price – initial wheat price) / initial wheat price] × 12.50%; plus
[(final copper price – initial copper price) / initial copper price] × 12.50%; plus
[(final zinc price – initial zinc price) / initial zinc price] × 12.50%
So, using
the final basket commodity prices above:
WTI crude oil = [($120 - $100) / $100] × 12.50% = 2.50%; plus
Brent crude oil = [($90 - $100) / $100] × 12.50% = -1.25%; plus
Natural gas = [($5.25 - $7.00) / $7.00] × 12.50% = -3.125%;
plus
corn = [(880¢ - 800¢) / 800¢] × 12.50% = 1.25%;
plus
soybeans = [(1,520¢ - 1,600¢) / 1,600¢] × 12.50% = -0.625%;
plus
wheat = [(1,400¢ - 1,000¢) / 1,000¢] × 12.50% = 5.00%;
plus
copper = [($11,000 - $10,000) / $10,000] × 12.50% = 1.25%; plus
zinc = [($1,800 – $2,000) / $2,000] × 12.50% = -1.25%
which equals
basket performance =
3.75%
The payment at
maturity will equal $1,000 plus the supplemental redemption amount. The supplemental redemption amount will equal (i) $1,000
times (ii) the participation rate times (iii) the basket performance, or:
$1,000 × 170.00% × 3.75% = $63.75
The payment at maturity will equal $1,000 plus
the supplemental redemption amount, or:
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
$1,000
+ $63.75 = $1,063.75
Basket Appreciation Example 2
Below is an example of how to calculate the payment
at maturity if the basket has appreciated. This example is based on the participation rate of 170% and the hypothetical data
in the table below. The initial and final basket commodity prices below are hypothetical and do not reflect the actual initial
or final basket commodity price for any basket commodity. The numbers appearing below may have been rounded for ease of analysis. In
this example, although six basket components have depreciated or remained unchanged over the term of the notes, the appreciation of the
other two components is great enough to mean that the basket has appreciated in value. As a result, the basket performance
is positive and the payment at maturity includes a supplemental redemption amount based on the performance of the basket.
Basket commodity
|
Weight in
Basket
|
Hypothetical
Initial basket commodity price
|
Hypothetical
Final basket commodity price
|
Percentage
Change
|
WTI crude oil |
12.50% |
$100 |
$95 |
-5% |
Brent crude oil |
12.50% |
$100 |
$95 |
-5% |
Natural gas |
12.50% |
$7.00 |
$6.65 |
-5% |
Corn |
12.50% |
800¢ |
800¢ |
0% |
Soybeans |
12.50% |
1,600¢ |
1,520¢ |
-5% |
Wheat |
12.50% |
1,000¢ |
1,400¢ |
40% |
Copper |
12.50% |
$10,000 |
$16,000 |
60% |
Zinc |
12.50% |
$2,000 |
$1,800 |
-10% |
|
|
|
|
|
Basket performance = sum
of the products of (x) the final basket commodity price for each basket commodity minus the initial basket commodity price for
such basket commodity divided by the initial basket commodity price of such basket commodity and (y) the basket commodity weighting
for such basket commodity:
[(final WTI crude oil price –
initial WTI crude oil price) / initial WTI crude oil price] × 12.50%; plus
[(final Brent crude oil price – initial Brent crude oil price) / initial Brent crude oil price] × 12.50%; plus
[(final natural gas price – initial natural gas price) / initial natural gas price] × 12.50%; plus
[(final corn price – initial corn price) / initial corn price] × 12.50%; plus
[(final soybeans price – initial soybeans price) / initial soybeans price] × 12.50%; plus
[(final wheat price – initial wheat price) / initial wheat price] × 12.50%; plus
[(final copper price – initial copper price) / initial copper price] × 12.50%; plus
[(final zinc price – initial zinc price) / initial zinc price] × 12.50%
So, using
the final basket commodity prices above:
WTI crude oil = [($95 - $100) / $100] × 12.50% = -0.625%; plus
Brent crude oil = [($95 - $100) / $100] × 12.50% = -0.625%; plus
Natural gas = [($6.65 - $7.00) / $7.00] × 12.50% = -0.625%; plus
corn = [(800¢ - 800¢) / 800¢] × 12.50% = 0%; plus
soybeans = [(1,520¢ - 1,600¢) / 1,600¢] × 12.50% = -0.625%; plus
wheat = [(1,400¢ - 1,000¢) / 1,000¢] × 12.50% = 5.00%; plus
copper = [($16,000 - $10,000) / $10,000] × 12.50% = 7.50%; plus
zinc = [($1,800 – $2,000) / $2,000] × 12.50% = -1.25%
which equals
basket performance = 8.75%
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
In the above example, the final basket commodity price
of each of the basket components except for wheat and copper is lower than its respective initial basket commodity price. Accordingly,
although the final basket commodity prices of 75% of the basket commodities (by weight) have decreased in value over their respective
initial basket commodity prices, the final basket commodity prices of the other 25% (by weight) of the basket have increased and, because
they have increased significantly, their increase more than offsets the declines in the other basket commodities and, consequently, the
basket performance is positive. The payment at maturity per note will equal $1,000 plus the supplemental redemption amount;
or:
The payment at
maturity will equal $1,000 plus the supplemental redemption amount. The supplemental redemption amount will equal (i) $1,000
times (ii) the participation rate times (iii) the basket performance, or:
$1,000 × 170.00% × 8.75% = $148.75
The payment at maturity will equal $1,000 plus
the supplemental redemption amount, or:
$1,000
+ $148.75 = $1,148.75
Basket Appreciation Example 3
Below is an example of how to calculate the payment
at maturity if the basket has appreciated. This example is based on the participation rate of 170% and the hypothetical data
in the table below. The initial and final basket commodity prices below are hypothetical and do not reflect the actual initial
or final basket commodity price for any basket commodity. The numbers appearing below may have been rounded for ease of analysis. As
the basket has appreciated in value, the basket performance is positive and the payment at maturity includes a supplemental redemption
amount based on the performance of the basket, subject to the maximum payment amount.
