# EDGAR Filing Document

**Accession Number:** 0000895421
**File Stem:** 0001839882-23-006829
**Filing Date:** 2023-3
**Character Count:** 81919
**Document Hash:** 367e0e367772483022c30d6389f52ae3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001839882-23-006829.hdr.sgml**: 20230316

**ACCESSION NUMBER**: 0001839882-23-006829

**CONFORMED SUBMISSION TYPE**: FWP

**PUBLIC DOCUMENT COUNT**: 3

**FILED AS OF DATE**: 20230316

**DATE AS OF CHANGE**: 20230315

**SUBJECT COMPANY**: 

**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:** FWP
- **SEC ACT:** 1934 Act
- **SEC FILE NUMBER:** 333-250103
- **FILM NUMBER:** 23736898

**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
**FILED BY**: 

**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:** FWP

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

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

**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

**March 2023**

Preliminary Terms No. 8,410

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

Dated March 15, 2023

Filed pursuant to Rule 433

Morgan Stanley Finance LLC

Structured Investments

Opportunities in Commodities

Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024

**Fully and Unconditionally Guaranteed by Morgan Stanley**

**Principal at Risk Securities**

The Jump Securities, which we refer to as the securities, are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed by Morgan Stanley. The securities will pay no interest, do not guarantee the return of any of the principal amount at maturity and have the terms described in the accompanying prospectus supplement and prospectus. At maturity, if the shares of the SPDR<sup>®</sup> Gold Trust, which we refer to as the underlying commodity shares, have not depreciated or have appreciated in value, you will receive for each security that you hold at maturity the stated principal amount of $10 plus the upside payment of $1.335. However, if the underlying commodity shares have depreciated in value, you will be negatively exposed to the full amount of the percentage decline in the underlying commodity shares and will lose 1% of the stated principal amount for every 1% of decline, without any buffer. The securities are for investors who seek a return based on the underlying commodity shares and who are willing to risk their principal and forgo current income and upside returns above the upside payment in exchange for the upside payment feature that applies to a limited range of performance of the underlying commodity shares. **Accordingly, you may lose your entire initial investment in the securities.** The securities are for investors who seek a commodity-based return and who are willing to risk their principal and forgo current income and upside returns above the upside payment in exchange for the upside payment feature that applies to a limited range of performance of the underlying commodity shares. The securities are notes issued as part of MSFL's Series A Global Medium-Term Notes Program.

**All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. These securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.**

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| | |
|:---|:---|
| &nbsp;&nbsp; **SUMMARY TERMS** | &nbsp;&nbsp; **SUMMARY TERMS** |
| &nbsp;&nbsp; **Issuer:**  | &nbsp;&nbsp; Morgan Stanley Finance LLC |
| &nbsp;&nbsp; **Guarantor:** | &nbsp;&nbsp; Morgan Stanley |
| &nbsp;&nbsp; **Issue price:** | &nbsp;&nbsp; $10 per security (see "Commissions and issue price" below) |
| &nbsp;&nbsp; **Stated principal amount:** | &nbsp;&nbsp; $10 per security |
| &nbsp;&nbsp; **Pricing date:**  | &nbsp;&nbsp; March 31, 2023 |
| &nbsp;&nbsp; **Original issue date:**  | &nbsp;&nbsp; April 5, 2023 (3 business days after the pricing date) |
| &nbsp;&nbsp; **Maturity date:**  | &nbsp;&nbsp; May 3, 2024 |
| &nbsp;&nbsp; **Aggregate principal amount:** | &nbsp;&nbsp; $ |
| &nbsp;&nbsp; **Interest:** |  |
| &nbsp;&nbsp; **Underlying commodity shares:** | &nbsp;&nbsp; Shares of the SPDR<sup>®</sup> Gold Trust (the "GLD Shares") |
| &nbsp;&nbsp; **Payment at maturity:** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ●If the final share price is greater than or equal to the initial share price:<br> $10 + the upside payment<br> ●If the final share price is less than the initial share price:<br> $10 × share performance factor<br> *Under these circumstances, the payment at maturity will be less than the stated principal amount of $10, and will represent a loss of some, and possibly all, of your investment.* |
| &nbsp;&nbsp; **Upside payment:** | &nbsp;&nbsp; $1.335 per security (13.35% of the stated principal amount) |
| &nbsp;&nbsp; **Share performance factor:** | &nbsp;&nbsp; final share price / initial share price |
| &nbsp;&nbsp; **Initial share price:** | &nbsp;&nbsp; $, which is the closing price of the underlying commodity shares on the pricing date |
| &nbsp;&nbsp; **Final share price:** | &nbsp;&nbsp; The closing price of the underlying commodity shares on the valuation date *times* the adjustment factor on such date |
| &nbsp;&nbsp; **Adjustment factor:** | &nbsp;&nbsp; 1.0, subject to adjustment in the event of certain events affecting the underlying commodity shares |
| &nbsp;&nbsp; **Valuation date:** | &nbsp;&nbsp; April 30, 2024, subject to postponement for non-trading days and certain market disruption events |
| &nbsp;&nbsp; **CUSIP:** | &nbsp;&nbsp; 61774U828 |
| &nbsp;&nbsp; **ISIN:** | &nbsp;&nbsp; US61774U8282 |
| &nbsp;&nbsp; **Listing:** | &nbsp;&nbsp; The securities will not be listed on any securities exchange. |
| &nbsp;&nbsp; **Agent:** | &nbsp;&nbsp; Morgan Stanley & Co. LLC ("MS & Co."), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See "Supplemental information regarding plan of distribution; conflicts of interest." |
| &nbsp;&nbsp; **Estimated value on the pricing date:** | &nbsp;&nbsp; Approximately $9.687 per security, or within $0.35 of that estimate. See "Investment Summary" beginning on page 2. |
| &nbsp;&nbsp; **Commissions and issue price:** | &nbsp;&nbsp; **Agent's commissions** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Per security** | &nbsp;&nbsp; $0.175<sup>(1)</sup> |
|  | &nbsp;&nbsp; $0.05<sup>(2)</sup> |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total** | &nbsp;&nbsp; $ |

