12. RESPONSIBLE CONSUMPTION AND PRODUCTION

Form 424B2 MORGAN STANLEY – StreetInsider.com

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Form 424B2 MORGAN STANLEY  StreetInsider.com



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Pricing Supplement No. 5,411

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

Dated June 9, 2022

Filed Pursuant to Rule 424(b)(2)

Morgan Stanley
Finance LLC $4,150,000 Market-Linked Notes with 90% Minimum Payment Amount

Linked to an Equally-Weighted
Basket of Eight Commodities Due September 14, 2023

Fully and Unconditionally
Guaranteed by Morgan Stanley

Partial Principal at Risk
Securities

Investment Description

These Market-Linked Notes with 90% Minimum Payment Amount
(the “Notes”) are unsecured and unsubordinated debt securities issued by Morgan Stanley Finance LLC (“MSFL”) and
are fully and unconditionally guaranteed by Morgan Stanley. At maturity, we will pay per Note at least 90% of the Principal Amount. If
the Basket Performance is positive, we will pay per Note the Principal Amount plus a Supplemental Redemption Amount based on the performance
of an equally-weighted basket of physical commodities, equal to the product of (i) the Principal Amount multiplied by (ii) the Participation
Rate of 175% multiplied by (iii) the Basket Performance. If the Basket Performance is zero or negative, investors in the Notes have 1
to 1 downside exposure to the first 10% decline in the Basket Performance over the term of the Notes, which could result in a loss of
up to 10% of the Principal Amount. The Notes are for investors who are willing to risk up to 10% of their principal, who seek a commodity
based-return and who are willing to forgo current income in exchange for the repayment of at least 90% of principal at maturity plus the
potential to receive a Supplemental Redemption Amount, if any. Investing in the Notes involves significant risks. The Notes do not
pay interest. MSFL will repay at least 90% of the Principal Amount only if you hold the Notes to maturity. The Notes 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 Notes 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.

Features

q     Growth
Potential —
If the Basket Performance is positive, MSFL will
repay the Principal Amount of the Notes at maturity and pay a Supplemental Redemption Amount based on the performance of the Basket. The
Supplemental Redemption Amount will equal the Principal Amount multiplied by the Participation Rate multiplied by the Basket Performance.

q     Limited
Downside Exposure at Maturity —
If the Basket Performance is
zero or negative, investors in the Notes have 1 to 1 downside exposure to the first 10% decline in the Basket Performance over the term
of the Notes, which could result in a loss of up to 10% of the Principal Amount. MSFL will repay at least the Minimum Payment Amount of
90% of the Principal Amount. Any payment on the Notes, including any payment of the Minimum Payment Amount, is subject to our credit risk.

Key Dates
Trade Date June 9, 2022
Original Issue Date June 14, 2022
Determination Date* September 11, 2023

Maturity Date*

September 14, 2023

*   Subject
to adjustment for non-Trading Days or a Market Disruption Event. See “—Description of Securities—General Terms of the
Securities— Terms Specified in Pricing Supplements—“determination date or determination dates”” in the accompanying
prospectus supplement for commodity-linked partial principal at risk securities.

If the scheduled Determination Date is
not a Trading Day or if a Market Disruption Event occurs on that day so that the Determination Date is postponed and falls less than two
business days prior to the scheduled Maturity Date, the Maturity Date will be postponed to the second business day following that Determination
Date as postponed.

NOTICE TO INVESTORS: THE NOTES DO NOT GUARANTEE THE FULL REPAYMENT
OF YOUR PRINCIPAL AMOUNT. YOU MAY LOSE UP TO 10% OF YOUR PRINCIPAL AMOUNT AND RECEIVE ONLY 90% OF YOUR PRINCIPAL AMOUNT AT MATURITY. THIS
MARKET RISK IS IN ADDITION TO THE CREDIT RISK INHERENT IN PURCHASING A DEBT OBLIGATION OF OURS. YOU SHOULD NOT PURCHASE THE NOTES IF YOU
DO NOT UNDERSTAND OR ARE NOT COMFORTABLE WITH THE SIGNIFICANT RISKS INVOLVED IN INVESTING IN THE NOTES. THE NOTES WILL NOT BE LISTED ON
ANY SECURITIES EXCHANGE.

YOU SHOULD CAREFULLY CONSIDER THE RISKS DESCRIBED UNDER ‘‘KEY
RISKS’’ BEGINNING ON PAGE 6 OF THIS PRICING SUPPLEMENT AND UNDER RISK FACTORS BEGINNING ON PAGE S-27 OF THE ACCOMPANYING PROSPECTUS
SUPPLEMENT FOR COMMODITY-LINKED PARTIAL PRINCIPAL AT RISK SECURITIES IN CONNECTION WITH YOUR PURCHASE OF THE NOTES. EVENTS RELATING TO
ANY OF THOSE RISKS, OR OTHER RISKS AND UNCERTAINTIES, COULD ADVERSELY AFFECT THE MARKET VALUE OF, AND THE RETURN ON, YOUR NOTES. INVESTING
IN THE NOTES IS NOT EQUIVALENT TO INVESTING IN THE BASKET COMMODITIES OR IN FUTURES CONTRACTS OR FORWARD CONTRACTS ON THE BASKET COMMODITIES.

Note Offering

These preliminary terms relate to Market-Linked Notes with 90% Minimum
Payment Amount Linked to an Equally-Weighted Basket of Eight Commodities Due September 14, 2023. The Notes are offered at a minimum investment
of $1,000, or 1 Note, and integral multiples of $1,000 in excess thereof.