Basket commodity
|
Weight in
Basket
|
Hypothetical
Initial basket commodity price
|
Hypothetical
Final basket commodity price
|
Percentage
Change
|
WTI crude oil |
12.50% |
$100 |
$180 |
80% |
Brent crude oil |
12.50% |
$100 |
$120 |
20% |
Natural gas |
12.50% |
$7.00 |
$5.25 |
-25% |
Corn |
12.50% |
800¢ |
1,440¢ |
80% |
Soybeans |
12.50% |
1,600¢ |
1,520¢ |
-5% |
Wheat |
12.50% |
1,000¢ |
1,800¢ |
80% |
Copper |
12.50% |
$10,000 |
$19,000 |
90% |
Zinc |
12.50% |
$2,000 |
$2,000 |
0% |
|
|
|
|
|
Basket performance = sum
of the products of (x) the final basket commodity price for each basket commodity minus the initial basket commodity price for
such basket commodity divided by the initial basket commodity price of such basket commodity and (y) the basket commodity weighting
for such basket commodity:
[(final WTI crude oil price –
initial WTI crude oil price) / initial WTI crude oil price] × 12.50%; plus
[(final Brent crude oil price – initial Brent crude oil price) / initial Brent crude oil price] × 12.50%;
plus
[(final natural gas price – initial natural gas price) / initial natural gas price] × 12.50%; plus
[(final corn price – initial corn price) / initial corn price] × 12.50%; plus
[(final soybeans price – initial soybeans price) / initial soybeans price] × 12.50%; plus
[(final wheat price – initial wheat price) / initial wheat price] × 12.50%; plus
[(final copper price – initial copper price) / initial copper price] × 12.50%; plus
[(final zinc price – initial zinc price) / initial zinc price] × 12.50%
So, using
the final basket commodity prices above:
WTI crude oil = [($180 - $100) / $100] × 12.50% = 10.00%; plus
Brent crude oil = [($120 - $100) / $100] × 12.50% = 2.50%; plus
Natural gas = [($5.25 - $7.00) / $7.00] × 12.50% = -3.125%;
plus
corn = [(1,440¢ - 800¢) / 800¢] × 12.50% = 10.00%;
plus
soybeans = [(1,520¢ - 1,600¢) / 1,600¢] × 12.50% = -0.625%;
plus
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
wheat
= [(1,800¢ - 1,000¢) / 1,000¢] × 12.50% = 10.00%;
plus
copper = [($19,000 - $10,000) / $10,000] × 12.50% = 11.25%; plus
zinc = [($2,000 – $2,000) / $2,000] × 12.50% = 0.00%
which equals
basket performance = 40.00%
The payment at maturity will equal the lesser
of:
(i) $1,000 plus the
supplemental redemption amount = $1,000 + ($1,000 × 170.00%
× 40.00%) = $1,680
and
(ii) maximum payment
amount = $1,650
The payment at maturity will equal the maximum
payment amount, or:
$1,000
+ $650 = $1,650.00
Par Example
If the basket performance is less than or equal to
0%, the payment at maturity will equal only the stated principal amount. Below is an example of a scenario in which the basket
performance is less than 0% based on the hypothetical data in the table below. The initial and final basket commodity prices
below are hypothetical and do not reflect the actual initial or final basket commodity price for any basket commodity. The
numbers appearing below may have been rounded for ease of analysis.
Basket commodity
|
Weight in
Basket
|
Hypothetical
Initial basket commodity price
|
Hypothetical
Final basket commodity price
|
Percentage
Change
|
WTI crude oil |
12.50% |
$100 |
$90 |
-10% |
Brent crude oil |
12.50% |
$100 |
$90 |
-10% |
Natural gas |
12.50% |
$7 |
$5.60 |
-20% |
Corn |
12.50% |
800¢ |
600¢ |
-25% |
Soybeans |
12.50% |
1,600¢ |
1,440¢ |
-10% |
Wheat |
12.50% |
1,000¢ |
850¢ |
-15% |
Copper |
12.50% |
$10,000 |
$9,000 |
-10% |
Zinc |
12.50% |
$2,000 |
$1,800 |
-10% |
|
|
|
|
|
Basket performance = sum
of the products of (x) the final basket commodity price for each basket commodity minus the initial basket commodity price for
such basket commodity divided by the initial basket commodity price of such basket commodity and (y) the basket commodity weighting
for such basket commodity:
[(final WTI crude oil price –
initial WTI crude oil price) / initial WTI crude oil price] × 12.50%; plus
[(final Brent crude oil price – initial Brent crude oil price) / initial Brent crude oil price] × 12.50%; plus
[(final natural gas price – initial natural gas price) / initial natural gas price] × 12.50%; plus
[(final corn price – initial corn price) / initial corn price] × 12.50%; plus
[(final soybeans price – initial soybeans price) / initial soybeans price] × 12.50%; plus
[(final wheat price – initial wheat price) / initial wheat price] × 12.50%; plus
[(final copper price – initial copper price) / initial copper price] × 12.50%; plus
[(final zinc price – initial zinc price) / initial zinc price] × 12.50%
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
So, using
the final basket commodity prices above:
WTI crude oil = [($90 - $100) / $100] × 12.50% = -1.25%; plus
Brent crude oil = [($90 - $100) / $100] × 12.50% = -1.25%; plus
Natural gas = [($5.60 - $7.00) / $7.00] × 12.50% = -2.50%; plus
corn = [(600¢ - 800¢) / 800¢] × 12.50% = -3.125%; plus
soybeans = [(1,440¢ - 1,600¢) / 1,600¢] × 12.50% = -1.25%; plus
wheat = [(850¢ - 1,000¢) / 1,000¢] × 12.50% = -1.875%; plus
copper = [($9,000 - $10,000) / $10,000] × 12.50% = -1.25%; plus
zinc = [($1,800 – $2,000) / $2,000] × 12.50% = -1.25%
which equals
basket performance
= -13.75%
In the above example, the final commodity price of
each of the basket components is lower than its respective initial basket commodity price and the basket performance is negative. The
payment at maturity will equal $1,000.
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Risk Factors
This section describes the material risks relating to the notes. For
further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying prospectus
supplement and prospectus. We also urge you to consult your investment, legal, tax, accounting and other advisers in connection
with your investment in the notes.
Risks Relating to an Investment in the Notes
| § | The notes do not pay interest and may not pay more than the stated principal amount at maturity. If the basket performance
is less than or equal to 0%, you will receive only the stated principal amount of $1,000 for each note you hold at maturity. As
the notes do not pay any interest, if the basket does not appreciate sufficiently over the term of the notes, the overall return on the
notes (the effective yield to maturity) may be less than the amount that would be paid on a conventional debt security of ours of comparable
maturity. The notes are for investors who are concerned about principal risk, but seek a commodity based-return and who are willing to
forgo current income and upside above the maximum payment amount in exchange for the repayment of principal at maturity plus the potential
to receive a supplemental redemption amount, if any. |
| § | The appreciation potential of the notes is limited by the maximum payment amount. The
appreciation potential of the notes is limited by the maximum payment amount of $1,650 per note, or 165% of the stated principal amount. Because
the payment at maturity will be limited to 165% of the stated principal amount for the notes, any increase in the basket performance by
more than approximately 38.24% will not further increase the return on the notes. Therefore, investors will not participate
in any further appreciation of the basket, which may be significant. |
| § | The market price of the notes may be influenced by many unpredictable factors. Several factors, many of which are beyond our
control, will influence the value of the notes in the secondary market and the price at which we or certain of our affiliates, including
Morgan Stanley & Co. LLC (“MS & Co.”), may be willing to purchase or sell the notes in the secondary market, including:
the price of each of the basket commodities at any time and, in particular, on the valuation date, the volatility (frequency and magnitude
of changes in value) of each of the basket commodities, interest and yield rates in the market, geopolitical conditions and economic,
financial, political, regulatory or judicial events that affect the basket commodities or commodities markets in general and which may
affect the final basket commodity prices of the basket commodities, trends of supply and demand for the basket commodities, as well as
the effects of speculation or any government activity that could affect the commodities markets, the time remaining until the notes mature
and any actual or anticipated changes in our credit ratings or credit spreads. In addition, the commodities markets are subject to temporary
distortions or other disruptions due to various factors, including lack of liquidity, participation of speculators and government intervention.