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*(1)*Selected dealers, including Morgan Stanley Wealth Management (an affiliate of the Agent), and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $0.175 for each security they sell. 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 for Jump Securities.

*(2)*Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each security.

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

**The securities involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 6.**

**The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this document or the accompanying prospectus supplement for Jump Securities 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 prospectus supplement for Jump Securities and prospectus, each of which can be accessed via the hyperlinks below. Please also see "Additional Terms of the Securities" and "Additional Information About the Securities" at the end of this document.**

**As used in this document, "we," "us" and "our" refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.**

[**<u>Prospectus Supplement for Jump Securities dat</u><u>ed</u> <u>November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022223/dp140498_424b2-pscjump.htm)[**<u>Prospectus dated November 16, 20</u><u>20</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022190/dp140485_424b2-base.htm)

**Morgan Stanley**

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Morgan Stanley Finance LLC

Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024

**Principal at Risk Securities**

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Investment Summary

**Jump Securities**

**Principal at Risk Securities**

The Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024 (the "securities") can be used:

￭As an alternative to direct exposure to the underlying commodity shares that provides a fixed positive return of 13.35% if the underlying commodity shares have not depreciated or have appreciated at all as of the valuation date.

￭To enhance returns and potentially outperform the underlying commodity shares in a moderately bullish scenario;

If the final share price is less than the initial share price, the securities are exposed on a 1:1 basis to the percentage decline of the final share price from the initial share price. Accordingly, investors may lose their entire initial investment in the securities.

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| | |
|:---|:---|
| &nbsp;&nbsp; **Maturity:** | &nbsp;&nbsp; Approximately 13 months |
| &nbsp;&nbsp; **Upside payment:** | &nbsp;&nbsp; $1.335 per security (13.35% of the stated principal amount)  |
| &nbsp;&nbsp; **Minimum payment at maturity:** | &nbsp;&nbsp; None. Investors may lose their entire initial investment in the securities. |
| &nbsp;&nbsp; **Interest:** |  |

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March 2023 Page 2

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Morgan Stanley Finance LLC

Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024

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The original issue price of each security is $10. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date will be less than $10. We estimate that the value of each security on the pricing date will be approximately $9.687, or within $0.35 of that estimate. Our estimate of the value of the securities as determined on the pricing date will be set forth in the final pricing supplement.

*What goes into the estimated value on the pricing date?*

In valuing the securities on the pricing date, we take into account that the securities comprise both a debt component and a performance-based component linked to the underlying commodity shares. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying commodity shares, instruments based on the underlying commodity 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 upside payment, 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 commodity 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 commodity 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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Morgan Stanley Finance LLC

Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024

**Principal at Risk Securities**

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Key Investment Rationale

The securities offer exposure to the performance of the underlying commodity shares. At maturity, if the underlying commodity shares have not depreciated or have appreciated in value, investors will receive a positive return of 13.35%. If the underlying commodity shares have depreciated in value, investors will be negatively exposed to the full amount of the percentage decline in the underlying commodity shares and will lose 1% of the stated principal amount for every 1% of decline, without any buffer. Investors may lose their entire initial investment in the securities. All payments on the securities are subject to our credit risk.

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| | |
|:---|:---|
|  **Upside Scenario if the Underlying Commodity Shares Appreciate or Do Not Depreciate** | The final share price is greater than or equal to the initial share price. In this case, you receive for each security that you hold $10 plus the upside payment of $1.335 per security (13.35% of the stated principal amount).  |
|  **Downside Scenario if the Underlying Commodity Shares Depreciate** | The final share price is less than the initial share price. In this case, the securities redeem for less than the stated principal amount, and this decrease will be by an amount proportionate to the decline in the closing price of the underlying commodity shares over the term of the securities. Under these circumstances, the payment at maturity will be less than $10 per security and could be zero. For example, if the final share price is 35% less than the initial share price, the securities will be redeemed at maturity for a loss of 35% of principal at $6.50 per security, or 65% of the stated principal amount. There is no minimum payment at maturity on the securities, and investors may lose their entire initial investment.  |

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Morgan Stanley Finance LLC

Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024

**Principal at Risk Securities**

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How the Jump Securities Work

**Payoff Diagram**

The payoff diagram below illustrates the payment at maturity on the securities based on the following terms:

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| | |
|:---|:---|
| &nbsp;&nbsp; **Stated principal amount:** | &nbsp;&nbsp; $10 per security |
| &nbsp;&nbsp; **Upside payment:** | &nbsp;&nbsp; $1.335 per security (13.35% of the stated principal amount) |
| &nbsp;&nbsp; **Minimum payment at maturity:** | &nbsp;&nbsp; None. You could lose your entire initial investment in the securities. |

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| |
|:---|
| &nbsp;&nbsp; **Jump Securities Payoff Diagram** |
| &nbsp;&nbsp; ![](image1.gif)  |

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**How it works**

◼**Upside Scenario if the Underlying Commodity Shares Appreciate or Do Not Depreciate.** Under the terms of the securities, if the final share price is greater than or equal to the initial share price, the investor would receive the $10 stated principal amount plus the upside payment of $1.335 per security.

