# EDGAR Filing Document

**Accession Number:** 0001666268
**File Stem:** 0001839882-23-006298
**Filing Date:** 2023-3
**Character Count:** 117531
**Document Hash:** cbb827fa20d56c774baf245a7670ec90
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001839882-23-006298.hdr.sgml**: 20230309

**ACCESSION NUMBER**: 0001839882-23-006298

**CONFORMED SUBMISSION TYPE**: 424B2

**PUBLIC DOCUMENT COUNT**: 5

**FILED AS OF DATE**: 20230309

**DATE AS OF CHANGE**: 20230309

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** MORGAN STANLEY
- **CENTRAL INDEX KEY:** 0000895421
- **STANDARD INDUSTRIAL CLASSIFICATION:** SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211]
- **IRS NUMBER:** 363145972
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-250103
- **FILM NUMBER:** 23718714

**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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MORGAN STANLEY DEAN WITTER & CO
- **DATE OF NAME CHANGE:** 19980326

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** DEAN WITTER DISCOVER & CO
- **DATE OF NAME CHANGE:** 19960315
**FILER**: 

**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:** 424B2
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-250103-01
- **FILM NUMBER:** 23718715

**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**

Pricing Supplement No. 8,295

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

Dated March 7, 2023

Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC

Structured Investments

Opportunities in U.S. Equities

Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Fully and Unconditionally Guaranteed by Morgan Stanley**

**Principal at Risk Securities**

The Contingent Income Auto-Callable Securities do not guarantee the payment of interest or the repayment of principal. Instead, the securities offer the opportunity for investors to earn a contingent quarterly coupon at an annual rate of 13.00%, but only with respect to each determination date on which the determination closing price of the underlying shares is greater than or equal to 70% of the initial share price, which we refer to as the coupon barrier level. In addition, if the determination closing price of the underlying shares is greater than or equal to the initial share price on any redemption determination date (beginning approximately six months after the original issue date), the securities will be automatically redeemed for an amount per security equal to the stated principal amount and the contingent quarterly coupon. However, if the securities are not automatically redeemed prior to maturity, the payment at maturity due on the securities will be as follows: (i) if the final share price is greater than or equal to 60% of the initial share price, which we refer to as the downside threshold level, the stated principal amount and, if the final share price is also greater than or equal to the coupon barrier level, the contingent quarterly coupon with respect to the final determination date, or (ii) if the final share price is less than the downside threshold level, investors will be exposed to the decline in the underlying shares on a 1-to-1 basis and will receive a payment at maturity that is less than 60% of the principal amount of the securities and could be zero. Moreover, if on any determination date the determination closing price of the underlying shares is less than the coupon barrier level, you will not receive any contingent quarterly coupon for that quarterly period. As a result, investors must be willing to accept the risk of not receiving any contingent quarterly coupons and also the risk of receiving a payment at maturity that is significantly less than the stated principal amount of the securities and could be zero. **Accordingly, investors could lose their entire initial investment in the securities.** The securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving few or no contingent quarterly coupons over the 3-year term of the securities. Investors will not participate in any appreciation of the underlying shares. 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.**

