| PROSPECTUS Dated February 22, 2024 |
Pricing Supplement No. 1,315 to |
| PROSPECTUS SUPPLEMENT Dated November 16, 2023 |
Registration Statement Nos. 333-275587; 333-275587-01 |
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Dated March 7, 2024 |
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Rule 424(b)(2) |
$880,000
Morgan Stanley
Finance LLC
GLOBAL
MEDIUM-TERM NOTES, SERIES A
Senior Notes
Jump Securities
with Auto-Callable Feature due March 10, 2028
Based on the Performance of a Basket Composed of the Common Stock of Advanced Micro Devices, Inc., the Common Stock of Amazon.com, Inc.,
the Common Stock of NVIDIA Corporation, the Class A Subordinate Voting Shares of Shopify Inc. and the Common Stock of Target Corporation
Fully and Unconditionally Guaranteed
by Morgan Stanley
Principal at Risk Securities
The securities are unsecured obligations of Morgan Stanley
Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. Unlike ordinary debt securities, the
Jump Securities with Auto-Callable Feature due March 10, 2028 Based on the Performance of a Basket Composed of the Common Stock of Advanced
Micro Devices, Inc., the Common Stock of Amazon.com, Inc., the Common Stock of NVIDIA Corporation, the Class A Subordinate Voting Shares
of Shopify Inc. and the Common Stock of Target Corporation, which we refer to as the securities, do not guarantee the payment of interest
or the repayment of any principal. The securities will be automatically redeemed if the basket value on any of the annual determination
dates is greater than or equal to the initial basket value, for an early redemption payment that will increase over the term of the securities
and that will correspond to a per annum return of approximately 12.00%. No further payments will be made on the securities once they
have been redeemed. At maturity, if the securities have not previously been redeemed and the final basket value is greater than or equal
to the initial basket value, investors will receive a fixed positive return that will also correspond to a return of approximately 12.00%
per annum, as set forth below. If the securities are not automatically redeemed prior to maturity and the final basket value is less
than the initial basket value but greater than or equal to 60% of the initial index value, which we refer to as the downside threshold
level, investors will receive the stated principal amount of their investment. However, if the securities are not automatically redeemed
prior to maturity and the final basket value is less than the downside threshold level, investors will be exposed to the decline in the
value of the basket on a 1-to-1 basis and will receive a payment at maturity that is less than 60% of the stated principal amount of
the securities and could be zero. Accordingly, investors in the securities must be willing to accept the risk of losing their entire
initial investment. The securities are for investors who are willing to risk their principal and forgo current income and participation
in any appreciation of the basket stocks in exchange for the possibility of receiving an early redemption payment or payment at maturity
greater than the stated principal amount if the basket value closes at or above the initial basket value on an annual determination date
or the final determination date, respectively. Investors will not participate in any appreciation of the basket stocks.
The basket is composed of the stock of each of the following
issuers: Advanced Micro Devices, Inc., Amazon.com, Inc., NVIDIA Corporation, Shopify Inc. and Target Corporation (collectively, the “basket”).
We refer to the stock of the issuers each individually as a “basket stock” and collectively as the “basket stocks.”
The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.
All payments are subject to our credit risk. If we default
on our obligations, you could lose some or all of your investment. These securities are not secured obligations and you will not have
any security interest in, or otherwise have any access to, any underlying reference asset or assets.
| • | The stated principal amount and original issue price of each security is $1,000. |
| • | If the basket value is greater than or equal to the initial basket value on any determination date
occurring on or after March 10, 2025 but excluding the final determination date, the securities will be automatically redeemed for the
early redemption payment on the third business day following the related determination date, as set forth under “Final Terms–Determination
Dates, Early Redemption Dates and Early Redemption Payments” below. The early redemption payment will be an amount in cash per stated
principal amount that will increase over the term of the securities (corresponding to a return of approximately 12.00% per annum) for
each annual determination date. |
| • | At maturity, if the securities have not previously been redeemed, you will receive for each security
that you hold an amount of cash equal to: |
| º | if the final basket value is greater than or equal to the initial basket value, $1,480.00,
or |
| º | if the final basket value is less than the initial basket value but is greater than or
equal to the downside threshold level, $1,000, or |
| º | if the final basket value is less than the downside threshold level, (i) the stated principal
amount times (ii) the basket performance factor. |
Under these circumstances, the payment
at maturity will be less than 60% of the stated principal amount of the securities and could be zero.
| • | The basket performance factor will equal the final basket value divided by the initial basket value.
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| • | The basket value on any day equals the sum of the products of (i) the basket component closing value
for each basket stock on such day and (ii) the multiplier for such basket stock on such day. |
| • | The basket is equally weighted and the initial basket value is 100. The fractional amount of each
basket stock included in the basket was set at a multiplier based upon such basket stock’s percentage weighting within the basket
and closing price on March 7, 2024, the day we priced the securities for initial sale to the public, which we refer to as the pricing
date. The multiplier for each basket stock will remain constant for the term of the securities. |
| • | The downside threshold level is equal to 60, which is 60% of the initial basket value. |
| • | The final basket value will equal the basket value on March 7, 2028, which we refer to as the final
determination date, subject to adjustment for non-trading days and certain market disruption events. |
| • | The initial share price for each basket stock is the closing price of such basket stock on the pricing
date. |
| • | The basket component closing value for each basket stock on any trading day will equal the closing
price of such basket stock on such day times the adjustment factor for such basket stock on such day. The adjustment factor for each basket
stock will initially be set at 1.0 and is subject to change upon certain corporate events affecting such basket stock. |
| • | Investing in the securities is not equivalent to investing in the basket or the basket stocks. |
| • | The issuers of the basket stocks are not involved in this offering of securities in any way and will
have no obligation of any kind with respect to the securities. |
| • | The maturity date and each early redemption date may be postponed as a result of the postponement
of the related determination date due to non-trading days or certain market disruption events. No adjustment will be made to any payment
made on a postponed date. |
| • | The securities will not be listed on any securities exchange. |
| • | The estimated value of the securities on the pricing date is $944.70 per security. See “Summary
of Pricing Supplement” beginning on PS-2. |
| • | The CUSIP number for the securities is 61771W6Q6. The ISIN for the securities is US61771W6Q68. |
| • | You should read the more detailed description of the securities in this pricing supplement. In particular,
you should review and understand the descriptions in “Summary of Pricing Supplement,” “Final Terms” and “Additional
Information About the Securities.” |
The securities are riskier than ordinary debt securities. See
“Risk Factors” beginning on PS-10.
The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these securities, or determined if this pricing supplement is truthful or complete. Any representation
to the contrary is a criminal offense.
PRICE $1,000 PER SECURITY
| |
Price
to Public |
Agent’s
Commissions(1) |
Proceeds
to Us(2) |
| Per security |
$1,000 |
$32.50 |
$967.50 |
| Total |
$880,000 |
$28,600 |
$851,400 |
| (1) | Selected dealers
and their financial advisors will collectively receive from the agent, Morgan Stanley &
Co. LLC, a fixed sales commission of $32.50 for each security they sell. See “Additional
Information About the Securities—Supplemental Information Concerning Plan of Distribution;
Conflicts of Interest.” For additional information, see “Plan of Distribution
(Conflicts of Interest)” in the accompanying prospectus supplement. |
| (2) | See “Additional
Information About the Securities—Use of Proceeds and Hedging” on PS-32. |
The agent for this offering,
Morgan Stanley & Co. LLC, is an affiliate of MSFL and a wholly-owned subsidiary of Morgan Stanley. See “Additional Information
About the Securities—Supplemental Information Concerning Plan of Distribution; Conflicts of Interest.”
The securities are not
deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality,
nor are they obligations of, or guaranteed by, a bank.
When you read the accompanying
prospectus supplement, please note that all references in such supplement to the prospectus dated November 16, 2023, or to any sections
therein, should refer instead to the accompanying prospectus dated February 22, 2024 or to the corresponding sections of such prospectus,
as applicable.
As used in this document,
“we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as
the context requires.
MORGAN STANLEY
SUMMARY OF PRICING SUPPLEMENT
The following summary describes the Jump Securities
with Auto-Callable Feature due March 10, 2028 Based on the Performance of a Basket Composed of the Common Stock of Advanced Micro Devices,
Inc., the Common Stock of Amazon.com, Inc., the Common Stock of NVIDIA Corporation, the Class A Subordinate Voting Shares of Shopify Inc.
and the Common Stock of Target Corporation, which we refer to as the securities, in general terms only. You should read the summary together
with the more detailed information that is contained in the rest of this pricing supplement and in the accompanying prospectus and prospectus
supplement. You should carefully consider, among other things, the matters set forth in “Risk Factors.”
The securities are medium-term debt securities
of MSFL and are fully and unconditionally guaranteed by Morgan Stanley. The return on the securities is linked to the performance of the
basket of five stocks. Investors in the securities must be willing to accept the risk of a complete loss of principal, and also be willing
to forgo current income and participation in any appreciation of the basket stocks in exchange for the possibility of receiving an early
redemption payment or payment at maturity greater than the stated principal amount if the basket value closes at or above the initial
basket value on an annual determination date or the final determination date, respectively. The securities do not guarantee the return
of any principal at maturity, and all payments on the securities are subject to our credit risk.
| Each security costs $1,000 |
We are offering the Jump Securities with Auto-Callable Feature due March 10, 2028 Based on the Performance of a Basket Composed of the Common Stock of Advanced Micro Devices, Inc., the Common Stock of Amazon.com, Inc., the Common Stock of NVIDIA Corporation, the Class A Subordinate Voting Shares of Shopify Inc. and the Common Stock of Target Corporation (the “securities”). The stated principal amount and original issue price of each security is $1,000. |
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We refer to the stocks of the following five companies collectively as the “basket stocks” and each separately as a “basket stock”: Advanced Micro Devices, Inc., Amazon.com, Inc., NVIDIA Corporation, Shopify Inc. and Target Corporation. |
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The original issue price of each security includes costs associated
with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities
on the pricing date is less than $1,000. We estimate that the value of each security on the pricing date is $944.70.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date, we take into account
that the securities comprise both a debt component and a performance-based component linked to the basket stocks. The estimated value
of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the basket stocks,
instruments based on the basket stocks, volatility and other factors including current and expected interest rates, as well as an interest
rate related to our secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades
in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities, including
the early redemption payment amounts and the downside threshold level, we use an internal funding rate, which is likely to be lower than
our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by
you were lower or if the internal funding rate were higher, one or more of the |
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economic terms of the securities would be more favorable to you.
What is the relationship between the estimated value on the pricing
date and the secondary market price of the securities?
