# EDGAR Filing Document

**Accession Number:** 0001666268
**File Stem:** 0001839882-23-006496
**Filing Date:** 2023-3
**Character Count:** 91633
**Document Hash:** b898726ff8127facb4c3b1e1efdfbb92
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001839882-23-006496.hdr.sgml**: 20230313

**ACCESSION NUMBER**: 0001839882-23-006496

**CONFORMED SUBMISSION TYPE**: FWP

**PUBLIC DOCUMENT COUNT**: 4

**FILED AS OF DATE**: 20230313

**DATE AS OF CHANGE**: 20230313

**SUBJECT COMPANY**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Morgan Stanley Finance LLC
- **CENTRAL INDEX KEY:** 0001666268
- **STANDARD INDUSTRIAL CLASSIFICATION:** ASSET-BACKED SECURITIES [6189]
- **IRS NUMBER:** 363145972
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** FWP
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 333-250103-01
- **FILM NUMBER:** 23726492

**BUSINESS ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** (212) 761-4000

**MAIL ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
**FILED BY**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Morgan Stanley Finance LLC
- **CENTRAL INDEX KEY:** 0001666268
- **STANDARD INDUSTRIAL CLASSIFICATION:** ASSET-BACKED SECURITIES [6189]
- **IRS NUMBER:** 363145972
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** FWP

**BUSINESS ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** (212) 761-4000

**MAIL ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

**March 2023**

Preliminary Terms No. 8,355

Registration Statement Nos. 333-250103; 333-250103-01

Dated March 13, 2023

Filed pursuant to Rule 433

Morgan Stanley Finance LLC

Structured Investments

Opportunities in U.S. Equities

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Fully and Unconditionally Guaranteed by Morgan Stanley**

**Principal at Risk Securities**

Fixed Income Buffered Auto-Callable Securities do not guarantee any repayment of principal. Instead, the securities offer the opportunity for investors to earn a fixed semi-annual coupon at an annual rate of 8.00%. In addition, if the index closing value of the underlying index is greater than or equal to the initial index value on any semi-annual redemption determination date, the securities will be automatically redeemed for an amount per security equal to the stated principal amount and the related semi-annual coupon. No further payments will be made on the securities once they have been redeemed. However, if the securities are not automatically redeemed prior to maturity, the payment at maturity due on the securities will be, in addition to the final semi-annual coupon payment, as follows: (i) if the final index value is greater than or equal to 75% of the initial index value, meaning that the underlying index has not declined by an amount greater than the buffer amount of 25%, investors will receive the stated principal amount, or (ii) if the final index value is less than the initial index value by an amount greater than the specified buffer amount, investors will lose approximately 1.33% of the principal amount for every 1% decline in the final index value of the underlying index from its initial index value beyond the buffer amount of 25%. Under these circumstances, the payment at maturity will be less, and possibly significantly less, than the stated principal amount of the securities and could be zero. There is no minimum payment at maturity on the securities. **Accordingly, investors may lose their entire initial investment in the securities.** Investors will not participate in any appreciation of the underlying index. The securities are for investors who are willing to risk their principal and are willing to forgo the opportunity to participate in any appreciation of the underlying index in exchange for the limited protection against loss, the opportunity to earn interest at a potentially above-market rate and the possibility of an automatic early redemption prior to maturity. The securities are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed by Morgan Stanley. The securities are 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.**

● If the final index value is**less than**75% of its initial index value, meaning that the final index value of the underlying index has decreased by an amount greater than the buffer amount of 25% from its respective initial index value: The final semi-annual coupon payment plus an amount equal to: <br>$1,000 + [$1,000 × (index percent change + 25%) × downside factor]

*(1)*The securities will be sold only to investors purchasing the securities in fee-based advisory accounts.

*(2)*MS & Co. expects to sell all of the securities that it purchases from us to an unaffiliated dealer at a price of $ per security, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per security. MS & Co. will not receive a sales commission with respect to the securities. See "Supplemental information regarding plan of distribution; conflicts of interest." For additional information, see "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.

*(3) See "Use of proceeds and hedging" on page 19.* 

**The securities involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 7.** 

**The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement, index supplement and prospectus is truthful or complete. Any representation 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 governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.**

**You should read this document together with the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see "Additional Terms of the Securities" and "Additional Information About the Securities" at the end of this document.**

**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.**

[**<u>Product Supplement for Auto-Callable Securities dated</u> <u>November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022201/dp140493_424b2-epsacallsec.htm) [**<u>Index Supplement dated</u> <u>November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022214/dp140278_424b2-isn2020.htm)

[**<u>Prospectus dated</u> <u>November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022190/dp140485_424b2-base.htm)

------

Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

---

| | |
|:---|:---|
| &nbsp;&nbsp; ***Terms continued from previous page:*** | &nbsp;&nbsp; ***Terms continued from previous page:*** |
| &nbsp;&nbsp; **Initial index value:** | &nbsp;&nbsp;&nbsp; 1,772.702, which is the index closing value of the underlying index on March 10, 2023 |
| &nbsp;&nbsp; **Coupon payment dates:**  | &nbsp;&nbsp;&nbsp; Semi-annually, on September 14, 2023, March 14, 2024 and the maturity date, *provided* that if any such day is not a business day, that coupon payment will be made on the next succeeding business day and no adjustment will be made to any coupon payment made on that succeeding business day; *provided further* that the semi-annual coupon with respect to the final observation date shall be paid on the maturity date as part of the payment at maturity. |
| &nbsp;&nbsp; **Final observation date:** | &nbsp;&nbsp;&nbsp; September 16, 2024, subject to postponement for non-index business days and certain market disruption events. |
| &nbsp;&nbsp; **Final index value:** | &nbsp;&nbsp;&nbsp; The index closing value of the underlying index on the final observation date |
| &nbsp;&nbsp; **Index percent change:** | &nbsp;&nbsp;&nbsp; (Final index value – initial index value) / initial index value |
| &nbsp;&nbsp; **CUSIP:** | &nbsp;&nbsp;&nbsp; 61774XAG8 |
| &nbsp;&nbsp; **ISIN:** | &nbsp;&nbsp;&nbsp; US61774XAG88 |
| &nbsp;&nbsp; **Listing:** | &nbsp;&nbsp;&nbsp; The securities will not be listed on any securities exchange. |