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp; **FINAL Terms** | &nbsp;&nbsp; **FINAL Terms** | &nbsp;&nbsp; **FINAL Terms** | &nbsp;&nbsp; **FINAL Terms** |
| &nbsp;&nbsp; **Issuer:** | &nbsp;&nbsp; **Issuer:** | &nbsp;&nbsp;&nbsp; Morgan Stanley Finance LLC | &nbsp;&nbsp;&nbsp; Morgan Stanley Finance LLC |
| &nbsp;&nbsp; **Guarantor:** | &nbsp;&nbsp; **Guarantor:** | &nbsp;&nbsp;&nbsp; Morgan Stanley | &nbsp;&nbsp;&nbsp; Morgan Stanley |
| &nbsp;&nbsp; **Underlying shares:** | &nbsp;&nbsp; **Underlying shares:** | &nbsp;&nbsp;&nbsp; Shares of the Energy Select Sector SPDR<sup>®</sup> Fund (the "Fund") | &nbsp;&nbsp;&nbsp; Shares of the Energy Select Sector SPDR<sup>®</sup> Fund (the "Fund") |
| &nbsp;&nbsp; **Aggregate principal amount:** | &nbsp;&nbsp; **Aggregate principal amount:** | &nbsp;&nbsp;&nbsp; $1100000 | &nbsp;&nbsp;&nbsp; $1100000 |
| &nbsp;&nbsp; **Stated principal amount:** | &nbsp;&nbsp; **Stated principal amount:** | &nbsp;&nbsp;&nbsp; $1,000 per security | &nbsp;&nbsp;&nbsp; $1,000 per security |
| &nbsp;&nbsp; **Issue price:** | &nbsp;&nbsp; **Issue price:** | &nbsp;&nbsp;&nbsp; $1,000 per security | &nbsp;&nbsp;&nbsp; $1,000 per security |
| &nbsp;&nbsp; **Pricing date:** | &nbsp;&nbsp; **Pricing date:** | &nbsp;&nbsp;&nbsp; March 7, 2023 | &nbsp;&nbsp;&nbsp; March 7, 2023 |
| &nbsp;&nbsp; **Original issue date:** | &nbsp;&nbsp; **Original issue date:** | &nbsp;&nbsp;&nbsp; March 10, 2023 (3 business days after the pricing date) | &nbsp;&nbsp;&nbsp; March 10, 2023 (3 business days after the pricing date) |
| &nbsp;&nbsp; **Maturity date:** | &nbsp;&nbsp; **Maturity date:** | &nbsp;&nbsp;&nbsp; March 11, 2026 | &nbsp;&nbsp;&nbsp; March 11, 2026 |
| &nbsp;&nbsp; **Early redemption:** | &nbsp;&nbsp; **Early redemption:** | &nbsp;&nbsp;&nbsp; The securities are not subject to early redemption until six months after the original issue date. Following this six-month non-call period, if on any redemption determination date, beginning September 6, 2023, the determination closing price of the underlying shares is <u>greater than or equal to</u> the initial share price, the securities will be automatically redeemed for an early redemption payment on the third business day following the related redemption determination date. No further payments will be made on the securities once they have been redeemed. | &nbsp;&nbsp;&nbsp; The securities are not subject to early redemption until six months after the original issue date. Following this six-month non-call period, if on any redemption determination date, beginning September 6, 2023, the determination closing price of the underlying shares is <u>greater than or equal to</u> the initial share price, the securities will be automatically redeemed for an early redemption payment on the third business day following the related redemption determination date. No further payments will be made on the securities once they have been redeemed. |
| &nbsp;&nbsp; **Early redemption payment:** | &nbsp;&nbsp; **Early redemption payment:** | &nbsp;&nbsp;&nbsp; The early redemption payment will be an amount equal to (i) the stated principal amount *plus* (ii) the contingent quarterly coupon with respect to the related redemption determination date. | &nbsp;&nbsp;&nbsp; The early redemption payment will be an amount equal to (i) the stated principal amount *plus* (ii) the contingent quarterly coupon with respect to the related redemption determination date. |
| &nbsp;&nbsp; **Determination closing price:** | &nbsp;&nbsp; **Determination closing price:** | &nbsp;&nbsp;&nbsp; The closing price of one share on any determination date other than the final determination date *times* the adjustment factor on such determination date. | &nbsp;&nbsp;&nbsp; The closing price of one share on any determination date other than the final determination date *times* the adjustment factor on such determination date. |
| &nbsp;&nbsp; **Contingent quarterly coupon:** | &nbsp;&nbsp; **Contingent quarterly coupon:** | &nbsp;&nbsp;&nbsp; ●If, on any determination date, the determination closing price or the final share price, as applicable, is greater than or equal to the coupon barrier level, we will pay a contingent quarterly coupon at an annual rate of 13.00% (corresponding to approximately $32.50 per quarter per security) on the related contingent payment date.<br> ●If, on any determination date, the determination closing price or the final share price, as applicable, is less than the coupon barrier level, no contingent quarterly coupon will be paid with respect to that determination date. | &nbsp;&nbsp;&nbsp; ●If, on any determination date, the determination closing price or the final share price, as applicable, is greater than or equal to the coupon barrier level, we will pay a contingent quarterly coupon at an annual rate of 13.00% (corresponding to approximately $32.50 per quarter per security) on the related contingent payment date.<br> ●If, on any determination date, the determination closing price or the final share price, as applicable, is less than the coupon barrier level, no contingent quarterly coupon will be paid with respect to that determination date. |
| &nbsp;&nbsp; **Redemption determination dates:** | &nbsp;&nbsp; **Redemption determination dates:** | &nbsp;&nbsp;&nbsp; Beginning after six months, quarterly, beginning on September 6, 2023, as set forth under "Determination Dates, Redemption Determination Dates, Contingent Payment Dates and Early Redemption Dates" below, subject to postponement for non-trading days and certain market disruption events | &nbsp;&nbsp;&nbsp; Beginning after six months, quarterly, beginning on September 6, 2023, as set forth under "Determination Dates, Redemption Determination Dates, Contingent Payment Dates and Early Redemption Dates" below, subject to postponement for non-trading days and certain market disruption events |
| &nbsp;&nbsp; **Early redemption dates:** | &nbsp;&nbsp; **Early redemption dates:** | &nbsp;&nbsp;&nbsp; Beginning after six months, quarterly, beginning on September 11, 2023, as set forth under "Determination Dates, Redemption Determination Dates, Contingent Payment Dates and Early Redemption Dates" below. If any such day is not a business day, that early redemption payment will be made on the next succeeding business day and no adjustment will be made to any early redemption payment made on that succeeding business day. | &nbsp;&nbsp;&nbsp; Beginning after six months, quarterly, beginning on September 11, 2023, as set forth under "Determination Dates, Redemption Determination Dates, Contingent Payment Dates and Early Redemption Dates" below. If any such day is not a business day, that early redemption payment will be made on the next succeeding business day and no adjustment will be made to any early redemption payment made on that succeeding business day. |
| &nbsp;&nbsp; **Payment at maturity:** | &nbsp;&nbsp; **Payment at maturity:** | &nbsp;&nbsp;&nbsp; the stated principal amount and, if the final share price is also greater than or equal to the coupon barrier level, the contingent quarterly coupon with respect to the final determination date<br>(i) the stated principal amount *multiplied by* (ii) the share performance factor | &nbsp;&nbsp;&nbsp; the stated principal amount and, if the final share price is also greater than or equal to the coupon barrier level, the contingent quarterly coupon with respect to the final determination date<br>(i) the stated principal amount *multiplied by* (ii) the share performance factor |
| &nbsp;&nbsp; **Share performance factor:** | &nbsp;&nbsp; **Share performance factor:** | &nbsp;&nbsp;&nbsp; Final share price *divided* by the initial share price | &nbsp;&nbsp;&nbsp; Final share price *divided* by the initial share price |
| &nbsp;&nbsp; **Adjustment factor:** | &nbsp;&nbsp; **Adjustment factor:** | &nbsp;&nbsp;&nbsp; 1.0, subject to adjustment in the event of certain events affecting the underlying shares | &nbsp;&nbsp;&nbsp; 1.0, subject to adjustment in the event of certain events affecting the underlying shares |
| &nbsp;&nbsp; **Coupon barrier level:** | &nbsp;&nbsp; **Coupon barrier level:** | &nbsp;&nbsp;&nbsp; $61.11, which is equal to 70% of the initial share price | &nbsp;&nbsp;&nbsp; $61.11, which is equal to 70% of the initial share price |
| &nbsp;&nbsp; **Downside threshold level:** | &nbsp;&nbsp; **Downside threshold level:** | &nbsp;&nbsp;&nbsp; $52.38, which is equal to 60% of the initial share price | &nbsp;&nbsp;&nbsp; $52.38, which is equal to 60% of the initial share price |
|  |  | &nbsp;&nbsp; ***Terms continued on the following page*** | &nbsp;&nbsp; ***Terms continued on the following page*** |
| &nbsp;&nbsp; **Agent:** | &nbsp;&nbsp; **Agent:** | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. LLC ("MS & Co."), a wholly owned subsidiary of Morgan Stanley and an affiliate of MSFL. See "Supplemental information regarding plan of distribution; conflicts of interest." | &nbsp;&nbsp;&nbsp; Morgan Stanley & Co. LLC ("MS & Co."), a wholly owned subsidiary of Morgan Stanley and an affiliate of MSFL. See "Supplemental information regarding plan of distribution; conflicts of interest." |
| &nbsp;&nbsp; **Estimated value on the pricing date:** | &nbsp;&nbsp; **Estimated value on the pricing date:** | &nbsp;&nbsp;&nbsp; $982.20 per security. See "Investment Summary" on page 3. | &nbsp;&nbsp;&nbsp; $982.20 per security. See "Investment Summary" on page 3. |
| &nbsp;&nbsp; **Commissions and issue price:** | &nbsp;&nbsp; **Price to public**<sup>(1)</sup> | &nbsp;&nbsp; **Agent's commissions and fees**<sup>(2)</sup> | &nbsp;&nbsp; **Proceeds to us**<sup>(3)</sup> |
| &nbsp;&nbsp; **Per security** | &nbsp;&nbsp;&nbsp; $1000 | &nbsp;&nbsp;&nbsp; $6  | &nbsp;&nbsp;&nbsp; $994  |
| &nbsp;&nbsp; **Total** | &nbsp;&nbsp;&nbsp; $1100000 | &nbsp;&nbsp;&nbsp; $6600 | &nbsp;&nbsp;&nbsp; $1093400 |

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*(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 $994 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 22.

