DESCRIPTION OF NOTES
Terms used but not defined herein have the meanings
given to such terms in the accompanying prospectus supplement. The term “Note” refers to each $1,000 Stated Principal Amount
of the Cash-Settled Equity-Linked Notes due February 7, 2028 Based on the Performance of a Basket of Five Stocks. We refer to the Class
A Common Stock of Meta Platforms, Inc. as the Meta Platforms Stock, the Common Stock of Amazon.com, Inc. as the Amazon.com Stock, the
Common Stock of The Walt Disney Company as the Disney Stock, the Common Stock of Lam Research Corporation as the Lam Research Stock and
the Common Stock of NVIDIA Corporation as the NVIDIA Stock, and we refer to each stock composing the basket individually as a “Basket
Stock” and, collectively, as the “Basket Stocks.”
Issuer |
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Morgan Stanley Finance LLC (“MSFL”) |
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Guarantor |
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Morgan Stanley |
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Aggregate Principal Amount |
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$15,500,000 |
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Pricing Date |
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February 2, 2023 |
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Original Issue Date (Settlement Date) |
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February 7, 2023 (3 Business Days after the Pricing Date) |
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Maturity Date |
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February 7, 2028; provided that, if a Market Disruption Event occurs with respect to any Basket Stock on any Averaging Date for such Basket Stock so that the last Averaging Date for such Basket Stock is postponed and falls less than two Business Days prior to the scheduled Maturity Date, the Maturity Date will be postponed to the second Business Day following that last Averaging Date as postponed. See “—Cash Amount” below. |
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Interest Accrual Date |
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February 7, 2023 |
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Issue Price |
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$1,080 per Note |
The Notes
are being issued at a premium, but the amount of interest payable on the Notes and the Payment at Maturity will be calculated based on
the Stated Principal Amount of the Notes, which is lower than the Issue Price, and will not be adjusted based on the Issue Price. As
a result, the return on your investment in the Notes will be lower than it would have been if the Issue Price were equal to the Stated
Principal Amount.
Stated Principal Amount |
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$1,000 per Note |
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Denominations |
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$1,000 and integral multiples thereof |
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CUSIP Number |
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61774TYE6 |
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ISIN Number |
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US61774TYE62 |
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Basket |
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The Basket is composed of the class A common stock of Meta Platforms, Inc. and the common stocks of the following issuers: Amazon.com, Inc., The Walt Disney Company, Lam Research Corporation and NVIDIA Corporation, as listed under “—Basket Stocks” below. |
Basket Stocks |
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With respect to each Basket Stock, the table below sets forth its issuer, its weighting, its Share Reference Price, its Basket Stock Exchange Rules, its Current Relevant Stock Exchange, its Current Related Exchange and its Current Option Exchange. |
Issuer of Basket Stock |
Basket Stock Weighting |
Share Reference Price |
Basket Stock Exchange Rules |
Current Relevant Stock Exchange |
Current Related Exchange |
Current Option Exchange |
Meta Platforms, Inc. |
30% |
$188.77 |
Nasdaq Rules |
Nasdaq |
Nasdaq |
Nasdaq |
Amazon.com, Inc. |
30% |
$112.91 |
Nasdaq Rules |
Nasdaq |
Nasdaq |
Nasdaq |
The Walt Disney Company |
15% |
$113.21 |
NYSE Rules |
NYSE |
NYSE |
NYSE |
Lam Research Corporation |
15% |
$541.04 |
Nasdaq Rules |
Nasdaq |
Nasdaq |
Nasdaq |
NVIDIA Corporation |
10% |
$217.09 |
Nasdaq Rules |
Nasdaq |
Nasdaq |
Nasdaq |
Interest Rate |
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0.125% per annum, computed on a 30/360 day-count basis. |
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Interest Payment Dates |
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Semi-annually, on the 7th day of each February and August, beginning August 7, 2023. |
(i) If any scheduled Interest Payment
Date is not a Business Day, we will pay interest on the next Business Day and (ii) if the Maturity Date is postponed due to a Market Disruption
Event or otherwise, we will pay interest with respect to the Maturity Date on the Maturity Date as postponed, but, in each case, interest
on that payment will not accrue during the period from and after the scheduled Interest Payment Date.
For the avoidance of doubt, if an Extraordinary
Event (as defined below) occurs, the Issuer shall continue to pay interest on the Notes on each Interest Payment Date and on the Maturity
Date.
Record Dates |
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The “record date” for any Interest Payment Date is the date one Business Day prior to such Interest Payment Date; provided, however, that any interest payable at maturity or acceleration of the Notes shall be payable to the person to whom the Payment at Maturity or acceleration, as applicable, shall be payable. |
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Specified Currency |
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U.S. dollars |
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Share Reference Price |
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For each Basket Stock, as set forth under “—Basket Stocks” above. |
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Share Price |
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The Share Price for one share of each Basket Stock on any Trading Day means the Closing Price for one share of such Basket Stock (or one unit of any other security for which a Closing Price must be determined) on any Trading Day. See “—Closing Price” below. |
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Exchange Premium |
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16.75% |
Exchange Price |
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The Exchange Price per share of each Basket Stock is initially equal to the Share Reference Price for such Basket Stock multiplied by the sum of (i) one and (ii) the Exchange Premium expressed as a decimal (rounded to four decimal places, with 0.00005 being rounded upwards) (the “Initial Exchange Price”). |
On any day, the Exchange Price per share
of each Basket Stock is equal to the Initial Exchange Price for such Basket Stock divided by the then-applicable Adjustment Factor
for such Basket Stock on such day, as determined by the Calculation Agent. See “—Antidilution Adjustments” below.
Initial Exchange Price |
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With respect to each Basket Stock, the table below sets forth its Initial Exchange Price: |
Basket Stock |
Initial Exchange Price |
Meta Platforms, Inc. |
$188.77 |
Amazon.com, Inc. |
$112.91 |
The Walt Disney Company |
$113.21 |
Lam Research Corporation |
$541.04 |
NVIDIA Corporation |
$217.09 |
Exchange Ratio |
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For each Basket Stock, on any day, the result (rounded to four decimal places, with 0.00005 being rounded upwards) of the division of the Stated Principal Amount by the Exchange Price for such Basket Stock in effect on such day. |
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Initial Exchange Ratio |
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With respect to each Basket Stock, the table below sets forth its Initial Exchange Ratio: |
Basket Stock |
Initial Exchange Ratio |
Meta Platforms, Inc. |
4.5374321 |
Amazon.com, Inc. |
7.5859627 |
The Walt Disney Company |
7.5658603 |
Lam Research Corporation |
1.5831196 |
NVIDIA Corporation |
3.9455113 |
Payment at Maturity |
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Subject to the occurrence of an Extraordinary Event, at maturity, we will pay with respect to each $1,000 Stated Principal Amount of Notes an amount in cash equal to the greater of: |
(1) $1,000; and
(2) the Cash Amount.
In no event will the Payment at Maturity
be less than $1,000 per Note. Unless the weighted average price of the Basket Stocks has appreciated by more than approximately 16.75%
across the Averaging Dates, the Payment at Maturity will equal only $1,000 per Note, and you will not receive any positive return on the
Stated Principal Amount of the Notes. Additionally, even if the Payment at Maturity is equal to the Cash Amount, the Payment at Maturity
will reflect only the weighted appreciation of each Basket Stock in excess of its Exchange Price, and, for each Basket Stock, that appreciation
will be measured in terms of its Exchange Price, which is significantly greater than its Share Reference
Price. Moreover, even if one or more
Basket Stocks appreciate in excess of its Exchange Price, such appreciation may be moderated, or wholly offset, by lesser increases or
declines in one or more of the other Basket Stocks.
We shall, or shall cause the Calculation
Agent to, (i) provide written notice to the Trustee and to The Depository Trust Company, which we refer to as DTC, of the amount of cash
to be delivered with respect to each $1,000 Stated Principal Amount of 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 to the Trustee for delivery
to DTC, as holder of the Notes, on the Maturity Date. We expect such amount of cash will be distributed to investors on the Maturity Date
in accordance with the standard rules and procedures of DTC and its direct and indirect participants. See “—Book Entry Note
or Certificated Note” below, and see “Forms of Securities—The Depositary” in the accompanying prospectus.
Cash Amount |
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Means, in respect the Maturity Date, and each $1,000 Stated Principal Amount of Notes in respect of which the Payment at Maturity shall be payable, the sum (rounded to two decimal places, with $0.005 being rounded upwards) of the product of the Basket Stock Cash Amount for each Basket Stock multiplied by the Basket Stock Weighting for such Basket Stock, in accordance with the following formula: |
Cash Amount = (BSCA1 ×
W1) + (BSCA2 × W2) + (BSCA3 × W3) + (BSCA4 × W4)
+ (BSCA5 × W5)
where, for each Basket Stockn:
BSCA = the Basket Stock Cash Amount;
and
W = the Basket Stock Weighting
(as set forth under “— Basket Stocks” above).
Basket Stock Cash Amount |
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For each Basket Stock, means, in respect of the Maturity Date, and each $1,000 Stated Principal Amount of Notes in respect of which the Payment at Maturity shall be payable, the sum of the Daily Cash Amounts, where “Daily Cash Amount” or “DCA” means an amount in U.S. dollars calculated by the Calculation Agent for each Averaging Date relating to the Maturity Date, in respect of each such $1,000 Stated Principal Amount of Notes, in accordance with the following formula: |
where:
N = in respect of the Payment
at Maturity, 5;
Pn = the Share Price
on such Averaging Date; and
ERn = the Exchange
Ratio prevailing on such Averaging Date.