The price at which MS & Co. purchases the securities in the secondary
market, absent changes in market conditions, including those related to the basket stocks, may vary from, and be lower than, the estimated
value on the pricing date, because the secondary market price takes into account our secondary market credit spread as well as the bid-offer
spread that MS & Co. would charge in a secondary market transaction of this type and other factors. However, because the costs associated
with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months following
the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes in market conditions,
including those related to the basket stocks, and to our secondary market credit spreads, it would do so based on values higher than the
estimated value. We expect that those higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
securities, and, if it once chooses to make a market, may cease doing so at any time. |
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| The securities do not guarantee repayment of any principal at maturity |
Unlike ordinary debt securities, the securities do not guarantee the repayment of any of the principal amount at maturity. As described more fully below, if the securities have not been automatically redeemed prior to maturity and the final basket value has declined below 60% of the initial basket value, you will be exposed to the full decline in the basket value on a 1-to-1 basis, and your payment at maturity will represent a loss of at least 40% on your initial investment and may be zero. There is no minimum payment at maturity on the securities. Accordingly, you could lose your entire initial investment in the securities. |
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| The initial basket value is equal to 100 |
The basket is equally weighted, and the initial basket value is equal to 100. The fractional amount of each basket stock included in the basket was set at a multiplier, calculated so that each basket stock represents 20% of the initial basket value of 100 based on the closing price of such basket stock on the pricing date. The multiplier for each basket stock will remain constant for the term of the securities. See “Basket Stocks” below. |
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| The securities will be automatically redeemed if the basket value on any of the annual determination dates is greater than or equal to the initial basket value |
If the basket value on any determination date occurring on or after March 10, 2025 up to but excluding the final determination date is greater than or equal to the initial basket value, the securities will be automatically redeemed for the early redemption payment on the third business day following the related determination date. The early redemption payment will be an amount of cash (corresponding to a return of approximately 12.00% per annum) for each annual determination date. See “Determination Dates, Early Redemption Dates and Early Redemption Payments” below. No further payments will be made on the securities once they have been redeemed. |
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Each determination date is subject to postponement for non-trading days and certain market disruption events as described under “Final Terms—Determination Dates.” |
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| If the securities are not redeemed prior to maturity, the payment at maturity will vary |
At maturity, if the securities have not previously been redeemed, you will receive for each $1,000 stated principal amount of securities that you hold an amount of cash based upon the performance of the basket over the term of the securities. The |
| depending on the performance of the basket |
payment at maturity will be determined as follows: |
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• if the final basket value is greater than or equal to the initial basket value, you will receive for each $1,000 stated principal amount of securities that you hold a payment at maturity equal to: $1,480.00, |
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where, |
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initial basket value = 100, which is equal to the sum of the
products of (i) the closing price of each basket stock on the pricing date, and (ii) the multiplier for such basket stock on such date,
and
final basket value = The basket value on the final determination
date, and
basket value = The basket value on any day equals the sum
of the products of (i) the basket component closing value for each basket stock on such day and (ii) the multiplier for such basket stock
on such day, and
basket component closing value = The basket component closing
value for each basket stock on any trading day equals the product of the closing price of such basket stock on such day and the adjustment
factor for such basket stock on such day, and
adjustment factor =1.0 for each basket stock, subject to change
upon certain corporate events relating to the issuer of such basket stock as described in the section entitled “Final Terms—Adjustments
to the Adjustment Factors”, and
multiplier = The multiplier for each basket stock was set
on the pricing date, based on such basket stock’s closing price on such date so that each basket stock is reflected in the predetermined
initial basket value in accordance with its equal percentage weighting within the basket. The multiplier for each basket stock will remain
constant for the term of the securities.
• If the final basket value
is less than the initial basket value, but is greater than or equal to the downside threshold level, you will receive for
each $1,000 stated principal amount of securities that you hold a payment at maturity equal to: $1,000,
where,
downside threshold level = 60, which is 60% of the initial
basket value, and
• If the final basket value
is less than the downside threshold level, you will receive for each $1,000 stated principal amount of securities that you hold
a payment at maturity equal to: (i) the stated principal amount times (ii) the basket performance factor.
where,
basket performance
factor = The final basket value divided by the initial basket value, as expressed by the following formula: |
|
final
basket value |
| initial basket value |
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Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000 by an amount proportionate to the full decrease in the value of the basket and will represent a loss of at least 40%, and possibly all, of your investment. |
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All payments on the securities are subject to our credit risk. |
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| Basket stocks |
The basket is composed of the stocks of five companies, as listed in the table below. The table sets forth the Bloomberg ticker symbol for each basket stock, the exchange on which each basket stock is listed, the percentage of the initial basket value represented by such basket stock, the initial share price and the multiplier for each basket stock. |
|
Issuer
of Basket Stock |
Bloomberg
Ticker Symbol* |
Exchange |
Percentage
of Initial Basket Value |
Initial
Share Price |
Multiplier |
| Advanced Micro Devices, Inc. |
AMD |
Nasdaq Global Select Market |
20% |
$211.38 |
0.094616331 |
| Amazon.com, Inc. |
AMZN |
Nasdaq Global Select Market |
20% |
$176.82 |
0.113109377 |
| NVIDIA Corporation |
NVDA |
Nasdaq Global Select Market |
20% |
$926.69 |
0.021582190 |
| Shopify Inc. |
SHOP |
New York Stock Exchange |
20% |
$75.33 |
0.265498473 |
| Target Corporation |
TGT |
New York Stock Exchange |
20% |
$171.54 |
0.116590883 |
*Bloomberg Ticker Symbols are being provided for reference purposes
only.
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The multiplier for each basket stock is a fraction of a share calculated so that each basket stock represents 20% of the initial basket value of 100 based on the closing prices of the basket stocks on the pricing date. |
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The multiplier for each basket stock will remain constant for the term of the securities. |
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A negative or lesser positive performance by one, two, three or four of the basket stocks could wholly or partially offset the positive performance by the other basket stock(s). |
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For further information on each of the basket stocks, please see the section of this pricing supplement entitled “Additional Information About the Securities—Basket Stocks, Public Information and Historical Information” as well as Annex A to this pricing supplement. You can review the historical closing prices for each of the basket stocks for each calendar quarter in the period from January 1, 2019 through March 7, 2024 in Annex A. The historical performance of the five basket stocks cannot be taken as an indication of future performance of the basket stocks. You cannot predict the future performance of any basket stock, or whether increases in the value of any of the basket stocks will be offset by decreases in the value of other basket stocks, based on the historical information included in this pricing supplement. |
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The early redemption payment will be based on the performance of the basket on each determination date, calculated as described herein. If, however, a scheduled determination date is not a trading day, such determination date will be postponed to the next trading day. In addition, if a market disruption event occurs on any determination date with respect to any basket stock, the closing price for that basket stock only will be determined on the next trading day on which no market disruption event occurs with respect to that basket stock. The determination of the closing prices for the unaffected basket stocks will not be postponed. If, due to a market disruption event or otherwise, the closing price for any basket stock is determined on or after the scheduled trading day immediately prior to a scheduled maturity date or early redemption date, as applicable, the maturity date or early redemption date, as applicable, will be postponed until the second business day following the date on |
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which the closing price has been determined for every basket stock. See the sections of this pricing supplement entitled “Final Terms—Maturity Date” and “—Determination Dates.” |
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Investing in the securities is not equivalent to investing in the basket or in any of the basket stocks. |
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| The closing prices of the basket stocks may come to be based on the values of the stocks of companies other than the issuers of the basket stocks |
Following certain corporate events relating to a basket stock, such as a stock-for-stock merger where the basket stock is not the surviving entity, the closing price that had been based on the original basket stock will instead be based on the closing price of the stock of a successor corporation to the issuer of the basket stock. Following certain other corporate events relating to a basket stock, such as a merger event where holders of the basket stock would receive all or a substantial portion of their consideration in cash or a significant cash dividend or distribution of property with respect to such basket stock, the value of such cash consideration will be reallocated to a replacement stock of a company in the same industry as such basket stock in lieu of, or in addition to such basket stock, in either case to calculate the closing price for such basket stock. We describe the specific corporate events that can lead to these adjustments and the procedures for selecting substitute basket stocks in the section of this pricing supplement called “Final Terms—Adjustments to the Adjustment Factors.” You should read this section in order to understand these and other adjustments that may be made to your securities. |
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| You have no shareholder rights |
Investing in the securities is not equivalent to investing in the basket stocks. As an investor in the securities, you will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the basket stocks. In addition, you do not have the right to exchange your securities for the basket stocks at any time. |
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| Morgan Stanley & Co. LLC will be the calculation agent |
We have appointed our affiliate, Morgan Stanley & Co. LLC, which we refer to as MS & Co., to act as calculation agent for The Bank of New York Mellon, a New York banking corporation, the trustee for our senior notes. As calculation agent, MS & Co. will determine the initial share price for each basket stock, the multiplier for each basket stock, the final basket value, the basket value on each determination date, whether the securities will be automatically redeemed following any determination date, the basket performance factor, if applicable, what, if any, adjustments will be made to the adjustment factor for a basket stock to reflect certain corporate and other events affecting the basket stocks, and whether a market disruption event has occurred, and will calculate the amount of cash, if any, you will receive at maturity. |
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| Morgan Stanley & Co. LLC will be the agent; conflicts of interest |
The agent for the offering of the securities, MS & Co., a wholly owned subsidiary
of Morgan Stanley and an affiliate of MSFL, 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. See “Additional Information About the Securities—Supplemental
Information Concerning Plan of Distribution; Conflicts of Interest” on PS-33. |
|
No affiliation with
the issuers of the basket stocks |
The issuers of the baskets stocks are not affiliates of ours and are not involved with this offering in any way. The obligations represented by the securities are obligations of ours and not of the issuers of the basket stocks. |
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| Where you can find more information on the securities |
The securities are senior unsecured securities issued as part of our Series A medium-term note program. You can find a general description of our Series A medium-term note program in the accompanying prospectus supplement dated November 16, 2023 and prospectus dated February 22, 2024. When you read the accompanying prospectus supplement, please note that all references in such supplement to the prospectus dated November 16, 2023, or to any sections therein, should refer instead to the accompanying prospectus dated February 22, 2024 or to the corresponding sections of such prospectus, as applicable. We describe the basic features of this type of security in the section of the prospectus supplement called “Description of Notes—Notes Linked to Commodity Prices, Single Securities, Baskets of Securities or Indices” and in the section of the prospectus called “Description of Debt Securities.” |
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For a detailed description of the terms of the securities, you should read the section of this pricing supplement called “Final Terms.” You should also read the “Additional Information About the Securities” section. You should also read about the material risks involved in investing in the securities in the section of this pricing supplement called “Risk Factors.” The tax and accounting treatment of investments in equity-linked securities such as the securities may differ from that of investments in ordinary debt securities. See the section of this pricing supplement called “Additional Information About the Securities – Tax Considerations.” We urge you to consult with your investment, legal, tax, accounting and other advisers with regard to any investment in the securities. |
HYPOTHETICAL PAYOUTS ON THE SECURITIES
The below examples are based on the following terms:
| Initial Basket Value: |
100.00 |
| Downside Threshold Level: |
60.00, which is 60% of the initial basket value |
| Hypothetical Adjustments to the Adjustment Factors: |
None |
| Stated Principal Amount: |
$1,000 per security |
| Early Redemption Payment: |
The early redemption payment will be an amount in cash per stated principal amount corresponding to a return of approximately 12.00% per annum for each annual determination date, as follows:
· 1st
determination date: $1,120.00
· 2nd
determination date: $1,240.00
· 3rd
determination date: $1,360.00
No further payments will be made on the securities once they have been redeemed. |
| Payment at Maturity: |
If the securities have not previously been redeemed, you will
receive at maturity a cash payment per security as follows:
· If
the final basket value is greater than or equal to the initial basket value:
$1,480.00
· If
the final basket value is less than the initial basket value but greater than or equal to the downside threshold level:
$1,000
· If
the final basket value is less than its downside threshold level:
$1,000 x basket performance factor
Under these circumstances, you will lose a significant portion
or all of your investment. |
In Example 1, the basket value is greater than
or equal to the initial basket value on one of the annual determination dates. Because the basket value is greater than or equal to the
initial basket value on one of the determination dates, the securities are automatically redeemed following the relevant determination
date. In Examples 2, 3 and 4, the basket value is less than the initial basket value on each determination date, and, consequently, the
securities are not automatically redeemed prior to, and remain outstanding until, maturity.
Example 1 – In this example,
on the first determination date, the basket value is below the initial basket value. Therefore, the securities are not redeemed. On the
second determination date in March 2026, the basket value is greater than or equal to the initial basket value. Therefore, the securities
are automatically redeemed on the second early redemption date. Investors will receive $1,240.00 per security on the related early redemption
date, corresponding to an annual return of approximately 12.00%. No further payments will be made on the securities once they have been
redeemed, and investors do not participate in any appreciation in the basket stocks.
Example 2 – In this example,
the basket value is below the initial basket value on each of the determination dates before the final determination date, and therefore
the securities are not redeemed prior to maturity. On the final determination date, the basket value has appreciated 150% from the initial
basket value. At maturity, investors receive $1,480.00 per security, corresponding to an annual return of approximately 12.00%. However,
investors do not participate in any appreciation in the basket stocks.