**The securities involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 9.**

**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.**

**References to "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 Se</u><u>curities dated November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022201/dp140493_424b2-epsacallsec.htm) [**<u>Index Supplement dated November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022214/dp140278_424b2-isn2020.htm)

[**<u>Prospectus dated November 16, 20</u><u>20</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022190/dp140485_424b2-base.htm)

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Morgan Stanley Finance LLC

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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| | |
|:---|:---|
| &nbsp;&nbsp; ***Terms continued from previous page:*** | &nbsp;&nbsp; ***Terms continued from previous page:*** |
| &nbsp;&nbsp; **Initial share price:** | &nbsp;&nbsp;&nbsp; $87.30, which is equal to the closing price of one underlying share on March 6, 2023 |
| &nbsp;&nbsp; **Final share price:** | &nbsp;&nbsp;&nbsp; The closing price of one underlying share on the final determination date *times* the adjustment factor on such date |
| &nbsp;&nbsp; **Contingent payment dates:** | &nbsp;&nbsp;&nbsp; Quarterly, as set forth under "Determination Dates, Redemption Determination Dates, Contingent Payment Dates and Early Redemption Dates" below. If any such day is not a business day, that contingent quarterly coupon will be paid on the next succeeding business day and no adjustment will be made to any contingent quarterly coupon paid on that succeeding business day. The contingent quarterly coupon, if any, with respect to the final determination date shall be paid on the maturity date. |
| &nbsp;&nbsp; **Determination dates:** | &nbsp;&nbsp;&nbsp; Quarterly, as set forth under "Determination Dates, Redemption Determination Dates, Contingent Payment Dates and Early Redemption Dates" below, subject to postponement for non-trading days and certain market disruption events. We also refer to March 6, 2026 as the final determination date. |
| &nbsp;&nbsp; **CUSIP:** | &nbsp;&nbsp;&nbsp; 61774T6T4 |
| &nbsp;&nbsp; **ISIN:** | &nbsp;&nbsp;&nbsp; US61774T6T40 |
| &nbsp;&nbsp; **Listing:** | &nbsp;&nbsp;&nbsp; The securities will not be listed on any securities exchange. |

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Observation Dates, Redemption Determination Dates, Contingent Payment Dates and Early Redemption Dates

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| | |
|:---|:---|
| **Determination Dates / Redemption Determination Dates** | **Contingent Payment Dates / Early Redemption Dates** |
| June 6, 2023\* | June 9, 2023\* |
| September 6, 2023 | September 11, 2023 |
| December 6, 2023 | December 11, 2023 |
| March 6, 2024 | March 11, 2024 |
| June 6, 2024 | June 11, 2024 |
| September 6, 2024 | September 11, 2024 |
| December 6, 2024 | December 11, 2024 |
| March 6, 2025 | March 11, 2025 |
| June 6, 2025 | June 11, 2025 |
| September 8, 2025 | September 11, 2025 |
| December 8, 2025 | December 11, 2025 |
| March 6, 2026 (final determination date) | March 11, 2026 (maturity date) |

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\* The securities are not subject to automatic early redemption until the second contingent payment date, which is September 11, 2023.

March 2023 Page 2

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Morgan Stanley Finance LLC

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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Investment Summary

**Contingent Income Auto-Callable Securities**

**Principal at Risk Securities**

The Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period Based on the Performance of the Energy Select Sector SPDR<sup>®</sup> Fund, which we refer to as the securities, provide an opportunity for investors to earn a contingent quarterly coupon at an annual rate of 13.00% with respect to each quarterly determination date on which the determination closing price or the final share price, as applicable, is greater than or equal to 70% of the initial share price, which we refer to as the coupon barrier level. It is possible that the closing price of the underlying shares could remain below the coupon barrier level for extended periods of time or even throughout the term of the securities so that you may receive few or no contingent quarterly coupons. If the determination closing price is greater than or equal to the initial share price on any redemption determination date, beginning September 6, 2023, the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount *plus* the contingent quarterly coupon with respect to the related determination date. If the securities have not previously been redeemed and the final share price is greater than or equal to 60% of the initial share price, which we refer to as the downside threshold level, the payment at maturity will be the stated principal amount and, if the final share price is also greater than or equal to the coupon barrier level, the contingent quarterly coupon with respect to the related determination date. However, if the securities have not previously been redeemed and the final share price is less than the downside threshold level, investors will be exposed to the decline in the closing price of the underlying shares, as compared to the initial share price, on a 1-to-1 basis. In this case, the payment at maturity will be less than 60% of the stated principal amount of the securities and could be zero. Investors in the securities must be willing to accept the risk of losing their entire principal and also the risk of not receiving any contingent quarterly coupon. In addition, investors will not participate in any appreciation of the underlying shares.

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 is less than $1,000. We estimate that the value of each security on the pricing date is $982.20.

*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 shares. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying shares, instruments based on the underlying shares, 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 contingent quarterly coupon rate, the coupon barrier level and the downside threshold level, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the 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 shares, 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 shares, 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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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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Key Investment Rationale

The securities offer investors an opportunity to earn a contingent quarterly coupon at an annual rate of 13.00% with respect to each determination date on which the determination closing price or the final share price, as applicable, is greater than or equal to 70% of the initial share price, which we refer to as the coupon barrier level. The securities may be redeemed prior to maturity for the stated principal amount per security *plus* the applicable contingent quarterly coupon, and the payment at maturity will vary depending on the final share price, as follows:

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| | |
|:---|:---|
| &nbsp;&nbsp; **Scenario 1** | &nbsp;&nbsp; **On any redemption determination date, beginning September 6, 2023, the determination closing price is *greater than or equal to* the initial share price.**<br> ￭The securities will be automatically redeemed for (i) the stated principal amount *plus* (ii) the contingent quarterly coupon with respect to the related determination date. <br> ￭Investors will not participate in any appreciation of the underlying shares from the initial share price. |
| &nbsp;&nbsp; **Scenario 2** | &nbsp;&nbsp; **The securities are not automatically redeemed prior to maturity, and the final share price is *greater than or equal to* the downside threshold level.**<br> ￭The payment due at maturity will be the stated principal amount and, if the final share price is also greater than or equal to the coupon barrier level, the contingent quarterly coupon with respect to the final determination date. <br> ￭Investors will not participate in any appreciation of the underlying shares from the initial share price. |
| &nbsp;&nbsp; **Scenario 3** | &nbsp;&nbsp; **The securities are not automatically redeemed prior to maturity, and the final share price is *less than* the downside threshold level.**<br> ￭The payment due at maturity will be equal to (i) the stated principal amount *multiplied by* (ii) the share performance factor. **Investors will lose a significant portion, 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

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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How the Securities Work

The following diagrams illustrate the potential outcomes for the securities depending on (1) the determination closing price and (2) the final share price.

**Diagram #1: Determination Dates / Redemption Determination Dates ![](image1.gif)** 

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

March 2023 Page 5

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Morgan Stanley Finance LLC

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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Hypothetical Examples

The below examples are based on the following terms:

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| | |
|:---|:---|
| &nbsp;&nbsp; Hypothetical Initial Share Price: | &nbsp;&nbsp; $50.00 |
| &nbsp;&nbsp; Hypothetical Coupon Barrier Level: | &nbsp;&nbsp; $35.00, which is 70% of the hypothetical initial share price |
| &nbsp;&nbsp; Hypothetical Downside Threshold Level: | &nbsp;&nbsp; $30.00, which is 60% of the hypothetical initial share price |
| &nbsp;&nbsp; Hypothetical Adjustment Factor: | &nbsp;&nbsp; 1.0 |
| &nbsp;&nbsp; Contingent Quarterly Coupon: | &nbsp;&nbsp; 13.00% per annum (corresponding to approximately $32.50 per quarter per security)<sup>1</sup> |
| &nbsp;&nbsp; Stated Principal Amount: | &nbsp;&nbsp; $1,000 per security |

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<sup>1</sup> *The actual contingent quarterly 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 contingent quarterly coupon of $32.50 is used in these examples for ease of analysis.*