“Averaging Date” means,
in respect of a Cash Amount Calculation Period, each of the Trading Days comprised in such Cash Amount Calculation Period, subject to
postponement in the event of certain Market Disruption Events.
“Cash Amount Calculation Period”
means:
in relation to the Maturity Date, the
period of N (as defined above) consecutive Trading Days up to (and including) the third Business Day prior to the Maturity Date.
If a Market Disruption Event relating
to any Basket Stock occurs on any scheduled Averaging Date for such Basket Stock, the Calculation Agent shall calculate the Share Price
for such Basket Stock for such Averaging Date using as a price the Share Price on the first succeeding Trading Day on which no Market
Disruption Event is existing with respect to such Basket Stock, and each Averaging Date for such Basket Stock will then be the next Trading
Day on which no Market Disruption Event occurs with respect to such Basket Stock following the preceding Averaging Date as postponed;
provided that, if a Market Disruption Event occurs with respect to such Basket Stock on each of the five Trading Days immediately
succeeding such Averaging Date, the Calculation Agent shall use a price for such Basket Stock equal to the arithmetic mean, as determined
by the Calculation Agent on the fifth Trading Day immediately succeeding such Averaging Date, of the prices of one share of such Basket
Stock determined by at least three independent leading dealers, selected by the Calculation Agent, in the underlying market for such Basket
Stock, taking into consideration the latest available quote for such Basket Stock and any other information in good faith deemed relevant
by such dealers. Quotations of Morgan Stanley & Co. LLC (“MS & Co.”) or any of its affiliates may be included in the
calculation of such mean, but only to the extent that any such bid is the highest of the quotations obtained. In the event prices from
at least three dealers are not obtained, the Calculation Agent shall make a good faith estimate of such price and, using that price, determine
the Share Price for such Basket Stock.
If a Market Disruption Event occurs
with respect to one or more Basket Stocks, the other Basket Stock(s) may be unaffected and, therefore, the Basket Stock Cash Amounts for
the Basket Stocks may be determined using different Averaging Dates.
Extraordinary Events |
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For each Basket Stock, means any of the following: |
(i) if
option contracts in respect of shares of such Basket Stock are traded on the Related Exchange, and any event occurs as a result of which
all such relevant option contracts are settled (including in accordance with the Basket Stock Exchange Rules ((as set forth under “—Basket
Stocks” above)) or, in the case of an Alternative Option Exchange, the standard corporate actions procedures of the Alternative
Option Exchange in effect at the relevant time, for example following the occurrence of a merger or takeover as provided in the Basket
Stock Exchange Rules and other than as a result of a Nationalization or a Delisting);
(ii) a
Nationalization (as defined below);
(iii) a
Delisting (as defined below); or
(iv) a
Change in Law (as defined below).
If an Extraordinary Event occurs with
respect to any Basket Stock, the Extraordinary Event Payment Feature will be triggered and the Issuer shall provide notice of the occurrence
of such Extraordinary Event within five Business Days (or such lesser notice as may be required to comply with the Change in Law) of the
Relevant Announcement Date.
We will mail a notice of the occurrence
of an Extraordinary Event to each holder of the Notes or, in the case of global debt securities, to DTC (in accordance with its procedures),
as holder of the global debt securities, by first-class mail, postage prepaid, to the address of each holder as that address appears upon
the books maintained by the paying agent. Notices given to DTC, as holder of the registered global securities, will be passed on to the
beneficial owners of the Notes in accordance with the standard rules and procedures of DTC and its direct and indirect participants, including
Clearstream, Luxembourg and Euroclear.
If the Extraordinary Event Payment Feature
is triggered, we shall, or shall cause the Calculation Agent to, (i) provide written notice to the Trustee and to DTC of the amount of
cash to be delivered with respect to each $1,000 Stated Principal Amount of Notes, on or prior to 10:30 a.m. (New York City time) on the
Business Day preceding the Extraordinary Event Amount Payment Date, and (ii) deliver the aggregate Cash Amount due with respect to the
Notes to the Trustee for delivery to DTC, as holder of the Notes, on the Extraordinary Event Amount Payment Date. We expect such amount
of cash will be distributed to investors on the Extraordinary Event Amount Payment Date in accordance with the standard rules and procedures
of DTC and its direct and indirect participants. See “—Book Entry Note or Certificated Note” below, and see “Forms
of Securities—The Depositary” in the accompanying prospectus.
Extraordinary Event Payment Feature |
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If an Extraordinary Event occurs with respect to any Basket Stock: (i) on the Extraordinary Event Amount Payment Date, we will pay with respect to each $1,000 Stated Principal Amount of Notes an amount in cash equal to the Extraordinary Event Amount; (ii) notwithstanding “—Payment at Maturity” above, at maturity, we will instead pay with respect to each $1,000 Stated Principal Amount of Notes an amount in cash equal to $1,000 (and, for the avoidance of doubt, no holder of the Notes will be entitled to any Cash Amount); and (iii) (x) the Issuer shall continue to pay interest on the Notes on each Interest Payment Date and on the Maturity Date; and (y) the triggering of the Extraordinary Event Payment Feature may not be annulled. |
If an Extraordinary Event occurs,
the amount you receive at maturity will not be based on the performance of any Basket Stock. Accordingly, such amount will not reflect,
and you will
not participate in, any appreciation
in the price of any Basket Stock.
Extraordinary Event Amount |
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Means, in respect of each $1,000 Stated Principal Amount of Notes, the fair value of the embedded options representing the performance-based components linked to each Basket Stock on the Relevant Announcement Date as determined by the Calculation Agent in good faith taking into account, inter alia, the Share Price of each Basket Stock on the Relevant Announcement Date, the settlement amount(s) in respect of any termination of any Exchangeable Note Hedge Transaction(s), the effect of the Extraordinary Event and any other market parameter the Calculation Agent deems in good faith to be relevant for the valuation of such options on the Relevant Announcement Date. |
There is no minimum Extraordinary
Event Amount. Because the Extraordinary Event Amount is based on the performance of each Basket Stock and is likely to be determined at
a time when the price of at least one Basket Stock has significantly depreciated, the Extraordinary Event Amount may be as low as zero.
Exchangeable Note Hedge Transaction |
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Means any transaction including a share option transaction or asset which the Issuer or any of its Affiliates deems appropriate, or has already in place, to hedge the equity price risk of entering into and performing its obligations with respect to the Notes. |
Extraordinary
Event Amount
Payment Date |
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Means the 30th Trading Day following the Relevant Announcement Date. |
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Relevant Announcement Date |
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Means (i) in respect of an Extraordinary Event pursuant to paragraph (i) under “—Extraordinary Events” above, the date of announcement of settlement of all relevant option contracts in respect of shares of the applicable Basket Stock traded on the Related Exchange, (ii) in respect of a Nationalization, the date of the first public announcement to nationalize (whether or not subsequently amended) that leads to the Nationalization, (iii) in respect of a Change in Law, the date on which the Issuer determines that a Change in Law has occurred or on which the Issuer or any of its Affiliates receives a notice from a Hedging Counterparty that it has determined that a Change in Law has occurred, and (iv) in the case of a Delisting, the date of the first public announcement by the Relevant Stock Exchange that shares of the applicable Basket Stock will cease to be listed, traded or publicly quoted, whichever is earlier. |
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Affiliate |
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Has the meaning set forth in Rule 501(b) of Regulation D under the Securities Act. |
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Hedging Counterparty |
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Means a counterparty to a Hedge Transaction of (i) the Issuer; (ii) the Guarantor or (iii) any of the Issuer’s or the Guarantor’s Affiliates. |
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Nationalization |
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For each Basket Stock, means that, as determined by the Calculation Agent, all shares of such Basket Stock or all or substantially all the assets of the issuer of such Basket Stock (as |
set forth under
“—Basket Stocks” above) are nationalized, expropriated or are otherwise required to be transferred to any governmental
agency, authority, entity or instrumentality thereof.