Example 3 – In this example,
the basket value is below the initial basket value on each of the determination dates before the final determination date, and therefore
the securities are not redeemed prior to maturity. On the final determination date, the final basket value is below the initial basket
value but at or above the downside threshold level, and accordingly, investors receive a payment at maturity equal to the stated principal
amount of $1,000 per security.
Example 4 – In this example,
the basket value is below the initial basket value on each of the determination dates before the final determination date, and therefore
the securities are not redeemed prior to maturity. On the final determination date, the final basket value is 50.00, which is below the
downside threshold level. Accordingly, investors are fully exposed to the negative performance of the basket over the term of the securities,
and will receive a payment at maturity that is significantly less than the stated principal amount of the securities. The payment at maturity
would be calculated as $1,000 × (50.00 / 100.00) = $500.
If the securities are not automatically redeemed
prior to maturity and the final basket value is less than the downside threshold level, you will lose a significant portion or all of
your investment in the securities.
RISK FACTORS
The securities are not secured
debt, are riskier than ordinary debt securities, and, unlike ordinary debt securities, do not guarantee the payment of regular interest
or the return of any principal at maturity. Investing in the securities is not equivalent to directly investing in the basket stocks.
This section describes the material risks relating to the securities. You should carefully consider whether the securities are suited
to your particular circumstances before you decide to purchase them.
Risks Relating to an Investment
in the Securities
| The securities do not pay interest or guarantee the return of any principal at maturity |
The terms of the securities differ from those of ordinary debt securities in that they do not pay interest or guarantee the return of any principal at maturity. Instead, if the securities have not been automatically redeemed prior to maturity, and if the final basket value is less than the downside threshold level, you will be exposed to the decline in the value of the basket as compared to the initial basket value, on a 1 to 1 basis, and the payment at maturity will represent a loss of at least 40% on your initial investment and may be zero. There is no minimum payment at maturity on the securities. Accordingly, you could lose your entire initial investment in the securities. |
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| The appreciation potential of the securities is limited by the fixed early redemption payment or payment at maturity specified for each determination date |
The appreciation potential of the securities is limited to the fixed early redemption payments specified for each determination date, if the basket value closes at or above the initial basket value on any annual determination date, or to the fixed upside payment at maturity, if the securities have not been redeemed and the final basket value is at or above the initial basket value. You will not participate in any appreciation in the basket stocks, which could be significant. |
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| The automatic early redemption feature may limit the term of your investment to approximately one year. If the securities are redeemed early, you may not be able to reinvest at comparable terms or returns |
The term of your investment in the securities may be shortened due to the automatic early redemption feature of the securities. If the securities are redeemed prior to maturity, you will receive no further payments on the securities and may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns. |
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| The market price will be influenced by many unpredictable factors |
Several factors, many of which are beyond our control, will influence
the value of the securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities
in the secondary market, including:
• the
market price and performance of each of the basket stocks at any time and, in particular, on any determination date;
• the
volatility (frequency and magnitude of changes in price) and dividend yield, if any, of each of the basket stocks;
• interest
and yield rates in the market;
• geopolitical
conditions and economic, financial, political, regulatory or judicial events that affect the basket stocks or stock markets generally
and which may affect the final basket value;
• the
time remaining until the next determination date and the maturity of the securities;
• the occurrence of certain
events affecting a particular basket stock that may or |
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may not require an adjustment to
its adjustment factor; and
• any
actual or anticipated changes in our credit ratings or credit spreads.
Some or all of these factors will influence the price that you
will receive if you sell your securities prior to maturity. In particular, if the value of the basket has been near or below the downside
threshold level, the market value of the securities is expected to decrease substantially, and you may have to sell your securities at
a substantial discount from the stated principal amount of $1,000 per security. |
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| The securities will not be listed and secondary trading may be limited. Accordingly, you should be willing to hold your securities for the entire 4-year term of the securities |
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS & Co. may, but is not obligated to, make a market in the securities and, if it once chooses to make a market, may cease doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Since other broker-dealers may not participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities to maturity. |
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| The securities are subject to our credit risk, and any actual or anticipated changes to its credit ratings or credit spreads may adversely affect the market value of the securities |
You are dependent on our ability to pay all amounts due on the securities upon an automatic early redemption or at maturity and therefore you are subject to our credit risk. If we default on our obligations under the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the securities. |
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| As a finance subsidiary, MSFL has no independent operations and will have no independent assets |
As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities. |
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| The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the |
Assuming no change in market conditions or any other relevant
factors, the prices, if any, at which dealers, including MS & Co., may be willing to purchase the securities in secondary market
transactions will likely be significantly lower than the original issue price, because secondary market prices will exclude the issuing,
selling, structuring and hedging-related costs that are included in the original issue price and borne by you and because the secondary
market prices will reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary market
transaction of this type as well as other factors. |
| inclusion of costs associated with issuing, selling, structuring and hedging the securities in the original issue price reduce the economic terms of the securities, cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market prices |
The inclusion of the costs of issuing, selling, structuring and hedging
the securities in the original issue price and the lower rate we are willing to pay as issuer make the economic terms of the securities
less favorable to you than they otherwise would be.
However, because the costs associated with issuing, selling, structuring
and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent
that MS & Co. may buy or sell the securities in the secondary market, absent changes in market conditions, including those related
to the basket stocks, and to our secondary market credit spreads, it would do so based on values higher than the estimated value, and
we expect that those higher values will also be reflected in your brokerage account statements. |
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| The estimated value of the securities is determined by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum secondary market price |
These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of the securities than those generated by others, including other dealers in the market, if they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your securities in the secondary market (if any exists) at any time. The value of your securities at any time after the date of this document will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market price will be influenced by many unpredictable factors” above. |
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| You have no shareholder rights |
Investing in the securities is not equivalent to investing in the basket stocks. As an investor in the securities, you will not participate in any appreciation of any basket stock, and you will not have voting rights or the right to receive dividends or other distributions or any other rights with respect to any basket stock. As a result, any return on the securities will not reflect the return you would realize if you actually owned shares of the basket stocks and received the dividends paid or distributions made on them. |
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| The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the securities |
As calculation agent, MS & Co. will determine the initial basket value, the downside threshold level, the final basket value, whether the securities will be redeemed following any determination date, whether a market disruption event has occurred, whether any adjustment(s) to the adjustment factor for a basket stock will be made and, if the securities are not redeemed prior to maturity, the amount of cash, if any, you will receive at maturity. Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events and the calculation of the final basket value (and of any adjustments to the adjustment factors). These potentially subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding these types of determinations, see “Final Terms—Final Basket Value,” “—Determination Dates,” “—Closing Price,” “—Trading Day,” “—Calculation Agent,” “—Market Disruption Event,” “Alternate Exchange Calculation in Case of an Event of Default” and “—Adjustments to the Adjustment Factors” below. In addition, MS & Co. has determined the estimated value of the securities on the pricing date. |
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| Hedging and trading activity by our affiliates could potentially adversely |
One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the securities, including trading in the basket stocks and in options contracts on the basket stocks, as well as in other instruments related to the |
| affect the value of the securities |
basket stocks. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the final determination date approaches. Some of our other affiliates also trade the basket stocks and other financial instruments related to the basket stocks on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to the pricing date could potentially increase the initial share prices of the basket stocks, and, therefore, could increase the prices at or above which the basket stocks must close on the final determination date (if the securities are not called) so that you do not suffer a significant loss on your initial investment in the securities. Additionally, our hedging activities, as well as our other trading activities, during the term of the securities could potentially affect the value of the basket on the determination dates, and, accordingly, whether the securities are automatically redeemed prior to maturity and the amount of cash you receive at maturity, if any. |
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| The U.S. federal income tax consequences of an investment in the securities are uncertain |
Please note that the discussions in this pricing supplement concerning
the U.S. federal income tax consequences of an investment in the securities supersede the discussions contained in the accompanying prospectus
supplement.
Subject to the discussion under “United States Federal Taxation”
in this pricing supplement, although there is uncertainty regarding the U.S. federal income tax consequences of an investment in the securities
due to the lack of governing authority, in the opinion of our counsel, Davis Polk & Wardwell LLP (“our counsel”), under
current law, and based on current market conditions, a security should be treated as a single financial contract that is an “open
transaction” for U.S. federal income tax purposes.
If the Internal Revenue Service (the “IRS”)
were successful in asserting an alternative treatment for the securities, the timing and character of income on the securities might differ
significantly from the tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize
the securities as debt instruments. In that event, U.S. Holders (as defined below) would be required to accrue into income original issue
discount on the securities every year at a “comparable yield” determined at the time of issuance and recognize all income
and gain in respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar
downside protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial instruments that do not have such features. We do not plan to request a ruling from the IRS regarding the tax
treatment of the securities, and the IRS or a court may not agree with the tax treatment described herein.
In 2007, the U.S. Treasury Department and the
IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their
investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these
instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded
status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to which
income (including any mandated accruals) realized by Non-U.S. Holders (as defined below) should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” rule, which very generally can operate to recharacterize |
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certain long-term capital gain as ordinary income
and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the securities, possibly with retroactive effect.
Both U.S. and Non-U.S. Holders should read carefully the discussion
under “United States Federal Taxation” in this pricing supplement and consult their tax advisers regarding all aspects of
the U.S. federal tax consequences of an investment in the securities as well as any tax consequences arising under the laws of any state,
local or non-U.S. taxing jurisdiction. |
Risks Relating to the
Basket Stocks
| Changes in the value of one or more basket stock(s) may offset changes in the value of the other(s) |
Price movements in the basket stocks may not correlate with each other. At a time when the price of one or more basket stock(s) increases, the price of the other basket stock(s) may not increase as much, or may even decline in value. Therefore, in calculating the basket value on any determination date, the increase in the price of one or more basket stock(s) may be moderated, or wholly offset, by a lesser increase or decline in the price of the other basket stock(s). For further information on each of the basket stocks, please see Annex A to this pricing supplement. You can review the historical closing prices for each of the basket stocks for each calendar quarter in the period from January 1, 2019 through March 7, 2024 in Annex A. You cannot predict the future performance of any basket stock, or of the basket as a whole, or whether increase(s) in the value of one or more basket stock(s) will be offset by decrease(s) in the value of the other basket stock(s), based on the historical information included in this pricing supplement. |
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The basket stock prices are volatile
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The trading prices of stocks can be volatile. Fluctuations in the trading prices of the basket stocks may result in a significant disparity between the prices of the basket stocks on any determination date and the overall performance of the basket stocks over the term of the securities. |
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| We are not affiliated with the issuers of the basket stocks |
We are not affiliated with any of the issuers of the basket stocks, and the issuers of the basket stocks are not involved with this offering in any way. Consequently, we have no ability to control the actions of the issuers of the basket stocks, including any corporate actions of the type that would require the calculation agent to adjust the adjustment factors of the basket stocks. The issuers of the basket stocks have no obligation to consider your interests as an investor in the securities in taking any corporate actions that might affect the value of your securities. None of the money you pay for the securities will go to the issuers of the basket stocks. |
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| We may engage in business with or involving one or more of the issuers of the basket stocks without regard to your interests |
We or our affiliates may presently or from time to time engage in business with one or more of the issuers of the basket stocks without regard to your interests, including extending loans to, or making equity investments in, one or more of the issuers of the basket stocks or their affiliates or subsidiaries, or providing advisory services to one or more of the issuers of the basket stocks, such as merger and acquisition advisory services. In the course of our business, we or our affiliates may acquire non-public information about one or more of the issuers of the basket stocks. Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates from time to time have published and in the future may publish research reports with respect to the basket stocks. These research reports may or may not recommend that investors buy or hold the basket stocks. The basket was compiled independently of any research recommendations and may not be |
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consistent with such recommendations. Furthermore, the composition of the basket will not be affected by any change that we or our affiliates may make in our recommendations or decisions to begin or discontinue coverage of any of the issuers of the basket stocks in our research reports. |
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| The adjustments to the adjustment factors the calculation agent is required to make do not cover every corporate event that can affect the basket stocks |
MS & Co., as calculation agent, will adjust the adjustment factor for a basket stock for certain events affecting the basket stock, such as stock splits and stock dividends, and certain other corporate actions involving the issuer of the basket stock, such as mergers. However, the calculation agent will not make an adjustment for every corporate event or every distribution that could affect the basket stocks. For example, the calculation agent is not required to make any adjustments if the issuer of a basket stock or anyone else makes a partial tender or partial exchange offer for that basket stock. If an event occurs that does not require the calculation agent to adjust an adjustment factor, the market price of the securities may be materially and adversely affected. The determination by the calculation agent to adjust, or not to adjust, an adjustment factor may materially and adversely affect the value of the securities. |
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| The closing prices of the basket stocks may come to be based on the value of the stock of companies other than the issuers of the basket stocks |
Following certain corporate events relating to a basket stock, such as a stock-for-stock merger where the basket stock is not the surviving entity, you will receive at maturity an amount based on the closing price of the stock of a successor corporation to the issuer of the basket stock. Following certain other corporate events relating to a basket stock, such as a merger event where holders of the basket stock would receive all or a substantial portion of their consideration in cash or a significant cash dividend or distribution of property with respect to such basket stock, the value of such cash consideration will be reallocated to the other, unaffected basket stocks. We describe the specific corporate events that can lead to these adjustments and the procedures for selecting those other reference stocks in the section of this pricing supplement called “Final Terms—Adjustments to the Adjustment Factors.” You should read this section in order to understand these and other adjustments that may be made to your securities. |
FINAL TERMS
Terms not defined herein have the meanings given
to such terms in the accompanying prospectus supplement. The term “Security” refers to each $1,000 stated principal amount
of our Jump Securities with Auto-Callable Feature due March 10, 2028 Based on the Performance of a Basket Composed of the Common Stock
of Advanced Micro Devices, Inc., the Common Stock of Amazon.com, Inc., the Common Stock of NVIDIA Corporation, the Class A Subordinate
Voting Shares of Shopify Inc. and the Common Stock of Target Corporation. We refer to each stock composing the basket individually as
a “Basket Stock” and collectively as the “Basket Stocks.”