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March 2023 Page 2

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

**Investment Summary**

**Fixed Income Buffered Auto-Callable Securities**

**Principal at Risk Securities**

The Fixed Income Buffered Auto-Callable Securities due September 19, 2024 Based on the Performance of the Russell 2000<sup>®</sup> Index, which we refer to as the securities, do not guarantee any repayment of principal. Instead, the securities offer the opportunity for investors to earn a fixed semi-annual coupon at an annual rate of 8.00%. In addition, if the index closing value of the underlying index is greater than or equal to the initial index value on any semi-annual redemption determination date, the securities will be automatically redeemed for an amount per security equal to the stated principal amount and the related semi-annual coupon. No further payments will be made on the securities once they have been redeemed. However, if the securities are not automatically redeemed prior to maturity, the payment at maturity due on the securities will be, in addition to the final semi-annual coupon payment, as follows: (i) if the final index value is greater than or equal to 75% of the initial index value, meaning that the underlying index has not declined by an amount greater than the buffer amount of 25%, investors will receive the stated principal amount, or (ii) if the final index value is less than the initial index value by an amount greater than the specified buffer amount, investors lose approximately 1.33% of the principal amount for every 1% decline in the the final index value of the underlying index from its initial index value beyond the buffer amount of 25%. Under these circumstances, the payment at maturity will be less, and possibly significantly less, than the stated principal amount of the securities and could be zero. Investors will not participate in any appreciation of the underlying index. There is no minimum payment at maturity on the securities. **Accordingly, investors could lose their entire initial investment in the securities.** 

The original issue price of each security is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date will be less than $1,000. We estimate that the value of each security on the pricing date will be approximately $992.40, or within $25.00 of that estimate. Our estimate of the value of the securities as determined on the pricing date will be set forth in the final pricing supplement.

*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 underlying index. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying index, instruments based on the underlying index, 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 semi-annual coupon rate and the buffer amount, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the 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 underlying index, 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 underlying index, 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.

March 2023 Page 3

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

Key Investment Rationale

The securities do not guarantee the repayment of principal and offer the opportunity for investors to earn a fixed semi-annual coupon at an annual rate of 8.00%. The securities may be redeemed prior to maturity for the stated principal amount per security *plus* the related semi-annual coupon, and the payment at maturity will vary depending on the final index value, as follows:

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Scenario 1** | **On any semi-annual redemption determination date, the index closing value is *greater than or equal to* the initial index value.**<br> ￭The securities will be automatically redeemed for (i) the stated principal amount plus (ii) the semi-annual coupon with respect to the related interest period. <br> ￭Investors will not participate in any appreciation of the underlying index from the initial index value. |
| &nbsp;&nbsp; **Scenario 2** | **The securities are not automatically redeemed prior to maturity, and the final index value is *greater than or equal to* 75% of the initial index value, meaning that the final index value of the underlying index has not decreased by an amount greater than the buffer amount of 25%.**<br> ￭The payment due at maturity will be the stated principal amount plus the final semi-annual coupon payment.<br> ￭Investors will not participate in any appreciation of the underlying index from the initial index value. |
| &nbsp;&nbsp; **Scenario 3** | **The securities are not automatically redeemed prior to maturity, and the final index value is *less than* 75% of the initial index value, meaning that the final index value of the underlying index has decreased by an amount greater than the buffer amount of 25% from its initial index value.**<br> ￭The payment due at maturity will be the final semi-annual coupon payment plus an amount equal to: $1,000 + [$1,000 × (index percent change + 25%) × downside factor]. <br> ￭Investors will lose some, and may lose all, of their principal in this scenario. |

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March 2023 Page 4

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

How the Securities Work

The following diagrams illustrate the potential outcomes for the securities depending on (1) the index closing values and (2) the final index value.

**Diagram #1: Automatic Early Redemption** 

**Diagram #2: Payment at Maturity if No Automatic Early Redemption Occurs**

![](image2.gif)

March 2023 Page 5

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

Hypothetical Examples

The below examples are based on the following terms:

---

| | |
|:---|:---|
| &nbsp;&nbsp; Hypothetical Initial Index Value: | &nbsp;&nbsp; 1800 |
| &nbsp;&nbsp; Buffer Amount: | &nbsp;&nbsp; 25% |
| &nbsp;&nbsp; Downside Factor: | &nbsp;&nbsp; 1.33 |
| &nbsp;&nbsp; Semi-annual Coupon: | &nbsp;&nbsp; 8.00% per annum (corresponding to approximately $40.00 per semi-annual period per security).<sup>1</sup>  |
| &nbsp;&nbsp; Stated Principal Amount: | &nbsp;&nbsp; $1,000 per security |

---

<sup>1</sup> The actual semi-annual coupon will be an amount determined by the calculation agent based on the number of days in the applicable payment period, calculated on a 30/360 day-count basis. The hypothetical semi-annual coupon of $40.00 is used in these examples for ease of analysis.

In Example 1, the index closing value of the underlying index is greater than or equal to the initial index value on one of the semi-annual redemption determination dates. Because the index closing value is greater than or equal to the initial index value on such a date, the securities are automatically redeemed on the related early redemption date. In Examples 2 and 3, the index closing value is less than the initial index value on each redemption determination date, and, consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.

**Example 1**—The securities are automatically redeemed following the semi-annual redemption determination date in September 2023, as the index closing value is greater than or equal to the initial index value on such redemption determination date. Upon early redemption, investors receive the early redemption payment calculated as $1,000 + $40.00 = $1,040.00.

The total payment over the 6-month term of the securities is $40.00 × 1 + $1,000.00 = $1,040.00. No further payments will be made on the securities after they have been redeemed, and investors do not participate in any appreciation of the underlying index.