In Examples 1 and 2, the closing price of the underlying shares fluctuates over the term of the securities and the determination closing price of the underlying shares is greater than or equal to the hypothetical initial share price of $50.00 on one of the redemption determination dates. Because the determination closing price is greater than or equal to the initial share price on one of the redemption determination dates, the securities are automatically redeemed following the relevant redemption determination date. In Examples 3 and 4, the determination closing price on each of the redemption determination dates is less than the initial share price, and, consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Example** **1** | &nbsp;&nbsp; **Example** **1** | &nbsp;&nbsp; **Example** **1** | &nbsp;&nbsp; **Example 2** | &nbsp;&nbsp; **Example 2** | &nbsp;&nbsp; **Example 2** |
| &nbsp;&nbsp; **Determination Dates** | &nbsp;&nbsp; Hypothetical Determination Closing Price | &nbsp;&nbsp; Contingent Quarterly Coupon | &nbsp;&nbsp; Early Redemption Amount\* | &nbsp;&nbsp; Hypothetical Determination Closing Price | &nbsp;&nbsp; Contingent Quarterly Coupon | &nbsp;&nbsp; Early Redemption Amount |
| &nbsp;&nbsp; **#1** | &nbsp;&nbsp; $25.00 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $42.50 | &nbsp;&nbsp; $32.50 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#2** | &nbsp;&nbsp; $19.50 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $25.20 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#3** | &nbsp;&nbsp; $25.80 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $45.00 | &nbsp;&nbsp; $32.50 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#4** | &nbsp;&nbsp; $27.00 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $60.00 | &nbsp;&nbsp; —\* | &nbsp;&nbsp; $1032.50 |
| &nbsp;&nbsp; **#5** | &nbsp;&nbsp; $22.50 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#6** | &nbsp;&nbsp; $26.00 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#7** | &nbsp;&nbsp; $27.10 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#8** | &nbsp;&nbsp; $50.00 | &nbsp;&nbsp; —\* | &nbsp;&nbsp; $1032.50 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#9** | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#10** | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#11** | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **Final Determination Date** | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A | &nbsp;&nbsp; N/A |

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*\* The Early Redemption Amount includes the unpaid contingent quarterly coupon with respect to the determination date on which the determination closing price is greater than or equal to the initial share price and the securities are redeemed as a result.*

￭In **Example 1**, the securities are automatically redeemed following the eighth redemption determination date, as the determination closing price on the eighth redemption determination date is equal to the initial share price. As the determination closing price on each of the first seven determination dates is less than the coupon barrier level, you do not receive any contingent coupons during such period. You receive the early redemption payment, calculated as follows:

stated principal amount + contingent quarterly coupon = $1,000.00 + $32.50 = $1,032.50

*In this example, the early redemption feature limits the term of your investment to approximately two years, and you may not be able to reinvest at comparable terms or returns. If the securities are redeemed early, you will not receive any additional contingent coupons.*

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**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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￭In **Example 2**, the securities are automatically redeemed following the fourth redemption determination date, as the determination closing price on the fourth redemption determination date is greater than the initial share price. As the determination closing price on each of the first, third and fourth determination dates is greater than or equal to the coupon barrier level, you receive the contingent coupon of $32.50 with respect to each such determination date. Following the fourth redemption determination date, you receive an early redemption amount of $1,032.50, which includes the contingent quarterly coupon with respect to the fourth determination date.

*In this example, the early redemption feature limits the term of your investment to approximately one year, and you may not be able to reinvest at comparable terms or returns. If the securities are redeemed early, you will not receive any additional contingent coupons. Further, although the underlying shares have appreciated by 20% from their initial share price as of the fourth determination date, you receive only $1,032.50 per security and do not benefit from such appreciation.*

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp; **Example 3** | &nbsp;&nbsp; **Example 3** | &nbsp;&nbsp; **Example 3** | &nbsp;&nbsp; **Example 4** | &nbsp;&nbsp; **Example 4** | &nbsp;&nbsp; **Example 4** |
| &nbsp;&nbsp; **Determination Dates** | &nbsp;&nbsp; Hypothetical Determination Closing Price / Final Share Price | &nbsp;&nbsp; Contingent Quarterly Coupon | &nbsp;&nbsp; Early Redemption Amount\* | &nbsp;&nbsp; Hypothetical Determination Closing Price / Final Share Price | &nbsp;&nbsp; Contingent Quarterly Coupon | &nbsp;&nbsp; Early Redemption Amount |
| &nbsp;&nbsp; **#1** | &nbsp;&nbsp; $21.80 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $25.75 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#2** | &nbsp;&nbsp; $19.90 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $21.50 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#3** | &nbsp;&nbsp; $25.15 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $26.60 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#4** | &nbsp;&nbsp; $23.00 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $25.90 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#5** | &nbsp;&nbsp; $26.10 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $27.10 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#6** | &nbsp;&nbsp; $24.30 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $25.50 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#7** | &nbsp;&nbsp; $22.00 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $24.30 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#8** | &nbsp;&nbsp; $27.20 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $26.00 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#9** | &nbsp;&nbsp; $22.00 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $23.40 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#10** | &nbsp;&nbsp; $25.10 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $27.30 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **#11** | &nbsp;&nbsp; Below the coupon barrier level | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; Below the coupon barrier level | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **Final Determination Date** | &nbsp;&nbsp; $25.00 | &nbsp;&nbsp; $0 | &nbsp;&nbsp; N/A | &nbsp;&nbsp; $42.50 | &nbsp;&nbsp; —\* | &nbsp;&nbsp; N/A |
| &nbsp;&nbsp; **Payment at Maturity** | &nbsp;&nbsp; **$500.00** | &nbsp;&nbsp; **$500.00** | &nbsp;&nbsp; **$500.00** | &nbsp;&nbsp; **$1032.50** | &nbsp;&nbsp; **$1032.50** | &nbsp;&nbsp; **$1032.50** |

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*\*The final contingent quarterly coupon, if any, will be paid at maturity.*

Examples 3 and 4 illustrate the payment at maturity per security based on the final share price.

￭In **Example 3**, the closing price of the underlying shares remains below the coupon barrier level on every determination date. As a result, you do not receive any contingent coupons during the term of the securities. As the final share price is less than the downside threshold level, at maturity, you are fully exposed to the decline in the closing price of the underlying shares. Investors will receive a payment at maturity equal to the stated principal amount *multiplied by* the share performance factor, calculated as follows:

stated principal amount × share performance factor = $1,000.00 × ($25.00 / $50.00) = $500.00

*In this example, the payment at maturity is significantly less than the stated principal amount.*

￭In **Example 4**, the closing price of the underlying shares reflects a final share price of $42.50. Although the final share price is less than the initial share price, because the final share price is still not less than the downside threshold level, you receive the stated principal amount and, because the final share price is not less than the coupon barrier level, a contingent quarterly coupon with respect to the final determination date. Your payment at maturity is calculated as follows:

$1,000.00 + $32.50 = $1,032.50

*In this example, although the final share price represents a 15% decline from the initial share price, you receive the stated principal amount per security plus the final contingent quarterly coupon, equal to a total payment of $1,032.50 per security at maturity, because the final share price is not less than the downside threshold level or coupon barrier level.*

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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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 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 payment of regular interest or 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 share price is less than the downside threshold level, you will be exposed to the decline in the closing price of the underlying shares, as compared to the initial share price, on a 1-to-1 basis and you will receive a payment that will be less than 60% of the stated principal amount and could be zero.

￭**You will not receive any contingent quarterly coupon for any quarterly period where the determination closing price is less than the coupon barrier level.** A contingent quarterly coupon will be paid with respect to a quarterly period only if the determination closing price is greater than or equal to the coupon barrier level. If the determination closing price remains below the coupon barrier level on each determination date over the term of the securities, you will not receive any contingent quarterly coupons.