￭If the underlying commodity shares appreciate 5%, the investor would receive a 13.35% return, or $11.335 per security.

￭If the underlying commodity shares appreciate 60%, the investor would receive only a 13.35% return, or $11.335 per security.

◼**Downside Scenario if the Underlying Commodity Shares Depreciate.** If the final share price is less than the initial share price, the investor would receive an amount less than the $10 stated principal amount, based on a 1% loss of principal for each 1% decline in the underlying commodity shares. Under these circumstances, the payment at maturity will be less than $10 per security and could be zero. There is no minimum payment at maturity on the securities.

￭If the underlying commodity shares depreciate 50%, the investor would lose 50% of the investor's principal and receive only $5 per security at maturity, or 50% of the stated principal amount.

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Morgan Stanley Finance LLC

Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024

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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 prospectus supplement for Jump Securities and prospectus. We also urge you to consult with 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 pay interest or guarantee any return of principal.** The terms of the securities differ from those of ordinary debt securities in that the securities do not pay interest or guarantee payment of any of the principal amount at maturity. At maturity, you will receive for each $10 stated principal amount of securities that you hold an amount in cash based upon the final share price. If the final share price is less than initial share price, the payout at maturity will be an amount in cash that is less than the $10 stated principal amount of each security by an amount proportionate to the full decline in the value of the underlying commodity shares from the initial share price to the final share price, and you will lose some or all of your investment. There is no minimum payment at maturity on the securities, and, accordingly, you could lose your entire investment. See "How the Jump Securities Work" above.

￭**The appreciation potential is fixed and limited.** Where the final share price is greater than or equal to the initial share price, the appreciation potential of the securities is limited to the upside payment of $1.335 per security (13.35% of the stated principal amount), even if the final share price is significantly greater than the initial share price.

￭**The market price of the securities may be influenced by many unpredictable factors.** Several factors, many of which are beyond our control, will influence the value of the securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary market. We expect that generally the level of interest rates available in the market and the price of the underlying commodity shares on any day will affect the value of the securities more than any other factor. Other factors that may influence the value of the securities include:

othe trading price and volatility (frequency and magnitude of changes in value) of the underlying commodity shares and the commodity constituting the underlying commodity shares,

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

othe time remaining until the securities mature,

ointerest and yield rates in the market,

othe availability of comparable instruments,

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

othe composition of the underlying commodity shares and changes in the constituents of the underlying commodity shares, and

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

Some or all of these factors will influence the price that you will receive if you sell your securities prior to maturity. For example, you may have to sell your securities at a substantial discount from the stated principal amount of $10 per security if the price of the underlying commodity shares at the time of sale is below the initial share price or if market interest rates rise.

You cannot predict the future performance of the underlying commodity shares based on their historical performance. If the final share price is less than the initial share price, you will be exposed on a 1-to-1 basis to the full decline in the value of the underlying commodity shares. There can be no assurance that the final share

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Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024

**Principal at Risk Securities**

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price will be greater than or equal to the initial share pirice so that you will receive at maturity an amount that is greater than the $10 stated principal amount for each security you hold, or that you will not lose some or all of your investment. See **"**SPDR<sup>®</sup> Gold Trust Overview**"** below**.**

￭**The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities**. You are dependent on our ability to pay all amounts due on the securities 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.

￭**The amount payable on the securities is not linked to the value of the underlying commodity shares at any time other than the valuation date.** The final share price will be the closing price of the underlying commodity shares on the valuation date, subject to adjustment for non-trading days and certain market disruption events. Even if the value of the underlying commodity shares appreciates prior to the valuation date but then drops by the valuation date, the payment at maturity may be significantly less than it would have been had the payment at maturity been linked to the value of the underlying commodity shares prior to such drop. Although the actual value of the underlying commodity shares on the stated maturity date or at other times during the term of the securities may be higher than the final share price, the payment at maturity will be based solely on the final share price.

￭**The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the securities in the original issue price reduce the economic terms of the securities, cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market prices.** Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including MS & Co., may be willing to purchase the securities in secondary market transactions will likely be significantly lower than the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well as other factors.

The inclusion of the costs of issuing, selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer make the economic terms of the securities less favorable to you than they otherwise would be.

However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes in market conditions, including those related to the underlying commodity 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.** 

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Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024

**Principal at Risk Securities**

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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 of the securities may be influenced by many unpredictable factors" above.

￭**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. Morgan Stanley & Co. LLC, which we refer to as 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.

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

￭**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 final share price, the share performance factor, if applicable, the payment that you will receive at maturity, if any, whether a market disruption event has occurred and whether to make any adjustments to the adjustment factor. Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events or calculation of the closing price in the event of a market disruption event. These potentially subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding these types of determinations, see "Additional Terms of the Securities" below. In addition, MS & Co. has determined the estimated value of the securities on the pricing date.

￭**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 commodity shares and the underlying commodity), including trading in the underlying commodity shares. 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 valuation date approaches. Some of our affiliates also trade the underlying commodity shares and other financial instruments related to the underlying commodity shares and the underlying commodity on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to the pricing date could potentially increase the initial share price, and, therefore, the value at or above which the underlying commodity shares must close on the valuation date so that investors do not suffer a loss on their initial investment in the securities. Additionally, such hedging or trading activities during the term of the securities, including on the valuation date, could adversely affect the value of the underlying commodity shares on the valuation date, and, accordingly, the amount of cash an investor will receive at maturity, if any.