**Example 2**—The securities are not redeemed prior to maturity, as the index closing value is less than the initial index value on each semi-annual redemption determination date. The index closing value on the final observation date is 2,000, which is above 75% of the initial index value. Therefore, you would receive (i) the semi-annual coupons with respect to the 2 semi-annual periods prior to (and excluding) the final observation date, totaling $40.00 × 2 = $80.00, and (ii) the payment at maturity calculated as $1,000 + $40.00 = $1,040.00.

The total payment over the 1.5-year term of the securities is $80.00 + $1,040.00 = $1,120.00.

This example represents the hypothetical maximum amount payable over the 1.5-year term of the securities.

**Example 3**—The securities are not redeemed prior to maturity, as the index closing value is less than the initial index value on each semi-annual redemption determination date. The index closing value on the final observation date is 900, meaning that the underlying index has decreased by an amount greater than the buffer amount of 25% and investors will lose approximately 1.33% of principal for every 1% decline in the index value of the underlying index from the initial index value beyond the buffer amount of 25%. Therefore, you would receive (i) the semi-annual coupons with respect to the 2 semi-annual periods prior to (and excluding) the final observation date, totaling $40.00 × 2 = $80.00, and (ii) the payment at maturity calculated as $40.00 + $1,000 + [$1,000 × (-50% + 25%) × 1.33] = $706.67.

The total payment over the 1.5-year term of the securities is $80.00 + $706.67 = $786.67, representing a substantial loss on the initial investment.

**If the securities are not automatically redeemed prior to maturity and the final index value is less than the initial index value by an amount greater than the buffer amount of 25%, you will lose some or all of your investment in the securities.**

March 2023 Page 6

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

Risk Factors

*This section describes the material risks relating to the securities. For further discussion of these and other risks, you should read the section entitled "Risk Factors" in the accompanying product supplement, index supplement and prospectus. You should also consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.*

<u>Risks Relating to an Investment in the</u> <u>Securities</u>

￭**The securities do not guarantee the return of any principal.** The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the return of any of the principal amount at maturity. Instead, if the securities have not been automatically redeemed prior to maturity and if the final index value has declined from the initial index value by an amount greater than the buffer amount of 25%, you will receive for each security that you hold at maturity an amount that is less than the stated principal amount by an amount proportionate to the decline in the value of the underlying index beyond the buffer amount times the downside factor of approximately 1.33. As there is no minimum payment at maturity on the securities, you could lose some or all of your investment in the securities.

￭**Investors will not participate in any appreciation in the value of the underlying index.** Investors will not participate in any appreciation in the value of the underlying index, and the return on the securities will be limited to the semi-annual coupon that is paid for each interest period until early redemption or maturity.

￭**Reinvestment risk.** 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 more semi-annual coupons and may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns.

￭**The market price will be influenced by many unpredictable factors.** Several factors 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. Although we expect that generally the index closing value of the underlying index on any day will affect the value of the securities more than any other single factors, other factors that may influence the value of the securities include:

othe volatility (frequency and magnitude of changes in value) of the underlying index,

ogeopolitical conditions and economic, financial, political, regulatory or judicial events that affect the component stocks of the underlying index or securities markets generally and which may affect the value of the underlying index,

odividend rates on the securities underlying the underlying index,

othe time remaining until the securities mature,

ointerest and yield rates in the market,

othe availability of comparable instruments,

othe composition of the underlying index and changes in the constituent stocks of such index, and

oany 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 underlying index has closed near or below 75% of its initial index value, 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.

You cannot predict the future performance of the underlying index based on its historical performance. The final index value may be less than 75% of the initial index value, resulting in a loss of approximately 1.33% of principal for every 1% decline in the final index value from its initial index value beyond the buffer amount of 25%. There can be no assurance that the final index value will be greater than or equal to 75% of the initial index value on the final observation date so that you do not suffer a loss on your initial investment in the securities. See "Russell 2000<sup>®</sup> Index Overview" below.

￭**The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities.** You are dependent on our ability to pay all amounts due on the securities on each coupon payment date, upon automatic redemption or at maturity, and therefore you are

March 2023 Page 7

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

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.

￭**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.

￭**Investing in the securities is not equivalent to investing in the underlying index.** Investing in the securities is not equivalent to investing in the underlying index or its component 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 stocks that constitute the underlying index, and you will not participate in any appreciation of the underlying index.

￭**The securities will not be listed on any securities exchange and secondary trading may be limited.** The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS & Co. 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.

￭**The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the securities in the 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.** 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.

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 underlying index, and to our secondary market credit spreads, it would do so based on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage account statements.

￭**The estimated value of the securities is determined by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum secondary market price.** These pricing and

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

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.

￭**Hedging and trading activity by our affiliates could potentially adversely affect the value of the securities**. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the securities (and to other instruments linked to the underlying index or its component stocks), including trading in the stocks that constitute the underlying index as well as in other instruments related to the underlying index. 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 observation date approaches. Some of our affiliates also trade the stocks that constitute the underlying index and other financial instruments related to the underlying index 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 March 10, 2023 could potentially increase the initial index value, and, therefore, could increase the value at or above which the underlying index must close on the final observation date so that you are not exposed to the negative performance of the underlying index at maturity. Additionally, such hedging or trading activities during the term of the securities could potentially affect the value of the underlying index on the redemption determination dates and the final observation date, and, accordingly, whether the securities are automatically called prior to maturity and, if the securities are not called prior to maturity, the payout to you at maturity, if any.

￭**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 index value, the index closing value on each redemption determination date, the final index value, whether the securities will be redeemed following any redemption determination date, whether a market disruption event has occurred, and the payment that you will receive upon an automatic early redemption or at maturity, if any. Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor index or calculation of the index closing value in the event of a market disruption event or discontinuance of the underlying index. These potentially subjective determinations may affect the payout to you upon an automatic early redemption or at maturity, if any. For further information regarding these types of determinations, see "Description of Auto-Callable Securities—Auto-Callable Securities Linked to a Single Index" and "—Calculation Agent and Calculations" in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the securities on the pricing date.

￭**The U.S. federal income tax consequences of an investment in the securities are uncertain.** There is no direct legal authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects of the tax treatment of the securities are uncertain.