| Aggregate Principal Amount |
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$880,000 |
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| Original Issue Date (Settlement Date) |
|
March 12, 2024 |
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| Pricing Date |
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March 7, 2024 |
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| Maturity Date |
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March 10, 2028, subject to extension in accordance with the following paragraph in the event of non-Trading Days or a Market Disruption Event with respect to any Basket Stock(s) on the Final Determination Date. |
If, due to non-Trading Days, a Market
Disruption Event or otherwise, the Final Determination Date for any Basket Stock is postponed so that it falls less than two Business
Days prior to the scheduled Maturity Date, the Maturity Date will be the second Business Day following that Final Determination Date as
postponed, and no adjustment will be made to any payment made on that postponed date. See “––Determination Dates”
below.
| Stated Principal Amount |
|
$1,000 per Security |
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| Issue Price |
|
$1,000 per Security |
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| Denominations |
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$1,000 and integral multiples thereof |
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| CUSIP Number |
|
61771W6Q6 |
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| ISIN |
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US61771W6Q68 |
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| Minimum Purchase |
|
1 Security |
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| Specified Currency |
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U.S. dollars |
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| Basket Value |
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The Basket Value on any day equals the sum of the products of (i) the Basket Component Closing Value for each Basket Stock on such day and (ii) the Multiplier for such Basket Stock on such day. |
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| Early Redemption |
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If, on any annual Determination Date occurring on or after March 10, 2025 to but excluding the final Determination Date, the Basket Value is greater than or equal to the Initial Basket Value, the Securities will be automatically redeemed, in whole and not in part, for the applicable Early Redemption Payment on the related Early Redemption Date following such Determination Date (as may be postponed pursuant to “––Determination Dates” below). |
In the event that the Securities are
subject to Early Redemption, we will, or will cause the Calculation Agent to, (i) on the Business Day following the applicable Determination
Date (as may be postponed pursuant to “––Determination Dates” below), give
notice of the Early Redemption of the
Securities, the applicable Early Redemption Payment amount due and the payment date of the applicable Early Redemption Payment to the
Trustee, upon which notice the Trustee may conclusively rely, and to The Depository Trust Company, which we refer to as DTC, and (ii)
deliver the aggregate cash amount due with respect to the Securities to the Trustee for delivery to DTC, as holder of the Securities,
on or prior to the applicable Early Redemption Date. See “—Book-Entry Note or Certificated Note” below, and see “Forms
of Securities—The Depositary” in the accompanying prospectus.
| Early Redemption Dates |
|
Annually, as set forth under “Final Terms–Determination Dates, Early Redemption Dates and Early Redemption Payments” below; provided that if any such day is not a Business Day, the Securities will be redeemed on the next succeeding Business Day and no adjustment will be made to any Early Redemption Payment made on that succeeding Business Day. |
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| Early Redemption Payment |
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The Early Redemption Payment will equal an amount in cash for each $1,000 Stated Principal Amount of Securities (corresponding to a return of approximately 12.00% per annum) for each annual Determination Date, as set forth under “Determination Dates, Early Redemption Dates and Early Redemption Payments” below. |
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| Payment at Maturity |
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If the Securities have not previously been automatically redeemed, investors will receive for each $1,000 Stated Principal Amount of Securities an amount in cash equal to: |
| • | if the Final Basket Value is greater than or equal to the Initial Basket Value, $1,480.00; or |
| • | if the Final Basket Value is less than the Initial Basket Value but is greater than or equal
to the Downside Threshold Level, the Stated Principal Amount; or |
| • | if the Final Basket Value is less than the Downside Threshold Level, (i) the Stated Principal Amount
times (ii) the Basket Performance Factor. |
If the Basket declines
to below 60% of the Initial Basket Value, you will be exposed to the full decline on a 1-to-1 basis, and you will lose more than 40%,
and possibly all, of your investment.
We will, or will
cause the Calculation Agent to, (i) provide written notice to the Trustee, upon which notice the Trustee may conclusively rely, and to
DTC of the amount of cash, if any, to be delivered with respect to each $1,000 Stated Principal Amount of Securities on or prior to 10:30
a.m. (New York City time) on the Business Day preceding the Maturity Date, and (ii) deliver the aggregate cash amount, if any, due with
respect to the Securities to the Trustee for delivery to DTC, as holder of the Securities, on or prior to the Maturity Date. We expect
such amount of cash, if any, 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 “Additional Information
About the Securities—Book-Entry
Note or Certificated Note” below, and see “Forms of Securities—The Depositary” in the accompanying prospectus.
| Basket |
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The Basket is composed of the stocks of five issuers. See “—Basket Stocks” below. |
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| Basket Stocks |
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The Basket is composed of the stocks of five companies, as listed in the table below. The table sets forth the Bloomberg ticker symbol for each Basket Stock, the exchange on which each Basket Stock is listed, the percentage of the Initial Basket Value represented by such Basket Stock, the Initial Share Price for each Basket Stock and the initial Multiplier for such Basket Stock, as calculated on the Pricing Date. |
|
Issuer
of Basket Stock |
Bloomberg
Ticker Symbol* |
Exchange |
Percentage
of Initial Basket Value |
Initial
Share Price |
Multiplier |
| Advanced Micro Devices, Inc. |
AMD |
Nasdaq Global Select Market |
20% |
$211.38 |
0.094616331 |
| Amazon.com, Inc. |
AMZN |
Nasdaq Global Select Market |
20% |
$176.82 |
0.113109377 |
| NVIDIA Corporation |
NVDA |
Nasdaq Global Select Market |
20% |
$926.69 |
0.021582190 |
| Shopify Inc. |
SHOP |
New York Stock Exchange |
20% |
$75.33 |
0.265498473 |
| Target Corporation |
TGT |
New York Stock Exchange |
20% |
$171.54 |
0.116590883 |
| *Bloomberg Ticker Symbols are being provided for reference purposes only. |
| Multiplier |
|
The initial Multiplier for each Basket Stock will be set on the Pricing Date, based on such Basket Stock’s respective Closing Price on such date, so that each Basket Stock will be reflected in the predetermined Initial Basket Value of 100 in accordance with its equal percentage weighting within the Basket. The Multiplier for each Basket Stock will remain constant for the term of the Securities. |
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| Basket Performance Factor |
|
A fraction, the numerator of which is the Final Basket Value and the denominator of which is the Initial Basket Value. |
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| Initial Basket Value |
|
100, which is equal to the sum of the products of (i) the Closing Price of each Basket Stock on the Pricing Date and (ii) the Multiplier for such Basket Stock on such date, as determined by the Calculation Agent. |
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| Final Basket Value |
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The Basket Value on the Final Determination Date, as determined by the Calculation Agent. |
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| Basket Component Closing Value |
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For each Basket Stock on any Trading Day, the Closing Price of such Basket Stock on such day times the Adjustment Factor for such Basket Stock on such day. |
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|
|
| Downside Threshold Level |
|
60, which is 60% of the Initial Basket Value. |
| Initial Share Price |
|
For each Basket Stock, the Closing Price for such Basket Stock on the Pricing Date, as set forth in the table under “Basket Stocks—Initial Share Price” above. |
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|
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| Business Day |
|
Any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions are authorized or required by law or regulation to close in The City of New York. |
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|
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| Determination Dates |
|
Annually, as set forth below, subject to postponement for non-Trading Days and certain Market Disruption Events. We also refer to March 7, 2028, the third scheduled Business Day prior to the scheduled Maturity Date, as the Final Determination Date. |
Determination Dates, Early Redemption
Dates and Early Redemption Payments
| Determination Dates |
Early Redemption Dates |
Early Redemption Payments
(per $1,000 Security) |
| March 10, 2025 |
March 13, 2025 |
$1,120 |
| March 9, 2026 |
March 12, 2026 |
$1,240 |
| March 8, 2027 |
March 11, 2027 |
$1,360 |
| March 7, 2028 (Final Determination Date) |
See “Maturity Date” above. |
See “Payment at Maturity” above. |
If any scheduled Determination Date
is not a trading day with respect to any
Basket Stock or if there is a market disruption
event with respect to any Basket Stock on such day, the Determination Date for that
Basket Stock only shall be the next succeeding trading day
on which there is no market disruption event;
provided that if a market disruption
event has occurred on each of the five consecutive trading
days immediately succeeding such scheduled Determination Date, then (i) such fifth succeeding
trading day shall be deemed to be the relevant
Determination Date for such affected Basket Stock notwithstanding the occurrence of a market
disruption event on such day and (ii) with
respect to any such fifth trading day on
which a market disruption event
occurs, the Calculation Agent shall determine the Closing price of such Basket Stock on
such fifth trading day based on the mean,
as determined by the Calculation Agent, of the bid prices for such Basket Stock for such date 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 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 bids
obtained. If no bid prices are provided from any third-party dealers, the Closing
Price for such Basket Stock 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.
| Closing Price |
|
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: |
| (i) | 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, |
| (ii) | 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 |
| (iii) | 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 and its
successors (“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 bids obtained. If no bid prices are provided from any third-party dealers, the Closing Price and
Multiplier for such Basket Stock will 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 “—Adjustments to the Adjustment Factors”
below.
| Adjustment Factor |
|
With respect to each Basket Stock, 1.0, subject to adjustment in the event of certain corporate events affecting such Basket Stock. See “—Adjustments to the Adjustment Factors” below. |
| |
|
|
| Trading Day |
|
With respect to any Basket Stock, a day, as determined by the Calculation Agent, on which trading is generally conducted on the New York Stock Exchange (“NYSE”), 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. |
| |
|
|
| Senior Note or Subordinated Note |
|
Senior |
| |
|
|
| Trustee |
|
The Bank of New York Mellon |
| |
|
|
| Agent |
|
MS & Co. |
| |
|
|
| Calculation Agent |
|
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 investors in the Securities, the Trustee and the Issuer.