Delisting |
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For each Basket Stock, means that, as determined by the Calculation Agent, the Relevant Stock Exchange announces that, pursuant to the rules of such Relevant Stock Exchange, shares of such Basket Stock cease (or will cease) to be listed, traded or publicly quoted on the Relevant Stock Exchange for any reason (other than by reason of a merger, takeover or other special circumstances as contemplated by the Basket Stock Exchange Rules) and are not immediately re-listed, re-traded or re-quoted on a stock exchange or securities market located in the United States. |
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Change in Law |
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For each Basket Stock, means that, on or after the Pricing Date (A) due to the adoption of or any change in any applicable law or regulation (including, without limitation, any tax law), or (B) due to the promulgation of or any change in the interpretation by any court, tribunal or regulatory authority with competent jurisdiction of any applicable law or regulation (including any action taken by a taxing authority), or (C) due to the change (for any reason) outside of the United States in statutory seat, state of incorporation or tax residency of the Issuer or the Guarantor, the Issuer or the Guarantor determines in good faith or a Hedging Counterparty notifies the Issuer, the Guarantor or any of the Issuer’s or the Guarantor’s Affiliates that it has determined that (X) it has become illegal to hold, acquire or dispose of shares of such Basket Stock, any Hedge Transactions or the Notes or effect its necessary Hedging Activities, or (Y) it would incur a materially increased cost in performing its obligations under, in the case of the Issuer or the Guarantor, the Notes and the Guarantee, respectively, or a Hedge Transactions or, in the case of an Affiliate of the Issuer, a Hedge Transaction, or, in the case of the Hedging Counterparty, any Hedge Transactions or in effecting its Hedging Activities (including, without limitation, due to any increase in tax liability, decrease in tax benefit or other adverse effect on its tax position, and, among others, due to any withholding tax on dividends paid by the Issuer or any of its Affiliates to the Hedging Counterparty under their respective Hedge Transaction), provided that, where the Change in Law relates to the Hedging Counterparty, the Hedging Counterparty notifies the Issuer, the Guarantor or any of the Issuer’s or the Guarantor’s Affiliates that it has terminated or will terminate the Hedge Transaction as a result of the Change in Law. |
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Hedging Activities |
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Means any activities or transactions undertaken in connection with the establishment, maintenance, adjustment or termination of a Hedge Transaction. |
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Hedge Transaction |
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Means: (i) with respect to the Issuer, the Guarantor or any of their Affiliates, a transaction including a share option transaction (a “Transaction”) or asset the Issuer, the Guarantor or any Affiliate of the Issuer or the Guarantor deems appropriate to hedge the equity price risk of entering into and performing its obligations with respect to the Notes; or (ii) with respect to a Hedging Counterparty, (a) any Transaction or (b) any purchase, sale, entry into or maintenance of one or more (1) positions or contracts in |
securities, options,
futures, derivatives or foreign exchange, (2) stock loan transactions or (3) other instruments or arrangements (howsoever described) by
a Hedging Counterparty (or an Affiliate thereof) to hedge, individually or on a portfolio basis, a Transaction.
Relevant Stock Exchange |
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For each Basket Stock, means (i) in respect of shares of such Basket Stock, the Current Relevant Stock Exchange (as set forth under “—Basket Stocks” above) or its successor or any substitute exchange to which trading in shares of such Basket Stock has temporarily or permanently relocated, as determined by the Calculation Agent, and (ii) in respect of any security (other than shares of such Basket Stock), or, as the case may be, option, warrant, or other right or asset, the principal stock exchange or securities market on which such securities, or, as the case may be, options, warrants, or other rights or assets are then listed, admitted to trading or quoted or dealt in. |
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Related Exchange |
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For each Basket Stock, means the Current Related Exchange (as set forth under “—Basket Stocks” above) or any Alternative Option Exchange, as the case may be. |
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Alternative Option Exchange |
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For each Basket Stock, if no options contracts in respect of shares of such Basket Stock are traded on the Current Option Exchange (as set forth under “—Basket Stocks” above) but are traded on any other exchange or quotation system which serves as the principal place of trading for option contracts and futures contracts in respect of shares of such Basket Stock (such other exchange or quotation system as aforesaid, being, only in circumstances where no options contracts in respect of shares of such Basket Stock are traded on the Current Option Exchange but options contracts are traded on such other exchange or quotation system as aforesaid, the “Alternative Option Exchange”). |
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Closing Price |
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Subject to the provisions set out under “—Antidilution Adjustments” below, the Closing Price for one share of a Basket Stock (or one unit of any other security for which a Closing Price must be determined) on any Trading Day (as defined below) means: |
| • | if such Basket Stock (or any such other security) is listed on a national securities exchange (other than
The Nasdaq Stock Market LLC (the “Nasdaq”)), the last reported sale price, regular way, of the principal trading session on
such day on the principal national securities exchange registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”), on which such Basket Stock (or any such other security) is listed, |
| • | if such Basket Stock (or any such other security) is a security of the Nasdaq, the official closing price
published by the Nasdaq on such day, or |
| • | if such Basket Stock (or any such other security) is not listed on any national securities exchange but
is included in the OTC Bulletin Board Service (the “OTC Bulletin Board”) operated by the Financial Industry Regulatory Authority,
Inc. |
(“FINRA”),
the last reported sale price of the principal trading session on the OTC Bulletin Board on such day.
If such Basket Stock (or any such other
security) is listed on any national securities exchange but the last reported sale price or the official closing price published by the
Nasdaq, as applicable, is not available pursuant to the preceding sentence, then the Closing Price for one share of such Basket Stock
(or one unit of any such other security) on any Trading Day will mean the last reported sale price of the principal trading session on
the over-the-counter market as reported on the Nasdaq or the OTC Bulletin Board on such day. If a Market Disruption Event (as defined
below) occurs with respect to a Basket Stock (or any such other security) or the last reported sale price or the official closing price
published by the Nasdaq, as applicable, for such Basket Stock (or any such other security) is not available pursuant to either of the
two preceding sentences, then the Closing Price for any Trading Day will be the mean, as determined by the Calculation Agent, of the bid
prices for such Basket Stock (or any such other security) for such Trading Day obtained from as many recognized dealers in such security,
but not exceeding three, as will make such bid prices available to the Calculation Agent. Bids of Morgan Stanley & Co. LLC (“MS
& Co.”) and its successors or any of its affiliates may be included in the calculation of such mean, but only to the extent
that any such bid is the highest of the bids obtained. If no bid prices are provided from any third-party dealers, the Closing Price shall
be determined by the Calculation Agent in its sole and absolute discretion (acting in good faith) taking into account any information
that it deems relevant. The term “OTC Bulletin Board Service” will include any successor service thereto, or, if applicable,
the OTC Reporting Facility operated by FINRA. See “—Antidilution Adjustments” below.
Adjustment Factor |
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For each Basket Stock, 1.0, subject to adjustment in the event of certain corporate events affecting such Basket Stock. See “—Antidilution Adjustments” below. |
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Trading Day |
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A day, as determined by the Calculation Agent, on which trading is generally conducted on the New York Stock Exchange, the Nasdaq, the Chicago Mercantile Exchange and the Chicago Board of Options Exchange and in the over-the-counter market for equity securities in the United States. |
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Book Entry Note or Certificated Note |
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Book Entry. The Notes will be issued in the form of one or more fully registered global securities which will be deposited with, or on behalf of, DTC and will be registered in the name of a nominee of DTC. DTC’s nominee will be the only registered holder of the Notes. Your beneficial interest in the Notes will be evidenced solely by entries on the books of the notes intermediary acting on your behalf as a direct or indirect participant in DTC. In this pricing supplement, all references to actions taken by “you” or to be taken by “you” refer to actions taken or to be taken by DTC and its participants acting on your behalf, and all references to payments or notices to you will mean payments or notices to DTC, as the registered holder of the Notes, for distribution to participants in accordance with DTC’s procedures. For more information regarding DTC and book-entry securities, please read |
“Forms of
Securities—The Depositary” and “Forms of Securities—Global Securities” in the accompanying prospectus.
Trustee |
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The Bank of New York Mellon, a New York banking corporation |
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Agent |
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MS & Co. and its successors |
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Calculation Agent |
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MS & Co. and its successors. |
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 and determinations
with respect to the Payment at Maturity will be made by the Calculation Agent and will be rounded to the nearest one hundred-thousandth,
with five one-millionths rounded upward (e.g., .876545 would be rounded to .87655), unless otherwise specified herein; all dollar amounts
related to determination of the amount of cash payable per Note will be rounded to the nearest ten-thousandth, with five one hundred-thousandths
rounded upward (e.g., .76545 would be rounded up to .7655), unless otherwise specified herein; and all dollar amounts paid on the
aggregate number of Notes will be rounded to the nearest cent, with one-half cent rounded upward, unless otherwise specified herein.
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 investor in the Notes,
including with respect to certain determinations and judgments that the Calculation Agent must make in determining each Share Reference
Price, each Initial Exchange Price, any Exchange Price on any day, the Exchange Ratio, the Payment at Maturity, each Basket Stock Cash
Amount, the Cash Amount, the Extraordinary Event Amount, whether to make any adjustments to any Adjustment Factor or whether a Market
Disruption Event has occurred. See “—Alternate Exchange Calculation in Case of an Event of Default,” “—Market
Disruption Event” and “—Antidilution Adjustments.” MS & Co. is obligated to carry out its duties and functions
as Calculation Agent in good faith and using its reasonable judgment.
Market Disruption Event |
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Market Disruption Event means, with respect to any Basket Stock: |
(i) the
occurrence or existence of:
(a) a suspension, absence or material
limitation of trading of such Basket Stock on the primary market for such Basket Stock for more than two hours of trading or during the
one-half hour period preceding the close of the principal trading session in such market, or
(b) a breakdown or failure in the
price and trade reporting systems of the primary market for such Basket Stock as a result of which the reported trading prices for such
Basket Stock during the last one-half hour preceding the close of the
principal trading session in such
market are materially inaccurate, or
(c) the suspension, absence or material
limitation of trading on the primary market for trading in options contracts related to such Basket Stock, if available, during the one-half
hour period preceding the close of the principal trading session in the applicable 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 in such Basket
Stock with respect to the Notes.
For purposes of determining whether
a Market Disruption Event has occurred: (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 options contract will not constitute a Market Disruption Event, (3) a suspension of trading in options
contracts on any Basket Stock by the primary securities market trading in such options, if available, by reason of (x) a price change
exceeding limits set by such securities exchange or market, (y) an imbalance of orders relating to such contracts or (z) a disparity in
bid and ask quotes relating to such contracts will constitute a suspension, absence or material limitation of trading in options contracts
related to such Basket Stock and (4) a suspension, absence or material limitation of trading on the primary securities market on which
options contracts related to any Basket Stock are traded will not include any time when such securities market is itself closed for trading
under ordinary circumstances.