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Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024

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￭**The U.S. federal income tax consequences of an investment in the securities are uncertain**. Please read the discussion under "Additional Information—Tax considerations" in this document and the discussion under "United States Federal Taxation" in the accompanying prospectus supplement for Jump Securities (together, the "Tax Disclosure Sections") concerning the U.S. federal income tax consequences of an investment in the securities. If the Internal Revenue Service (the "IRS") were successful in asserting an alternative treatment, the timing and character of income on the securities might differ significantly from the tax treatment described in the Tax Disclosure Sections. There is a risk that the IRS may seek to treat all or a portion of the gain on the securities as ordinary income. For example, there is a risk that the IRS could seek to recharacterize the securities as debt instruments. In that event, U.S. Holders would be required to accrue into income original issue discount on the securities every year at a "comparable yield" determined at the time of issuance and recognize all income and gain in respect of the securities as ordinary income. We do not plan to request a ruling from the IRS regarding the tax treatment of the securities, and the IRS or a court may not agree with the tax treatment described in the Tax Disclosure Sections.

In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the "constructive ownership" rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. Both U.S. and Non-U.S. Holders should 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 the Underlying Commodity Shares</u>

￭**Single commodity prices tend to be more volatile than, and may not correlate with, the prices of commodities generally.** The SPDR<sup>®</sup> Gold Trust is linked exclusively to the price of gold and not to a diverse basket of commodities or a broad-based commodity index. The price of gold may not correlate with, and may diverge significantly from, the prices of commodities generally. Because the securities are linked to underlying commodity shares which reflect the performance of the price of a single commodity, they carry greater risk and may be more volatile than a security linked to the prices of multiple commodities or a broad-based commodity index. The price of gold may be, and has recently been, highly volatile, and we can give you no assurance that such volatility will lessen.

￭**The securities are subject to risks associated with gold.** The investment objective of the SPDR<sup>®</sup> Gold Trust is to reflect the performance of the price of gold bullion, less the SPDR<sup>®</sup> Gold Trust's expenses. The price of gold to which the return on the securities is linked is the afternoon London gold price per troy ounce of gold for delivery in London through a member of the LBMA authorized to effect such delivery. The market for gold bullion is global, and gold prices are subject to volatile price movements over short periods of time. Specific factors affecting the price of gold include economic factors, such as, among other things, the structure of and confidence in the global monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (as the currency in which the price of gold is generally quoted), interest rates and gold borrowing and lending rates, and global or regional economic, financial, political, regulatory, judicial or other events, as well as wars and political and civil upheavals. Gold prices may also be affected by industry factors such as industrial and jewelry demand, lending, sales and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral institutions that hold gold, sales of gold recycled from jewelry, as opposed to newly produced gold, in particular as the result of financial crises, levels of gold production and production

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costs in major gold-producing nations such as South Africa, the United States and Australia, non-concurrent trading hours of gold markets and short-term changes in supply and demand because of trading activities in the gold markets. It is not possible to predict the aggregate effect of any or all of these factors. The price of gold may be, and has recently been, extremely volatile, and we can give you no assurance that such volatility will lessen.

￭**There are risks relating to trading of commodities on the London Bullion Market Association.** The investment objective of the SPDR<sup>®</sup> Gold Trust is to reflect the performance of the price of gold bullion, less the SPDR<sup>®</sup> Gold Trust's expenses. The price of gold is determined by the LBMA or an independent service-provider appointed by the LBMA. The LBMA is a self-regulatory association of bullion market participants. Although all market-making members of the LBMA are supervised by the Bank of England and are required to satisfy a capital adequacy test, the LBMA itself is not a regulated entity. If the LBMA should cease operations, or if bullion trading should become subject to a value added tax or other tax or any other form of regulation not currently in place, the role of LBMA prices as a global benchmark for the value of gold may be adversely affected. The LBMA is a principals' market that operates in a manner more closely analogous to an over-the-counter physical commodity market than a regulated futures markets, and certain features of U.S. futures contracts are not present in the context of LBMA trading. For example, there are no daily price limits on the LBMA that would otherwise restrict fluctuations in the prices of LBMA contracts. In a declining market, it is possible that prices would continue to decline without limitation within a trading day or over a period of trading days. The LBMA may alter, discontinue or suspend calculation or dissemination of the LBMA gold price, which could adversely affect the value of the securities. The LBMA, or an independent service-provider appointed by the LBMA, will have no obligation to consider your interests in calculating or revising LBMA prices.

￭**The performance and market price of the underlying commodity shares, particularly during periods of market volatility, may not correlate with the performance of their commodity or the net asset value per share of the underlying commodity shares.** The underlying commodity shares do not fully replicate the performance of their underlying commodity due to the fees and expenses charged by the underlying commodity shares or by restrictions on access to the underlying commodity due to other circumstances. The underlying commodity shares do not generate any income, and as the underlying commodity shares regularly sell their underlying commodity to pay for ongoing expenses, the amount of their underlying commodity represented by each share gradually declines over time. The underlying commodity shares sell their underlying commodity to pay expenses on an ongoing basis irrespective of whether the trading price of the shares rises or falls in response to changes in the price of their underlying commodity. The sale by the underlying commodity shares of their underlying commodity to pay expenses at a time of relatively low prices for their underlying commodity could adversely affect the value of the securities. Additionally, there is a risk that part or all of the holdings of the underlying commodity shares in their underlying commodity could be lost, damaged or stolen due to war, terrorism, theft, natural disaster or otherwise. Finally, because the underlying commodity shares are traded on an exchange and are subject to market supply and investor demand, the market price of the underlying commodity shares may differ from the net asset value per share of such underlying commodity shares.