All calculations with respect to the Payment at Maturity,
if any, will be rounded to the nearest one billionth, with five ten-billionths rounded upward (e.g., .9876543215 would be rounded to .987654322);
all dollar amounts related to determination of the amount of cash payable per Security, if any, will be rounded to the nearest ten-thousandth,
with five one hundred-thousandths rounded upward (e.g., .76545 would be rounded up to .7655); and all dollar amounts, if any, paid on
the aggregate number of Securities will be rounded to the nearest cent, with one-half cent rounded upward.
Because the Calculation Agent is our
affiliate, the economic interests of the Calculation Agent and its affiliates may be adverse to your interests as an investor in the Securities,
including with respect to certain determinations and judgments that the Calculation Agent must make in determining the Basket Value, what
adjustments should be made, if any, to the Multiplier with respect to a Basket Stock or whether a Market Disruption Event has occurred.
See “Market Disruption Event” and “Adjustments to the Adjustment Factors” below. 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 |
|
“Market Disruption Event” means, with respect to any Basket Stock: |
(i) the
occurrence or existence of any 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 Securities.
For the purpose 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 futures contract or options contract or exchange traded fund 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 (a) a price change exceeding limits set by such securities exchange or market, (b) an imbalance of orders relating
to such contracts or (c) 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.
| Relevant Exchange |
|
Relevant Exchange means the primary exchange or market of trading for any Basket Stock. |
Alternate Exchange
Calculation
| in Case of an Event of Default |
|
If an Event of Default with respect to the Securities shall have occurred and be continuing, the amount declared due and payable upon any acceleration of the Securities (the “Acceleration Amount”) will be an amount, determined by the Calculation Agent in its sole discretion, that is equal to the cost of having a Qualified Financial Institution, of the kind and selected as |
described below,
expressly assume all our payment and other obligations with respect to the Securities as of that day and as if no default or acceleration
had occurred, or to undertake other obligations providing substantially equivalent economic value to you with respect to the Securities.
That cost will equal:
• 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 Securities in preparing any documentation
necessary for this assumption or undertaking.
During the Default Quotation Period for the Securities,
which we describe below, the holders of the Securities and/or we may request a Qualified Financial Institution to provide a quotation
of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other
party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest—or, if there is
only one, the only—quotation obtained, and as to which notice is so given, during the Default Quotation Period. With respect to
any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or
undertaking by the Qualified Financial Institution providing the quotation and notify the other party in writing of those grounds within
two Business Days after the last day of the Default Quotation Period, in which case that quotation will be disregarded in determining
the Acceleration Amount.
Notwithstanding the foregoing, if a voluntary or involuntary
liquidation, bankruptcy or insolvency of, or any analogous proceeding is filed with respect to MSFL or Morgan Stanley, then depending
on applicable bankruptcy law, your claim may be limited to an amount that could be less than the Acceleration Amount.
If the maturity of the Securities is accelerated because
of an Event of Default as described above, we will, or will cause the Calculation Agent to, provide written notice to the Trustee at its
New York office, on which notice the Trustee may conclusively rely, and to The Depository Trust Company of the Acceleration Amount and
the aggregate cash amount due, if any, with respect to the Securities as promptly as possible and in no event later than two Business
Days after the date of such acceleration.
Default Quotation Period
The Default Quotation Period is the period beginning on
the day the Acceleration Amount first becomes due and ending on the third Business Day after that day, unless:
| • | 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 Determination Date, then the Acceleration Amount will equal the principal
amount of the Securities.
Qualified Financial Institutions
For the purpose of determining the Acceleration Amount
at any time, a Qualified Financial Institution must be a financial institution organized under the laws of any jurisdiction in the United
States or Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue
and rated either:
• 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.
Issuer Notices
to Registered Security
| Holders, the Trustee and the Depositary |
|
In the event that the Maturity Date is postponed due to postponement of the Final Determination Date, the Issuer shall give notice of such postponement and, once it has been determined, of the date to which the Maturity Date has been rescheduled (i) to each registered holder of the Securities by mailing notice of such postponement by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books, (ii) to the Trustee by facsimile, confirmed by mailing such notice to the Trustee by first class mail, postage prepaid, at its New York office and (iii) to The Depository Trust Company (the “depositary”) by telephone or facsimile confirmed by mailing such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered holder of the Securities in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or not such registered holder receives the notice. The Issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice of postponement of the Maturity Date, the Business Day immediately preceding the scheduled Maturity Date, and (ii) with respect to notice of the date to which the Maturity Date has been |
rescheduled, the
Business Day immediately following the final Determination Date as postponed.
In the event that
the Securities are subject to Early Redemption, the issuer shall, (i) on the Business Day following the applicable Determination Date,
give notice of the Early Redemption and the Early Redemption Payment, including specifying the payment date of the amount due upon the
Early Redemption, (x) to each registered holder of the Securities by mailing notice of such Early Redemption by first class mail, postage
prepaid, to such registered holder’s last address as it shall appear upon the registry books, (y) to the trustee by facsimile confirmed
by mailing such notice to the trustee by first class mail, postage prepaid, at its New York office and (z) to the depositary by telephone
or facsimile confirmed by mailing such notice to the depositary by first class mail, postage prepaid, and (ii) on or prior to the Early
Redemption Date, deliver the aggregate cash amount due with respect to the securities to the Trustee for delivery to the depositary, as
holder of the Securities. Any notice that is mailed to a registered holder of the Securities in the manner herein provided shall be conclusively
presumed to have been duly given to such registered holder, whether or not such registered holder receives the notice. This notice shall
be given by the Issuer or, at the Issuer’s request, by the Trustee in the name and at the expense of the Issuer, with any such request
to be accompanied by a copy of the notice to be given.
The Issuer shall,
or shall cause the Calculation Agent to, (i) provide written notice to the Trustee, on which notice the Trustee may conclusively rely,
and to the depositary of the amount of cash, if any, to be delivered with respect to the Securities, on or prior to 10:30 a.m. (New York
City time) on the Business Day preceding the Maturity Date, and (ii) deliver the aggregate cash amount due with respect to the securities,
if any, to the Trustee for delivery to the depositary, as holder of the Securities, on the Maturity Date.
| Adjustments to the Adjustment Factors |
|
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 will 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 a 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 Securities, 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 will 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 will 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 will 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. There will be no required adjustments to an Adjustment
Factor to reflect cash dividends or other distributions paid with respect to a Basket Stock other than distributions described in paragraph
2, paragraph 3 and clauses (i), (iv) and (v) of the first sentence of paragraph 5 and Extraordinary Dividends as described below. A cash
dividend or other distribution with respect to any Basket Stock will be deemed to be an “Extraordinary Dividend” if such cash
dividend or distribution exceeds the immediately preceding non-Extraordinary Dividend for such Basket Stock by an amount equal to at least
10% of the Closing Price of such Basket Stock (as adjusted for any subsequent corporate event requiring an adjustment hereunder, such
as a stock split or reverse stock split) on the Trading Day preceding the ex-dividend date (that is, the day on and after which transactions
in such Basket Stock on the primary U.S. organized securities exchange or trading system on which such Basket Stock is traded or trading
system no longer carry the right to receive that cash dividend or that cash distribution) for the payment of such Extraordinary Dividend
(such Closing Price, the “Base Closing Price”). Subject to the following sentence, if an Extraordinary Dividend occurs with
respect to any Basket Stock, the Adjustment Factor with respect to such Basket Stock will be adjusted on the ex-dividend date with respect
to such Extraordinary Dividend so that the new Adjustment Factor will equal the product of (i) the then current Adjustment Factor 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 Amount. If any Extraordinary Dividend Amount is at least 35% of the Base Closing Price, then, instead of adjusting the Adjustment
Factor of such Affected Basket Stock (as defined below), the Basket Value will be determined as described in paragraph 5 below, and the
Extraordinary Dividend will be allocated equally among the Unaffected Basket Stocks as described in clause (c)(ii) of paragraph 5 below.
The “Extraordinary Dividend Amount” with respect to an Extraordinary Dividend for any Basket Stock will equal (i) in the case
of cash dividends or other distributions that constitute regular dividends, the amount per share of such Extraordinary Dividend minus
the amount per share of the immediately preceding non-Extraordinary Dividend for such Basket Stock or (ii) in the case of cash dividends
or other distributions that do not constitute regular dividends, the amount per share of such Extraordinary Dividend. The value of the
non-cash component of an Extraordinary Dividend will be determined on the ex-dividend date for such distribution by the Calculation Agent,
whose determination will be conclusive in the absence of manifest error. A distribution on any Basket Stock described in clause (i), (iv)
or (v) of the first sentence of paragraph 5 below will cause an adjustment to the Adjustment Factor pursuant only to clause (i), (iv)
or (v) of the first sentence of paragraph 5, as applicable.
5. Any of the following will constitute a Reorganization
Event: (i) a Basket Stock is reclassified or changed, 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 the issuer
of such Basket Stock (an “Issuer Successor”) has been subject to any merger, combination or consolidation and is not the surviving
entity, (iii) the issuer of a Basket Stock or any Issuer Successor completes a statutory exchange of securities with another corporation
(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 the issuer of such Basket Stock (other than in a transaction described
in clause (ii), (iii) or (iv) above) (a “Spinoff Stock”) or (vi) the issuer of a Basket Stock or any Issuer Successor is the
subject of a tender or exchange offer or going-private transaction on all of the outstanding shares of such Basket Stock. If any Reorganization
Event occurs, in each case as a result of which the holders of a Basket Stock receive any equity security listed on a national securities
exchange (a “Marketable Security”), other securities or other property, assets or cash (collectively, “Exchange Property”),
the Adjustment Factor for such Basket Stock and/or any for any New Stock (as defined below) on any Determination Date (or, if applicable,
in the case of Spinoff Stock, the ex-dividend date for the distribution of such Spinoff Stock) will be determined in accordance with the
following:
(a) if such Basket Stock continues
to be outstanding (if applicable, as reclassified upon the issuance of any tracking
stock), the Adjustment Factor in effect
on such Determination Date (taking into account any adjustments for any distributions described under clause (c)(i) below); and
(b) for each Marketable Security received
in such Reorganization Event (each a “New Stock”), including the issuance of any tracking stock or Spinoff Stock or the receipt
of any stock received in exchange for such Basket Stock, the number of shares of the New Stock received with respect to one share of the
Basket Stock multiplied by the Adjustment Factor in effect for such Basket Stock on the Trading Day immediately prior to the effective
date of the Reorganization Event (the “New Stock Adjustment Factor”), as adjusted to such Determination Date (taking into
account any adjustments for distributions described under clause (c)(i) below); and
(c) for any cash and any other property
or securities other than Marketable Securities received in such Reorganization Event (the “Non-Stock Exchange Property”),
(i) if the combined value of the amount
of Non-Stock Exchange Property received per share of such Basket Stock, as determined by the Calculation Agent in its sole discretion
on the effective date of such Reorganization Event (the “Non-Stock Exchange Property Value”), by holders of the Basket Stock
is less than 25% of the Closing Price of the Basket Stock on the Trading Day immediately prior to the effective date of the Reorganization
Event, a number of shares of the Basket Stock, if applicable, and of any New Stock received in connection with such Reorganization Event,
if applicable, with respective values in proportion to the relative Closing Prices of the Basket Stock and any such New Stock, and with
an aggregate value equal to the Non-Stock Exchange Property Value multiplied by the Adjustment Factor in effect for such Basket Stock
on the Trading Day immediately prior to the effective date of the Reorganization Event, based on such Closing Prices, in each case as
determined by the Calculation Agent in its sole discretion, on the effective date of such Reorganization Event; and the number of such
shares of the Basket Stock or any New Stock determined in accordance with this clause (c)(i) will be added at the time of such adjustment
to the Adjustment Factor in subparagraph (a) above and/or the New Stock Adjustment Factor in subparagraph (b) above, as applicable, or
(ii) if the Non-Stock Exchange Property
Value is equal to or exceeds 25% of the Closing Price of such Basket Stock on the Trading Day immediately prior to the effective date
of the Reorganization Event or, if the Basket Stock is surrendered exclusively for Non-Stock Exchange Property (in each case, a “Reference
Basket
Event”), the Adjustment Factor
of each Basket Stock (each an “Unaffected Basket Stock”) other than the Basket Stock affected by such Reference Basket Event
(the “Affected Basket Stock”) will equal (A) the then current Adjustment Factor for such Unaffected Basket Stock plus (B)
(i) the amount of cash received per share of the Affected Basket Stock times the applicable Adjustment Factor for such Affected
Basket Stock on the date of such Reference Basket Event times (ii) a fraction, the numerator of which is the Adjustment Factor
of such Unaffected Basket Stock as of the Trading Day immediately following the day on which a holder of the Affected Basket Stock receives
such cash and the denominator of which is the sum of the products of the Closing Price of each of the Unaffected Basket Stocks and the
corresponding Adjustment Factor of such Unaffected Basket Stock, each determined by the Calculation Agent on such Trading Day.