￭**The contingent quarterly coupon, if any, is based solely on the determination closing price or the final share price, as applicable.** Whether the contingent quarterly coupon will be paid with respect to a determination date will be based on the determination closing price or the final share price, as applicable. As a result, you will not know whether you will receive the contingent quarterly coupon until the related determination date. Moreover, because the contingent quarterly coupon is based solely on the determination closing price on a specific determination date or the final share price, as applicable, if such determination closing price or final share price is less than the coupon barrier level, you will not receive any contingent quarterly coupon with respect to such determination date, even if the closing price of the underlying shares was higher on other days during the term of the securities.

￭**Investors will not participate in any appreciation in the price of the underlying shares.** Investors will not participate in any appreciation in the price of the underlying shares from the initial share price, and the return on the securities will be limited to the contingent quarterly coupon, if any, that is paid with respect to each determination date on which the determination closing price or the final share price, as applicable, is greater than or equal to the coupon barrier level. It is possible that the closing price of the underlying shares could be below the coupon barrier level on most or all of the determination dates so that you will receive few or no contingent quarterly coupons. If you do not earn sufficient contingent quarterly coupons over the term of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional debt security of ours of comparable maturity.

￭**The automatic early redemption feature may limit the term of your investment to approximately six months.** If the securities are redeemed early, you may not be able to reinvest at comparable terms or returns. The term of your investment in the securities may be limited to as short as approximately six months by the automatic early redemption feature of the securities. If the securities are redeemed prior to maturity, you will receive no more contingent quarterly 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. However, under no circumstances will the securities be redeemed in the first six months of the term of the securities.

￭**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 closing price of the underlying shares on any day will affect the value of the securities more than any other single factor, other factors that may influence the value of the securities include:

othe trading price, volatility (frequency and magnitude of changes in value) and dividends of the underlying shares and of the securities composing the share underlying index,

owhether the determination closing price has been below the coupon barrier level on any determination date,

ointerest and yield rates in the market,

otime remaining until the securities mature,

ogeopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying shares or the securities markets generally and which may affect the final share price of the underlying shares,

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**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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othe occurrence of certain events affecting the underlying shares that may or may not require an adjustment to the adjustment factor, and

oany actual or anticipated changes in our credit ratings or credit spreads.

The price of the underlying shares may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen. See "Energy Select Sector SPDR<sup>®</sup> Fund Overview" below. You may receive less, and possibly significantly less, than the stated principal amount per security if you try to sell your securities prior to maturity.

￭**Investing in the securities is not equivalent to investing in the underlying shares or the securities composing the share underlying index**. Investing in the securities is not equivalent to investing in the underlying shares, the share underlying index or the securities that constitute the share underlying index. Investors in the securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the underlying shares or the securities composing the share underlying index.

￭**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 contingent payment date, upon automatic redemption or at maturity, and therefore you are subject to our credit risk. If we default on our obligations under the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected by changes in the market's view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the securities.

￭**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.

￭**No dividend payments or voting rights.** Owning the securities is not the same as owning the underlying shares or the stocks comprising the share underlying index. As a holder of the securities, you will not have voting rights or rights to receive dividends or other distributions or other rights that holders of shares of the underlying shares or stocks held by the Fund would have.

￭**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.

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**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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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 shares, 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 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 shares or the share underlying index), including trading in the underlying shares and in other instruments related to the underlying shares or the share 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 determination date approaches. Some of our affiliates also trade the underlying shares or the stocks that constitute the share underlying index and other financial instruments related to the share underlying index and other financial instruments related to the underlying shares 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 6, 2023 could potentially increase the initial share price, and, as a result, could potentially increase (i) the coupon barrier level, which is the price at or above which the underlying shares must close on each determination date in order for you to earn a contingent quarterly coupon, and (ii) the downside threshold level, which, if the securities are not called prior to maturity, is the price at or above which the underlying shares must close on the final determination date in order for you to avoid being exposed to the negative price performance of the underlying shares at maturity. Additionally, such hedging or trading activities during the term of the securities could potentially affect the price of the underlying shares on the redemption determination dates and determination dates, 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 share price, the coupon barrier level, the downside threshold level, the final share price, whether the contingent quarterly coupon will be paid on each contingent payment date, whether the securities will be redeemed following any redemption determination date, whether a market disruption event has occurred, whether to make any adjustments to the adjustment factor 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 nonoccurrence of market disruption events and certain adjustments to the adjustment factor. 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 Underlying Shares" 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 single financial contract that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. We do not plan to request a ruling from the Internal Revenue Service (the "IRS") regarding the tax treatment of the securities, and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the tax treatment described herein. For example, under one possible treatment, the IRS could seek to

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**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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recharacterize the securities as debt instruments. In that event, U.S. Holders (as defined below) would be required to accrue into income original issue discount on the securities every year at a "comparable yield" determined at the time of issuance (as adjusted based on the difference, if any, between the actual and the projected amount of any contingent payments on the securities) and recognize all income and gain in respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments that do not have such features.

**Non-U.S. Holders (as defined below) should note that we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at a reduced rate specified by an applicable income tax treaty under an "other income" or similar provision, and will not be required to pay any additional amounts with respect to amounts withheld.** 

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 holders of the securities are the character and timing of income or loss and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax. 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 this 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</u> <u>Underlying Shares</u>

￭**Investing in the securities exposes investors to risks associated with investments with a concentration in the energy sector.** The stocks included in the Energy Select Sector Index and that are generally tracked by the Fund are stocks of companies whose primary business is directly associated with the energy sector, including the following sub-sectors: (i) oil, gas and consumable fuels and (ii) energy equipment and services. Because the value of the securities is linked to the performance of the Fund, an investment in the securities exposes investors to risks associated with investments in securities with a concentration in the energy sector.

Energy companies develop and produce crude oil and natural gas and/or provide drilling and other energy resources production and distribution related services. Stock prices for these types of companies are mainly affected by the business, financial and operating condition of the particular company, as well as changes in prices for oil, gas and other types of fuels, which in turn largely depend on supply and demand for various energy products and services. Some of the factors that may influence supply and demand for energy products and services include: general economic conditions and growth rates, weather conditions, the cost of exploring for, producing and delivering oil and gas, technological advances affecting energy efficiency and energy consumption, the ability of the Organization of the Petroleum Exporting Countries (OPEC) to set and maintain production levels of oil, currency fluctuations, inflation, natural disasters, civil unrest, acts of sabotage or terrorism and other regional or global events. The profitability of energy companies may also be adversely affected by existing and future laws, regulations, government actions and other legal requirements relating to protection of the environment, health and safety matters and others that may increase the costs of conducting their business or may reduce or delay available business opportunities. Increased supply or weak demand for energy products and services, as well as various developments leading to higher costs of doing business or missed business opportunities, would adversely impact the performance of companies in the energy sector. The value of the securities may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting the energy sector or one of the sub-sectors of the energy sector than a different investment linked to securities of a more broadly diversified group of issuers.