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

For all of the foregoing reasons, the performance of the underlying commodity shares may not correlate with the performance of their underlying commodity or the net asset value per share of such underlying commodity shares. Any of these events could materially and adversely affect the price of the underlying commodity shares and, therefore, the value of the securities. Additionally, if market volatility or these events were to occur on the valuation 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 underlying commodity

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shares on the valuation date, even if the underlying commodity shares are underperforming their underlying commodity and/or trading below the net asset value per share of such underlying commodity shares.

￭**Suspensions or disruptions of market trading in commodity and related futures markets could adversely affect the price of the securities.** The commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices which may occur during a single business day. These limits are generally referred to as "daily price fluctuation limits" and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a "limit price." Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. These circumstances could adversely affect the value of the commodity that constitutes the underlying commodity shares, and, therefore, the value of the securities.

￭**The antidilution adjustments the calculation agent is required to make do not cover every event that could affect the underlying commodity shares.** MS & Co., as calculation agent, will adjust the adjustment factor for certain events affecting the underlying commodity shares. However, the calculation agent will not make an adjustment for every event that can affect the underlying commodity 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.

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SPDR<sup>®</sup> Gold Trust Overview

The SPDR<sup>®</sup> Gold Trust (the "Gold Trust") is an investment trust sponsored by World Gold Trust Services, LLC and marketed by State Street Global Advisors Funds Distributors, LLC, which seeks to provide investment results that reflect the performance of the price of gold bullion, less the SPDR<sup>®</sup> Gold Trust's expenses. The SPDR<sup>®</sup>Gold Trust holds gold bars. Information provided to or filed with the Securities and Exchange Commission ("the Commission") by the Trust pursuant to the Securities Act of 1933 can be located by reference to Commission file number 001-32356 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 SPDR**<sup>®</sup> **Gold Trust is accurate or complete.**

We have derived all information regarding the SPDR<sup>®</sup> Gold Trust, including its make-up and method of calculation, from publicly available information, without independent verification. This information reflects the policies of, and is subject to change by, the Gold Trust and World Gold Trust Services, LLC ("World Gold"), the sponsor of the Gold Trust. BNY Mellon Asset Servicing, a division of The Bank of New York Mellon, is the trustee of the Gold Trust, and HSBC Bank plc is the custodian of the Gold Trust. The Gold Trust is an investment trust. Shares of the Gold Trust trade under the ticker symbol "GLD" on the NYSE Arca, Inc.

The investment objective of the Gold Trust is to reflect the performance of the price of gold bullion, less the Gold Trust's expenses. The Gold Trust holds gold bars. The Gold Trust issues shares in exchange for deposits of gold and distributes gold in connection with the redemption of shares. The shares of the Gold Trust are intended to offer investors an opportunity to participate in the gold market through an investment in securities. The ownership of the shares of the Gold Trust is intended to overcome certain barriers to entry in the gold market, such as the logistics of buying, storing and insuring gold.

The shares of the Gold Trust represent units of fractional undivided beneficial interest in and ownership of the Gold Trust, the primary asset of which is allocated (or secured) gold. The Gold Trust is not managed like a corporation or an active investment vehicle. The gold held by the Gold Trust will be sold only: (1) on an as-needed basis to pay the Gold Trust's expenses, (2) in the event the Gold Trust terminates and liquidates its assets or (3) as otherwise required by law or regulation. Effective July 17, 2015, the Gold Trust's only recurring fixed expense is World Gold's fee, which accrues daily at an annual rate equal to 0.40% of the daily net asset value of the Gold Trust, in exchange for World Gold assuming the responsibility to pay all ordinary fees and expenses of the Gold Trust.

Information as of market close on March 15, 2023:

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| | |
|:---|:---|
| &nbsp;&nbsp; **Bloomberg Ticker Symbol:** | &nbsp;&nbsp; GLD UP |
| &nbsp;&nbsp; **Current Share Price:** | &nbsp;&nbsp; $176.83 |
| &nbsp;&nbsp; **52 Weeks Ago:** | &nbsp;&nbsp; $182.30 |
| &nbsp;&nbsp; **52 Week High (on 4/13/2022):** | &nbsp;&nbsp; $184.65 |
| &nbsp;&nbsp; **52 Week Low (on 9/26/2022):** | &nbsp;&nbsp; $151.23 |

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The following table sets forth the published high and low closing prices, as well as the end-of-quarter closing prices, of the GLD Shares for each quarter from January 1, 2018 through March 15, 2023. The related graph sets forth the daily closing prices of the underlying commodity shares for the period from January 1, 2018 through March 15, 2023. The closing price of the GLD Shares on March 15, 2023 was $176.83. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The GLD Shares have at times experienced periods of high volatility, and you should not take the historical values of the GLD Shares as an indication of future performance.