Following the allocation of any Extraordinary Dividend
to the Unaffected Basket Stocks pursuant to paragraph 4 above or any Reorganization Event described in paragraph 5, the Basket Value on
the applicable Determination Date determined by the Calculation Agent will be an amount equal to the sum of:
(x) if applicable, the Closing Price of each Basket Stock
times the Adjustment Factor then in effect for such Basket Stock; and
(y) if applicable, the Closing Price of each New Stock
times the New Stock Adjustment Factor then in effect for such New Stock.
For purposes of paragraph 5 above, in the case of a consummated
tender or exchange offer or going-private transaction involving Exchange Property of a particular type, Exchange Property will be deemed
to include the amount of cash or other property paid by the offeror in the tender or exchange offer with respect to such Exchange Property
(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 will be deemed to include the kind and amount of cash and other property received by offerees
who elect to receive cash.
Following the occurrence of any Reorganization Event referred
to in paragraphs 4 or 5 above, (i) references to “Basket Stock” under “—Closing Price” and “—Market
Disruption Event” will be deemed to also refer to any New Stock, and (ii) all other references in this pricing supplement to “Basket
Stock” will be deemed to refer to any New Stock and references to a “share” or “shares” of a Basket Stock
will be deemed to refer to the applicable unit or units of such Exchange Property, including any
New Stock, unless the context otherwise requires. The New
Stock Adjustment Factor(s) resulting from any Reorganization Event described in paragraph 5 above or similar adjustment under paragraph
4 above will be subject to the adjustments set forth in paragraphs 1 through 5 hereof.
If a Closing Price for a Basket Stock is no longer available
for a Basket Stock for whatever reason, including the liquidation of the issuer of such Basket Stock or the subjection of the issuer to
a proceeding under any applicable bankruptcy, insolvency or other similar law and a Closing Price is not determined pursuant to adjustments
made under paragraph 5 above, then the value of such Basket Stock will equal zero for so long as no Closing Price is available. There
will be no substitution for any such Basket Stock.
No adjustment to any Adjustment Factor for any Basket Stock
(including for this purpose, any New Stock Adjustment Factor) will be required unless such adjustment would require a change of at least
..1% in the Adjustment Factor of such Basket Stock then in effect. The Adjustment Factor resulting from any of the adjustments specified
above will be rounded to the nearest one billionth, with five ten-billionths rounded upward. Adjustments to the Adjustment Factors will
be made up to and including the Final Determination Date.
No adjustments to the Adjustment Factor for any Basket
Stock or method of calculating the Adjustment Factor will be required other than those specified above. The adjustments specified above
do not cover all of the events that could affect the Closing Price of a Basket Stock, including, without limitation, a partial tender
or exchange offer for a Basket Stock.
The Calculation Agent will be solely responsible for the
determination and calculation of any adjustments to any Adjustment Factor for a Basket Stock, any New Stock Adjustment Factor or method
of calculating the Non-Stock 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 5 above, and its determinations and calculations with respect thereto will be conclusive in the absence of manifest error.
The Calculation
Agent will provide information as to any adjustments to any Adjustment Factor, or to the method of calculating the Basket Value made pursuant
to paragraph 5 above, upon written request by any investor in the Securities.
ADDITIONAL INFORMATION
ABOUT THE SECURITIES
| Listing |
|
The Securities will not be listed on any securities exchange. |
| |
|
|
| Minimum Ticketing Size |
|
$1,000 / 1 Security |
| |
|
|
| Book Entry Note or Certificated Note |
|
Book Entry. The securities 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 Securities. Your beneficial interest in the Securities will be evidenced solely by entries on the books of the securities 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 Securities, 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—Registered Global Securities” in the accompanying prospectus. |
| |
|
|
| Basket Stocks; Public Information |
|
For information on each of the Basket Stocks, please see Annex A. |
The issuers of the
Basket Stocks are registered under the Securities Exchange Act of 1934, as amended (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 can be inspected and copied
at the public reference facilities maintained by the Commission at Room 1580, 100 F Street, N.E., Washington, D.C. 20549, and copies of
such material can be obtained from the Public Reference Section of the Commission, 100 F Street, N.E., Washington, D.C. 20549, at prescribed
rates. In addition, 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 each of the issuers of the Basket Stocks pursuant to the Exchange Act can be located by reference to its
respective Commission file number, set forth in Annex A. In addition, information regarding the issuers of the Basket Stocks 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 Securities referenced hereby and does not relate to the Basket Stocks or other securities of the issuers of the Basket Stocks.
We have derived all disclosures contained in this pricing supplement regarding the issuers of the Basket Stocks from the publicly
available documents described in
the preceding paragraph. In connection with the offering of the Securities, neither we nor the Agent has participated in the preparation
of such documents or made any due diligence inquiry with respect to the issuers of the Basket Stocks in connection with the offering of
the Securities. Neither we nor the Agent makes any representation that such publicly available documents are or any other publicly available
information regarding the issuers of the Basket Stocks 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 paragraphs) that would affect the Closing Prices of the Basket Stocks have been publicly disclosed. Subsequent
disclosure of any such events or the disclosure of or failure to disclose material future events concerning the issuers of the Basket
Stocks could affect the value received at maturity with respect to the Securities and therefore the value of the Securities.
Neither we nor any of our affiliates
makes any representation to you as to the performance of any of the Basket Stocks or the Basket as a whole.
We and/or our affiliates may presently
or from time to time engage in business with the issuers of the Basket Stocks, including extending loans to, or making equity investments
in, the issuers of the Basket Stocks or providing advisory services to the issuers of the Basket Stocks, 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 the issuers
of the Basket Stocks, 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 the issuers of the Basket Stocks, and these reports may or may not
recommend that investors buy or hold the Basket Stocks. The statements in the preceding two sentences are not intended to affect the rights
of investors in the Securities under the securities laws. As a purchaser of the Securities, you should undertake an independent investigation
of the issuers of the Basket Stocks as in your judgment is appropriate to make an informed decision with respect to an investment linked
to the Basket Stocks.
| Historical Information |
|
For further information on each of the Basket Stocks, please see Annex A to this Pricing Supplement, which shows historical Closing Prices for each of the Basket Stocks for each calendar quarter in the period from January 1, 2019 through March 7, 2024. We obtained the information in the tables included in Annex A from Bloomberg Financial Markets, without independent verification. |
| |
|
|
| Use of Proceeds and Hedging |
|
The proceeds we receive from the sale of the Securities will be used for general corporate purposes. We will receive, in aggregate, $1,000 per Security issued, because, when we enter |
into hedging transactions
in order to meet our obligations under the Securities, our hedging counterparty will reimburse the cost of the Agent’s commissions.
The costs of the Securities borne by you and described beginning on PS-2 above comprise the Agent’s commissions and the cost of
issuing, structuring and hedging the Securities. See also “Use of Proceeds” in the accompanying prospectus.
On or prior to the Pricing Date, we
expect to hedge our anticipated exposure in connection with the Securities, by entering into hedging transactions with our affiliates
and/or third-party dealers. We expect our hedging counterparties to take positions in the Basket Stocks or in options contracts on the
Basket Stocks that are 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. Such purchase activity could potentially increase the Initial Share Prices of the Basket Stocks,
and, therefore, could increase the prices at or above which the Basket Stocks must close on the Determination Dates so that you do not
suffer a significant loss on your initial investment in the Securities. In addition, through our affiliates, we are likely to modify our
hedge position throughout the term of the Securities by purchasing and selling Basket Stocks, futures or options contracts on the Basket
Stocks that are 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, including by selling any such securities or instruments on any Determination Date. As a result,
these entities may be unwinding or adjusting hedge positions during the term of the Securities, and the hedging strategy may involve greater
and more frequent dynamic adjustments to the hedge as the Final Determination Date approaches. We cannot give any assurance that our hedging
activities will not affect the value of the Basket Stocks and, therefore, adversely affect the value of the Securities and the Payment
at Maturity, if any.
Supplemental Information Concerning
| Plan of Distribution; Conflicts of Interest |
|
Selected dealers, which may include our affiliates, and their financial advisors will collectively receive from the Agent a fixed sales commission of $32.50 for each Security they sell. |
MS & Co. is an affiliate of MSFL
and a wholly owned subsidiary of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and,
when applicable, hedging the Securities.
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 Securities, the Agent may engage in transactions that stabilize, maintain or otherwise affect the price of the Securities. Specifically,
the Agent may sell more Securities than it is obligated to purchase in connection with the offering, creating a naked short position in
the Securities for its own account. The Agent must close out any naked short position by purchasing the Securities in the open market
after the offering. A naked short position in the Securities is more likely to be created if the Agent is concerned that there may be
downward pressure on the price of the Securities 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, Securities in the open market
to stabilize the price of the Securities. Any of these activities may raise or maintain the market price of the Securities above independent
market prices or prevent or retard a decline in the market price of the Securities. 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 in connection with this
offering of the Securities. See “—Use of Proceeds and Hedging” above.
| Validity of the Securities |
|
In the opinion of Davis Polk & Wardwell LLP, as special counsel to MSFL and Morgan Stanley, when the Securities 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 Securities 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 Securities 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 February 22, 2024, which is Exhibit 5-a to Post-Effective Amendment No. 1 to the Registration Statement on Form S-3 filed by Morgan Stanley on February 22, 2024. |
| Tax Considerations |
|
Prospective investors should note that the discussion under the section called “United States Federal Taxation” in the accompanying prospectus supplement does not apply to the Securities issued under this pricing supplement and is superseded by the following discussion. |
The following is a general discussion
of the material U.S. federal income tax consequences and certain estate tax consequences of the ownership and disposition of the Securities.
This discussion applies only to investors in the Securities who:
| · | purchase the Securities in the original offering; and |
· hold
the Securities as capital assets within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the “Code”).
This discussion does not describe all
of the tax consequences that may be relevant to a holder in light of the holder’s particular circumstances or to holders subject
to special rules, such as:
| · | certain financial institutions; |
| · | dealers and certain traders in securities or commodities; |
· investors
holding the Securities as part of a “straddle,” wash sale, conversion transaction, integrated transaction or constructive
sale transaction;
| · | U.S. Holders (as defined below) whose functional currency
is not the U.S. dollar; |
| · | partnerships or other entities classified as partnerships
for U.S. federal income tax purposes; |
| · | regulated investment companies; |
| · | real estate investment trusts; or |
· tax-exempt
entities, including “individual retirement accounts” or “Roth IRAs” as defined in Section 408 or 408A of the Code,
respectively.
If an entity that is classified as a partnership
for U.S. federal income tax purposes holds the Securities, the U.S. federal income tax treatment of a partner will generally depend on
the status of the partner and the activities of the partnership. If you are a partnership holding the Securities or a partner in such
a partnership, you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing of the
Securities to you.