As a result, the market value of the notes will vary and may be less than the original issue price at any time prior to maturity and sale
of the notes prior to maturity may result in a loss. |
| § | The notes are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely
affect the market value of the notes. You are dependent on our ability to pay all amounts due on the notes at maturity
and therefore you are subject to our credit risk. If we default on our obligations under the notes, your investment would be
at risk and you could lose some or all of your investment. As a result, the market value of the notes prior to maturity will be affected
by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in
the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the notes. |
| § | As a finance subsidiary, MSFL has no independent operations and will have no independent assets. As a finance subsidiary,
MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets available
for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution or similar
proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee by Morgan
Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan Stanley. Holders
will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities
issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari
passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities. |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
| § | The amount payable on the notes is not linked to the price of the basket commodities at any time other than the determination date. The
final basket commodity price for each basket commodity will be the commodity price for such basket commodity on the determination date,
subject to postponement for non-trading days and certain market disruption events. Even if the prices of the basket commodities
appreciate prior to the determination date but then drop by the determination date, the payment at maturity will be less, and may be significantly
less, than it would have been had the payment at maturity been linked to the price of the basket commodities prior to such drop. Although
the actual prices of the basket commodities on the stated maturity date or at other times during the term of the notes may be higher than
the final commodity prices, the payment at maturity will be based solely on the commodity prices on the determination date. |
| § | The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied
by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated with
issuing, selling, structuring and hedging the notes in the original issue price reduce the economic terms of the notes, cause the estimated
value of the notes to be less than the original issue price and will adversely affect secondary market prices. Assuming
no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including MS & Co., may be willing
to purchase the notes in secondary market transactions will likely be significantly lower than the original issue price, because secondary
market prices will exclude the issuing, selling, structuring and hedging-related costs that are included in the original issue price and
borne by you and because the secondary market prices will reflect our secondary market credit spreads and the bid-offer spread that any
dealer would charge in a secondary market transaction of this type as well as other factors. |
The inclusion of the costs of issuing,
selling, structuring and hedging the notes in the original issue price and the lower rate we are willing to pay as issuer make the economic
terms of the notes less favorable to you than they otherwise would be.
| § | The estimated value of the notes is determined by reference to our pricing and valuation models, which may differ from those of
other dealers and is not a maximum or minimum secondary market price. These pricing and valuation models are proprietary
and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As
a result, because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of
the notes than those generated by others, including other dealers in the market, if they attempted to value the notes. In addition,
the estimated value on the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would
be willing to purchase your notes in the secondary market (if any exists) at any time. The value of your notes at any time after the date
of this document 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 will be influenced by many unpredictable factors” above. |
| § | Investing in the notes is not equivalent to investing in the basket commodities or in futures contracts or forward contracts on
the basket commodities. By purchasing the notes, you do not purchase any entitlement
to any of the basket commodities or futures contracts or forward contracts on any of the basket commodities. Further, by purchasing
the notes, you are taking credit risk to us and not to any counter-party to futures contracts or forward contracts on the basket commodities. |
| § | The notes will not be listed on any securities exchange and secondary trading may be limited. Accordingly, you should be willing
to hold your notes for the entire term of the notes. The notes will not be listed on any securities exchange. Therefore,
there may be little or no secondary market for the notes. MS & Co. may, but is not obligated to, make a market in the notes
and, if it once chooses to make a market, may cease doing so at any time. When it does make a market, it will generally do so for transactions
of routine secondary market size at prices based on its estimate of the current value of the notes, taking into account its bid/offer
spread, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions,
the time remaining to maturity and the likelihood that it will be able to resell the notes. Even if there is a secondary market,
it may not provide enough liquidity to allow you to trade or sell the notes easily. Since other broker-dealers may not participate
significantly in the secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the
price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in
the notes, it is likely that there would be no secondary market for the notes. Accordingly, you should be willing to hold your
notes to maturity. |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
| § | The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the notes. As calculation agent, Morgan Stanley Capital Group Inc. (“MSCG”) will determine the initial basket
commodity price, the final basket commodity price and the commodity performance value for each basket commodity, the basket performance,
the supplemental redemption amount, if any, and whether a market disruption event has occurred. Additionally, the calculation
agent will calculate the amount of cash you will receive at maturity. Moreover, certain determinations made by MSCG, 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 or calculation of any commodity price in the event of a market disruption event. These potentially
subjective determinations may adversely affect the payout to you at maturity. For further information regarding these types
of determinations, see “Payment at Maturity—Calculation Agent and Calculations” and “—Alternate Exchange
Calculation in the Case of an Event of Default” and related definitions in the accompanying prospectus supplement. In
addition, MS & Co. has determined the estimated value of the notes on the pricing date. |
| § | Hedging and trading activity by our affiliates could potentially adversely affect the value of the notes. One or
more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the notes (and possibly to other instruments
related or linked to the basket commodities), including trading in the basket commodities or futures contracts or forward contracts on
the basket commodities. As a result, these entities may be unwinding or adjusting hedge positions during the term of the notes,
and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the determination date approaches. Some
of our affiliates also trade the basket commodities on a regular basis as part of their general broker-dealer, commodity trading, proprietary
trading and other businesses. |
Any of these hedging or trading activities
on or prior to the pricing date could potentially increase the initial basket commodity prices and, therefore, could increase the prices
at or above which the basket commodities must close on the determination date before you would receive at maturity a payment that exceeds
the stated principal amount of the notes. Additionally, such hedging or trading activities during the term of the notes, including
on the determination date, could adversely affect the basket commodity prices on the determination date and, accordingly, the amount of
cash you will receive at maturity.
Risks Relating to the Basket Components
| § | Changes in the price of one or more of the basket commodities may offset each other. Price movements in the basket
commodities may not correlate with each other. At a time when the price of one basket commodity increases, the price of the
other basket commodities may not increase as much, or may even decline. Therefore, in calculating the performance of the basket
commodities on the determination date, increases in the price of one basket commodity may be moderated, or wholly offset, by lesser increases
or declines in the price of the other basket commodities. |
| § | Specific commodities’ prices are volatile and are affected by numerous factors specific to each market. Investments,
such as the notes, linked to the prices of commodities, such as the basket commodities, are subject to sharp fluctuations in the prices
of commodities over short periods of time for a variety of factors, including the principal factors set out below: |
WTI crude oil. Demand
for refined petroleum products by consumers, as well as by the agricultural, manufacturing and transportation industries, affects the
price of crude oil. Crude oil’s end-use as a refined product is often as transport fuel, industrial fuel and in-home
heating fuel. Potential for substitution in most areas exists, although considerations including relative cost often limit
substitution levels. Because the precursors of demand for petroleum products are linked to economic activity, demand will tend
to reflect economic conditions. Demand is also influenced by government regulations, such as environmental or consumption policies. In
addition to general economic activity and demand, prices for crude oil are affected by political events, labor activity, developments
in production technology such as fracking and, in particular, direct government intervention (such as embargos) or supply disruptions
in major oil producing regions of the world. Such events tend to affect oil prices worldwide, regardless of the location of
the event. Supply for crude oil may increase or decrease depending on many factors. These include production decisions
by the Organization of the Petroleum Exporting Countries and other crude oil producers. In the event of sudden disruptions
in the supplies of oil, such as those caused by war, natural events, accidents, acts of terrorism or cyberattacks, prices of oil futures
contracts could become extremely volatile and
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
unpredictable. Also, sudden
and dramatic changes in the futures market may occur, for example, upon a cessation of hostilities that may exist in countries producing
oil, the introduction of new or previously withheld supplies into the market or the introduction of substitute products or commodities. WTI
crude oil is also subject to the risk that it has demonstrated a lack of correlation with world crude oil prices due to structural differences
between the U.S. market for crude oil and the international market for crude oil. As a result, the price of WTI crude oil may
be more volatile than world crude oil prices generally.