Antidilution Adjustments |
|
Subject to the occurrence of an Extraordinary Event, the Adjustment Factor with respect to a Basket Stock will be adjusted as follows: |
1. If a Basket Stock is subject to a
stock split or reverse stock split, then once such split has become effective, the Adjustment Factor for such Basket Stock will be adjusted
to equal the product of the prior Adjustment Factor for such Basket Stock and the number of shares issued in such stock split or reverse
stock split with respect to one share of such Basket Stock.
2. If a Basket Stock is subject (i)
to a stock dividend (issuance of additional shares of such Basket Stock) that is given ratably to all holders of shares of such Basket
Stock or (ii) to a distribution of such Basket Stock as a result of the triggering of any provision of the corporate charter of the issuer
of such Basket Stock, then once the dividend has become effective and such Basket Stock is trading ex-dividend, the Adjustment Factor
for such Basket Stock will be adjusted so that the new Adjustment Factor for such
Basket Stock shall equal the prior Adjustment
Factor for such Basket Stock plus the product of (i) the number of shares issued with respect to one share of such Basket Stock and (ii)
the prior Adjustment Factor for such Basket Stock.
3. If the issuer of a Basket Stock issues
rights or warrants to all holders of such Basket Stock to subscribe for or purchase such Basket Stock at an exercise price per share less
than the Closing Price of such Basket Stock on both (i) the date the exercise price of such rights or warrants is determined and (ii)
the expiration date of such rights or warrants, and if the expiration date of such rights or warrants precedes the maturity of the Notes,
then the Adjustment Factor for such Basket Stock will be adjusted to equal the product of the prior Adjustment Factor for such Basket
Stock and a fraction, the numerator of which shall be the number of shares of such Basket Stock outstanding immediately prior to the issuance
of such rights or warrants plus the number of additional shares of such Basket Stock offered for subscription or purchase pursuant to
such rights or warrants and the denominator of which shall be the number of shares of such Basket Stock outstanding immediately prior
to the issuance of such rights or warrants plus the number of additional shares of such Basket Stock which the aggregate offering price
of the total number of shares of such Basket Stock so offered for subscription or purchase pursuant to such rights or warrants would purchase
at the closing price on the expiration date of such rights or warrants, which shall be determined by multiplying such total number of
shares offered by the exercise price of such rights or warrants and dividing the product so obtained by such closing price.
4. The following adjustments to the
Adjustment Factor for a Basket Stock will be made to reflect all ordinary cash dividends with respect to such Basket Stock (“Ordinary
Dividends”) with an ex-dividend date during the period set forth below that have a value greater or less than the applicable Base
Dividend (as defined below); provided that, if the issuer of such Basket Stock effects a change in the periodicity of its dividend
payments (e.g. from quarterly payments to semi-annual payments) (a “Payment Period Adjustment”), the Calculation Agent
will make a corresponding adjustment to the Base Dividend and the timing of any Ordinary Dividend adjustment pursuant to this paragraph
4. Ordinary Dividends do not include any distributions described in paragraph 2 and clauses (i), (iv) and (v) of the first sentence of
paragraph 6 nor Extraordinary Dividends as defined in paragraph 5. If any Ordinary Dividend with respect to a Basket Stock has an “ex-dividend
date” (that is, the day on and after which transactions in such Basket Stock on an organized securities exchange or trading system
no longer carry the right to receive that cash dividend or other distributions) on or after the Trading Day immediately following the
Pricing Date of the Notes and on or prior to the last Averaging Date, the Adjustment Factor with respect to such Basket Stock will be
adjusted on the ex-dividend date for such Ordinary Dividend so that the new Adjustment Factor for such Basket Stock will equal the product
of (i) the prior Adjustment Factor for such Basket Stock and (ii) a fraction, the numerator of which is the Closing Price of such Basket
Stock on the Trading Day preceding the ex-dividend date for the payment
of such cash dividend or other cash
distribution (such Closing Price, the “Base Closing Price”) and the denominator of which is (x) the sum of the Base Closing
Price and the applicable Base Dividend less (y) the amount of such Ordinary Dividend. If the issuer of a Basket Stock declares that it
will pay no dividend in any quarter, other than in connection with a Payment Period Adjustment, an adjustment will be made in accordance
with this paragraph 4 on the date corresponding to the ex-dividend date in the immediately prior dividend payment period during which
an ordinary cash dividend was paid.
“Base Dividend” means, with
respect to each expected ex-dividend date specified below, the corresponding amount set forth in the table below; provided that
each Base Dividend is subject to adjustment for any subsequent corporate event requiring an adjustment hereunder, such as a stock split
or reverse stock split.
Meta Platforms, Inc. Dividends:
Expected ex-dividend date |
Base Dividend |
N/A |
$0.00 |
Amazon.com, Inc. Dividends:
Expected ex-dividend date |
Base Dividend |
N/A |
$0.00 |
The Walt Disney Company Dividends:
Expected ex-dividend date |
Base Dividend |
N/A |
$0.00 |
Lam Research Corporation Dividends:
Expected ex-dividend date |
Base Dividend |
March 21, 2023 |
$1.725 |
June 13, 2023 |
$1.725 |
September 26, 2023 |
$1.725 |
December 12, 2023 |
$1.725 |
March 19, 2024 |
$1.725 |
June 11, 2024 |
$1.725 |
September 24, 2024 |
$1.725 |
December 10, 2024 |
$1.725 |
March 18, 2025 |
$1.725 |
June 10, 2025 |
$1.725 |
September 30, 2025 |
$1.725 |
December 9, 2025 |
$1.725 |
March 17, 2026 |
$1.725 |
June 16, 2026 |
$1.725 |
September 29, 2026 |
$1.725 |
December 8, 2026 |
$1.725 |
March 16, 2027 |
$1.725 |
June 15, 2027 |
$1.725 |
September 28, 2027 |
$1.725 |
December 14, 2027 |
$1.725 |
NVIDIA Corporation Dividends:
Expected ex-dividend date |
Base Dividend |
March 1, 2023 |
$0.040 |
June 7, 2023 |
$0.040 |
September 6, 2023 |
$0.040 |
November 29, 2023 |
$0.040 |
February 28, 2024 |
$0.040 |
June 5, 2024 |
$0.040 |
September 4, 2024 |
$0.040 |
November 26, 2024 |
$0.040 |
March 5, 2025 |
$0.040 |
June 4, 2025 |
$0.040 |
September 3, 2025 |
$0.040 |
November 25, 2025 |
$0.040 |
March 4, 2026 |
$0.040 |
June 3, 2026 |
$0.040 |
August 25, 2026 |
$0.040 |
December 2, 2026 |
$0.040 |
March 3, 2027 |
$0.040 |
June 2, 2027 |
$0.040 |
August 31, 2027 |
$0.040 |
December 1, 2027 |
$0.040 |
5. Subject to the last sentence of this
paragraph, if any cash dividend or distribution of such other property with respect to a Basket Stock includes an Extraordinary Dividend,
the Adjustment Factor with respect to such Basket Stock will be adjusted on the ex-dividend date so that the new Adjustment Factor for
such Basket Stock will equal the product of (i) the prior Adjustment
Factor for such Basket Stock and (ii)
a fraction, the numerator of which is the Base Closing Price, and the denominator of which is the amount by which the Base Closing Price
exceeds the Extraordinary Dividend. For a Basket Stock, “Extraordinary Dividend” means each of (a) the full amount per share
of such Basket Stock of any cash dividend or special dividend or distribution that is identified by the issuer of such Basket Stock as
an extraordinary or special dividend or distribution and (b) the full cash value of any non-cash dividend or distribution per share of
such Basket Stock. A distribution on a Basket Stock described in clause (i), (iv) or (v) of the first sentence of paragraph 6 below shall
cause an adjustment to the Adjustment Factor for such Basket Stock pursuant only to clause (i), (iv) or (v) of the first sentence of paragraph
6, as applicable.
6. If
(i) there occurs any reclassification or change of a Basket Stock, including, without limitation, as a result of the issuance of any tracking
stock by the issuer of such Basket Stock, (ii) the issuer of a Basket Stock or any surviving entity or subsequent surviving entity of
such issuer (the “Successor Corporation”) has been subject to a merger, combination or consolidation and is not the surviving
entity, (iii) any statutory exchange of securities of the issuer of a Basket Stock or any Successor Corporation with another corporation
occurs (other than pursuant to clause (ii) above), (iv) the issuer of a Basket Stock is liquidated, (v) the issuer of a Basket Stock issues
to all of its shareholders equity securities of an issuer other than such issuer (other than in a transaction described in clause (ii),
(iii) or (iv) above) (a “Spin-Off Event”) or (vi) a tender or exchange offer or going-private transaction is consummated for
all the outstanding shares of a Basket Stock (any such event in clauses (i) through (vi), a “Reorganization Event”), the method
of determining the amount payable in accordance with the Payment at Maturity for each Stated Principal Amount, shall be determined in
accordance with “—Payment at Maturity” above, except that all references to the “Share Price” with respect
to the applicable Basket Stock therein shall be deemed to refer to the “Exchange Property Value” (as defined below).
The “Exchange Property Value”
means the sum of:
(a) the Closing Price of one share of
any securities composing the Exchange Property on the relevant day multiplied by the number of units of the applicable securities received
for each share of the applicable Basket Stock; and
(b) the aggregate cash amount of any
Exchange Property.