As the law applicable to the U.S. federal
income taxation of instruments such as the Securities is technical and complex, the discussion below necessarily represents only a general
summary. Moreover, the effect of any applicable state, local or non-U.S. tax laws is not discussed, nor are any alternative minimum tax
consequences or consequences resulting from the Medicare tax on investment income.
This discussion is based on the Code,
administrative pronouncements, judicial decisions and final, temporary and
proposed Treasury regulations, all as
of the date of this pricing supplement, changes to any of which subsequent to the date hereof may affect the tax consequences described
herein. Persons considering the purchase of the Securities should consult their tax advisers with regard to the application of the U.S.
federal income tax laws to their particular situations as well as any tax consequences arising under the laws of any state, local or non-U.S.
taxing jurisdiction.
General
Although there is uncertainty regarding the U.S. federal
income tax consequences of an investment in the Securities due to the lack of governing authority, in the opinion of our counsel, under
current law, and based on current market conditions, a Security should be treated as a single financial contract that is an “open
transaction” for U.S. federal income tax purposes.
Due to the absence of statutory, judicial or administrative
authorities that directly address the treatment of the Securities or instruments that are similar to the Securities for U.S. federal income
tax purposes, no assurance can be given that the Internal Revenue Service (the “IRS”) or a court will agree with the tax treatment
described herein. Accordingly, you should consult your tax adviser regarding all aspects of the U.S. federal tax consequences of an investment
in the Securities (including possible alternative treatments of the Securities). Unless otherwise stated, the following discussion is
based on the treatment of the Securities as described in the previous paragraph.
Tax Consequences to U.S. Holders
This section applies to you only if you
are a U.S. Holder. As used herein, the term “U.S. Holder” means a beneficial owner of a Security that is, for U.S. federal
income tax purposes:
· a
citizen or individual resident of the United States;
· a
corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state thereof
or the District of Columbia; or
· an
estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
Tax Treatment of the Securities
Assuming the treatment of the Securities as set forth above
is respected, the following U.S. federal income tax consequences should result.
Tax Treatment Prior to Settlement.
A U.S. Holder should not be required to recognize taxable income over the term of the Securities prior to settlement, other than pursuant
to a sale or exchange as described below.
Tax Basis. A U.S. Holder’s
tax basis in the Securities should equal the amount paid by the U.S. Holder to acquire the Securities.
Sale, Exchange or Settlement of the
Securities. Upon a sale, exchange or settlement of the Securities, a U.S. Holder should recognize gain or loss equal to the difference
between the amount realized on the sale, exchange or settlement and the U.S. Holder’s tax basis in the Securities sold, exchanged
or settled. Any gain or loss recognized upon the sale, exchange or settlement of the Securities should be long-term capital gain or loss
if the U.S. Holder has held the Securities for more than one year at such time, and short-term capital gain or loss otherwise.
Possible Alternative Tax Treatments of an Investment
in the Securities
Due to the absence of authorities that directly address
the proper tax treatment of the Securities, no assurance can be given that the IRS will accept, or that a court will uphold, the treatment
described above. In particular, the IRS could seek to analyze the U.S. federal income tax consequences of owning the Securities under
Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”). If the IRS were successful
in asserting that the Contingent Debt Regulations applied to the Securities, the timing and character of income thereon would be significantly
affected. Among other things, a U.S. Holder would be required to accrue into income original issue discount on the Securities every year
at a “comparable yield” determined at the time of their issuance, adjusted upward or downward to reflect the difference, if
any, between the actual and the projected amount of the contingent payment on the Securities. Furthermore, any gain realized by a U.S.
Holder at maturity or upon a sale, exchange or other disposition of the Securities would generally be treated as ordinary income, and
any loss realized would be treated as ordinary loss to the extent of the U.S. Holder’s prior accruals of original issue discount
and as capital loss thereafter. The risk that financial instruments providing for buffers, triggers or similar downside protection features,
such as the Securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments
that do not have such features.
Other alternative federal income tax treatments of the Securities
are also possible, which, if applied, could significantly affect the timing and character of the income or loss with respect to the Securities.
In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid
forward contracts” and similar instruments. The notice focuses in particular on whether to require holders of these instruments
to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of
income or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance
of factors such as
the exchange-traded status of the instruments and the nature
of the underlying property to which the instruments are linked; and whether these instruments are or should be subject to the “constructive
ownership” rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose
an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or
other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the Securities, possibly with retroactive effect. U.S. Holders should consult their tax advisers regarding the U.S. federal income
tax consequences of an investment in the Securities, including possible alternative treatments and the issues presented by this notice.
Backup Withholding and Information Reporting
Backup withholding may apply in respect of the payment on
the Securities at maturity and the payment of proceeds from a sale, exchange or other disposition of the Securities, unless a U.S. Holder
provides proof of an applicable exemption or a correct taxpayer identification number and otherwise complies with applicable requirements
of the backup withholding rules. The amounts withheld under the backup withholding rules are not an additional tax and may be refunded,
or credited against the U.S. Holder’s U.S. federal income tax liability, provided that the required information is timely furnished
to the IRS. In addition, information returns may be filed with the IRS in connection with the payment on the Securities and the payment
of proceeds from a sale, exchange or other disposition of the Securities, unless the U.S. Holder provides proof of an applicable exemption
from the information reporting rules.
Tax Consequences to Non-U.S. Holders
This section applies to you only if you are a Non-U.S. Holder.
As used herein, the term “Non-U.S. Holder” means a beneficial owner of a Security that is, for U.S. federal income tax purposes:
| · | an individual who is classified as a nonresident alien; |
| · | a foreign corporation; or |
| · | a foreign estate or trust. |
The term “Non-U.S. Holder”
does not include any of the following holders:
· a
holder who is an individual present in the United States for 183 days or more in the taxable year of disposition and who is not otherwise
a resident of the United States for U.S. federal income tax purposes;
· certain
former citizens or residents of the United States; or
· a
holder for whom income or gain in respect of the Securities is effectively connected with the conduct of a trade or business in the United
States.
Such holders should consult their tax advisers regarding
the U.S. federal income tax consequences of an investment in the Securities.
Tax Treatment upon Sale, Exchange or Settlement of
the Securities
In general. Assuming the treatment of the Securities
as set forth above is respected, and subject to the discussions below concerning backup withholding and the possible application of Section
871(m) of the Code, a Non-U.S. Holder of the Securities generally will not be subject to U.S. federal income or withholding tax in respect
of amounts paid to the Non-U.S. Holder.
Subject to the discussions regarding the possible application
of Section 871(m) and FATCA, if all or any portion of a Security were recharacterized as a debt instrument, any payment made to a Non-U.S.
Holder with respect to the Securities would not be subject to U.S. federal withholding tax, provided that:
| · | the Non-U.S. Holder does not own, directly or by attribution, ten percent or more of the total combined voting power of all classes
of Morgan Stanley stock entitled to vote; |
| · | the Non-U.S. Holder is not a controlled foreign corporation related, directly or indirectly, to Morgan Stanley through stock ownership; |
| · | the Non-U.S. Holder is not a bank receiving interest under Section 881(c)(3)(A) of the Code, and |
| · | the certification requirement described below has been fulfilled with respect to the beneficial owner. |
Certification Requirement. The certification requirement
referred to in the preceding paragraph will be fulfilled if the beneficial owner of a Security (or a financial institution holding a Security
on behalf of the beneficial owner) furnishes to the applicable withholding agent an IRS Form W-8BEN (or other appropriate form) on which
the beneficial owner certifies under penalties of perjury that it is not a U.S. person.
In 2007, the U.S. Treasury Department and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
Among the issues addressed in the notice is the degree, if any, to which any income with respect to instruments such as the Securities
should be subject to U.S. withholding tax. It is possible that any Treasury regulations or other guidance promulgated after consideration
of this issue could materially and adversely affect the withholding tax consequences of ownership and disposition of the
Securities, possibly on a retroactive basis. Non-U.S. Holders
should note that we currently do not intend to withhold on any payment made with respect to the Securities to Non-U.S. Holders (subject
to compliance by such holders with the certification requirement described above and to the discussions below regarding Section 871(m)
and FATCA). However, in the event of a change of law or any formal or informal guidance by the IRS, the U.S. Treasury Department or Congress,
we may decide to withhold on payments made with respect to the Securities to Non-U.S. Holders, and we will not be required to pay any
additional amounts with respect to amounts withheld. Accordingly, Non-U.S. Holders should consult their tax advisers regarding all aspects
of the U.S. federal income tax consequences of an investment in the Securities, including the possible implications of the notice referred
to above.
Section 871(m) Withholding Tax on Dividend Equivalents
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities (each, an “Underlying Security”). Subject to certain exceptions, Section 871(m) generally applies to securities
that substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in
the applicable Treasury regulations (a “Specified Security”). However, pursuant to an IRS notice, Section 871(m) will not
apply to securities issued before January 1, 2025 that do not have a delta of one with respect to any Underlying Security. Based on our
determination that the Securities do not have a delta of one with respect to any Underlying Security, our counsel is of the opinion that
the Securities should not be Specified Securities and, therefore, should not be subject to Section 871(m).
Our determination is not binding on the IRS, and the IRS
may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. If Section 871(m) withholding is required, we will not
be required to pay any additional amounts with respect to the amounts so withheld. You should consult your tax adviser regarding the potential
application of Section 871(m) to the Securities.
U.S. Federal Estate Tax
Individual Non-U.S. Holders and entities the property of
which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example, a trust
funded by such an individual and with respect to which the individual has retained certain interests or powers), should note that, absent
an applicable treaty exemption, the Securities may be treated as U.S.-situs
property subject to U.S. federal estate tax. Prospective
investors that are non-U.S. individuals, or are entities of the type described above, should consult their tax advisers regarding the
U.S. federal estate tax consequences of an investment in the Securities.
Backup Withholding and Information Reporting
Information returns may be filed with the IRS in connection
with the payment on the Securities at maturity as well as in connection with the payment of proceeds from a sale, exchange or other disposition
of the Securities. A Non-U.S. Holder may be subject to backup withholding in respect of amounts paid to the Non-U.S. Holder, unless such
Non-U.S. Holder complies with certification procedures to establish that it is not a U.S. person for U.S. federal income tax purposes
or otherwise establishes an exemption. Compliance with the certification procedures described above under “―Tax Treatment
upon Sale, Exchange or Settlement of the Securities – Certification Requirement” will satisfy the certification requirements
necessary to avoid backup withholding as well. The amount of any backup withholding from a payment to a Non-U.S. Holder will be allowed
as a credit against the Non-U.S. Holder’s U.S. federal income tax liability and may entitle the Non-U.S. Holder to a refund, provided
that the required information is timely furnished to the IRS.
FATCA
Legislation commonly referred to as “FATCA”
generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect
to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An intergovernmental
agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements. FATCA generally applies
to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source “fixed or determinable annual
or periodical” income (“FDAP income”). If the Securities were recharacterized as debt instruments, FATCA would apply
to any payment of amounts treated as interest and to payments of gross proceeds of the disposition (including upon retirement) of the
Securities. However, under proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending
finalization), no withholding will apply on payments of gross proceeds (other than amounts treated as FDAP income). If withholding were
to apply to the Securities, we would not be required to pay any additional amounts with respect to amounts withheld. Both U.S. and Non-U.S.
Holders should consult their tax advisers regarding the potential application of FATCA to the Securities.
The discussion in the preceding
paragraphs under “United States Federal Taxation,” insofar as it purports to describe provisions of U.S. federal income tax
laws or legal conclusions with respect thereto, constitutes the full opinion of Davis Polk
& Wardwell LLP regarding the
material U.S. federal income tax consequences of an investment in the Securities.
Annex A
Price and Historical Information Available
for Basket Stocks
The tables below set forth the published high
and low Closing Prices of, as well as dividends on, each Basket Stock for each calendar quarter during 2019, 2020, 2021, 2022, 2023 and
2024 through March 7, 2024. We obtained the information in the tables below from Bloomberg Financial Markets without independent verification.