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| | | | |
|:---|:---|:---|:---|
|  **SPDR**<sup>®</sup> **Gold Trust (CUSIP 78463V107)** | **High ($)** | **Low ($)** | **Period End ($)** |
| **2018** |  |  |  |
|  First Quarter  | 128.83 | 124.31 | 125.79 |
|  Second Quarter  | 128.11 | 118.22 | 118.65 |
|  Third Quarter  | 119.15 | 111.10 | 112.76 |
|  Fourth Quarter  | 121.25 | 112.54 | 121.25 |
| **2019** |  |  |  |
|  First Quarter  | 126.70 | 121.02 | 122.01 |
|  Second Quarter  | 134.20 | 119.94 | 133.20 |
|  Third Quarter  | 146.66 | 130.62 | 138.87 |
|  Fourth Quarter  | 142.90 | 137.01 | 142.90 |
| **2020** |  |  |  |
|  First Quarter  | 157.81 | 138.04 | 148.05 |
|  Second Quarter  | 167.37 | 149.45 | 167.37 |
|  Third Quarter  | 193.89 | 166.62 | 177.12 |
|  Fourth Quarter  | 183.19 | 166.67 | 178.36 |
| **2021** |  |  |  |
|  First Quarter  | 182.87 | 157.49 | 159.96 |
|  Second Quarter  | 178.77 | 161.92 | 165.63 |
|  Third Quarter  | 171.17 | 161.32 | 164.22 |
|  Fourth Quarter  | 174.50 | 163.92 | 170.96 |
| **2022** |  |  |  |
|  First Quarter  | 191.51 | 166.99 | 180.65 |
|  Second Quarter  | 184.65 | 168.46 | 168.46 |
|  Third Quarter  | 168.32 | 151.23 | 154.67 |
|  Fourth Quarter  | 169.64 | 151.45 | 169.64 |
| **2023** |  |  |  |
|  First Quarter (through March 15, 2023)  | 181.67 | 168.35 | 176.83 |

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| |
|:---|
| &nbsp;&nbsp; **GLD Shares Daily Closing Prices**<br> **January 1, 2013 to March 15, 2023** |
| &nbsp;&nbsp; ![](image2.gif)  |

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**This document relates only to the securities offered hereby and does not relate to the underlying commodity shares. We have derived all disclosures contained in this document regarding the Gold 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 Gold Trust. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the Gold 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 commodity shares (and therefore the price of the underlying commodity shares at the time we price 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 Gold Trust could affect the value received at maturity with respect to the securities and therefore the value of the securities.**

**Neither we nor any of our affiliates makes any representation to you as to the performance of the underlying commodity shares.**

We and/or our affiliates may presently or from time to time engage in business with the Gold Trust. In the course of such business, we and/or our affiliates may acquire non-public information with respect to the Gold 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 commodity 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 prospective purchaser of the securities, you should undertake an independent investigation of the Gold Trust as in your judgment is appropriate to make an informed decision with respect to an investment linked to the underlying commodity shares.

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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 prospectus supplement or prospectus, the terms described herein shall control. | If the terms described herein are inconsistent with those described in the accompanying prospectus supplement or prospectus, the terms described herein shall control. |
|  **Denominations:** | $10 and integral multiples thereof |
|  **Underlying commodity:** | Gold |
|  **Postponement of maturity date:** | If, due to a market disruption event or otherwise, the valuation date is postponed so that it falls less than two business days prior to the scheduled maturity date, the maturity date will be postponed to the second business day following the valuation date as postponed. |
|  **Closing price:** | The closing price on any trading day means:<br> &nbsp;&nbsp;&nbsp;&nbsp;(i)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; if the underlying commodity shares (or any such other security) are listed on a national securities exchange (other than the Nasdaq), the last reported sale price, regular way, of the principal trading session on such day on the principal national securities exchange registered under the Securities Exchange Act of 1934, as amended (the "Exchange Act"), on which the underlying commodity ETF shares (or any such other security) are listed,<br> &nbsp;&nbsp;&nbsp;&nbsp;(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; if the underlying commodity shares (or any such other security) are securities of Nasdaq, the official closing price published by Nasdaq on such day, or<br> &nbsp;&nbsp;&nbsp;&nbsp;(iii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; if the underlying commodity shares (or any such other security) are not listed on any national securities exchange but are included in the OTC Bulletin Board Service (the "OTC Bulletin Board") operated by the Financial Industry Regulatory Authority, Inc. ("FINRA"), the last reported sale price of the principal trading session on the OTC Bulletin Board on such day.<br> If the underlying commodity shares (or any such other security) are listed on any national securities exchange but the last reported sale price or the official closing price published by Nasdaq, as applicable, is not available pursuant to the preceding sentence, then the closing price for one underlying commodity share (or one unit of any such other security) on any trading day will mean the last reported sale price of the principal trading session on the over-the-counter market as reported on Nasdaq or the OTC Bulletin Board on such day. If a market disruption event (as defined below) occurs with respect to the underlying commodity shares (or any such other security) or the last reported sale price or the official closing price published by Nasdaq, as applicable, for the underlying commodity shares (or any such other security) is not available pursuant to the two preceding sentences, then the closing price for any trading day will be the mean, as determined by the calculation agent, of the bid prices for the underlying commodity shares (or any such other security) for such trading day obtained from as many recognized dealers in such security, but not exceeding three, as will make such bid prices available to the calculation agent. Bids of MS & Co. and its successors or any of its affiliates may be included in the calculation of such mean, but only to the extent that any such bid is the highest of the bids obtained. If no bid prices are provided from any third party dealers, the closing price will be determined by the calculation agent in its sole and absolute discretion (acting in good faith) taking into account any information that it deems relevant. The term "OTC Bulletin Board Service" will include any successor service thereto. See "Discontinuance of the underlying commodity shares; alteration of method of calculation" below. |
|  **Business day:** | Any day other than a Saturday or Sunday which is neither a legal holiday nor a day on which banking institutions are required or authorized by law or regulation to close in New York, New York or the city and state of our principal place of business or a day on which transactions in U.S. dollars are not conducted. |
|  **Trading day:** | Trading day means a day, as determined by the calculation agent, on which NYSE Arca (or if NYSE Arca is no longer the principal exchange or trading market for the underlying commodity shares, such exchange or principal trading market for the underlying commodity shares that serves as the price-source for the underlying commodity shares) is open for trading during its regular session, notwithstanding such exchange or principal trading market closing prior to its scheduled closing time. |
|  **Market disruption event:** | With respect to the underlying commodity shares, market disruption event means:<br>(i)&nbsp;&nbsp;&nbsp;&nbsp; the occurrence or existence of any of:<br>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a.&nbsp;&nbsp;&nbsp;&nbsp; a suspension, absence or material limitation of trading of the underlying commodity shares on the primary market for the underlying commodity shares for more than two hours of trading or during the one-half hour period preceding the close of the principal trading session in such market; or a breakdown or failure in the price and trade reporting systems of the primary market for the underlying commodity shares as a result of which the reported trading prices for the underlying commodity shares during the last one-half hour preceding the close of the principal trading session in such market are materially  |