“Exchange Property” means
any shares of the applicable Basket Stock that continue to be held by the holders of such Basket Stock and any securities, cash or any
other assets distributed to holders of such Basket Stock with respect to one share of such Basket Stock in, or as a result of, a Reorganization
Event.
For purposes of paragraph 6 above, in
the case of a consummated tender or exchange offer or going-private transaction involving consideration of particular types, Exchange
Property shall be
deemed to include the amount of cash
or other property delivered by the offeror in the tender or exchange offer (in an amount determined on the basis of the rate of exchange
in such tender or exchange offer or going-private transaction). In the event of a tender or exchange offer or a going-private transaction
with respect to Exchange Property in which an offeree may elect to receive cash or other property, Exchange Property shall be deemed to
include the kind and amount of cash and other property received by offerees who elect to receive cash. For the avoidance of doubt, no
interest will accrue on any Exchange Property.
In the event that Exchange Property
consists of securities, those securities will, in turn, be subject to the anti-dilution adjustments set forth in paragraphs 1 through
6.
Following the occurrence of any Reorganization
Event referred to in paragraph 6 above, all references herein to the relevant Basket Stock shall be deemed to refer to the Exchange Property,
and references to a “share” or “shares” of such Basket Stock shall be deemed to refer to the applicable unit or
units of such Exchange Property, unless the context otherwise requires.
No adjustment to the Adjustment Factor
shall be required unless such adjustment would require a change of at least 0.1% in the Adjustment Factor then in effect. The Adjustment
Factor resulting from any of the adjustments specified above shall be rounded to the nearest one hundred-thousandth, with five one-millionths
rounded upward. Adjustments to the Adjustment Factor shall be made up to the close of business on the last Averaging Date.
No adjustments to the Adjustment Factor
or method of calculating the Adjustment Factor will be required other than those specified above. The adjustments specified above do not
cover all events that could affect the closing price of each Basket Stock, including, without limitation, a partial tender or exchange
offer for a Basket Stock.
The Calculation Agent shall be solely
responsible for the determination and calculation of any adjustments to the Adjustment Factor or method of calculating the Exchange Property
Value and of any related determinations and calculations with respect to any distributions of stock, other securities or other property
or assets (including cash) in connection with any corporate event described in paragraphs 1 through 6 above, and its determinations and
calculations with respect thereto shall be conclusive in the absence of manifest error.
The Calculation Agent will provide information
as to any adjustments to the Adjustment Factor, or to the method of calculating the amount payable at maturity of the Notes made pursuant
to paragraph 6 above, upon written request by any investor in the Notes.
Alternate Exchange
Calculation
in Case of an Event of Default |
|
If an Event of Default (as defined in the accompanying prospectus) with respect to the Notes shall have occurred and be |
continuing, the
amount declared due and payable upon any acceleration of the Notes (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 Notes 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 Notes. That cost will equal:
| • | the lowest amount that a Qualified Financial Institution would charge to effect this assumption or undertaking,
plus |
| • | the reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of the Notes
in preparing any documentation necessary for this assumption or undertaking. |
During the Default Quotation Period
for the Notes, which we describe below, the holders of the Notes 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 Notes 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 DTC of the Acceleration Amount due with respect to the
Notes 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:
| • | no quotation of the kind referred to above is obtained, or |
| • | 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 Averaging Date related to the Maturity Date,
then the Acceleration Amount will equal the principal amount of the Notes.
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:
| • | 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 |
| • | P-2 or higher by Moody’s Investors Service or any successor, or any other comparable rating then
used by that rating agency. |
Meta Platforms Stock; Public Information |
|
Meta Platforms, Inc. (“Meta Platforms”) (formerly known as Facebook, Inc.) is a social media and technology company that enables people to connect and share with friends and family through mobile devices, personal computers, virtual reality headsets and in-home devices. On June 9, 2022, the class A common stock of Meta Platforms, Inc., formerly trading under the ticker symbol “FB,” began trading under the ticker symbol “META.” Meta Platforms Stock is registered under the Exchange Act. Companies with securities registered under the Exchange Act are required to file periodically certain financial and other information specified by the Securities and Exchange Commission (the “Commission”). Information provided to or filed with the Commission electronically can be accessed through a website maintained by the Commission. The address of the Commission’s website is.www.sec.gov. Information provided to or filed with the Commission by Meta Platforms pursuant to the Exchange Act can be located by reference to Commission file number 001-35551. In addition, information regarding Meta Platforms may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly |
disseminated documents.
We make no representation or warranty as to the accuracy or completeness of such information.
This pricing supplement relates only
to the Notes referenced hereby and does not relate to Meta Platforms or other securities of Meta Platforms. We have derived all disclosures
contained in this pricing supplement regarding Meta Platforms from the publicly available documents described in the preceding paragraph.
In connection with the offering of the Notes, neither we nor the Agent has participated in the preparation of such documents or made any
due diligence inquiry with respect to Meta Platforms in connection with the offering of the Notes. Neither we nor the Agent makes any
representation that such publicly available documents are or any other publicly available information regarding Meta Platforms is accurate
or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would
affect the accuracy or completeness of the publicly available documents described in the preceding paragraph) that would affect the trading
price of Meta Platforms Stock (and therefore the price of Meta Platforms Stock at the time we priced the Notes) have been publicly disclosed.
Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning Meta Platforms
could affect the value received at maturity with respect to the Notes and therefore the trading prices of the Notes.
Neither we nor any of our affiliates
makes any representation to you as to the performance of Meta Platforms Stock.
We and/or our affiliates may presently
or from time to time engage in business with Meta Platforms, including extending loans to, or making equity investments in, Meta Platforms
or providing advisory services to Meta Platforms, including merger and acquisition advisory services. In the course of such business,
we and/or our affiliates may acquire non-public information with respect to Meta Platforms, and neither we nor any of our affiliates undertakes
to disclose any such information to you. In addition, one or more of our affiliates may publish research reports with respect to Meta
Platforms, and the reports may or may not recommend that investors buy or hold Meta Platforms Stock. As a purchaser of the Notes, you
should undertake an independent investigation of Meta Platforms as in your judgment is appropriate to make an informed decision with respect
to an investment linked to Meta Platforms Stock.
Amazon.com Stock; Public Information |
|
Amazon.com, Inc. (“Amazon.com”) offers electronic retail services to consumer customers, seller customers and developer customers. Amazon.com Stock is registered under the Exchange Act. Companies with securities registered under the Exchange Act are required to file periodically certain financial and other information specified by the Securities and Exchange Commission (the “Commission”). Information provided to or filed with the Commission electronically can be accessed through a website maintained by the Commission. The address of the Commission’s website is.www.sec.gov. Information provided to |
or filed with the
Commission by Amazon.com pursuant to the Exchange Act can be located by reference to Commission file number 000-22513. In addition, information
regarding Amazon.com may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly
disseminated documents. We make no representation or warranty as to the accuracy or completeness of such information.
This pricing supplement relates only
to the Notes referenced hereby and does not relate to Amazon.com Stock or other securities of Amazon.com. We have derived all disclosures
contained in this pricing supplement regarding Amazon.com from the publicly available documents described in the preceding paragraph.
In connection with the offering of the Notes, neither we nor the Agent has participated in the preparation of such documents or made any
due diligence inquiry with respect to Amazon.com in connection with the offering of the Notes. Neither we nor the Agent makes any representation
that such publicly available documents are or any other publicly available information regarding Amazon.com is accurate or complete. Furthermore,
we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness
of the publicly available documents described in the preceding paragraph) that would affect the trading price of Amazon.com Stock (and
therefore the price of Amazon.com Stock at the time we priced the Notes) have been publicly disclosed. Subsequent disclosure of any such
events or the disclosure of or failure to disclose material future events concerning Amazon.com could affect the value received at maturity
with respect to the Notes and therefore the trading prices of the Notes.
Neither we nor any of our affiliates
makes any representation to you as to the performance of Amazon.com Stock.
We and/or our affiliates may presently
or from time to time engage in business with Amazon.com, including extending loans to, or making equity investments in, Amazon.com or
providing advisory services to Amazon.com, including merger and acquisition advisory services. In the course of such business, we and/or
our affiliates may acquire non-public information with respect to Amazon.com, and neither we nor any of our affiliates undertakes to disclose
any such information to you. In addition, one or more of our affiliates may publish research reports with respect to Amazon.com, and the
reports may or may not recommend that investors buy or hold Amazon.com Stock. As a purchaser of the Notes, you should undertake an independent
investigation of Amazon.com as in your judgment is appropriate to make an informed decision with respect to an investment linked to Amazon.com
Stock.
Disney Stock; Public Information |
|
The Walt Disney Company (“Disney”) is a diversified worldwide entertainment company. Disney Stock is registered under the Exchange Act. Companies with securities registered under the Exchange Act are required to file periodically certain financial and other information specified by the Securities and Exchange |
Commission (the
“Commission”). Information provided to or filed with the Commission electronically can be accessed through a website maintained
by the Commission. The address of the Commission’s website is.www.sec.gov. Information provided to or filed with the Commission
by Disney pursuant to the Exchange Act can be located by reference to Commission file number 001-38842. In addition, information regarding
Disney may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. We make no representation or warranty as to the accuracy or completeness of such information.