The graph below illustrates the performance of
the Basket from January 1, 2019 through March 7, 2024, assuming the Basket Stocks are weighted as set forth herein and that the value
of the Basket on January 1, 2019 was 100. The graph is based on information from Bloomberg, and illustrates the actual aggregate performance
of the Basket Stocks and the effect of the offset and/or correlation among the Basket Stocks during the same period. You cannot predict
the future performance of any of the Basket Stocks or of the Basket as a whole, or whether an increase in the price of any of the Basket
Stocks will be offset by a decrease in the price of any of the other Basket Stocks, based on their historical performance. Past
performance of the Basket is not indicative of the future performance of the Basket.
The historical Closing Prices of the Basket Stocks
may have been adjusted for stock splits and other corporate events. The historical performance of the Basket Stocks set out in the tables
and graph below should not be taken as an indication of their future performance, and no assurance can be given as to the Basket Value
on any of the Determination Dates. If the Securities are not automatically redeemed prior to maturity and if the Final Basket Value
has declined to below the Downside Threshold Level, you will lose a significant portion or all of your initial investment at maturity.
We cannot give you any assurance that the Securities will be redeemed prior to maturity, or that, if the Securities are not redeemed,
the Final Basket Value will be at or above the Downside Threshold Level so that at maturity you will not lose a significant portion or
all of your investment. The Basket Stocks may be, and each has recently been, volatile, and we can give you no assurance that the volatility
will lessen.
| Advanced Micro Devices, Inc. manufactures semiconductor products. Its Securities and Exchange Commission file number is 001-07882. |
Amazon.com, Inc. offers electronic retail services to consumer customers, seller customers and developer customers. Its Securities and Exchange Commission file number is 000-22513. |
| Advanced Micro Devices, Inc. |
|
High ($) |
|
Low ($) |
Dividends ($) |
Amazon.com, Inc. |
|
High ($) |
Low ($) |
Dividends ($) |
| (CUSIP 007903107) |
|
|
|
|
|
(CUSIP 023135106) |
|
|
|
|
| 2019 |
|
|
|
|
|
2019 |
|
|
|
|
| First Quarter |
|
27.89 |
|
17.05 |
- |
First Quarter |
|
90.963 |
75.014 |
- |
| Second Quarter |
|
33.23 |
|
26.24 |
- |
Second Quarter |
|
98.123 |
84.635 |
- |
| Third Quarter |
|
34.39 |
|
27.99 |
- |
Third Quarter |
|
101.050 |
86.273 |
- |
| Fourth Quarter |
|
46.63 |
|
28.23 |
- |
Fourth Quarter |
|
93.490 |
85.276 |
- |
| 2020 |
|
|
|
|
|
2020 |
|
|
|
|
| First Quarter |
|
58.90 |
|
38.71 |
- |
First Quarter |
|
108.511 |
83.831 |
- |
| Second Quarter |
|
57.44 |
|
42.59 |
- |
Second Quarter |
|
138.221 |
95.330 |
- |
| Third Quarter |
|
92.18 |
|
52.34 |
- |
Third Quarter |
|
176.573 |
143.935 |
- |
| Fourth Quarter |
|
97.12 |
|
74.70 |
- |
Fourth Quarter |
|
172.182 |
150.224 |
- |
| 2021 |
|
|
|
|
|
2021 |
|
|
|
|
| First Quarter |
|
97.25 |
|
73.96 |
- |
First Quarter |
|
169.000 |
147.598 |
- |
| Second Quarter |
|
93.93 |
|
73.09 |
- |
Second Quarter |
|
175.272 |
157.597 |
- |
| Third Quarter |
|
118.77 |
|
85.89 |
- |
Third Quarter |
|
186.570 |
159.388 |
- |
| Fourth Quarter |
|
161.91 |
|
100.34 |
- |
Fourth Quarter |
|
184.803 |
159.489 |
- |
| 2022 |
|
|
|
|
|
2022 |
|
|
|
|
| First Quarter |
|
150.24 |
|
102.25 |
- |
First Quarter |
|
170.405 |
136.015 |
- |
| Second Quarter |
|
110.53 |
|
76.47 |
- |
Second Quarter |
|
168.347 |
102.310 |
- |
| Third Quarter |
|
103.91 |
|
63.36 |
- |
Third Quarter |
|
144.78 |
109.22 |
- |
| Fourth Quarter |
|
77.63 |
|
55.94 |
- |
Fourth Quarter |
|
121.09 |
81.82 |
- |
| 2023 |
|
|
|
|
|
2023 |
|
|
|
|
| First Quarter |
|
100.28 |
|
62.33 |
- |
First Quarter |
|
112.91 |
83.12 |
- |
| Second Quarter |
|
129.19 |
|
81.62 |
- |
Second Quarter |
|
130.36 |
97.83 |
- |
| Third Quarter |
|
118.32 |
|
95.96 |
- |
Third Quarter |
|
144.85 |
125.98 |
- |
| Fourth Quarter |
|
148.76 |
|
93.67 |
- |
Fourth Quarter |
|
154.07 |
119.57 |
- |
| 2024 |
|
|
|
|
|
2024 |
|
|
|
|
| First Quarter (through March 7, 2024) |
|
211.38 |
|
135.32 |
- |
First Quarter (through March 7, 2024) |
|
178.22 |
144.57 |
- |
| NVIDIA Corporation is a visual computing company. Its Securities and Exchange Commission file number is 000-23985. |
Shopify Inc., based in Ottawa, Ontario, Canada, is a global commerce company, providing tools to start, grow, market and manage a retail business of any size. Its Securities and Exchange Commission file number is 001-37400. |
| NVIDIA Corporation |
|
High ($) |
|
Low ($) |
Dividends ($) |
Shopify Inc. |
|
High ($) |
Low ($) |
Dividends ($) |
| (CUSIP 67066G104) |
|
|
|
|
|
(CUSIP 82509L107) |
|
|
|
|
| 2019 |
|
|
|
|
|
2019 |
|
|
|
|
| First Quarter |
|
45.985 |
|
31.998 |
0.04 |
First Quarter |
|
20.823 |
12.979 |
- |
| Second Quarter |
|
48.025 |
|
33.445 |
0.04 |
Second Quarter |
|
32.801 |
19.475 |
- |
| Third Quarter |
|
46.083 |
|
37.193 |
0.04 |
Third Quarter |
|
40.699 |
29.547 |
- |
| Fourth Quarter |
|
59.843 |
|
43.260 |
0.04 |
Fourth Quarter |
|
40.875 |
28.575 |
- |
| 2020 |
|
|
|
|
|
2020 |
|
|
|
|
| First Quarter |
|
78.675 |
|
49.100 |
0.04 |
First Quarter |
|
54.321 |
32.229 |
- |
| Second Quarter |
|
95.268 |
|
60.768 |
0.04 |
Second Quarter |
|
94.920 |
34.630 |
- |
| Third Quarter |
|
143.465 |
|
95.300 |
0.04 |
Third Quarter |
|
113.432 |
87.076 |
- |
| Fourth Quarter |
|
145.620 |
|
125.340 |
0.04 |
Fourth Quarter |
|
127.708 |
88.576 |
- |
| 2021 |
|
|
|
|
|
2021 |
|
|
|
|
| First Quarter |
|
153.303 |
|
115.933 |
0.04 |
First Quarter |
|
147.400 |
103.991 |
- |
| Second Quarter |
|
200.268 |
|
136.653 |
0.04 |
Second Quarter |
|
150.844 |
104.777 |
- |
| Third Quarter |
|
228.43 |
|
181.61 |
0.04 |
Third Quarter |
|
164.332 |
134.655 |
- |
| Fourth Quarter |
|
333.76 |
|
197.32 |
0.04 |
Fourth Quarter |
|
169.060 |
128.217 |
- |
| 2022 |
|
|
|
|
|
2022 |
|
|
|
|
| First Quarter |
|
301.21 |
|
213.30 |
0.04 |
First Quarter |
|
137.739 |
51.255 |
- |
| Second Quarter |
|
273.60 |
|
151.59 |
0.04 |
Second Quarter |
|
72.729 |
30.354 |
- |
| Third Quarter |
|
192.15 |
|
121.39 |
0.04 |
Third Quarter |
|
41.93 |
26.77 |
- |
| Fourth Quarter |
|
180.72 |
|
112.27 |
0.04 |
Fourth Quarter |
|
43.40 |
25.67 |
- |
| 2023 |
|
|
|
|
|
2023 |
|
|
|
|
| First Quarter |
|
277.77 |
|
142.65 |
0.04 |
First Quarter |
|
53.63 |
34.71 |
- |
| Second Quarter |
|
438.08 |
|
262.41 |
0.04 |
Second Quarter |
|
66.10 |
44.78 |
- |
| Third Quarter |
|
493.55 |
|
408.55 |
0.04 |
Third Quarter |
|
70.37 |
51.51 |
- |
| Fourth Quarter |
|
504.09 |
|
403.26 |
0.04 |
Fourth Quarter |
|
79.11 |
46.40 |
- |
| 2024 |
|
|
|
|
|
2024 |
|
|
|
|
| First Quarter (through March 7, 2024) |
|
926.69 |
|
475.69 |
- |
First Quarter (through March 7, 2024) |
|
90.72 |
71.82 |
- |
| Target Corporation sells a wide assortment of general merchandise and food. Its Securities and Exchange Commission file number is 001-06049. |
| Target Corporation |
|
High ($) |
|
Low ($) |
Dividends ($) |
| (CUSIP 87612E106) |
|
|
|
|
|
| 2019 |
|
|
|
|
|
| First Quarter |
|
80.32 |
|
65.53 |
0.64 |
| Second Quarter |
|
88.30 |
|
70.78 |
0.64 |
| Third Quarter |
|
109.85 |
|
80.79 |
0.66 |
| Fourth Quarter |
|
129.21 |
|
105.16 |
0.66 |
| 2020 |
|
|
|
|
|
| First Quarter |
|
128.21 |
|
91.04 |
0.66 |
| Second Quarter |
|
125.20 |
|
92.57 |
0.66 |
| Third Quarter |
|
157.42 |
|
117.70 |
0.68 |
| Fourth Quarter |
|
179.82 |
|
152.22 |
0.68 |
| 2021 |
|
|
|
|
|
| First Quarter |
|
200.95 |
|
169.82 |
0.68 |
| Second Quarter |
|
241.85 |
|
200.72 |
0.68 |
| Third Quarter |
|
264.07 |
|
228.77 |
0.90 |
| Fourth Quarter |
|
266.39 |
|
217.74 |
0.90 |
| 2022 |
|
|
|
|
|
| First Quarter |
|
234.17 |
|
189.90 |
0.90 |
| Second Quarter |
|
249.32 |
|
139.30 |
0.90 |
| Third Quarter |
|
180.19 |
|
142.38 |
1.08 |
| Fourth Quarter |
|
178.98 |
|
141.35 |
1.08 |
| 2023 |
|
|
|
|
|
| First Quarter |
|
181.02 |
|
149.04 |
1.08 |
| Second Quarter |
|
169.58 |
|
126.48 |
1.08 |
| Third Quarter |
|
136.47 |
|
109.48 |
1.10 |
| Fourth Quarter |
|
142.54 |
|
105.01 |
1.10 |
| 2024 |
|
|
|
|
|
| First Quarter (through March 7, 2024) |
|
173.54 |
|
137.40 |
- |
Historical Performance of the Basket
January 1, 2019 to March 7, 2024
Exhibit
107
The
pricing supplement to which this Exhibit is attached is a final prospectus for the related offering. The maximum aggregate offering price
of the related offering is $880,000.
Morgan Stanley (NYSE:MS-O)
Gráfica de Acción Histórica
De Nov 2024 a Dic 2024
Morgan Stanley (NYSE:MS-O)
Gráfica de Acción Histórica
De Dic 2023 a Dic 2024