Please read the discussion under "Additional Information―Tax considerations" in this document concerning the U.S. federal income tax consequences of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a unit consisting of (i) a Put Right (as defined below under "Additional Information―Tax considerations") written by you to us that, if exercised, requires you to pay to us an amount equal to the Deposit (as defined below under "Additional Information―Tax considerations"), in exchange for a cash amount based on the performance of the underlying index, and (ii) a Deposit with us of a fixed amount of cash to secure your obligation under the Put Right. Alternative U.S. federal income tax treatments of the securities are possible, and if the Internal Revenue Service (the "IRS") were successful in asserting such an alternative tax treatment for the securities the timing and the character of income on the securities might differ significantly from the tax treatment described herein. For example, there is a substantial risk that the IRS could seek to treat the securities as debt instruments subject to Treasury regulations governing contingent payment debt instruments. 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.

March 2023 Page 9

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk 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. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts described in the notice, it is possible that any Treasury regulations or other guidance issued after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and timing of income or loss (including whether the entire coupon on the securities should be required to be included currently as ordinary income) and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax.

Non-U.S. Holders should note that we currently do not intend to withhold on any payments made with respect to the securities to Non-U.S. Holders (subject to compliance by such holders with certification necessary to establish an exemption from withholding and to the discussion under "Additional Information―Tax considerations—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 will 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 U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments, the issues presented by the IRS notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

<u>Risks Relating to</u> <u>the Underlying Index</u>

￭**The securities are linked to the Russell 2000**<sup>®</sup> **Index and are subject to risks associated with small-capitalization companies.** The Russell 2000<sup>®</sup> Index consists of stocks issued by companies with relatively small market capitalization. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies and therefore the Russell 2000<sup>®</sup> Index may be more volatile than indices that consist of stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded. In addition, small capitalization companies are typically less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products.

￭**Adjustments to the underlying index could adversely affect the value of the securities.** The publisher of the underlying index may add, delete or substitute the component stocks of the underlying index or make other methodological changes that could change the value of the underlying index. Any of these actions could adversely affect the value of the securities. The publisher of the underlying index may also discontinue or suspend calculation or publication of the underlying index at any time. In these circumstances, MS & Co., as the calculation agent, will have the sole discretion to substitute a successor index that is comparable to the discontinued index. MS & Co. could have an economic interest that is different than that of investors in the securities insofar as, for example, MS & Co. is permitted to consider indices that are calculated and published by MS & Co. or any of its affiliates. If MS & Co. determines that there is no appropriate successor index on a relevant date, the determination of whether the securities will be redeemed or the payment at maturity, as applicable, will be based on whether the value of the underlying index, based on the closing prices of the stocks constituting the underlying index at the time of such discontinuance, without rebalancing or substitution, computed by MS & Co. as calculation agent in accordance with the formula for calculating the underlying index last in effect prior to such discontinuance, is less than the initial index value.

March 2023 Page 10

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

Russell 2000<sup>®</sup> Index Overview

The Russell 2000<sup>®</sup> Index is an index calculated, published and disseminated by FTSE Russell, and measures the composite price performance of stocks of 2,000 companies incorporated in the U.S. and its territories. All 2,000 stocks are traded on a major U.S. exchange and are the 2,000 smallest securities that form the Russell 3000<sup>®</sup> Index. The Russell 3000<sup>®</sup> Index is composed of the 3,000 largest U.S. companies as determined by market capitalization and represents approximately 98% of the U.S. equity market. The Russell 2000<sup>®</sup> Index consists of the smallest 2,000 companies included in the Russell 3000<sup>®</sup> Index and represents a small portion of the total market capitalization of the Russell 3000<sup>®</sup> Index. The Russell 2000<sup>®</sup> Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information about the Russell 2000<sup>®</sup> Index, see the information set forth under "Russell 2000<sup>®</sup> Index" in the accompanying index supplement.

Information as of market close on March 10, 2023:

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| | |
|:---|:---|
| &nbsp;&nbsp; **Bloomberg Ticker Symbol:** | &nbsp;&nbsp; RTY |
| &nbsp;&nbsp; **Current Index Value:** | &nbsp;&nbsp; 1,772.702 |
| &nbsp;&nbsp; **52 Weeks Ago:** | &nbsp;&nbsp; 2,011.673 |
| &nbsp;&nbsp; **52 Week High (on 3/29/2022):** | &nbsp;&nbsp; 2,133.096 |
| &nbsp;&nbsp; **52 Week Low (on 6/16/2022):** | &nbsp;&nbsp; 1,649.836 |

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The following graph sets forth the daily closing values of the underlying index for the period from January 1, 2018 through March 10, 2023. The related table sets forth the published high and low closing values, as well as end-of-quarter closing values, of the underlying index for each quarter in the same period. The closing value of the underlying index on March 10, 2023 was 1,772.702. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The underlying index has at times experienced periods of high volatility, and you should not take the historical values of the underlying index as an indication of its future performance. No assurance can be given as to the closing value of the underlying index on the final observation date.

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| |
|:---|
| &nbsp;&nbsp; **Russell 2000**<sup>®</sup> **Index Daily Closing Values**<br> **January 1, 2018 to March 10, 2023** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ![](image3.gif)  |