In addition, the prices of WTI crude oil
futures contracts may be near zero, zero or negative, which can occur rapidly and unexpectedly. For example, in April 2020,
a collapse of demand for fuel contributed to an oversupply of crude oil that rapidly filled most available oil storage facilities. Storage
shortages meant that market participants that had contracted to buy and take delivery of crude oil were at risk of default under the terms
of the May 2020 NYMEX WTI crude oil futures contract. The scarcity of storage resulted in some market participants selling
their futures contracts at a negative price (effectively paying another market participant to accept delivery of the crude oil referenced
by the relevant contracts). As a result, for the first time in history, crude oil futures contracts traded below zero. On
April 20, 2020, the last trading day before expiration of the May 2020 WTI crude oil futures contract, prices of that contract fell to
negative $37.63. See “Basket Overview.”
Brent crude oil. Demand for refined
petroleum products by consumers, as well as by the agricultural, manufacturing and transportation industries, affects the price of crude
oil. Crude oil’s end-use as a refined product is often as transport fuel, industrial fuel and in-home heating fuel. Potential
for substitution in most areas exists, although considerations including relative cost often limit substitution levels. Because
the precursors of demand for petroleum products are linked to economic activity, demand will tend to reflect economic conditions. Demand
is also influenced by government regulations, such as environmental or consumption policies. In addition to general economic
activity and demand, prices for crude oil are affected by political events, labor activity, developments in production technology such
as fracking and, in particular, direct government intervention (such as embargos) or supply disruptions in major oil producing regions
of the world. Such events tend to affect oil prices worldwide, regardless of the location of the event. Supply for
crude oil may increase or decrease depending on many factors. These include production decisions by the Organization of the
Petroleum Exporting Countries and other crude oil producers. In the event of sudden disruptions in the supplies of oil, such
as those caused by war, natural events, accidents, acts of terrorism or cyberattacks, prices of oil futures contracts could become extremely
volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example, upon a cessation
of hostilities that may exist in countries producing oil, the introduction of new or previously withheld supplies into the market or the
introduction of substitute products or commodities. The price of Brent crude oil futures has experienced very
severe price fluctuations over the recent past and there can be no assurance that this extreme price volatility will not continue in the
future. See “Basket Overview.”
Natural gas. Natural gas is used
primarily for residential and commercial heating and in the production of electricity. Natural gas has also become an increasingly popular
source of energy in the United States, both for consumers and industry. However, because natural gas can be used as a substitute for coal
and oil in certain circumstances, the price of coal and oil influence the price of natural gas. The level of global industrial activity
influences the demand for natural gas. The demand for natural gas has traditionally been cyclical, with higher demand during the winter
months and lower demand during relatively warmer summer months. Seasonal temperatures in countries throughout the world can also heavily
influence the demand for natural gas. The world’s supply of natural gas is concentrated in the former Soviet Union, the Middle East,
Europe and Africa. In general, the supply of natural gas is based on competitive market forces. Inadequate supply at any one time leads
to price increases, which signal to production companies the need to increase the supply of natural gas to the market. The ability of
production companies to supply natural gas, however, is dependent on a number of factors. Factors that affect the short term supply of
natural gas include the availability of skilled workers and equipment, permitting and well development, as well as weather and delivery
disruptions (e.g., hurricanes, labor strikes and wars). In addition, production companies face more general barriers to their ability
to increase the supply of natural gas, including access to land, the expansion of pipelines and the financial environment. These factors,
which are not exhaustive, are interrelated and can have complex and unpredictable effects on the supply for, and the price of, natural
gas.
Corn. The demand for corn is in
part linked to the development of industrial and energy uses for corn. This includes the use of corn in the production of ethanol. The
demand for corn is also affected by the production and profitability of the pork and poultry sectors, which use corn for feed. Negative
developments in those industries
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Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
may lessen the demand for corn. For example,
if avian flu were to have a negative effect on world poultry markets, the demand for corn might decrease. The supply of corn is dependent
on many factors including weather patterns, government regulation, the price of fuel and fertilizers and the current and previous price
of corn. The United States is the world’s largest supplier of corn, followed by China and Brazil. The supply of corn is particularly
sensitive to weather patterns in the United States and China. In addition, technological advances could lead to increases in worldwide
production of corn and corresponding decreases in the price of corn.
Soybeans. Demand for soybeans is
in part linked to the development of agricultural, industrial and energy uses for soybeans. In addition, prices for soybeans are affected
by governmental programs and policies regarding agriculture and trade specifically, and trade, fiscal and monetary issues, more generally.
Soybean prices are also affected by extrinsic factors such as weather, crop yields, natural disasters, pestilence, technological developments,
wars and political and civil upheavals. Soy biodiesel, animal agriculture, vegetable oil, edible soybean oil and new industrial uses are
examples of major areas that may impact worldwide soybean demand. In addition, substitution of other commodities for soybeans could also
impact the price of soybeans. The supply of soybeans is particularly sensitive to weather patterns such as floods, drought and freezing
conditions, planting decisions and the price of fuel, seeds and fertilizers. In addition, technological advances and scientific developments
could lead to increases in worldwide production of soybeans and corresponding decreases in the price of soybeans. The United States, Argentina
and Brazil are the three largest suppliers of soybean crops.
Wheat. Wheat prices are primarily
affected by weather and crop growing conditions generally and the global demand for and supply of grain, which are driven by global grain
production, population growth and economic activity. Demand for wheat is in part linked to the development of agricultural, industrial
and energy uses for wheat including the use of wheat for the production of animal feed and bioethanol, which may have a major impact on
worldwide demand for wheat. In addition, prices for wheat are affected by governmental and intergovernmental programs and policies regarding
trade, agriculture, and energy and, more generally, regarding fiscal and monetary issues. Wheat prices may also be influenced by or dependent
on retail prices, social trends, lifestyle changes and market power. Substitution of other commodities for wheat could also impact the
price of wheat. The supply of wheat is particularly sensitive to weather patterns such as floods, drought and freezing conditions, planting
decisions, the price of fuel, seeds and fertilizers and the current and previous price of wheat. In addition, technological advances and
scientific developments could lead to increases in worldwide production of wheat and corresponding decreases in the price of wheat. Extrinsic
factors affecting wheat prices include natural disasters, pestilence, wars and political and civil upheavals. China, India and the United
States are the three largest suppliers of wheat crops.
Copper. Demand for copper
is significantly influenced by the level of global industrial economic activity. Industrial sectors which are particularly
important to demand for copper include the electrical and construction sectors. In recent years demand has been supported by
strong consumption from newly industrializing countries due to their copper-intensive economic growth and infrastructure development. An
additional, but highly volatile, component of demand is adjustments to inventory in response to changes in economic activity and/or pricing
levels. There are substitutes for copper in various applications. Their availability and price will also affect
demand for copper. The main sources of copper are mines in Latin America and Eastern Europe and copper is refined mainly in
Latin America, Australia and Asia. The supply of copper is also affected by current and previous price levels, which will influence
investment decisions in new smelters. In previous years, copper supply has been affected by strikes, financial problems and
terrorist activity. It is not possible to predict the aggregate effect of all or any combination of these factors. See
“Basket Overview.”