This pricing supplement relates only
to the Notes referenced hereby and does not relate to Disney or other securities of Disney. We have derived all disclosures contained
in this pricing supplement regarding Disney from the publicly available documents described in the preceding paragraph. In connection
with the offering of the Notes, neither we nor the Agent has participated in the preparation of such documents or made any due diligence
inquiry with respect to Disney in connection with the offering of the Notes. Neither we nor the Agent makes any representation that such
publicly available documents are or any other publicly available information regarding Disney is accurate or complete. Furthermore, we
cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness
of the publicly available documents described in the preceding paragraph) that would affect the trading price of Disney Stock (and therefore
the price of Disney Stock at the time we priced the Notes) have been publicly disclosed. Subsequent disclosure of any such events or the
disclosure of or failure to disclose material future events concerning Disney could affect the value received at maturity with respect
to the Notes and therefore the trading prices of the Notes.
Neither we nor any of our affiliates
makes any representation to you as to the performance of Disney Stock.
We and/or our affiliates may presently
or from time to time engage in business with Disney, including extending loans to, or making equity investments in, Disney or providing
advisory services to Disney, including merger and acquisition advisory services. In the course of such business, we and/or our affiliates
may acquire non-public information with respect to Disney, and neither we nor any of our affiliates undertakes to disclose any such information
to you. In addition, one or more of our affiliates may publish research reports with respect to Disney, and the reports may or may not
recommend that investors buy or hold Disney Stock. As a purchaser of the Notes, you should undertake an independent investigation of Disney
as in your judgment is appropriate to make an informed decision with respect to an investment linked to Disney Stock.
Lam Research Stock; Public Information |
|
Lam Research Corporation (“Lam Research”) is a global supplier of innovative wafer fabrication equipment and services to the semiconductor industry. Lam Research Stock is registered under |
the Exchange Act.
Companies with securities registered under the Exchange Act are required to file periodically certain financial and other information
specified by the Securities and Exchange Commission (the “Commission”). Information provided to or filed with the Commission
electronically can be accessed through a website maintained by the Commission. The address of the Commission’s website is.www.sec.gov.
Information provided to or filed with the Commission by Lam Research pursuant to the Exchange Act can be located by reference to Commission
file number 001-12933. In addition, information regarding Lam Research may be obtained from other sources including, but not limited to,
press releases, newspaper articles and other publicly disseminated documents. We make no representation or warranty as to the accuracy
or completeness of such information.
This pricing supplement relates only
to the Notes referenced hereby and does not relate to Lam Research or other securities of Lam Research. We have derived all disclosures
contained in this pricing supplement regarding Lam Research from the publicly available documents described in the preceding paragraph.
In connection with the offering of the Notes, neither we nor the Agent has participated in the preparation of such documents or made any
due diligence inquiry with respect to Lam Research in connection with the offering of the Notes. Neither we nor the Agent makes any representation
that such publicly available documents are or any other publicly available information regarding Lam Research is accurate or complete.
Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy
or completeness of the publicly available documents described in the preceding paragraph) that would affect the trading price of Lam Research
Stock (and therefore the price of Lam Research Stock at the time we priced the Notes) have been publicly disclosed. Subsequent disclosure
of any such events or the disclosure of or failure to disclose material future events concerning Lam Research could affect the value received
at maturity with respect to the Notes and therefore the trading prices of the Notes.
Neither we nor any of our affiliates
makes any representation to you as to the performance of Lam Research Stock.
We and/or our affiliates may presently
or from time to time engage in business with Lam Research, including extending loans to, or making equity investments in, Lam Research
or providing advisory services to Lam Research, including merger and acquisition advisory services. In the course of such business, we
and/or our affiliates may acquire non-public information with respect to Lam Research, and neither we nor any of our affiliates undertakes
to disclose any such information to you. In addition, one or more of our affiliates may publish research reports with respect to Lam Research,
and the reports may or may not recommend that investors buy or hold Lam Research Stock. As a purchaser of the Notes, you should undertake
an independent investigation of Lam Research as in your judgment is appropriate
to make an informed decision with respect
to an investment linked to Lam Research Stock.
NVIDIA Stock; Public Information |
|
NVIDIA Corporation (“NVIDIA”) offers electronic retail services to consumer customers, seller customers and developer customers. NVIDIA Stock is registered under the Exchange Act. Companies with securities registered under the Exchange Act are required to file periodically certain financial and other information specified by the Securities and Exchange Commission (the “Commission”). Information provided to or filed with the Commission electronically can be accessed through a website maintained by the Commission. The address of the Commission’s website is.www.sec.gov. Information provided to or filed with the Commission by NVIDIA pursuant to the Exchange Act can be located by reference to Commission file number 000-22513. In addition, information regarding NVIDIA may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. We make no representation or warranty as to the accuracy or completeness of such information. |
This pricing supplement relates only
to the Notes referenced hereby and does not relate to NVIDIA Stock or other securities of NVIDIA. We have derived all disclosures contained
in this pricing supplement regarding NVIDIA from the publicly available documents described in the preceding paragraph. In connection
with the offering of the Notes, neither we nor the Agent has participated in the preparation of such documents or made any due diligence
inquiry with respect to NVIDIA in connection with the offering of the Notes. Neither we nor the Agent makes any representation that such
publicly available documents are or any other publicly available information regarding NVIDIA is accurate or complete. Furthermore, we
cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness
of the publicly available documents described in the preceding paragraph) that would affect the trading price of NVIDIA Stock (and therefore
the price of NVIDIA Stock at the time we priced the Notes) have been publicly disclosed. Subsequent disclosure of any such events or the
disclosure of or failure to disclose material future events concerning NVIDIA could affect the value received at maturity with respect
to the Notes and therefore the trading prices of the Notes.
Neither we nor any of our affiliates
makes any representation to you as to the performance of NVIDIA Stock.
We and/or our affiliates may presently
or from time to time engage in business with NVIDIA, including extending loans to, or making equity investments in, NVIDIA or providing
advisory services to NVIDIA, including merger and acquisition advisory services. In the course of such business, we and/or our affiliates
may acquire non-public information with respect to NVIDIA, and neither we nor any of our affiliates undertakes to disclose any such information
to you. In addition, one or more of our affiliates may publish research reports with respect to NVIDIA, and the
reports may or may not recommend that
investors buy or hold NVIDIA Stock. As a purchaser of the Notes, you should undertake an independent investigation of NVIDIA as in your
judgment is appropriate to make an informed decision with respect to an investment linked to NVIDIA Stock.
Historical Information |
|
The following tables set forth the published high and low Closing Prices, as well as end-of-quarter Closing Prices, of Meta Platforms Stock, Amazon.com Stock, Disney Stock, Lam Research Stock and NVIDIA Stock for each quarter in the period from January 1, 2020 through February 2, 2023. The graphs following each Basket Stock’s historical table set forth the historical performance of the respective Basket Stock for the same period. On February 2, 2023, the Closing Price for the Meta Platforms Stock was $188.77, the Closing Price for the Amazon.com Stock was $112.91, the Closing Price for the Disney Stock was $113.21, the Closing Price for the Lam Research Stock was $541.04 and the Closing Price for the NVIDIA Stock was $217.09. We obtained the information in the tables and graphs below from Bloomberg Financial Markets, without independent verification. The historical prices of Basket Stocks should not be taken as an indication of future performance, and no assurance can be given as to the Closing Price of Basket Stocks on any date, including any Averaging Date. |
Unless the weighted average price
of the Basket Stocks has appreciated by more than approximately 16.75% across the Averaging Dates, the Payment at Maturity will equal
only $1,000 per Note, and you will not receive any positive return on the Stated Principal Amount of the Notes. Additionally, even if
the Payment at Maturity is equal to the Cash Amount, the Payment at Maturity will reflect only the weighted appreciation of each Basket
Stock in excess of its Exchange Price, and, for each Basket Stock, that appreciation will be measured in terms of its Exchange Price,
which is significantly greater than its Share Reference Price. Moreover, even if one or more Basket Stocks appreciate in excess of its
Exchange price, such appreciation may be moderated, or wholly offset, by lesser increases or declines in one or more of the other Basket
Stocks.
The Issuer intends to enter into
certain derivatives arrangements to hedge the exposure to pay cash amounts upon redemption and/or may be party to certain existing derivative
positions in relation to shares of the Basket Stocks and may enter into further transactions to hedge its position, or adjust its hedging
position under such arrangements, including transactions to be conducted during the reference period regarding the determination of the
Share Reference Price and other averaging and valuation periods in relation to the Notes. Such activity may impact the Share Reference
Price, the price or value of shares of the Basket Stocks and the Notes more generally, including without limitation during such averaging
or valuation periods.
The hedging activities of the Issuer
may present a conflict of interest between the interests of holders of the Notes and the interests that the Issuer and the Agent have
in executing,
maintaining and adjusting hedge transactions.
These hedging activities could also affect the price of the Notes in the secondary market. In addition, because hedging the obligations
under derivative arrangements in relation to shares of the Basket Stocks or the Notes entails risk and may be influenced by market conditions
beyond the Issuer’s control, hedging activities may result in a profit or loss for the Issuer.
Furthermore, the Calculation Agent
in respect of the Notes is a subsidiary of Morgan Stanley and an affiliate of the Issuer. As a result, potential conflicts of interest
may arise in acting in its capacity as the Calculation Agent and other capacities in which it acts under the Notes. Subject to any relevant
regulatory obligations, the Calculation Agent owes no duty or responsibility to any holder of the Notes to avoid any conflict or to act
in the interests of any holder of the Notes. The Issuer may also rely on affiliates of Morgan Stanley (including the Calculation Agent)
or other service providers to perform its operational requirements. In the event any relevant Morgan Stanley entities or other service
providers fail to perform any obligations, this may adversely affect the value of shares of the Basket Stocks and potentially the amounts
payable under the Notes. Further, Morgan Stanley or any of its affiliates may contract with the Issuer and/or enter into transactions,
including hedging transactions, which relate to the Issuer or the Notes and as a result Morgan Stanley may face a conflict between its
obligations as Calculation Agent and its and/or its affiliates’ interests in other capacities.
