Market-Linked notes due July 6, 2027

Based on Morgan Stanley MAP trend index value

Fully and unconditionally guaranteed by Morgan Stanley

The Notes are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Notes will bear no interest and will have the terms described in the accompanying Product Supplement and Prospectus, as supplemented and modified by this document. At maturity, we will pay per Note the stated principal amount of $1,000 more an additional redemption amount, if any, based on the value of the underlying index on the determination date.

The Morgan Stanley MAP Trend Index (the “Underlying Index”) was established by Morgan Stanley on March 7, 2017 and employs a rules-based quantitative strategy (the “Index Methodology”) that combines a risk-weighted for portfolio construction with a momentum-based or trend-following asset allocation methodology to construct a notional portfolio. In addition, the strategy imposes an overall volatility targeting characteristic on the resulting portfolio. The objective of the Underlying Index is to seek positive return opportunities in different market environments based on recent trends in the underlying assets. The investment assumption underlying the allocation strategy is twofold: the historical volatility of the underlying assets can be used to weight a portfolio’s risk, and past trends are likely to continue to be a good indicator of the future performance of this portfolio.

The constituents of the Underlying Index consist of (i) 20 US-listed exchange-traded funds (“ETFs”), representing US and non-US equities, fixed income, commodities and real estate, and (ii) the Morgan Stanley Two Year Treasury Index (collectively, the “Index Constituents”). The notional portfolio constructed by the Index Constituent Index Methodology is referred to as the “Asset Portfolio”. The portfolio of assets will consist of long positions only in each constituent of the index, and each constituent of the index, with the exception of the Morgan Stanley Two Year Treasury Index, is subject to a maximum exposure cap . The target volatility of the Underlying Index is 5% (the “Target Volatility”).

The Underlying Index is rebalanced on each Strategic Business Day (the “Daily Rebalancing”). At each daily rebalancing of the Underlying Index, the Index Methodology uses the pre-allocated risk budget allocated to each ETF (as set out in “Appendix A – Morgan Stanley MAP Trend Index – Constituents of the Index). ‘index’) and volatility of each ETF to make initial base allocations. The Index Methodology then calculates a signal based on each ETF’s upward or downward trend (the “Trend Signal”). The index calculates each trend signal by observing two moving averages, one short-term and one long-term, over different look-back periods for each respective ETF. A trend signal that converges to one indicates an uptrend and a trend signal that converges to zero indicates a downtrend. Once the trend signal is calculated for each ETF, the previously determined base allocations are scaled by the trend signal by allocating more uptrend stocks to the asset portfolio. The magnitude of each position taken by the underlying index after the trend signal adjustment is then scaled to the volatility target based on a volatility scaling at the pro rata which seeks to achieve a balanced level of volatility in the exposure of the underlying index to each of the ETFs. .

The underlying index is calculated on an excess return basis and therefore the level reflects the weighted return of the portfolio of assets less the return of an equivalent cash investment benefiting from the overnight guaranteed funding rate the day (“SOFR”). more 0.26%. The performance of the underlying index is further reduced by a service cost of 0.85% per annum calculated on a daily basis. For more information, see “Appendix A—Morgan Stanley MAP Trend Index” beginning on page 24 and “Risk Factors—There are risks associated with the Underlying Index” beginning on page 8.

These long-term notes are for investors who are concerned about principal risk but seek exposure to a multiple asset-linked index and are willing to forgo current income in exchange for repayment of principal at maturity. . more the possibility of receiving an additional redemption amount, if applicable. The Notes are notes issued under MSFL’s Series A Global Medium Term Note 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 notes are not secured obligations and you will have no security interest in, or have any access to, any underlying asset or reference asset.


Transmitter :

Morgan Stanley Finance LLC


Morgan Stanley

Issue price:

$1,000 per Note (see “Commissions and Issue Price” below)

Principal amount indicated:

$1,000 per ticket

Total principal amount:


Pricing date:

June 30, 2022

Original issue date:

July 6, 2022 (3 business days after pricing date)

Due date:

July 6, 2027



Underlying index:

Morgan Stanley MAP Trend Index

Payment at maturity:

The payment due at maturity per $1,000 of stated capital will be equal to:

$1,000 + additional redemption amount, if applicable.

The payment due at maturity will not be less than $1,000 per Note, regardless of the performance of the Underlying Index.

Additional refund amount:

(i) $1,000 time (ii) the percentage change in the index time (iii) the participation rate, on condition that the additional redemption amount will not be less than $0.

Rate of participation :


Maximum payment at maturity:


Percentage change in the index:

(final index value – initial index value) / initial index value

Initial value of the index:

228.20, which is the closing value of the index on the pricing date

Final value of the index:

The closing value of the index on the determination date

Date of determination:

June 30, 2027, subject to postponement for non-indexed business days and certain market disruptive events






The Notes will not be listed on any stock exchange.


Morgan Stanley & Co. LLC (“MS & Co.”), a subsidiary of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Additional Information Regarding the Distribution Plan; conflicts of interest.”

Estimated value at pricing date:

$962.10 per ticket. See “Summary of Investments” beginning on page 2.

Commissions and issue price:

Public price(1)

Agent’s commissions and fees(2)

product to us(3)

By rating








(1)The Notes will be sold only to investors who purchase the Notes in fee-based advisory accounts.

(2) MS & Co. expects to sell all Notes it purchases from us to an unaffiliated broker at a price of $992.50 per Note, for subsequent sale to certain fee-based advisory accounts at a public price of $1,000 per ticket. MS & Co. will not receive any sales commission with respect to the Notes. For more information, see “Distribution Plan (Conflicts of Interest)” in the attached product supplement.

(3)See “Product Use and Coverage” on page 22.

The Notes involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” starting on page 6.

The Securities and Exchange Commission and state securities regulators have not approved or disapproved of these ratings, or determined whether this document or the accompanying product supplement and prospectus are true or complete. Any representation to the contrary is a criminal offence.

The Notes are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrument, nor are they obligated or guaranteed by any bank.

You should read this document and the relevant product supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Ticket Terms” and “Additional Ticket Information” 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, depending on the context.

Product Supplement for Equity Linked Notes dated November 16, 2020 Prospectus of November 16, 2020

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