Zinc. Demand for zinc is significantly
influenced by the level of global industrial economic activity. The galvanized steel industrial sector is particularly important to demand
for zinc given that the use of zinc in the manufacture of galvanized steel accounts for a significant percentage of worldwide zinc
demand. The galvanized steel sector is in turn heavily dependent on the automobile and construction sectors. Growth in the production
of galvanized steel will drive zinc demand. An additional, but highly volatile, component of demand is adjustments to inventory in response
to changes in economic activity and/or pricing levels. The supply of zinc concentrate (the raw material) is dominated by Australia, North
America and Latin America. The supply of zinc is also affected by current and previous price levels, which will influence investment decisions
in new mines and smelters.
Additionally, recently, prior to and since
Russia’s further invasion of Ukraine, the prices of oil and wheat, including the prices of WTI crude oil futures contracts,
Brent crude oil futures contracts and wheat futures contracts, have
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Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
been volatile and increased significantly.
This conflict has led to disruptions in the supply of oil and the supply of wheat and caused fluctuations in the price of oil and the
price of wheat, and changing geopolitical conditions and political events in Europe, the Middle East and elsewhere are likely to cause
continued volatility in the price of oil and the price of wheat. In addition, on March 8, 2022, the U.S. Government issued an executive
order banning the import of Russian oil to the United States. The U.S. Congress has also passed legislation to ban imports of Russian
oil. These actions, and similar governmental, regulatory or legislative actions in the United States or in other jurisdictions, including,
without limitation, sanctions-related actions by the U.S. or foreign governments, could cause prices of oil futures contracts and wheat
futures contracts to become even more volatile and unpredictable. Any of these developments could adversely affect the price of WTI crude
oil futures, Brent crude oil futures and wheat futures, and, therefore, the value of the notes and the payment at maturity.
| § | Suspensions or disruptions of market trading in commodity and related futures markets may adversely affect the price of the notes. The
commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in
the markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges
and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices which may occur during a single
business day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum
price of a contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit
price has been reached in a particular contract, no trades may be made at a different price. Limit prices have the effect of
precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. These
circumstances could adversely affect the prices of some of the basket commodities and, therefore, the value of the notes. |
| § | There are risks relating to the trading of metals on the London Metal Exchange. The
official cash offer price of copper is determined by reference to the per unit U.S. dollar cash offer prices of contracts traded on the
London Metal Exchange, which we refer to as the LME. The LME is a principals’ market which operates in a manner more
closely analogous to the over-the-counter physical commodity markets than regulated futures markets. For example, there are
no daily price limits on the LME, which would otherwise restrict the extent of daily fluctuations in the prices of LME contracts. In
a declining market, therefore, it is possible that prices would continue to decline without limitation within a trading day or over a
period of trading days. In addition, a contract may be entered into on the LME calling for delivery on any day from one day
to three months following the date of such contract and for monthly delivery in any of the next 16 to 24 months (depending on the commodity)
following such third month, in contrast to trading on futures exchanges, which call for delivery in stated delivery months. As
a result, there may be a greater risk of a concentration of positions in LME contracts on particular delivery dates, which in turn could
cause temporary aberrations in the prices of LME contracts for certain delivery dates. If such aberrations occur on any determination
date, the per unit U.S. dollar cash offer prices used to determine the official cash offer price of copper, and consequently, your payment
at maturity, if any, could be adversely affected. |
| § | An investment linked to commodity futures contracts is not equivalent to an investment linked to the spot prices of physical commodities. The
notes have returns based on the change in price of futures contracts on WTI crude oil, Brent crude oil, natural gas, corn, soybeans and
wheat, not the change in the spot price of actual physical commodities to which such futures contracts relate. The price of
a futures contract reflects the expected value of the commodity upon delivery in the future, whereas the price of a physical commodity
reflects the value of such commodity upon immediate delivery, which is referred to as the spot price. Several factors can result
in differences between the price of a commodity futures contract and the spot price of a commodity, including the cost of storing such
commodity for the length of the futures contract, interest costs related to financing the purchase of such commodity and expectations
of supply and demand for such commodity. While the changes in the price of a futures contract are usually correlated with the
changes in the spot price, such correlation is not exact. In some cases, the performance of a commodity futures contract can
deviate significantly from the spot price performance of the related underlying commodity, especially over longer periods of time. Accordingly,
investments linked to the return of commodities futures contracts may underperform similar investments that reflect the spot price return
on physical commodities. |
| § | Differences between futures prices and the spot prices of the physical commodities which, in part, compose the basket may decrease
the amount payable at maturity. The commodity prices that are used to determine the initial basket commodity prices and
the final basket commodity prices for the physical commodities which, in part, compose the basket and, therefore, the payment at maturity
on the notes are determined by reference to the settlement prices of the first nearby month futures contract for each such commodity on
the pricing date and |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
determination date, respectively, provided
that if such date falls on the last trading day of such futures contract, then the second nearby month futures contract on such date,
and will not therefore reflect the spot prices of such physical commodities on such dates. The market for futures contracts on the basket
commodities has experienced periods of backwardation, in which futures prices are lower than the spot price, and periods of contango,
in which futures prices are higher than the spot price. If the contract for any basket commodity is in contango on the pricing
date or in backwardation on the determination date, the payment at maturity payable, if any, on the maturity date, may be less than if
the initial commodity price or the final commodity price for such basket commodity, respectively, were determined with reference to the
spot price.
| § | Legal and regulatory changes could adversely affect the return on and value of the notes. Futures contracts and
options on futures contracts, including those related to the basket commodities, are subject to extensive statutes, regulations, and margin
requirements. The Commodity Futures Trading Commission, commonly referred to as the “CFTC,” and the exchanges on
which such futures contracts trade, are authorized to take extraordinary actions in the event of a market emergency, including, for example,
the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the
suspension of trading. Furthermore, certain exchanges have regulations that limit the amount of fluctuations in futures contract
prices that may occur during a single five-minute trading period. These limits could adversely affect the market prices of
relevant futures and options contracts and forward contracts. The regulation of commodity transactions in the U.S. is subject
to ongoing modification by government and judicial action. In addition, various non-U.S. governments have expressed concern
regarding the disruptive effects of speculative trading in the commodity markets and the need to regulate the derivative markets in general. The
effect on the value of the notes of any future regulatory change is impossible to predict, but could be substantial and adverse to the
interests of holders of the notes. |
For example, the Dodd-Frank Act, which
was enacted on July 21, 2010, requires the CFTC to establish limits on the amount of positions that may be held by any person in certain
commodity futures contracts and swaps, futures and options that are economically equivalent to such contracts. While the effects
of these or other regulatory developments are difficult to predict, when adopted, such rules may have the effect of making the markets
for commodities, commodity futures contracts, options on futures contracts and other related derivatives more volatile and over time potentially
less liquid. Such restrictions may force market participants, including us and our affiliates, or such market participants
may decide, to sell their positions in such futures contracts and other instruments subject to the limits. If this broad market
selling were to occur, it would likely lead to declines, possibly significant declines, in commodity prices, in the price of such commodity
futures contracts or instruments and potentially, the value of the notes.