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March 2023 Page 11

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **Russell 2000**<sup>®</sup> **Index** | &nbsp;&nbsp; **High** | &nbsp;&nbsp; **Low** | &nbsp;&nbsp; **Period End** |
| &nbsp;&nbsp; **2018** |  |  |  |
| &nbsp;&nbsp; First Quarter | &nbsp;&nbsp; 1610.706 | &nbsp;&nbsp; 1463.793 | &nbsp;&nbsp; 1529.427 |
| &nbsp;&nbsp; Second Quarter | &nbsp;&nbsp; 1706.985 | &nbsp;&nbsp; 1492.531 | &nbsp;&nbsp; 1643.069 |
| &nbsp;&nbsp; Third Quarter | &nbsp;&nbsp; 1740.753 | &nbsp;&nbsp; 1653.132 | &nbsp;&nbsp; 1696.571 |
| &nbsp;&nbsp; Fourth Quarter | &nbsp;&nbsp; 1672.992 | &nbsp;&nbsp; 1266.925 | &nbsp;&nbsp; 1348.559 |
| &nbsp;&nbsp; **2019** |  |  |  |
| &nbsp;&nbsp; First Quarter | &nbsp;&nbsp; 1590.062 | &nbsp;&nbsp; 1330.831 | &nbsp;&nbsp; 1539.739 |
| &nbsp;&nbsp; Second Quarter | &nbsp;&nbsp; 1614.976 | &nbsp;&nbsp; 1465.487 | &nbsp;&nbsp; 1566.572 |
| &nbsp;&nbsp; Third Quarter | &nbsp;&nbsp; 1585.599 | &nbsp;&nbsp; 1456.039 | &nbsp;&nbsp; 1523.373 |
| &nbsp;&nbsp; Fourth Quarter | &nbsp;&nbsp; 1678.010 | &nbsp;&nbsp; 1472.598 | &nbsp;&nbsp; 1668.469 |
| &nbsp;&nbsp; **2020** |  |  |  |
| &nbsp;&nbsp; First Quarter | &nbsp;&nbsp; 1705.215 | &nbsp;&nbsp; 991.160 | &nbsp;&nbsp; 1153.103 |
| &nbsp;&nbsp; Second Quarter | &nbsp;&nbsp; 1536.895 | &nbsp;&nbsp; 1052.053 | &nbsp;&nbsp; 1441.365 |
| &nbsp;&nbsp; Third Quarter | &nbsp;&nbsp; 1592.287 | &nbsp;&nbsp; 1398.920 | &nbsp;&nbsp; 1507.692 |
| &nbsp;&nbsp; Fourth Quarter | &nbsp;&nbsp; 2007.104 | &nbsp;&nbsp; 1531.202 | &nbsp;&nbsp; 1974.855 |
| &nbsp;&nbsp; **2021** |  |  |  |
| &nbsp;&nbsp; First Quarter | &nbsp;&nbsp; 2360.168 | &nbsp;&nbsp; 1945.914 | &nbsp;&nbsp; 2220.519 |
| &nbsp;&nbsp; Second Quarter | &nbsp;&nbsp; 2343.758 | &nbsp;&nbsp; 2135.139 | &nbsp;&nbsp; 2310.549 |
| &nbsp;&nbsp; Third Quarter | &nbsp;&nbsp; 2329.359 | &nbsp;&nbsp; 2130.680 | &nbsp;&nbsp; 2204.372 |
| &nbsp;&nbsp; Fourth Quarter | &nbsp;&nbsp; 2442.742 | &nbsp;&nbsp; 2139.875 | &nbsp;&nbsp; 2245.313 |
| &nbsp;&nbsp; **2022** |  |  |  |
| &nbsp;&nbsp; First Quarter | &nbsp;&nbsp; 2272.557 | &nbsp;&nbsp; 1931.288 | &nbsp;&nbsp; 2070.125 |
| &nbsp;&nbsp; Second Quarter | &nbsp;&nbsp; 2095.440 | &nbsp;&nbsp; 1649.836 | &nbsp;&nbsp; 1707.990 |
| &nbsp;&nbsp; Third Quarter | &nbsp;&nbsp; 2021.346 | &nbsp;&nbsp; 1655.882 | &nbsp;&nbsp; 1664.716 |
| &nbsp;&nbsp; Fourth Quarter | &nbsp;&nbsp; 1892.839 | &nbsp;&nbsp; 1682.403 | &nbsp;&nbsp; 1761.246 |
| &nbsp;&nbsp; **2023** |  |  |  |
| &nbsp;&nbsp; First Quarter (through March 10, 2023) | &nbsp;&nbsp; 2001.221 | &nbsp;&nbsp; 1750.734 | &nbsp;&nbsp; 1772.702 |

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The "Russell 2000<sup>®</sup> Index" is a trademark of FTSE Russell. For more information, see "Russell 2000<sup>®</sup> Index" in the accompanying index supplement.

March 2023 Page 12

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

Additional Terms of the Securities

Please read this information in conjunction with the summary terms on the front cover of this document.

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| | |
|:---|:---|
| &nbsp;&nbsp; **Additional Terms:** |  |
| &nbsp;&nbsp; If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control. | &nbsp;&nbsp; If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control. |
| &nbsp;&nbsp; **Day-count convention:** | &nbsp;&nbsp; Interest will be computed on the basis of a 360-day year of twelve 30-day months. |
| &nbsp;&nbsp; **Interest period:**  | &nbsp;&nbsp; The semi-annual period from and including the original issue date (in the case of the first interest period) or the previous scheduled coupon payment date, as applicable, to but excluding the following scheduled coupon payment date, with no adjustment for any postponement thereof. |
| &nbsp;&nbsp; **Record date:** | &nbsp;&nbsp; The record date for each coupon payment date shall be the date one business day prior to such scheduled coupon payment date; *provided, however,* that any semi-annual coupon payable at maturity or upon redemption shall be payable to the person to whom the payment at maturity or early redemption payment, as the case may be, shall be payable. |
| &nbsp;&nbsp; **Underlying index publisher:** | &nbsp;&nbsp; FTSE Russell or any successor thereof |
| &nbsp;&nbsp; **Postponement of maturity date:** | &nbsp;&nbsp; If the scheduled final observation date is not an index business day or if a market disruption event occurs on that day so that the final observation date is postponed and falls less than two business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the second business day following that final observation date as postponed. |
| &nbsp;&nbsp; **Index closing value:** | &nbsp;&nbsp; With respect to the RTY Index, the index closing value on any index business day shall be determined by the calculation agent and shall equal the closing value of such underlying index or any successor index reported by Bloomberg Financial Services, or any successor reporting service the calculation agent may select, on such index business day. In certain circumstances, the index closing value for the RTY Index will be based on the alternate calculation of such underlying index as described under "Discontinuance of Any Underlying Index; Alteration of Method of Calculation" in the accompanying product supplement. The closing value of the RTY Index reported by Bloomberg Financial Services may be lower or higher than the official closing value of the RTY Index published by the underlying index publisher for such underlying index. |
| &nbsp;&nbsp; **Trustee:** | &nbsp;&nbsp; The Bank of New York Mellon |
| &nbsp;&nbsp; **Calculation agent:** | &nbsp;&nbsp; MS & Co. |
| &nbsp;&nbsp; **Issuer notices to registered security holders, the trustee and the depositary:** | &nbsp;&nbsp; In the event that the maturity date is postponed due to postponement of the final observation 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 observation date as postponed.<br> In the event that the securities are subject to early redemption, the issuer shall, (i) on the business day following the applicable redemption 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.<br> 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 to be delivered as semi-annual coupon with respect to each security on or prior to 10:30 a.m. (New York City time) on the business day preceding each coupon payment date, and (ii) deliver the aggregate cash amount due with respect to the semi-annual coupon to the trustee for delivery to the depositary, as holder of the securities, on the applicable coupon payment date. |