￭**Adjustments** **to the underlying shares or the share underlying index could adversely affect the value of the securities**. The investment adviser to the Fund, SSGA Funds Management, Inc. (the "Investment Adviser"), seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the share underlying index. Pursuant to its investment strategy or otherwise, the Investment Advisor may add, delete or substitute the stocks composing the Fund. Any of these actions could adversely affect the price of the underlying shares and, consequently, the value of the securities. S&P Dow Jones Indices LLC ("S&P"), a subsidiary of S&P Global Inc., is responsible for calculating and maintaining the share underlying index. S&P may add, delete or substitute the stocks constituting the share underlying index or make other methodological changes that could change the value of the share underlying index, and, consequently, the price of the underlying shares and the value of the securities. S&P may discontinue or suspend calculation or publication of the share underlying index at any time. If trading in the underlying shares is permanently discontinued and/or the Fund is liquidated or otherwise terminated, and S&P subsequently discontinues publication of the share underlying index, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued share underlying index and is permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates. Any of these actions could adversely affect the value of the underlying shares, and, consequently, the value of the securities.

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**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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￭**The** **performance and market price of the Fund, particularly during periods of market volatility, may not correlate with the performance of the share underlying index, the performance of the component securities of the share underlying index or the net asset value per share of the Fund.** The Fund does not fully replicate the share underlying index and may hold securities that are different than those included in the share underlying index. In addition, the performance of the Fund will reflect additional transaction costs and fees that are not included in the calculation of the share underlying index. All of these factors may lead to a lack of correlation between the performance of the Fund and the share underlying index. In addition, corporate actions (such as mergers and spin-offs) with respect to the equity securities underlying the Fund may impact the variance between the performances of the Fund and the share underlying index. Finally, because the shares of the Fund are traded on an exchange and are subject to market supply and investor demand, the market price of one share of the Fund may differ from the net asset value per share of the Fund.

In particular, during periods of market volatility, or unusual trading activity, trading in the securities underlying the Fund may be disrupted or limited, or such securities may be unavailable in the secondary market. Under these circumstances, the liquidity of the Fund may be adversely affected, market participants may be unable to calculate accurately the net asset value per share of the Fund, and their ability to create and redeem shares of the Fund may be disrupted. Under these circumstances, the market price of shares of the Fund may vary substantially from the net asset value per share of the Fund or the level of the share underlying index.

For all of the foregoing reasons, the performance of the Fund may not correlate with the performance of the share underlying index, the performance of the component securities of the share underlying index or the net asset value per share of the Fund. Any of these events could materially and adversely affect the price of the shares of the Fund and, therefore, the value of the securities. Additionally, if market volatility or these events were to occur on the final determination date, the calculation agent would maintain discretion to determine whether such market volatility or events have caused a market disruption event to occur, and such determination would affect the payment at maturity of the securities. If the calculation agent determines that no market disruption event has taken place, the payment at maturity would be based solely on the published closing price per share of the Fund on the final determination date, even if the Fund's shares are underperforming the share underlying index or the component securities of the share underlying index and/or trading below the net asset value per share of the Fund.

￭**The antidilution adjustments the calculation agent is required to make do not cover every event that could affect the underlying shares.** MS & Co., as calculation agent, will adjust the adjustment factor for certain events affecting the underlying shares. However, the calculation agent will not make an adjustment for every event that could affect the underlying shares. If an event occurs that does not require the calculation agent to adjust the adjustment factor, the market price of the securities may be materially and adversely affected. The determination by the calculation agent to adjust, or not to adjust, the adjustment factor may materially and adversely affect the value of the securities.

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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Energy Select Sector SPDR<sup>®</sup> Fund Overview

The Energy Select Sector SPDR<sup>®</sup> Fund is an exchange-traded fund managed by the Select Sector SPDR Trust (the "Trust"), a registered investment company. The Trust consists of numerous separate investment portfolios, including the Energy Select Sector SPDR<sup>®</sup> Fund. The Energy Select Sector SPDR<sup>®</sup> Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Energy Select Sector Index. It is possible that this fund may not fully replicate the performance of the Energy Select Sector Index due to the temporary unavailability of certain securities in the secondary market or due to other extraordinary circumstances. Information provided to or filed with the Securities and Exchange Commission (the "Commission") by the Trust pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 333-57791 and 811-08837, respectively, through the Commission's website at.www.sec.gov. In addition, information may be obtained from other publicly available sources. **Neither the issuer nor the agent makes any representation that any such publicly available information regarding the Energy Select Sector SPDR**<sup>®</sup> **Fund is accurate or complete.**

Information as of market close on March 7, 2023:

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| | |
|:---|:---|
| &nbsp;&nbsp; **Bloomberg Ticker Symbol:** | &nbsp;&nbsp; XLE UP |
| &nbsp;&nbsp; **Current Share Price:** | &nbsp;&nbsp; $85.78 |
| &nbsp;&nbsp; **52 Weeks Ago:** | &nbsp;&nbsp; $76.34 |
| &nbsp;&nbsp; **52 Week High (on 11/15/2022):** | &nbsp;&nbsp; $94.08 |
| &nbsp;&nbsp; **52 Week Low (on 7/14/2022):** | &nbsp;&nbsp; $67.49 |

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The following graph sets forth the daily closing values of the underlying shares for the period from January 1, 2018 through March 7, 2023. The related table sets forth the published high and low closing prices, as well as the end-of-quarter closing prices, of the underlying shares for each quarter in the same period. The closing price of the underlying shares on March 7, 2023 was $85.78. We obtained the information in the table and graph below from Bloomberg Financial Markets without independent verification. The historical closing prices of the underlying shares should not be taken as an indication of future performance, and no assurance can be given as to the price of the underlying shares at any time, including on the determination dates and the redemption determination dates.

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| | | | |
|:---|:---|:---|:---|
|  **Energy Select Sector SPDR**<sup>®</sup> **Fund (CUSIP 81369Y506)** | **High ($)** | **Low ($)** | **Period End ($)** |
| **2018** |  |  |  |
|  First Quarter  | 78.03 | 66.02 | 67.41 |
|  Second Quarter  | 78.91 | 66.06 | 75.94 |
|  Third Quarter  | 77.37 | 71.91 | 75.74 |
|  Fourth Quarter  | 77.79 | 53.84 | 57.35 |
| **2019** |  |  |  |
|  First Quarter  | 67.29 | 57.90 | 66.12 |
|  Second Quarter  | 68.61 | 58.77 | 63.71 |
|  Third Quarter  | 64.44 | 55.85 | 59.20 |
|  Fourth Quarter  | 61.99 | 55.90 | 60.04 |
| **2020** |  |  |  |
|  First Quarter | 60.87 | 23.57 | 29.06 |
|  Second Quarter | 46.86 | 27.62 | 37.85 |
|  Third Quarter  | 38.58 | 29.95 | 29.95 |
|  Fourth Quarter  | 41.60 | 27.71 | 37.90 |
| **2021** |  |  |  |
|  First Quarter  | 53.57 | 37.96 | 49.06 |
|  Second Quarter | 56.19 | 47.07 | 53.87 |
|  Third Quarter | 54.81 | 45.79 | 52.09 |
|  Fourth Quarter | 59.14 | 53.01 | 55.50 |
| **2022** |  |  |  |
|  First Quarter  | 78.75 | 57.22 | 76.44 |
|  Second Quarter | 92.28 | 70.66 | 71.51 |
|  Third Quarter | 84.09 | 67.49 | 72.02 |
|  Fourth Quarter | 94.08 | 76.09 | 87.47 |
| **2023** |  |  |  |
|  First Quarter (through March 7, 2023) | 93.11 | 83.51 | 85.78 |

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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| |
|:---|
| &nbsp;&nbsp; **Shares** **of the Energy Select Sector SPDR**<sup>®</sup> **Fund – Daily Closing Prices**<br> **January 1, 2018 to March 7, 2023** |
| &nbsp;&nbsp; ![](image3.gif)  |

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\*The black solid line indicates the coupon barrier level, which is 70% of the initial share price, and the red solid line indicates the downside threshold level, which is 60% of the initial share price.