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inaccurate; or the suspension, absence or material limitation of trading on the primary market for trading in futures or options contracts related to the underlying commodity shares, if available, during the one-half hour period preceding the close of the principal trading session in the applicable market; or&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. a suspension, material limitation or absence of trading on any major U.S. securities market for trading in futures or options contracts related to the underlying commodity shares for more than two hours of trading or during the one-half hour period preceding the close of the principal trading session on such market,in each case as determined by the calculation agent in its sole discretion, and(ii)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a determination by the calculation agent in its sole discretion that any event described in clause (i) above materially interfered with our ability or the ability of any of our affiliates to unwind or adjust all or a material portion of the hedge position with respect to the securities.For the purpose of determining whether a market disruption event in respect of the underlying commodity shares has occurred: (1) a limitation on the hours or number of days of trading will not constitute a market disruption event if it results from an announced change in the regular business hours of the market, (2) a decision to permanently discontinue trading in the underlying commodity shares or in the relevant futures or options contract will not constitute a market disruption event, (3) a suspension of trading in futures or options contracts on the underlying commodity shares by the primary securities market trading in such contracts by reason of (a) a price change exceeding limits set by such securities exchange or market, (b) an imbalance of orders relating to such contracts or (c) a disparity in bid and ask quotes relating to such contracts will constitute a suspension, absence or material limitation of trading in futures or options contracts related to the underlying commodity shares and (4) a "suspension, absence or material limitation of trading" on the primary market on which futures or options contracts related to the underlying commodity shares are traded will not include any time when such securities market is itself closed for trading under ordinary circumstances. 

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would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest—or, if there is only one, the only—quotation obtained, and as to which notice is so given, during the default quotation period. With respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing of those grounds within two business days after the last day of the default quotation period, in which case that quotation will be disregarded in determining the Acceleration Amount.Notwithstanding the foregoing, if a voluntary or involuntary liquidation, bankruptcy or insolvency of, or any analogous proceeding is filed with respect to MSFL or Morgan Stanley, then depending on applicable bankruptcy law, your claim may be limited to an amount that could be less than the Acceleration Amount.If the maturity of the securities is accelerated because of an event of default as described above, we shall, or shall cause the calculation agent to, provide written notice to the trustee at its New York office, on which notice the trustee may conclusively rely, and to the depositary of the Acceleration Amount and the aggregate cash amount due, if any, with respect to the securities as promptly as possible and in no event later than two business days after the date of such acceleration.*Default quotation period*The default quotation period is the period beginning on the day the Acceleration Amount first becomes due and ending on the third business day after that day, unless:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●no quotation of the kind referred to above is obtained, or&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●every quotation of that kind obtained is objected to within five business days after the due date as described above.If either of these two events occurs, the default quotation period will continue until the third business day after the first business day on which prompt notice of a quotation is given as described above. If that quotation is objected to as described above within five business days after that first business day, however, the default quotation period will continue as described in the prior sentence and this sentence.In any event, if the default quotation period and the subsequent two business day objection period have not ended before the valuation date, then the Acceleration Amount will equal the principal amount of the securities.*Qualified financial institutions*For the purpose of determining the Acceleration Amount at any time, a qualified financial institution must be a financial institution organized under the laws of any jurisdiction in the United States or Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and rated either:&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●A-2 or higher by Standard & Poor's Ratings Services or any successor, or any other comparable rating then used by that rating agency, or&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;●P-2 or higher by Moody's Investors Service or any successor, or any other comparable rating then used by that rating agency. 