Meta Platforms, Inc.
Historical High and Low Closing Prices
and Dividends
January 1, 2018 through February
2, 2023
|
High ($) |
Low ($) |
Dividends ($) |
2018 |
|
|
|
First Quarter |
193.09 |
152.22 |
- |
Second Quarter |
202.00 |
155.10 |
- |
Third Quarter |
217.50 |
160.30 |
- |
Fourth Quarter |
162.44 |
124.06 |
- |
2019 |
|
|
|
First Quarter |
173.37 |
131.09 |
- |
Second Quarter |
195.47 |
164.15 |
- |
Third Quarter |
204.87 |
177.10 |
- |
Fourth Quarter |
208.10 |
174.60 |
- |
2020 |
|
|
|
First Quarter |
223.23 |
146.01 |
- |
Second Quarter |
242.24 |
154.18 |
- |
Third Quarter |
303.91 |
230.12 |
- |
Fourth Quarter |
294.68 |
258.12 |
- |
2021 |
|
|
|
First Quarter |
294.53 |
245.64 |
- |
Second Quarter |
355.64 |
296.52 |
- |
Third Quarter |
382.18 |
336.95 |
- |
Fourth Quarter |
347.56 |
306.84 |
- |
2022 |
|
|
|
First Quarter |
338.54 |
186.63 |
- |
Second Quarter |
233.89 |
155.85 |
- |
Third Quarter |
183.17 |
134.40 |
- |
Fourth Quarter |
140.28 |
88.91 |
- |
2023 |
|
|
|
First Quarter (through February 2, 2023) |
188.77 |
120.34 |
- |
The following graph shows the daily
Closing Prices of Meta Platforms Stock from January 1, 2018 through February 2, 2023. We obtained the information in the graph below from
Bloomberg Financial Markets, without independent verification. The historical Closing Prices should not be taken as an indication of future
performance, and no assurance can be given as to the Closing Price on any date, including any Averaging Date.
Historical Daily Closing Prices of
Meta Platforms, Inc.
January 1, 2018 through February
2, 2023
Amazon.com, Inc.
Historical High and Low Closing Prices
and Dividends
January 1, 2018 through February
2, 2023
|
High ($) |
Low ($) |
Dividends ($) |
2018 |
|
|
|
First Quarter |
79.92 |
58.47 |
- |
Second Quarter |
87.50 |
68.60 |
- |
Third Quarter |
101.98 |
84.70 |
- |
Fourth Quarter |
100.22 |
67.20 |
- |
2019 |
|
|
|
First Quarter |
90.96 |
75.01 |
- |
Second Quarter |
98.12 |
84.64 |
- |
Third Quarter |
101.05 |
86.27 |
- |
Fourth Quarter |
93.49 |
85.28 |
- |
2020 |
|
|
|
First Quarter |
108.51 |
83.83 |
- |
Second Quarter |
138.22 |
95.33 |
- |
Third Quarter |
176.57 |
143.94 |
- |
Fourth Quarter |
172.18 |
150.22 |
- |
2021 |
|
|
|
First Quarter |
169.00 |
147.60 |
- |
Second Quarter |
175.27 |
157.60 |
- |
Third Quarter |
186.57 |
159.39 |
- |
Fourth Quarter |
184.80 |
159.49 |
- |
2022 |
|
|
|
First Quarter |
170.41 |
136.02 |
- |
Second Quarter |
168.35 |
102.31 |
- |
Third Quarter |
144.78 |
109.22 |
- |
Fourth Quarter |
121.09 |
81.82 |
- |
2023 |
|
|
|
First Quarter (through February 2, 2023) |
112.91 |
83.12 |
- |
The following graph shows the daily
Closing Prices of Amazon.com Stock from January 1, 2018 through February 2, 2023. We obtained the information in the graph below from
Bloomberg Financial Markets, without independent verification. The historical Closing Prices should not be taken as an indication of future
performance, and no assurance can be given as to the Closing Price on any date, including any Averaging Date.
Historical Daily Closing Prices of
Amazon.com, Inc.
January 1, 2018 through February
2, 2023
The Walt Disney Company
Historical High and Low Closing Prices
and Dividends
January 1, 2018 through February
2, 2023
|
High ($) |
Low ($) |
Dividends ($) |
2018 |
|
|
|
First Quarter |
112.47 |
98.54 |
0.84 |
Second Quarter |
108.85 |
98.66 |
- |
Third Quarter |
116.94 |
104.04 |
0.84 |
Fourth Quarter |
118.90 |
100.35 |
- |
2019 |
|
|
|
First Quarter |
115.25 |
106.33 |
0.88 |
Second Quarter |
142.02 |
111.96 |
- |
Third Quarter |
146.39 |
129.96 |
0.88 |
Fourth Quarter |
151.64 |
128.15 |
- |
2020 |
|
|
|
First Quarter |
148.20 |
85.76 |
0.88 |
Second Quarter |
127.28 |
93.88 |
- |
Third Quarter |
135.54 |
112.18 |
- |
Fourth Quarter |
181.18 |
118.47 |
- |
2021 |
|
|
|
First Quarter |
201.91 |
163.03 |
- |
Second Quarter |
189.73 |
169.27 |
- |
Third Quarter |
185.91 |
169.17 |
- |
Fourth Quarter |
177.71 |
142.15 |
- |
2022 |
|
|
|
First Quarter |
157.89 |
129.03 |
- |
Second Quarter |
138.58 |
93.29 |
- |
Third Quarter |
124.96 |
91.84 |
- |
Fourth Quarter |
106.54 |
84.17 |
- |
2023 |
|
|
|
First Quarter (through February 2, 2023) |
113.21 |
86.88 |
- |
The following graph shows the daily
Closing Prices of Disney Stock from January 1, 2018 through February 2, 2023. We obtained the information in the graph below from Bloomberg
Financial Markets, without independent verification. The historical Closing Prices should not be taken as an indication of future performance,
and no assurance can be given as to the Closing Price on any date, including any Averaging Date.
Historical Daily Closing Prices of
The Walt Disney Company
January 1, 2018 through February
2, 2023
Lam Research Corporation
Historical High and Low Closing Prices
and Dividends
January 1, 2018 through February
2, 2023
|
High ($) |
Low ($) |
Dividends ($) |
2018 |
|
|
|
First Quarter |
228.65 |
162.23 |
0.50 |
Second Quarter |
212.33 |
169.80 |
0.50 |
Third Quarter |
190.64 |
148.81 |
1.10 |
Fourth Quarter |
161.02 |
123.28 |
1.10 |
2019 |
|
|
|
First Quarter |
183.80 |
131.63 |
1.10 |
Second Quarter |
207.78 |
172.43 |
1.10 |
Third Quarter |
242.83 |
181.40 |
1.15 |
Fourth Quarter |
297.41 |
227.70 |
1.15 |
2020 |
|
|
|
First Quarter |
341.58 |
187.89 |
1.15 |
Second Quarter |
323.46 |
218.15 |
1.15 |
Third Quarter |
384.96 |
293.99 |
1.30 |
Fourth Quarter |
511.66 |
328.71 |
1.30 |
2021 |
|
|
|
First Quarter |
598.81 |
472.27 |
1.30 |
Second Quarter |
668.00 |
557.67 |
1.30 |
Third Quarter |
649.78 |
565.97 |
1.50 |
Fourth Quarter |
726.75 |
544.41 |
1.50 |
2022 |
|
|
|
First Quarter |
729.82 |
469.00 |
1.50 |
Second Quarter |
535.55 |
418.30 |
1.50 |
Third Quarter |
531.85 |
366.00 |
1.725 |
Fourth Quarter |
500.82 |
314.95 |
1.725 |
2023 |
|
|
|
First Quarter (through February 2, 2023) |
541.04 |
414.30 |
- |
The following graph shows the daily
Closing Prices of Lam Research Stock from January 1, 2018 through February 2, 2023. We obtained the information in the graph below from
Bloomberg Financial Markets, without independent verification. The historical Closing Prices should not be taken as an indication of future
performance, and no assurance can be given as to the Closing Price on any date, including any Averaging Date.