**This document relates only to the securities referenced hereby and does not relate to the underlying shares. We have derived all disclosures contained in this document regarding the Trust from the publicly available documents described above. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to the Trust. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the Trust is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of the underlying shares (and therefore the price of the underlying shares at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the Trust could affect the value received with respect to the securities and therefore the value of the securities.**

**Neither the issuer nor any of its affiliates makes any representation to you as to the performance of the underlying shares.**

We and/or our affiliates may presently or from time to time engage in business with the Trust. In the course of such business, we and/or our affiliates may acquire non-public information with respect to the Trust, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more of our affiliates may publish research reports with respect to the underlying shares. The statements in the preceding two sentences are not intended to affect the rights of investors in the securities under the securities laws. As a purchaser of the securities, you should undertake an independent investigation of the Trust as in your judgment is appropriate to make an informed decision with respect to an investment linked to the underlying shares.

The securities are not sponsored, endorsed, sold, or promoted by the Trust. The Trust makes no representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. The Trust has no obligation or liability in connection with the operation, marketing, trading or sale of the securities.

"Standard & Poor's<sup>®</sup>", "S&P<sup>®</sup>", "S&P 500<sup>®</sup>", "SPDR<sup>®</sup>", "Select Sector SPDR" and "Select Sector SPDRs" are trademarks of Standard & Poor's Financial Services LLC ("S&P"), an affiliate of S&P Global Inc. The securities are not sponsored, endorsed, sold, or promoted by S&P, S&P Global Inc. or the Trust. S&P, S&P Global Inc. and the Trust make no representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. S&P, S&P Global Inc. and the Trust have no obligation or liability in connection with the operation, marketing, trading or sale of the securities.

**The Energy Select Sector Index.** The Energy Select Sector Index is calculated and disseminated by S&P and is designed to provide an effective representation of the energy sector of the S&P 500<sup>®</sup> Index. The Energy Select Sector Index includes companies in the following

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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industries: (i) oil, gas and consumable fuels and (ii) energy equipment and services. See "Energy Select Sector Index" in the accompanying index supplement.

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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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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| | |
|:---|:---|
|  **Additional Terms:** | **Additional Terms:** |
|  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. | 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. |
|  **Interest period:** | The quarterly period from and including the original issue date (in the case of the first interest period) or the previous scheduled contingent payment date, as applicable, to but excluding the following scheduled coupon payment date, with no adjustment for any postponement thereof. |
|  **Record date:** | The record date for each contingent payment date shall be the date one business day prior to such scheduled contingent payment date; *provided*, however, that any contingent quarterly coupon payable at maturity (or upon early 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. |
|  **Share underlying index:** | The Energy Select Sector Index |
|  **Share underlying index publisher:** | S&P Dow Jones Indices LLC, or any successor thereof |
|  **Downside threshold level:** | The accompanying product supplement refers to the downside threshold level as the "trigger level." |
|  **Day-count convention:** | Interest will be computed on the basis of a 360-day year of twelve 30-day months. |
|  **Postponement of contingent payment dates (including the maturity date) and early redemption dates:** | If any determination date or redemption determination date is postponed due to a non-trading day or certain market disruption events with respect to the underlying shares so that it falls less than two business days prior to the relevant scheduled contingent payment date (including the maturity date) or early redemption date, as applicable, the contingent payment date (or the maturity date) or the early redemption date will be postponed to the second business day following that determination date or redemption determination date as postponed, and no adjustment will be made to any coupon payment or early redemption payment or payment at maturity made on that postponed date. |
|  **Trustee:** | The Bank of New York Mellon |
|  **Calculation agent:** | MS & Co. |
|  **Issuer notices to registered security holders, the trustee and the depositary:** | In the event that the maturity date is postponed due to postponement of the final determination date, the issuer shall give notice of such postponement and, once it has been determined, of the date to which the maturity date has been rescheduled (i) to each registered holder of the securities by mailing notice of such postponement by first class mail, postage prepaid, to such registered holder's last address as it shall appear upon the registry books, (ii) to the trustee by facsimile, confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its New York office and (iii) to The Depository Trust Company (the "depositary") by telephone or facsimile confirmed by mailing such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered holder of the securities in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or not such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled maturity date, and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately following the final determination date as postponed.<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 contingent quarterly coupon, if any, with respect to each security on or prior to 10:30 a.m. (New York City time) on the business day preceding each contingent payment date, and (ii) deliver the aggregate cash amount due with respect to the contingent quarterly coupon to the trustee for delivery to the depositary, as holder of the securities, on the applicable contingent payment date.<br> The issuer shall, or shall cause the calculation agent to, (i) provide written notice to the trustee, on  |

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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 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>

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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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; **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 the ownership and disposition of the securities. This discussion applies only to investors in the securities who:<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●purchase the securities in the original offering; and<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●certain financial institutions;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●insurance companies;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●dealers and certain traders in securities or commodities;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●U.S. Holders (as defined below) whose functional currency is not the U.S. dollar;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●partnerships or other entities classified as partnerships for U.S. federal income tax purposes;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●regulated investment companies;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●real estate investment trusts; or<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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 absence of statutory, judicial or administrative authorities that directly address the treatment of the securities or instruments that are similar to the securities for U.S. federal income tax purposes, no assurance can be given that the IRS or a court will agree with the tax treatment described herein. We intend to treat a security for U.S. federal income tax purposes as a single financial contract that provides for a coupon that will be treated as gross income to you at the time received or accrued in accordance with your regular method of tax accounting. In the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the securities 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. <br> **You should consult your tax adviser regarding all aspects of the U.S. federal tax consequences of an investment in the securities (including possible alternative treatments of the securities). Unless otherwise stated, the following discussion is based on the treatment of each security as described in the**  |