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Additional Information About the Securities

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| | |
|:---|:---|
|  **Additional Information:** | **Additional Information:** |
|  **Minimum ticketing size:** | $1,000 / 100 securities |
|  **Tax considerations:** | &nbsp;&nbsp;&nbsp; Although there is uncertainty regarding the U.S. federal income tax consequences of an investment in the securities due to the lack of governing authority, in the opinion of our counsel, Davis Polk & Wardwell LLP, under current law, and based on current market conditions, it is more likely than not that each security will be treated as a single financial contract that is an "open transaction" for U.S. federal income tax purposes. However, because our counsel's opinion is based in part on market conditions as of the date of this document, it is subject to confirmation on the pricing date.<br> Assuming this treatment of the securities is respected and subject to the discussion in "United States Federal Taxation" in the accompanying prospectus supplement for Jump Securities, the following U.S. federal income tax consequences should result based on current law:<br> ￭A U.S. Holder should not be required to recognize taxable income over the term of the securities prior to settlement, other than pursuant to a sale or exchange. <br> ￭Upon sale, exchange or settlement of the securities, a U.S. Holder should recognize gain or loss equal to the difference between the amount realized and the U.S. Holder's tax basis in the securities. Such gain or loss should be long-term capital gain or loss if the investor has held the securities for more than one year, and short-term capital gain or loss otherwise.<br> There is a risk that the Internal Revenue Service (the "IRS") may seek to treat all or a portion of the gain on the securities as ordinary income. For example, there is a risk that the IRS could seek to recharacterize the securities as debt instruments. In that event, U.S. Holders would be required to accrue into income original issue discount on the securities every year at a "comparable yield" determined at the time of issuance and recognize all income and gain in respect of the securities as ordinary income.<br> In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the "constructive ownership" rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect.<br> As discussed in the accompanying prospectus supplement for Jump Securities, Section 871(m) of the Internal Revenue Code of 1986, as amended, 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 the terms of the securities and current market conditions, we expect that the securities will not have a delta of one with respect to any Underlying Security on the pricing date. However, we will provide an updated determination in the final pricing supplement. Assuming that the securities do not have a delta of one with respect to any Underlying Security, our counsel is of the opinion that the securities should not be Specified Securities and, therefore, should not be subject to Section 871(m). <br> Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. If 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> **Both U.S. and non-U.S. investors considering an investment in the securities should read the discussion under "Risk Factors" in this document and the discussion under "United States Federal Taxation" in the accompanying prospectus supplement for Jump Securities and consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an**  |

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|  | **investment in the securities, including possible alternative treatments, the issues presented by the aforementioned notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.** <br> **The discussion in the preceding paragraphs under "Tax considerations" and the discussion contained in the section entitled "United States Federal Taxation" in the accompanying prospectus supplement for Jump Securities, insofar as they purport to describe provisions of U.S. federal income tax laws or legal conclusions with respect thereto, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of an investment in the securities.** |
|  **Use of proceeds and hedging:** | The proceeds from the sale of the securities will be used by us for general corporate purposes. We will receive, in aggregate, $10 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 2 above comprise the agent's commissions and the cost of issuing, structuring and hedging the securities.<br> On or prior to the pricing date, we will hedge our anticipated exposure in connection with the securities by entering into hedging transactions with our affiliates and/or third-party dealers. We expect our hedging counterparties to take positions in the underlying commodity shares and in futures and/or options contracts on the underlying commodity shares or the underlying commodity 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 price of the underlying commodity shares on the pricing date, and, therefore, could increase the price at or above which the underlying commodity shares must close on the valuation date so that investors do not suffer a loss on their initial investment in the securities. In addition, through our affiliates, we are likely to modify our hedge position throughout the term of the securities, including on the valuation date, by purchasing and selling the underlying commodity shares, futures or options contracts on the underlying commodity shares or positions in any other available securities or instruments that we may wish to use in connection with such hedging activities. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation date approaches. We cannot give any assurance that our hedging activities will not affect the value of the underlying commodity 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 prospectus supplement. |
|  **Additional considerations:** | 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. |
|  **Supplemental information regarding plan of distribution; conflicts of interest**: | The agent may distribute the securities through Morgan Stanley Smith Barney LLC ("Morgan Stanley Wealth Management"), as selected dealer, or other dealers, which may include Morgan Stanley & Co. International plc ("MSIP") and Bank Morgan Stanley AG. Morgan Stanley Wealth Management, MSIP and Bank Morgan Stanley AG are affiliates of ours. Selected dealers, including Morgan Stanley Wealth Management, and their financial advisors will collectively receive from the agent, Morgan Stanley & Co. LLC, a fixed sales commission of $0.175 for each security they sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each security. The costs included in the original issue price of the securities will include a fee paid by MS & Co. to LFT Securities, LLC, an entity in which an affiliate of Morgan Stanley Wealth Management has an ownership interest, for providing certain electronic platform services with respect to this offering.<br> MS & Co. is an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging the securities. When MS & Co. prices this offering of securities, it will determine the economic terms of the securities such that for each security the estimated value on the pricing date will be no lower than the minimum level described in "Investment Summary" beginning on page 2. <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 prospectus supplement. |
|  **Where you can find more information:** | Morgan Stanley and MSFL have filed a registration statement (including a prospectus, as supplemented by the prospectus supplement for Jump Securities) 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 prospectus supplement for Jump Securities 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  |

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Jump Securities Based on the Value of the SPDR<sup>®</sup> Gold Trust due May 3, 2024

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 any dealer participating in the offering will arrange to send you the prospectus supplement for Jump Securities 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>Prospectus Supplement for Jump Securities dated</u> <u>November 16, 2020</u>**](https://www.sec.gov/Archives/edgar/data/895421/000095010320022223/dp140498_424b2-pscjump.htm)<br> [**<u>Prospectus dated November 16, 20</u><u>20</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 prospectus supplement for Jump Securities or in the prospectus.<br>

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