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Basket Overview
The basket is an equally-weighted basket composed of eight commodities.
Basket commodity information as of June 22, 2022 |
Basket Commodity |
Bloomberg Ticker Symbol* |
Current Price |
52 Weeks Ago |
52 Week High |
52 Week Low |
Weighting |
WTI crude oil |
CL1 |
$106.19 |
$73.06 |
$123.70 (on 3/8/2022) |
$62.32 (on 8/20/2021) |
12.50% |
Brent crude oil |
CO1 |
$111.74 |
$74.81 |
$127.98 (on 3/8/2022) |
$65.18 (on 8/20/2021) |
12.50% |
Natural gas |
NG1 |
$6.8580 |
$3.2580 |
$9.3220 (on 6/6/2022) |
$3.2580 (on 6/22/2021) |
12.50% |
Corn |
C 1 |
768.00¢ |
659.75¢ |
818.25¢ (on 4/29/2022) |
495.75¢ (on 9/7/2021) |
12.50% |
Soybeans |
S 1 |
1,652.75¢ |
1,394.50¢ |
1,769.00¢ (on 6/9/2022) |
1,178.00¢ (on 11/8/2021) |
12.50% |
Wheat |
W 1 |
976.50¢ |
651.00¢ |
1,425.25¢ (on 3/7/2022) |
608.50¢ (on 7/9/2021) |
12.50% |
Copper |
LOCADY |
$8,729.00 |
$9,190.50 |
$10,730.00 (on 3/7/2022) |
$8,729.00 (on 6/22/2022) |
12.50% |
Zinc |
LOZSDY |
$3,699.50 |
$2,841.00 |
$4,530.00 (on 4/19/2022) |
$2,841.00 (on 6/22/2021) |
12.50% |
|
|
|
|
|
|
|
* Bloomberg ticker symbols are being provided for reference purposes
only. The initial basket commodity price was determined and the final basket commodity price for each basket commodity will
be determined based on the values published by the relevant exchange and, notwithstanding the Bloomberg ticker symbols provided for reference
purposes above, such prices (in the case of WTI crude oil, Brent crude oil, natural gas, corn, soybeans and wheat) may be based on the
second nearby month futures contract, as further described under “Commodity price” on page 2.
The following graph is calculated to show the performance of the basket
during the period from January 1, 2017 through June 22, 2022, assuming the basket commodities are weighted as set out above, and illustrates
the effect of the offset and/or correlation among the basket commodities during such period. The graph does not attempt to
show your expected return on an investment in the notes. You cannot predict the future performance of any basket commodity
or of the basket as a whole, or whether increases in the price of any basket commodity will be offset by decreases in the prices of the
other basket commodities. The historical performance of the basket and the degree of correlation between the price trends of
the basket commodities (or lack thereof) should not be taken as an indication of its future performance.
Historical Basket Performance
January 1, 2017 through June
22, 2022
|
|
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
The following graphs set forth the daily prices for each of the basket
commodities for each quarter in the period from January 1, 2017 through June 22, 2022. The related tables set forth the published
high and low, as well as end-of-quarter, prices for each respective basket commodity for the same period. The commodity prices
on June 22, 2022 were, in the case of WTI crude oil, $106.19, in the case of Brent crude oil, $111.74, in the case of Natural gas, $6.8580,
in the case of Corn – CBOT, 768.00¢, in the case of Soybeans – CBOT 1,652.75¢, in the case of Wheat – CBOT,
976.50¢, in the case of copper, $8,729.00 and in the case of Zinc, $3,699.50. We obtained the information in the graphs
and tables from Bloomberg Financial Markets, without independent verification. The historical prices and historical performance
of the basket commodities should not be taken as an indication of future performance.
Daily Prices of WTI Crude Oil
January 1, 2017 to June 22, 2022 |
|
|
WTI Crude Oil (in U.S. dollars) |
High ($) |
Low($) |
Period End ($) |
2017 |
|
|
|
First Quarter |
54.45 |
47.34 |
50.60 |
Second Quarter |
53.40 |
42.53 |
46.04 |
Third Quarter |
52.22 |
44.23 |
51.67 |
Fourth Quarter |
60.42 |
49.29 |
60.42 |
2018 |
|
|
|
First Quarter |
66.14 |
59.19 |
64.94 |
Second Quarter |
74.15 |
62.06 |
74.15 |
Third Quarter |
74.14 |
65.01 |
73.25 |
Fourth Quarter |
76.41 |
42.53 |
45.41 |
2019 |
|
|
|
First Quarter |
60.14 |
46.54 |
60.14 |
Second Quarter |
66.30 |
51.14 |
58.47 |
Third Quarter |
62.90 |
51.09 |
54.07 |
Fourth Quarter |
61.72 |
52.45 |
61.06 |
2020 |
|
|
|
First Quarter |
63.27 |
20.09 |
20.48 |
Second Quarter |
40.46 |
-37.63 |
39.27 |
Third Quarter |
43.39 |
36.76 |
40.22 |
Fourth Quarter |
49.10 |
35.79 |
48.52 |
2021 |
|
|
|
First Quarter |
66.09 |
47.62 |
59.16 |
Second Quarter |
74.05 |
58.65 |
73.47 |
Third Quarter |
75.45 |
62.32 |
75.03 |
Fourth Quarter |
84.65 |
65.57 |
75.21 |
2022 |
|
|
|
First Quarter |
123.70 |
76.08 |
100.28 |
Second Quarter (through June 22, 2022) |
122.11 |
94.29 |
106.19 |
|
|
|
|
The prices of WTI crude oil futures contracts may be near zero, zero
or negative, which can occur rapidly and unexpectedly. In April 2020, crude oil futures contracts traded below zero. See
“Risk Factors—Specific commodities’ prices are volatile and are affected by numerous factors specific to each market—WTI
crude oil.”