Historical Daily Closing Prices of
Lam Research Corporation
January 1, 2018 through February
2, 2023
NVIDIA Corporation
Historical High and Low Closing Prices
and Dividends
January 1, 2018 through February
2, 2023
|
High ($) |
Low ($) |
Dividends ($) |
2018 |
|
|
|
First Quarter |
62.62 |
48.38 |
0.0375 |
Second Quarter |
66.73 |
53.56 |
0.0375 |
Third Quarter |
70.93 |
59.21 |
0.0375 |
Fourth Quarter |
72.34 |
31.77 |
0.04 |
2019 |
|
|
|
First Quarter |
45.99 |
32.00 |
0.04 |
Second Quarter |
48.03 |
33.45 |
0.04 |
Third Quarter |
46.08 |
37.19 |
0.04 |
Fourth Quarter |
59.84 |
43.26 |
0.04 |
2020 |
|
|
|
First Quarter |
78.68 |
49.10 |
0.04 |
Second Quarter |
95.27 |
60.77 |
0.04 |
Third Quarter |
143.47 |
95.30 |
0.04 |
Fourth Quarter |
145.62 |
125.34 |
0.04 |
2021 |
|
|
|
First Quarter |
153.30 |
115.93 |
0.04 |
Second Quarter |
200.27 |
136.65 |
0.04 |
Third Quarter |
228.43 |
181.61 |
0.04 |
Fourth Quarter |
333.76 |
197.32 |
0.04 |
2022 |
|
|
|
First Quarter |
301.21 |
213.30 |
0.04 |
Second Quarter |
273.60 |
151.59 |
0.04 |
Third Quarter |
192.15 |
121.39 |
0.04 |
Fourth Quarter |
180.72 |
112.27 |
0.04 |
2023 |
|
|
|
First Quarter (through February 2, 2023) |
217.09 |
142.65 |
- |
The following graph shows the daily
Closing Prices of NVIDIA Stock from January 1, 2018 through February 2, 2023. We obtained the information in the graph below from Bloomberg
Financial Markets, without independent verification. The historical Closing Prices should not be taken as an indication of future performance,
and no assurance can be given as to the Closing Price on any date, including any Averaging Date.
Historical Daily Closing Prices of
NVIDIA Corporation
January 1, 2018 through February
2, 2023
Use of Proceeds and Hedging |
|
The proceeds from the sale of the Notes will be used by us for general corporate purposes. We will receive, in aggregate, $1,080 per Note issued. The costs of the Notes borne by you and described beginning on PS-3 above comprise the cost of issuing, structuring and hedging the Notes. See also “Use of Proceeds” in the accompanying prospectus. |
On or prior to the
dates on which the Share Reference Price for each Basket Stock is determined, we expect to hedge our anticipated exposure in connection
with the Notes by entering into hedging transactions with our affiliates and/or third-party dealers. We expect our hedging counterparties
to take positions in the Basket Stocks, options contracts on the Basket Stocks listed on major securities markets or positions in any
other available securities or instruments that they may wish to use in connection
with such hedging.
Such purchase activity could increase the price of a Basket Stock on the dates on which the Share Reference Price for such Basket Stock
is determined, and, therefore, could increase the Exchange Price for such Basket Stock. In addition, through our affiliates, we are likely
to modify our hedge position throughout the term of the Notes, including on the Averaging Dates, by purchasing and selling the Basket
Stocks, options contracts on the Basket Stocks listed on major securities markets or positions in any other available securities or instruments
that we may wish to use in connection with such hedging activities. As a result, these entities may be unwinding or adjusting hedge positions
during the term of the Notes, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the Averaging
Dates approach. We cannot give any assurance that our hedging activities will not affect the prices of the Basket Stocks, and, therefore,
adversely affect the value of the Notes or the payment you will receive at maturity.
Supplemental Information Concerning
Plan of Distribution; Conflicts of Interest |
|
The Stated Principal Amount of each Note is $1,000, but the Issue Price is $1,080 per Note, which means that you are purchasing the Notes at a premium to the Stated Principal Amount. See “Risk Factors—Because you are purchasing your notes at a premium to the stated principal amount, the return on your investment will be lower than it would have been if the issue price were equal to the stated principal amount, and the impact of certain key terms of the notes will be negatively affected.” |
MS & Co. will not receive a sales
commission in connection with the Notes.
MS & Co. is an affiliate of MSFL
and a wholly owned subsidiary of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and,
when applicable, hedging the Notes.
MS & Co. will conduct this offering
in compliance with the requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred
to as FINRA, regarding a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. MS
& Co. or any of our other affiliates may not make sales in this offering to any discretionary account.
In order to facilitate the offering
of the Notes, the Agent may engage in transactions that stabilize, maintain or otherwise affect the price of the Notes. Specifically,
the Agent may sell more Notes than it is obligated to purchase in connection with the offering, creating a naked short position in the
Notes, for its own account. The Agent must close out any naked short position by purchasing the Notes in the open market after the offering.
A naked short position in the Notes is more likely to be created if the Agent is concerned that there may be downward pressure on the
price of the Notes in the open market after pricing that could adversely affect investors who purchase in the offering. As an additional
means of facilitating the offering, the Agent may bid for, and purchase, the Notes or any of the Basket Stocks in the
open market to stabilize the price of
the Notes. Any of these activities may raise or maintain the market price of the Notes above independent market prices or prevent or retard
a decline in the market price of the Notes. The Agent is not required to engage in these activities, and may end any of these activities
at any time. An affiliate of the Agent has entered into a hedging transaction with us in connection with this offering of Notes. See “—Use
of Proceeds and Hedging” above.
Validity of the Notes |
|
In the opinion of Davis Polk & Wardwell LLP, as special counsel to MSFL and Morgan Stanley, when the Notes offered by this pricing supplement have been executed and issued by MSFL, authenticated by the trustee pursuant to the MSFL Senior Debt Indenture (as defined in the accompanying prospectus) and delivered against payment as contemplated herein, such Notes will be valid and binding obligations of MSFL and the related guarantee will be a valid and binding obligation of Morgan Stanley, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above and (ii) any provision of the MSFL Senior Debt Indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of Morgan Stanley’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the MSFL Senior Debt Indenture and its authentication of the Notes and the validity, binding nature and enforceability of the MSFL Senior Debt Indenture with respect to the trustee, all as stated in the letter of such counsel dated November 16, 2020, which is Exhibit 5-a to the Registration Statement on Form S-3 filed by Morgan Stanley on November 16, 2020. |
|
|
|
United States Federal Taxation |
|
In the opinion of our counsel, Davis Polk & Wardwell LLP, the Notes should be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as described in the section of the accompanying prospectus supplement called “United States Federal Taxation—Tax Consequences to U.S. Holders.” Under this treatment, if you are a U.S. taxable investor, you generally will be required to accrue as interest income original issue discount (“OID”) based on the “comparable yield” (as defined in the accompanying prospectus supplement) of the Notes, adjusted upward or downward to reflect the difference, if any, between the actual and projected amount of the payments on the Notes. The comparable yield and the projected payment schedule with respect to a Note can be obtained by contacting Morgan Stanley at StructuredNotesTaxInfo@morganstanley.com. |
Upon sale or exchange
of the Notes (at or prior to maturity), you will recognize taxable income or loss equal to the difference between the amount received
from the sale or exchange and your adjusted basis in the Notes, which generally will equal the cost thereof, increased by the amount of
OID you have accrued in respect of the Notes, and decreased by the amount of any stated interest you have received in respect of the Notes
through the date of the sale or exchange. You generally must treat any income as interest income and any loss as ordinary loss to the
extent of previous OID inclusions, and the balance as capital loss. The deductibility of capital losses is subject to limitations.
Special rules will
apply if contingent payments on the Notes become fixed, including as described under “Description of Notes–Extraordinary Events.”
If all scheduled contingent payments on the Notes become fixed substantially contemporaneously, a U.S. Holder will be required to make
adjustments to account for the difference between the amounts treated as fixed and the projected payments in a reasonable manner over
the remaining term of the Notes. For purposes of the preceding sentence, a payment (including an amount payable at maturity) will be treated
as fixed if (and when) all remaining contingencies with respect to it are remote or incidental within the meaning of the applicable Treasury
regulations. A U.S. Holder’s tax basis in the Notes and the character of any gain or loss on the sale of the Notes will also be
affected. U.S. Holders should consult their tax advisers concerning the application of these special rules.
You should read
the discussion under “United States Federal Taxation” in the accompanying prospectus supplement concerning the U.S. federal
income tax consequences of an investment in the Notes.
The comparable
yield and the projected payment schedule will not be provided for any purpose other than the determination of U.S. Holders’ accruals
of interest income and adjustments thereto in respect of the Notes for U.S. federal income tax purposes, and we make no representation
regarding the actual amount of the payments that will be made on the Notes.
If you are a non-U.S.
investor, please also read the section of the accompanying prospectus supplement called “United States Federal Taxation—Tax
Consequences to Non-U.S. Holders.”
As discussed in
the accompanying prospectus supplement, Section 871(m) of the Internal Revenue Code of 1986, as amended (the “Code”), and
Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% (or a lower applicable treaty rate)
withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to
U.S. equities or indices that include U.S. equities (each, an “Underlying Security”). Subject to certain exceptions, Section
871(m) generally applies to securities that substantially replicate the economic performance of one or more Underlying Securities, as
determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However, pursuant to
an Internal Revenue Service
(“IRS”)
notice, Section 871(m) will not apply to securities issued before January 1, 2025 that do not have a delta of one with respect to any
Underlying Security. Based on our determination that the Notes do not have a delta of one with respect to any Underlying Security, our
counsel is of the opinion that the Notes should not be Specified Securities and, therefore, should not be subject to Section 871(m). Our
determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
If withholding is required, we will not be required to pay any additional amounts with respect to the amounts so withheld. You
should consult your tax adviser regarding the potential application of Section 871(m) to the Notes.
You should consult
your tax adviser regarding all aspects of the U.S. federal income tax consequences of an investment in the Notes, as well as any tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction. Moreover, neither this document nor the accompanying prospectus
supplement addresses the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code.
The discussion
in the preceding paragraphs under “Tax considerations” and the discussion contained in the section entitled “United
States Federal Taxation” in the accompanying prospectus supplement, insofar as they purport to describe provisions of U.S. federal
income tax laws or legal conclusions with respect thereto, constitute the full opinion of Davis Polk & Wardwell LLP regarding the
material U.S. federal tax consequences of an investment in the Notes.