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March 2023 Page 13

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

&nbsp;&nbsp; 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 to be delivered with respect to each stated principal amount of the securities, on or prior to 10:30 a.m. (New York City time) on the business day preceding the maturity date, and (ii) deliver the aggregate cash amount due with respect to the securities to the trustee for delivery to the depositary, as holder of the securities, on the maturity date.<br>

March 2023 Page 14

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

Additional Information About the Securities

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| | |
|:---|:---|
| &nbsp;&nbsp; **Additional Information:** |  |
| &nbsp;&nbsp; **Listing:** | &nbsp;&nbsp; The securities will not be listed on any securities exchange. |
| &nbsp;&nbsp; **Minimum ticketing size:** | &nbsp;&nbsp; $1,000 / 1 security |
| &nbsp;&nbsp; **Tax considerations:** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Prospective investors should note that the discussion under the section called "United States Federal Taxation" in the accompanying product supplement does not apply to the securities issued under this document and is superseded by the following discussion.**<br> The following is a general discussion of the material U.S. federal income tax consequences and certain estate tax consequences of ownership and disposition of the securities. This discussion applies only to initial investors in the securities who:<br> &nbsp;&nbsp;&nbsp;&nbsp;•purchase the securities at their "issue price," which will equal the first price at which a substantial amount of the securities is sold to the public (not including bond houses, brokers, or similar persons or organizations acting in the capacity of underwriters, placement agents or wholesalers); and<br> &nbsp;&nbsp;&nbsp;&nbsp;•hold the securities as capital assets within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the "Code").<br> 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:<br> &nbsp;&nbsp;&nbsp;&nbsp;•certain financial institutions;<br> &nbsp;&nbsp;&nbsp;&nbsp;•insurance companies;<br> &nbsp;&nbsp;&nbsp;&nbsp;•dealers and certain traders in securities or commodities;<br> &nbsp;&nbsp;&nbsp;&nbsp;•investors holding the securities as part of a "straddle," wash sale, conversion transaction, integrated transaction or constructive sale transaction;<br> &nbsp;&nbsp;&nbsp;&nbsp;•U.S. Holders (as defined below) whose functional currency is not the U.S. dollar;<br> &nbsp;&nbsp;&nbsp;&nbsp;•partnerships or other entities classified as partnerships for U.S. federal income tax purposes;<br> &nbsp;&nbsp;&nbsp;&nbsp;•regulated investment companies;<br> &nbsp;&nbsp;&nbsp;&nbsp;•real estate investment trusts; or<br> &nbsp;&nbsp;&nbsp;&nbsp;•tax-exempt entities, including "individual retirement accounts" or "Roth IRAs" as defined in Section 408 or 408A of the Code, respectively.<br> 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.<br> 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. 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. Moreover, the discussion below does not address the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code.<br> This discussion is based on the Code, administrative pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date hereof, 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.<br>**General**<br> Due to the lack of any controlling legal authority, there is substantial uncertainty regarding the U.S. federal income tax consequences of an investment in the securities. We intend to treat a security, under current law, for U.S. federal income tax purposes, as a unit consisting of the following: <br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (i) a put right (the "Put Right") written by you to us that, if exercised, requires you to pay us an amount equal to the Deposit (as defined below) in exchange for a cash amount based on the performance of the underlying index; and <br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) a deposit with us of a fixed amount of cash, equal to the issue price, to secure your obligation under the Put Right (the "Deposit") that pays interest based on our cost of borrowing at the  |