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Daily Prices of Brent Crude Oil
January 1, 2017 to June 22, 2022 |
|
|
Brent Crude Oil (in U.S. dollars) |
High ($) |
Low ($) |
Period End ($) |
2017 |
|
|
|
First Quarter |
57.10 |
50.56 |
52.83 |
Second Quarter |
56.23 |
44.82 |
47.92 |
Third Quarter |
59.02 |
46.71 |
57.54 |
Fourth Quarter |
67.02 |
55.62 |
66.87 |
2018 |
|
|
|
First Quarter |
70.53 |
62.59 |
70.27 |
Second Quarter |
79.80 |
67.11 |
79.44 |
Third Quarter |
82.72 |
70.76 |
82.72 |
Fourth Quarter |
86.29 |
50.47 |
53.80 |
2019 |
|
|
|
First Quarter |
68.50 |
54.91 |
68.39 |
Second Quarter |
74.57 |
59.97 |
66.55 |
Third Quarter |
69.02 |
56.23 |
60.78 |
Fourth Quarter |
68.44 |
57.69 |
66.00 |
2020 |
|
|
|
First Quarter |
68.91 |
22.74 |
22.74 |
Second Quarter |
43.08 |
19.33 |
41.15 |
Third Quarter |
45.86 |
39.61 |
40.95 |
Fourth Quarter |
52.26 |
37.46 |
51.80 |
2021 |
|
|
|
First Quarter |
69.63 |
51.09 |
63.54 |
Second Quarter |
76.18 |
62.15 |
75.13 |
Third Quarter |
79.53 |
65.18 |
78.52 |
Fourth Quarter |
86.40 |
68.87 |
77.78 |
2022 |
|
|
|
First Quarter |
127.98 |
78.98 |
107.91 |
Second Quarter (through June 22, 2022) |
123.58 |
98.48 |
111.74 |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Daily Prices of Natural Gas
January 1, 2017 to June 22, 2022 |
|
|
Natural Gas (in U.S. dollars) |
High ($) |
Low ($) |
Period End ($) |
2017 |
|
|
|
First Quarter |
3.4190 |
2.5640 |
3.1900 |
Second Quarter |
3.4240 |
2.8930 |
3.0350 |
Third Quarter |
3.1460 |
2.7740 |
3.0070 |
Fourth Quarter |
3.2130 |
2.5980 |
2.9530 |
2018 |
|
|
|
First Quarter |
3.6310 |
2.5520 |
2.7330 |
Second Quarter |
3.0220 |
2.6560 |
2.9240 |
Third Quarter |
3.0820 |
2.7210 |
3.0080 |
Fourth Quarter |
4.8370 |
2.9400 |
2.9400 |
2019 |
|
|
|
First Quarter |
3.5910 |
2.5510 |
2.6620 |
Second Quarter |
2.7080 |
2.1850 |
2.3080 |
Third Quarter |
2.6810 |
2.0700 |
2.3300 |
Fourth Quarter |
2.8620 |
2.1580 |
2.1890 |
2020 |
|
|
|
First Quarter |
2.2020 |
1.6020 |
1.6400 |
Second Quarter |
2.1340 |
1.4820 |
1.7510 |
Third Quarter |
2.6570 |
1.6410 |
2.5270 |
Fourth Quarter |
3.3540 |
2.3050 |
2.5390 |
2021 |
|
|
|
First Quarter |
3.2190 |
2.4460 |
2.6080 |
Second Quarter |
3.6500 |
2.4560 |
3.6500 |
Third Quarter |
5.8670 |
3.5960 |
5.8670 |
Fourth Quarter |
6.3120 |
3.5610 |
3.7300 |
2022 |
|
|
|
First Quarter |
6.2650 |
3.7170 |
5.6420 |
Second Quarter (through June 22, 2022) |
9.3220 |
5.7120 |
6.8580 |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Daily Prices of Corn
January 1, 2017 to June 22, 2022 |
|
|
Corn (in U.S. cents) |
High (¢) |
Low (¢) |
Period End (¢) |
2017 |
|
|
|
First Quarter |
378.75 |
353.75 |
364.25 |
Second Quarter |
387.75 |
356.75 |
370.50 |
Third Quarter |
392.25 |
329.50 |
355.25 |
Fourth Quarter |
353.75 |
335.75 |
350.75 |
2018 |
|
|
|
First Quarter |
387.75 |
346.25 |
387.75 |
Second Quarter |
408.50 |
345.00 |
350.25 |
Third Quarter |
372.25 |
330.25 |
356.25 |
Fourth Quarter |
385.50 |
356.00 |
375.00 |
2019 |
|
|
|
First Quarter |
383.00 |
352.50 |
356.50 |
Second Quarter |
454.75 |
342.50 |
420.25 |
Third Quarter |
449.50 |
340.75 |
388.00 |
Fourth Quarter |
397.75 |
357.75 |
387.75 |
2020 |
|
|
|
First Quarter |
393.75 |
335.25 |
340.75 |
Second Quarter |
338.50 |
302.75 |
338.50 |
Third Quarter |
379.00 |
307.75 |
379.00 |
Fourth Quarter |
484.00 |
379.50 |
484.00 |
2021 |
|
|
|
First Quarter |
565.00 |
483.75 |
564.25 |
Second Quarter |
772.75 |
553.25 |
720.00 |
Third Quarter |
719.75 |
495.75 |
536.75 |
Fourth Quarter |
614.75 |
512.25 |
593.25 |
2022 |
|
|
|
First Quarter |
764.50 |
587.50 |
748.75 |
Second Quarter (through June 22, 2022) |
818.25 |
727.00 |
768.00 |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Daily Prices of Soybeans
January 1, 2017 to June 22, 2022 |
|
|
Soybeans (in U.S. cents) |
High (¢) |
Low (¢) |
Period End (¢) |
2017 |
|
|
|
First Quarter |
1,075.00 |
946.00 |
946.00 |
Second Quarter |
976.25 |
904.00 |
942.25 |
Third Quarter |
1,025.25 |
921.75 |
968.25 |
Fourth Quarter |
1,008.50 |
945.75 |
951.75 |
2018 |
|
|
|
First Quarter |
1,066.75 |
940.50 |
1,044.75 |
Second Quarter |
1,060.75 |
858.50 |
858.50 |
Third Quarter |
903.75 |
814.00 |
845.50 |
Fourth Quarter |
920.00 |
833.50 |
882.50 |
2019 |
|
|
|
First Quarter |
925.25 |
877.75 |
884.25 |
Second Quarter |
915.50 |
791.00 |
899.75 |
Third Quarter |
906.75 |
843.25 |
906.00 |
Fourth Quarter |
943.00 |
870.50 |
943.00 |
2020 |
|
|
|
First Quarter |
944.25 |
821.75 |
886.00 |
Second Quarter |
884.25 |
826.00 |
884.25 |
Third Quarter |
1,043.50 |
870.25 |
1,023.50 |
Fourth Quarter |
1,315.25 |
1,020.75 |
1,315.25 |
2021 |
|
|
|
First Quarter |
1,441.25 |
1,311.75 |
1,436.75 |
Second Quarter |
1,660.50 |
1,329.75 |
1,450.00 |
Third Quarter |
1,467.75 |
1,256.00 |
1,256.00 |
Fourth Quarter |
1,362.50 |
1,178.00 |
1,328.75 |
2022 |
|
|
|
First Quarter |
1,718.75 |
1,344.00 |
1,618.25 |
Second Quarter (through June 22, 2022) |
1,769.00 |
1,582.75 |
1,652.75 |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Daily Prices of Wheat
January 1, 2017 to June 22, 2022 |
|
|
Wheat (in U.S. cents) |
High (¢) |
Low (¢) |
Period End (¢) |
2017 |
|
|
|
First Quarter |
454.75 |
406.50 |
426.50 |
Second Quarter |
511.00 |
402.50 |
511.00 |
Third Quarter |
539.25 |
400.00 |
448.25 |
Fourth Quarter |
448.00 |
387.25 |
427.00 |
2018 |
|
|
|
First Quarter |
505.50 |
416.50 |
451.00 |
Second Quarter |
543.00 |
446.25 |
497.50 |
Third Quarter |
574.50 |
469.75 |
509.00 |
Fourth Quarter |
535.25 |
487.25 |
503.25 |
2019 |
|
|
|
First Quarter |
527.25 |
422.25 |
457.75 |
Second Quarter |
547.50 |
418.50 |
528.00 |
Third Quarter |
536.25 |
447.25 |
495.75 |
Fourth Quarter |
558.75 |
488.75 |
558.75 |
2020 |
|
|
|
First Quarter |
581.50 |
498.00 |
568.75 |
Second Quarter |
556.50 |
474.00 |
490.00 |
Third Quarter |
578.00 |
489.50 |
578.00 |
Fourth Quarter |
640.75 |
563.75 |
640.50 |
2021 |
|
|
|
First Quarter |
680.25 |
601.75 |
