Callable Conditional income securities maturing September 25, 2024
Payments on securities based on the worst performance of the NASDAQ-100 index®, the Russell 2000® Index and Dow Jones Industrial AverageSM
Fully and unconditionally guaranteed by Morgan Stanley
Risk capital securities
The Securities are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Securities have the terms described in the accompanying Prospectus Supplement, Index Supplement and Prospectus, as supplemented or modified by this document. The securities do not guarantee repayment of principal and do not provide for the regular payment of interest. Instead, the securities will pay a conditional quarterly coupon but only if the closing value of the index of each of NASDAQ-100 Index®, the Russell 2000® Index and Dow Jones Industrial AverageSM on the corresponding observation date is at or above 70% of its respective initial index value, which we call the respective Coupon Barrier Level. If the closing value of the index of any underlying index is below the Coupon Barrier Level for that Index on any Observation Date, we will not pay any Coupons for the relevant quarterly period. In addition, as of March 24, 2022, we will redeem the securities on any quarterly redemption date, for a repayment payment equal to the sum of the principal amount indicated more any quarterly coupons otherwise due in respect of the related observation date, if and only if the exit from a risk neutral valuation model on a business day that is at least 2 but not more than 5 business days before that redemption date, based on the data shown under “Call functionality” below indicates that redemption on that date is economically rational for us compared to not redeeming on that date. An early redemption of securities will not automatically take place depending on the performance of the underlying indices. At maturity, if the securities have not been redeemed beforehand and if the final value of the index of each the underlying index is greater than or equal to 60% of the initial value of the respective index, which we call the falling threshold level, the payment at maturity will be the principal amount indicated and, if the final value of the index of each Underlying Index is also greater than or equal to its respective Coupon Barrier Level, the corresponding Contingent Quarterly Coupon. If, however, the final index value of all the underlying index is below its falling threshold level, investors will be exposed to the downside of the worst performing underlying index on a 1 to 1 basis and will receive a lower maturity payment at 60% of the stated principal amount of the securities and could be zero. Therefore, IInvestors in the Securities should be prepared to accept the risk of losing their entire initial investment based on the performance of any Underlying Index and also the risk of not receiving any Quarterly Coupons during the entire 3-year term of the Securities. securities. Since the payments on the securities are based on the worst performing Underlying Indices, a fall beyond the respective Coupon Barrier Level and / or the respective Fall Threshold level, if any, will all the underlying index will result in little or no possible quarterly coupons and / or a significant loss of your investment, if any, even if the other underlying indices have appreciated or have not fallen as much. Investors will not participate in any appreciation of an Underlying Index. The securities are intended for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no quarterly interest if any underlying index closing below the coupon barrier level for that index on the observation dates, and the risk of early redemption of securities based on exiting a risk neutral valuation model. The Securities are notes issued under the MSFL Series A Global Medium Term Note program.
All payments are subject to our credit risk. If we default on our obligations, you could lose all or part of your investment. These securities are not covered bonds and you will have no security in, or have no access to, one or more of the underlying reference assets.
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FINAL CONDITIONS |
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Transmitter : |
Morgan Stanley Finance LLC |
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Guarantor: |
Morgan stanley |
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Underlying indices: |
NASDAQ-100 Index® (the “NDX Index”), Russell 2000® Index (the “RTY Index”) and Dow Jones Industrial AverageSM (the “INDU Index”) |
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Total amount of capital: |
$ 1,864,000 |
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Principal amount indicated: |
$ 1,000 per title |
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Issue price: |
$ 1,000 per security (see “Commissions and issue price” below) |
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Pricing date: |
September 20, 2021 |
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Original issue date: |
September 23, 2021 (3 working days after the pricing date) |
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Due date: |
September 25, 2024 |
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Call function: |
As of March 24, 2022, an early redemption, in whole but not in part, will occur on a redemption date if and only if the exit from a risk neutral valuation model on a business day that is at least 2 but no more than 5 business days prior to that repayment date, as selected by the Calculation Agent (the “Determination Date”), taking as input data: (ii) Morgan Stanley credit spreads at the pricing date indicates that repayment on that date is economically rational for us compared to not repaying on that date. If we call the securities, we will give you notice at least 2 business days before the call date indicated in the notice. No further payment will be made on the securities once they have been redeemed. |
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Conditional Quarterly Coupon: |
If, on an observation date, the closing value of the index of each underlying index is Greater or equal to its respective Coupon Barrier Level, we will pay a Conditional Quarterly Coupon at an annual rate of 7.25% (corresponding to approximately $ 18.125 per quarter per Security) on the related Conditional Coupon Payment Date. If, on an observation date, the closing value of any underlying index is less than the coupon barrier level for this index, no conditional quarterly coupon will be paid for this observation date. It is possible that one or more Underlying Indices may remain below the respective Coupon Barrier Level (s) for long periods of time or even throughout the duration of the securities, so that you will receive little or no Quarterly Coupons. conditional. |
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Payment at maturity: |
If the securities have not been previously redeemed, investors will receive on the due date a payment at maturity determined as follows: If the final value of the index of each the underlying index is Greater or equal to its respective fall threshold level: the principal amount declared and, if the final index value of each underlying index is also greater than or equal to its respective coupon barrier level, the possible quarterly coupon with respect to the date final observation. If the final value of the index of all the underlying index is less than its respective threshold level: (i) the principal amount declared multiplied by (ii) the performance factor of the worst performing underlying index. In these circumstances, the Maturity Payment will be less than 60% of the stated principal amount of the Securities and could be zero. |
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Conditions continued on next page |
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Agent: |
Morgan Stanley & Co. LLC (“MS & Co.”), a subsidiary of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Additional Information Regarding the Distribution Plan; conflicts of interest. “ |
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Estimated value on the date of the prize: |
$ 958.10 per title. See “Investment overview” starting on page 3. |
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Commissions and issue price: |
Public Prize(1) |
Agent fees and commissions(2) |
Comes back to us(3) |
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By title |
$ 1,000 |
$ 5 |
$ 995 |
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Total |
$ 1,864,000 |
$ 9,320 |
$ 1,854,680 |
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(1)The Securities will be sold only to investors who purchase the Securities through commission-based advisory accounts.
(2)MS & Co. plans to sell all securities it purchases from us to an unaffiliated brokerage at a price of $ 995 per security, for resale to certain fee-based advisory accounts at the public price of $ 1,000 per security. MS & Co. will not receive any sales commission on the securities. See “Additional Information Regarding the Distribution Plan; conflicts of interest. ”For more information, see“ Investment Plan (Conflicts of Interest) ”in the accompanying prospectus supplement.
(3)See “Product Use and Coverage” on page 32.
The securities involve risks that are not associated with an investment in ordinary debt securities. See “Risk factors” starting on page 11.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved of these securities, nor have they determined whether this document or the accompanying Prospectus Supplement, Index Supplement and Prospectus are true or complete. Any statement to the contrary is a criminal offense.
The securities are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other government agency or agency, nor are they bonds or guarantees by any bank.
You should read this document together with the related Prospectus Supplement, Index Supplement and Prospectus, each accessible through the hyperlinks below. Please also see “Additional Securities Terms” and “Additional Securities Information” at the end of this document.
References to “we”, “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Dated prospectus supplement November 16, 2020 Index Dated supplement November 16, 2020 Dated prospectus November 16, 2020