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March 2023 Page 15

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; time of issuance (the "Yield on the Deposit"). <br> Based on the treatment set forth above, a portion of the coupon on the securities will be treated as the Yield on the Deposit, and the remainder will be attributable to the premium on the Put Right (the "Put Premium"). The Yield on the Deposit will be determined by us as of the pricing date and set forth in the applicable pricing supplement.<br> We will allocate 100% of the issue price of the securities to the Deposit and none to the Put Right. Our allocation of the issue price between the Put Right and the Deposit will be binding on you, unless you timely and explicitly disclose to the Internal Revenue Service (the "IRS") that your allocation is different from ours. This allocation is not, however, binding on the IRS or a court. <br> No statutory, judicial or administrative authority directly addresses the treatment of the securities or instruments similar to the securities for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to the securities. **Significant aspects of the U.S. federal income tax consequences of an investment in the securities are uncertain, and no assurance can be given that the IRS or a court will agree with the tax treatment described herein.** In the opinion of our counsel, Davis Polk & Wardwell LLP, the treatment of the securities described above is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative treatments are possible. Moreover, our counsel's opinion is based on market conditions as of the date of this preliminary pricing supplement and is subject to confirmation on the pricing date. **Accordingly, you should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities (including alternative treatments of the securities). Unless otherwise stated, the following discussion is based on the treatment and the allocation described above.** <br>**Tax Consequences to U.S. Holders**<br> 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: <br> &nbsp;&nbsp;&nbsp;&nbsp;•a citizen or individual resident of the United States;<br> &nbsp;&nbsp;&nbsp;&nbsp;•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<br> &nbsp;&nbsp;&nbsp;&nbsp;•an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.<br>***Tax Treatment of the Securities***<br> Assuming the treatment of the securities and allocation of the issue price as set forth above are respected, the following U.S. federal income tax consequences should result.<br> *Coupon Payments on the Securities.* Under the characterization described above under "—General," only a portion of the coupon payments on the securities will be attributable to the Yield on the Deposit. The remainder of the coupon payments will represent payments attributable to the Put Premium. To the extent attributable to the Yield on the Deposit, coupon payments on the securities should generally be taxable to a U.S. Holder as ordinary interest income at the time accrued or received, in accordance with the U.S. Holder's method of accounting for U.S. federal income tax purposes. <br> The Put Premium will not be taxable to a U.S. Holder upon receipt but will be accounted for as described below.<br> *Tax Basis.* Based on our determination set forth above, the U.S. Holder's initial tax basis in the Deposit will be 100% of the issue price. The determination of gain or loss with respect to the Put Right is described below.<br> *Receipt of Stated Principal Amount in Cash upon Settlement of the Securities.* If a U.S. Holder receives the stated principal amount of a security in cash (excluding cash attributable to coupon payments on the security, which would be taxed as described above under "—Coupon Payments on the Securities"), the Put Right will be deemed to have expired unexercised. In such case, the U.S. Holder will not recognize any gain upon the return of the Deposit, but will recognize the total amount of Put Premium received by the U.S. Holder over the term of the securities (including Put Premium received upon settlement) as short-term capital gain at such time.<br> *Receipt of a Cash Amount Based on the Performance of the Underlying Index upon Maturity of the Securities.* If a U.S. Holder receives an amount of cash (excluding cash attributable to coupon payments on the securities, which would be taxed as described above under "—Coupon Payments on the Securities") that is less than the stated principal amount of the securities, the Put Right will be deemed to have been exercised and the U.S. Holder will be deemed to have applied the Deposit toward the cash settlement of the Put Right. In such case, the U.S. Holder will not recognize any gain or loss in respect of the Deposit, but will recognize short-term capital gain or loss in an amount equal to the difference between (i) the amount of cash received by the U.S. Holder at maturity (excluding cash attributable to coupon payments on the securities), plus the total Put Premium received by the U.S. Holder over the term of the securities (including the Put Premium received at maturity) and (ii) the Deposit.<br>

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; *Sale or Exchange of the Securities Prior to Settlement.* Upon the sale or exchange of a security, a U.S. Holder will generally recognize long-term capital gain or loss with respect to the Deposit if the U.S. Holder has held the securities for more than one year at the time of such sale or exchange and short-term capital gain or loss otherwise. The U.S. Holder will also generally recognize short-term capital gain or loss with respect to the Put Right. For the purpose of determining such gain or loss, a U.S. Holder should apportion the amount realized on the sale or exchange of a security (excluding any amount attributable to accrued but unpaid Yield on the Deposit, which would be taxed as described under "—Coupon Payments on the Securities") between the Deposit and the Put Right based on their respective values on the date of such sale or exchange. The amount of capital gain or loss on the Deposit will equal the amount realized that is attributable to the Deposit, less the U.S. Holder's adjusted tax basis in the Deposit. The amount realized that is attributable to the Put Right, together with the total Put Premium received by the U.S. Holder over the term of the security, will be treated as short-term capital gain.<br> If the value of the Deposit on the date of such sale or exchange exceeds the total amount realized on the sale or exchange of the security, the U.S. Holder will be treated as having (i) sold or exchanged the Deposit for an amount equal to its value on that date and (ii) made a payment (the "Put Right Assumption Payment") to the purchaser of the security equal to the amount of such excess, in exchange for the purchaser's assumption of the U.S. Holder's rights and obligations under the Put Right. In such a case, the U.S. Holder will recognize short-term capital gain or loss in respect of the Put Right in an amount equal to the total Put Premium received by the U.S. Holder over the term of the security, less the amount of the Put Right Assumption Payment deemed to be made by the U.S. Holder. <br>***Possible Alternative Tax Treatments of an Investment in the Securities***<br> Due to the absence of authorities that directly address the proper characterization 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, there is a substantial risk that the IRS could seek to treat a security or the Deposit as a debt instrument subject to Treasury regulations governing contingent payment debt instruments (the "Contingent Debt Regulations"). <br> If the IRS were successful in asserting that the Contingent Debt Regulations applied to the securities or to the Deposit, the timing and character of income thereon would be significantly affected. Among other things, a U.S. Holder would be required to accrue interest income as original issue discount, subject to adjustments, at a "comparable yield" based on our cost of borrowing. Furthermore, if the securities or Deposit were treated as contingent payment debt instruments, any gain realized with respect to the securities or the Deposit would generally be treated 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.<br> Even if the Contingent Debt Regulations do not apply to the securities, other alternative U.S. federal income tax characterizations or 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. It is possible, for example, that a security could be treated as constituting an "open transaction" with the result that the coupon payments on the securities might not be accounted for separately as giving rise to income to U.S. Holders until the sale, exchange or settlement of the securities. Alternatively, the entire coupon on the securities could be required to be included in income by a U.S. Holder at the time received or accrued. Other alternative characterizations are also possible. Accordingly, prospective purchasers should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities.<br> 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. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts described in the notice, it is possible that 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. The notice focuses on a number of issues, the most relevant of which for U.S. Holders of the securities is the character and timing of income or loss realized with respect to these instruments (including whether the Put Premium might be required to be included currently as ordinary income). Accordingly, prospective investors 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 this notice.<br>***Backup Withholding and Information Reporting***<br> Backup withholding may apply in respect of payments on the securities 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 will be filed with the IRS in connection with payments 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.<br>