618.00 |
Second Quarter |
773.50 |
611.00 |
671.50 |
Third Quarter |
762.25 |
608.50 |
725.50 |
Fourth Quarter |
856.00 |
718.75 |
770.75 |
2022 |
|
|
|
First Quarter |
1,425.25 |
741.50 |
1,006.00 |
Second Quarter (through June 22, 2022) |
1,277.50 |
975.25 |
976.50 |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Daily Prices of Copper
January 1, 2017 to June 22, 2022 |
|
|
Copper (in U.S. dollars) |
High ($) |
Low ($) |
Period End ($) |
2017 |
|
|
|
First Quarter |
6,145.00 |
5,500.50 |
5,849.00 |
Second Quarter |
5,907.50 |
5,466.00 |
5,907.50 |
Third Quarter |
6,904.00 |
5,780.00 |
6,485.00 |
Fourth Quarter |
7,216.00 |
6,447.00 |
7,157.00 |
2018 |
|
|
|
First Quarter |
7,202.50 |
6,500.00 |
6,685.00 |
Second Quarter |
7,262.50 |
6,625.00 |
6,646.00 |
Third Quarter |
6,595.00 |
5,823.00 |
6,180.00 |
Fourth Quarter |
6,325.00 |
5,931.50 |
5,965.00 |
2019 |
|
|
|
First Quarter |
6,572.00 |
5,811.00 |
6,485.00 |
Second Quarter |
6,509.00 |
5,756.00 |
5,972.00 |
Third Quarter |
6,066.00 |
5,537.00 |
5,728.00 |
Fourth Quarter |
6,211.00 |
5,599.00 |
6,156.00 |
2020 |
|
|
|
First Quarter |
6,300.50 |
4,617.50 |
4,797.00 |
Second Quarter |
6,038.00 |
4,772.00 |
6,038.00 |
Third Quarter |
6,837.00 |
6,016.50 |
6,610.00 |
Fourth Quarter |
7,964.00 |
6,409.50 |
7,741.50 |
2021 |
|
|
|
First Quarter |
9,614.50 |
7,755.50 |
8,850.50 |
Second Quarter |
773.50 |
611.00 |
671.50 |
Third Quarter |
9,781.00 |
8,775.50 |
9,041.00 |
Fourth Quarter |
10,652.00 |
9,091.50 |
9,692.00 |
2022 |
|
|
|
First Quarter |
10,730.00 |
9,565.00 |
10,337.00 |
Second Quarter (through June 22, 2022) |
10,426.00 |
8,729.00 |
8,729.00 |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Daily Prices of Zinc
January 1, 2017 to June 22, 2022 |
|
|
Zinc (in U.S. dollars) |
High ($) |
Low ($) |
Period End ($) |
2017 |
|
|
|
First Quarter |
2,971.00 |
2,530.00 |
2,782.50 |
Second Quarter |
2,777.00 |
2,434.50 |
2,754.00 |
Third Quarter |
3,217.00 |
2,737.00 |
3,217.00 |
Fourth Quarter |
3,370.00 |
3,094.00 |
3,309.00 |
2018 |
|
|
|
First Quarter |
3,618.00 |
3,215.00 |
3,332.00 |
Second Quarter |
3,284.50 |
2,895.00 |
2,948.00 |
Third Quarter |
2,915.00 |
2,287.00 |
2,573.00 |
Fourth Quarter |
2,740.00 |
2,506.00 |
2,510.50 |
2019 |
|
|
|
First Quarter |
3,000.00 |
2,462.00 |
3,000.00 |
Second Quarter |
3,018.00 |
2,518.00 |
2,580.50 |
Third Quarter |
2,546.00 |
2,211.00 |
2,377.00 |
Fourth Quarter |
2,595.00 |
2,221.50 |
2,293.00 |
2020 |
|
|
|
First Quarter |
2,466.50 |
1,773.50 |
1,867.50 |
Second Quarter |
2,073.00 |
1,843.00 |
2,056.50 |
Third Quarter |
2,554.00 |
2,007.50 |
2,413.00 |
Fourth Quarter |
2,841.50 |
2,298.00 |
2,723.50 |
2021 |
|
|
|
First Quarter |
2,894.50 |
2,539.00 |
2,795.00 |
Second Quarter |
3,063.50 |
2,754.50 |
2,945.50 |
Third Quarter |
3,110.00 |
2,912.00 |
3,015.00 |
Fourth Quarter |
3,815.00 |
2,999.00 |
3,630.00 |
2022 |
|
|
|
First Quarter |
4,260.00 |
3,535.00 |
4,260.00 |
Second Quarter (through June 22, 2022) |
4,530.00 |
3,500.00 |
3,699.50 |
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |
Additional Terms of the Notes
Please read this information in conjunction with the final terms on
the front cover of this document.
If the terms described herein are inconsistent with those described in the accompanying prospectus supplement or prospectus, the terms described herein shall control. |
Postponement of maturity date: |
If, due to a market disruption event or otherwise, the date for determining the final basket commodity price of any basket commodity is postponed so that it falls less than two business days prior to the scheduled maturity date, the maturity date will be postponed to the second business day following the final date by which the final basket commodity price for all basket commodities has been determined. |
Denominations: |
$1,000 per note and integral multiples thereof |
Interest: |
None |
Trustee: |
The Bank of New York Mellon |
Calculation agent: |
Morgan Stanley Capital Group Inc. (“MSCG”) and its successors |
Issuer notice to registered security holders, the trustee and the depositary: |
In the event that the maturity date is postponed due to a market disruption
event with respect to any basket commodity on the scheduled determination date or otherwise, the issuer shall give notice of such postponement
and, once it has been determined, of the date to which the maturity date has been rescheduled (i) to each registered holder of the notes
by mailing notice of such postponement by first class mail, postage prepaid, to such registered holder’s last address as it shall
appear upon the registry books, (ii) to the trustee by facsimile confirmed by mailing such notice to the trustee by first class mail,
postage prepaid, at its New York office and (iii) to The Depository Trust Company (the “depositary”) by telephone or facsimile,
confirmed by mailing such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered
holder of the notes in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether
or not such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case
later than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled maturity
date, and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately following
the actual date by which the final basket commodity price for each basket commodity has been determined.
The issuer shall, or shall cause the calculation agent to, (i) provide
written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of cash, if any,
to be delivered with respect to the notes, on or prior to 10:30 a.m. (New York City time) on the business day preceding the maturity date,
and (ii) deliver the aggregate cash amount due with respect to the notes, if any, to the trustee for delivery to the depositary, as holder
of the notes, on the maturity date.
|
Morgan Stanley Finance LLC |
Commodity-Linked Notes due July 3, 2025 Based on the Performance of a Basket Consisting of Eight Commodities |