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **previous paragraph.**<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;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●a citizen or individual resident of the United States;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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;&nbsp;&nbsp;&nbsp;&nbsp;&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 as set forth above is respected, the following U.S. federal income tax consequences should result.<br>*Tax Basis*. A U.S. Holder's tax basis in the securities should equal the amount paid by the U.S. Holder to acquire the securities.<br>*Tax Treatment of Coupon Payments*. Any coupon payment on the securities should be taxable as ordinary income to a U.S. Holder at the time received or accrued, in accordance with the U.S. Holder's regular method of accounting for U.S. federal income tax purposes.<br>*Sale , Exchange or Settlement of the Securities*. Upon a sale, exchange or settlement of the securities, a U.S. Holder should recognize gain or loss equal to the difference between the amount realized on the sale, exchange or settlement and the U.S. Holder's tax basis in the securities sold, exchanged or settled. For this purpose, the amount realized does not include any coupon paid at settlement and may not include sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment. Any such gain or loss recognized should be long-term capital gain or loss if the U.S. Holder has held the securities for more than one year at the time of the sale, exchange or settlement, and should be short-term capital gain or loss otherwise. The ordinary income treatment of the coupon payments, in conjunction with the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. <br> ***Possible Alternative Tax Treatments of an Investment in the Securities*** <br> Due to the absence of authorities that directly address the proper tax treatment of the securities, no assurance can be given that the IRS will accept, or that a court will uphold, the treatment described above. In particular, the IRS could seek to analyze the U.S. federal income tax consequences of owning the securities under Treasury regulations governing contingent payment debt instruments (the "Contingent Debt Regulations"). If the IRS were successful in asserting that the Contingent Debt Regulations applied to the securities, the timing and character of income thereon would be significantly affected. Among other things, a U.S. Holder would be required to accrue into income original issue discount on the securities every year at a "comparable yield" determined at the time of their issuance, adjusted upward or downward to reflect the difference, if any, between the actual and the projected amount of any contingent payments on the securities. Furthermore, any gain realized by a U.S. Holder at maturity or upon a sale, exchange or other disposition of the securities would be treated as ordinary income, and any loss realized would be treated as ordinary loss to the extent of the U.S. Holder's prior accruals of original issue discount and as capital loss thereafter. The risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments that do not have such features. <br> Other alternative federal income tax treatments of the securities are possible, which, if applied, could significantly affect the timing and character of the income or loss with respect to the securities. In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses on whether to require holders of "prepaid forward contracts" and similar instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange–traded status of the instruments and the nature of the underlying property to which the instruments are linked; whether these instruments are or should be subject to the "constructive ownership" rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge; and appropriate transition rules and effective dates. While it is not clear whether instruments such as the securities would be viewed as similar to the prepaid forward contracts described in the notice, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments and the issues presented by this notice. <br> ***Backup Withholding and Information Reporting*** <br>

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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> **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;&nbsp;&nbsp;&nbsp;&nbsp;●an individual who is classified as a nonresident alien;<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●a foreign corporation; or<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●a foreign estate or trust.<br> The term "Non-U.S. Holder" does not include any of the following holders: <br> &nbsp;&nbsp;&nbsp;&nbsp;&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;&nbsp;&nbsp;&nbsp;&nbsp;●certain former citizens or residents of the United States; or<br> &nbsp;&nbsp;&nbsp;&nbsp;&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> Although significant aspects of the tax treatment of each security are uncertain, we intend to withhold on any coupon paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified by an applicable income tax treaty under an "other income" or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld. In order to claim an exemption from, or a reduction in, the 30% withholding tax, a Non-U.S. Holder of the securities must comply with certification requirements to establish that it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should consult your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any withholding tax and the certification requirement described above. <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 applies to securities that substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations (a "Specified Security"). However, pursuant to an IRS notice, Section 871(m) will not apply to securities issued before January 1, 2025 that do not have a delta of one with respect to any Underlying Security. Based on our determination that the securities do not have a delta of one with respect to any Underlying Security, our counsel is of the opinion that the securities should not be Specified Securities and, therefore, should not be subject to Section 871(m). <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>

March 2023 Page 20

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Morgan Stanley Finance LLC

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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|  | &nbsp;&nbsp; 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. 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. 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 FDAP income). While the treatment of the securities is unclear, you should assume that any coupon payment with respect to the securities will be 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, because, when we enter into hedging transactions in order to meet our obligations under the securities, our hedging counterparty will reimburse the cost of the agent's commissions. The costs of the securities borne by you and described beginning on page 3 above comprise the agent's commissions and the cost of issuing, structuring and hedging the securities.<br> On or prior to March 6, 2023, we expect to hedge our anticipated exposure in connection with the securities by entering into hedging transactions with our affiliates and/or third-party dealers. We expect our hedging counterparties to take positions in the underlying shares, in futures and/or options contracts on the underlying shares or any component stocks of the share 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 share price, and, as a result, could increase (i) the coupon barrier level, which is the price at or above which the underlying shares must close on each determination date in order for you to earn a contingent quarterly coupon, and (ii) the downside threshold level, which, if the securities are not redeemed prior to maturity, is the price at or above which the underlying shares must close on the final determination date in order for you to avoid being exposed to the negative price performance of the underlying shares at maturity. In addition, through our affiliates, we are likely to modify our hedge position throughout the term of the securities, including on the determination dates, by purchasing and selling the underlying shares, options contracts relating to the underlying shares or any other available securities or instruments that we may wish to use in connection with such hedging activities, including by purchasing or selling any such securities or instruments on one or more determination dates. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the final determination date approaches. We cannot give any assurance that our hedging activities will not affect the value of the underlying shares, and, therefore, adversely affect the value of the securities or the payment you will receive at maturity, if any. For further information on our use of proceeds and hedging, see "Use of Proceeds and Hedging" in the accompanying product supplement for auto-callable securities. |
| &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 $994 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. <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; **Validity of the securities:** | &nbsp;&nbsp; In the opinion of Davis Polk & Wardwell LLP, as special counsel to MSFL and Morgan Stanley, when the securities offered by this pricing supplement have been executed and issued by MSFL, authenticated by the  |

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March 2023 Page 21

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Morgan Stanley Finance LLC

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Contingent Income Auto-Callable Securities due March 11, 2026, with 6-Month Initial Non-Call Period

**Based on the Performance of the Energy Select Sector SPDR**<sup>®</sup> **Fund**

**Principal at Risk Securities**

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|:---|:---|
|  | &nbsp;&nbsp; trustee pursuant to the MSFL Senior Debt Indenture (as defined in the accompanying prospectus) and delivered against payment as contemplated herein, such securities will be valid and binding obligations of MSFL and the related guarantee will be a valid and binding obligation of Morgan Stanley, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors' rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), *provided* that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above and (ii) any provision of the MSFL Senior Debt Indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of Morgan Stanley's obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee's authorization, execution and delivery of the MSFL Senior Debt Indenture and its authentication of the securities and the validity, binding nature and enforceability of the MSFL Senior Debt Indenture with respect to the trustee, all as stated in the letter of such counsel dated November 16, 2020, which is Exhibit 5-a to the Registration Statement on Form S-3 filed by Morgan Stanley on November 16, 2020. |
| &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 product supplement for auto-callable securities, index supplement and prospectus 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 November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022201/dp140493_424b2-epsacallsec.htm)<br> [**<u>Index Supplement dated November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022214/dp140278_424b2-isn2020.htm)<br> [**<u>Prospectus dated 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, index supplement or in the prospectus. |

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March 2023 Page 22

## Ex-Filing

**Exhibit 107.1**

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| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;Security Type | &nbsp;&nbsp;Security Class Title | &nbsp;&nbsp;Fee Calculation or Carry Forward Rule | &nbsp;&nbsp;Amount Registered | &nbsp;&nbsp;Proposed Maximum Offering Price Per Unit | &nbsp;&nbsp;Maximum Aggregate Offering Price | &nbsp;&nbsp;Fee Rate | &nbsp;&nbsp;Amount of Registration Fee | &nbsp;&nbsp;Carry Forward Form Type | &nbsp;&nbsp;Carry Forward File Number | &nbsp;&nbsp;Carry Forward Initial Effective Date | &nbsp;&nbsp;Filing Fee Previously Paid In Connection with Unsold Securities to be Carried Forward |
| Fees to be Paid | Unallocated (Universal) Shelf | Securities | 456(b) | 1100 | $1000 | $1100000 | .0001102 | $121.22 | - | - | - | - |
| Fees Previously Paid | - | - | - | - | - | $0 | - | $0 | - | - | - | - |

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