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br> **Tax Consequences to Non-U.S. Holders**<br> 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:<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;•an individual who is classified as a nonresident alien;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;•a foreign corporation; or<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;•a foreign trust or estate.<br> The term "Non-U.S. Holder" does not include any of the following holders:<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;•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;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;•certain former citizens or residents of the United States; or<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;•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.<br> Such holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities.<br>***General*** <br> Assuming the treatment of the securities as set forth above is respected and subject to the discussions below regarding the potential application of Section 871(m) of the Code and FATCA, payments with respect to a security, and gain realized on the sale, exchange or other disposition of such security, should not be subject to U.S. federal income or withholding tax under current law, provided that: <br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;•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 our stock entitled to vote;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;•the Non-U.S. Holder is not a controlled foreign corporation related, directly or indirectly, to us through stock ownership;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;•the Non-U.S. Holder is not a bank receiving interest under Section 881(c)(3)(A) of the Code; and<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;•the certification requirement described below has been fulfilled with respect to the beneficial owner.<br> *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.<br>***Possible Alternative Tax Treatments of an Investment in the Securities*** <br> As described above under "—Tax Consequences to U.S. Holders—Possible Alternative Tax Treatments of an Investment in the Securities," the IRS may seek to apply a different characterization and tax treatment from the treatment described herein. While the U.S. federal income and withholding tax consequences to a Non-U.S. Holder of ownership and disposition of a security under current law should generally be the same as those described immediately above, it is possible that a Non-U.S. Holder could be subject to withholding tax under certain recharacterizations of the securities. <br> Moreover, among the issues addressed in the IRS notice described in "—Tax Consequences to U.S. Holders" is the degree, if any, to which income realized by Non-U.S. Holders should be subject to withholding tax. It is possible that any Treasury regulations or other guidance issued after consideration of this issue could materially and adversely affect the withholding tax consequences of ownership and disposition of the securities, possibly with retroactive effect. Accordingly, prospective investors 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 discussed above. Prospective investors should note that we currently do not intend to withhold on any of the payments 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 discussion below regarding 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 (or any financial intermediary) 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.<br>***Section 871(m) Withholding Tax on Dividend Equivalents***<br> 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 <br>

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

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|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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 the terms of the securities and current market conditions, we expect that the securities will not have a delta of one with respect to any Underlying Security on the pricing date. However, we will provide an updated determination in the final pricing supplement. Assuming 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).<br> 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.<br>***U.S. Federal Estate Tax***<br> 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.<br>***Backup Withholding and Information Reporting***<br> Information returns will be filed with the IRS in connection with any coupon payment and may be filed with the IRS in connection with the payment at maturity on the securities and 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 under "—General—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.<br>**FATCA**<br> 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"). Withholding (if applicable) applies to payments of U.S.-source FDAP income and to payments of gross proceeds of the disposition (including upon retirement) of certain financial instruments treated as providing for U.S.-source interest or dividends. 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 interest or other FDAP income). While the treatment of the securities is unclear, you should assume that the yield on the Deposit will be subject to the FATCA rules. It is also possible in light of this uncertainty that an applicable withholding agent will treat the entire amount of the coupon payments as being subject to the FATCA rules. If withholding applies to the securities, we will 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.<br>**The discussion in the preceding paragraphs, 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 tax consequences of an investment in the securities.** |
| &nbsp;&nbsp; **Use of proceeds and hedging:** | &nbsp;&nbsp; The proceeds from the sale of the securities will be used by us for general corporate purposes. We will receive, in aggregate, $1,000 per security issued. The costs of the securities borne by you and described beginning on page 3 above comprise the cost of issuing, structuring and hedging the securities.<br> On or prior to March 10, 2023, we will 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 stocks constituting the underlying index, in futures and/or options  |

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Morgan Stanley Finance LLC

Fixed Income Buffered Auto-Callable Securities due September 19, 2024

**Based on the Performance of the Russell 2000**<sup>®</sup> **Index**

**Principal at Risk Securities**

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|  | &nbsp;&nbsp; contracts on the underlying index or the component stocks of the underlying index listed on major securities markets, or positions in any other available securities or instruments that they may wish to use in connection with such hedging. Such purchase activity could potentially increase the initial index value, and, as a result, could increase value at or above which the underlying index must close on the final observation date in order for you to avoid being exposed to the negative performance of the underlying index at maturity. 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 observation date approaches. Additionally, our hedging activities, as well as our other trading activities, during the term of the securities could potentially affect the value of the underlying index on the final observation date, and, accordingly, the payment to you at maturity, if any. |
| &nbsp;&nbsp; **Additional considerations:** | &nbsp;&nbsp; Client accounts over which Morgan Stanley, Morgan Stanley Wealth Management or any of their respective subsidiaries have investment discretion are not permitted to purchase the securities, either directly or indirectly. |
| &nbsp;&nbsp; **Supplemental information regarding plan of distribution; conflicts of interest:** | &nbsp;&nbsp; MS & Co. expects to sell all of the securities that it purchases from us to an unaffiliated dealer at a price of $ per security, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per security. MS & Co. will not receive a sales commission with respect to the securities.<br> 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. When MS & Co. prices this offering of securities, it will determine the economic terms of the securities such that for each security the estimated value on the pricing date will be no lower than the minimum level described in "Investment Summary" beginning on page 3. <br> 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. See "Plan of Distribution (Conflicts of Interest)" and "Use of Proceeds and Hedging" in the accompanying product supplement for auto-callable securities. |
| &nbsp;&nbsp; **Where you can find more information:** | &nbsp;&nbsp; Morgan Stanley and MSFL have filed a registration statement (including a prospectus, as supplemented by the product supplement for auto-callable securities and the index supplement) with the Securities and Exchange Commission, or SEC, for the offering to which this communication relates. You should read the prospectus in that registration statement, the product supplement for auto-callable securities, the index supplement and any other documents relating to this offering that Morgan Stanley and MSFL have filed with the SEC for more complete information about Morgan Stanley, MSFL and this offering. You may get these documents without cost by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, Morgan Stanley, MSFL, any underwriter or any dealer participating in the offering will arrange to send you the prospectus, the product supplement for auto-callable securities and the index supplement if you so request by calling toll-free 1-(800)-584-6837.<br> You may access these documents on the SEC web site at.www.sec.gov as follows:<br> [**<u>Product Supplement for Auto-Callable Securities dated</u> <u>November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022201/dp140493_424b2-epsacallsec.htm)<br> [**<u>Index Supplement dated</u> <u>November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022214/dp140278_424b2-isn2020.htm)<br> [**<u>Prospectus dated</u> <u>November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022190/dp140485_424b2-base.htm)<br> Terms used but not defined in this document are defined in the product supplement for auto-callable securities, in the index supplement or in the prospectus.  |

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