Basket Commodity Bloomberg Ticker Symbol* Weighting Initial Basket Commodity Price Minimum Payment Amount Participation Rate CUSIP ISIN
West Texas Intermediate light sweet crude oil futures contracts (“WTI crude oil”) CL1 12.50% $121.51 $900 per Note (90% of the Principal Amount) 175% 61773QWA3 US61773QWA39
Brent crude oil (“Brent crude oil”) CO1 12.50% $123.07
Natural gas (“Natural gas”) NG1 12.50% $8.963
Corn – CBOT (“corn”) C 1 12.50% 773.00¢
Soybeans – CBOT (“soybeans”) S 1 12.50% 1,769.00¢
Wheat – CBOT (“wheat”) W 1 12.50% 1,071.25¢
Copper grade A (“copper”) LOCADY 12.50% $9,630.00
Zinc LOZSDY 12.50% $3,792.00

*Bloomberg ticker symbols are being provided for reference purposes
only. The Initial Basket Commodity Price was determined and the Final Basket Commodity Price for each Basket Commodity will be determined
based on the values published by the relevant exchange and, notwithstanding the Bloomberg ticker symbols provided for reference purposes
above, such prices (in the case of WTI crude oil, Brent crude oil, natural gas, corn, soybeans and wheat) may be based on the second nearby
month futures contract, as further described under “Final Terms—Commodity Price” on page 4.

See “Additional Information about Morgan Stanley, MSFL and
the Notes” on page 2. The Notes will have the terms set forth in the accompanying prospectus supplement for commodity-linked partial
principal at risk securities and prospectus and this pricing supplement.

Neither the Securities and Exchange Commission nor any other regulatory
body has approved or disapproved of these Notes or passed upon the adequacy or accuracy of this pricing supplement or the accompanying
prospectus supplement for commodity-linked partial principal at risk securities and prospectus. Any representation to the contrary is
a criminal offense. The Notes 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.

Estimated value on the Trade Date $954.20 per Note. See “Additional Information about Morgan Stanley, MSFL and the Notes” on page 2.
  Price to Public Underwriting Discount(1) Proceeds to Us(2)
Per Note $1,000 $10 $990
Total $4,150,000 $41,500 $4,108,500

(1) UBS
Financial Services Inc., acting as dealer, will receive from Morgan Stanley & Co. LLC, the agent, a fixed sales commission of $10
for each Security it sells. For more information, please see “Supplemental Plan of Distribution; Conflicts of Interest” on
page 34 of this pricing supplement.

(2) See “Use of Proceeds and Hedging”
on page 34.

The agent for this offering, Morgan Stanley
& Co. LLC, is our affiliate and a wholly owned subsidiary of Morgan Stanley. See “Supplemental Plan of Distribution; Conflicts
of Interest” beginning on page 34 of this pricing supplement. For additional information, see “Plan of Distribution (Conflicts
of Interest)” in the accompanying prospectus supplement for commodity-linked partial principal at risk securities.

Morgan Stanley UBS Financial Services Inc.
Additional Information about Morgan Stanley, MSFL and the Notes

Morgan Stanley and MSFL have filed a registration statement (including
a prospectus, as supplemented by a prospectus supplement for commodity-linked partial principal at risk securities) with the SEC for the
offering to which this communication relates. In connection with your investment, you should read the prospectus in that registration
statement, the prospectus supplement for commodity-linked partial principal at risk 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 for free by visiting EDGAR on the SEC website at.www.sec.gov. Alternatively,
Morgan Stanley, MSFL, any underwriter or any dealer participating in this offering will arrange to send you the prospectus and the prospectus
supplement for commodity-linked partial principal at risk securities if you so request by calling toll-free 1-(800)-584-6837.

You may access the accompanying prospectus supplement for commodity-linked
partial principal at risk securities and prospectus on the SEC website at.www.sec.gov as follows:

References to “MSFL” refer only to MSFL, references to
“Morgan Stanley,” refer only to Morgan Stanley and references to “we,” “our” and “us”
refer to MSFL and Morgan Stanley collectively. In this document, the “Notes” refers to the Market-Linked Notes that are offered
hereby. Also, references to the accompanying “prospectus” and “prospectus supplement for commodity-linked partial principal
at risk securities” mean the prospectus filed by MSFL and Morgan Stanley dated November 16, 2020 and the prospectus supplement for
commodity-linked partial principal at risk securities filed by MSFL and Morgan Stanley dated November 16, 2020, respectively.

You should rely only on the information incorporated by reference or
provided in this pricing supplement or the accompanying prospectus supplement for commodity-linked partial principal at risk securities
and prospectus. We have not authorized anyone to provide you with different information. We are not making an offer of these Notes in
any state where the offer is not permitted. You should not assume that the information in this pricing supplement or the accompanying
prospectus supplement for commodity-linked partial principal at risk securities and prospectus is accurate as of any date other than the
date on the front of this document.

If the terms discussed in this pricing supplement differ from those
discussed in the prospectus supplement for commodity-linked partial principal at risk securities or prospectus, the terms contained in
this pricing supplement will control.

The Issue Price of each Note is $1,000. This price includes costs associated
with issuing, selling, structuring and hedging the Notes, which are borne by you, and, consequently, the estimated value of the Notes
on the Trade Date is less than $1,000. We estimate that the value of each Note on the Trade Date is $954.20.

What goes into the estimated value on the Trade Date?

In valuing the Notes on the Trade Date, we take into account that the
Notes comprise both a debt component and a performance-based component linked to the Basket Commodities. The estimated value of the Notes
is determined using our own pricing and valuation models, market inputs and assumptions relating to the Basket Commodities, instruments
based on the Basket Commodities, 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 Notes?

In determining the economic terms of the Notes, including the Participation
Rate and the Minimum Payment Amount, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads
and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding
rate were higher, one or more of the economic terms of the Notes would be more favorable to you.

What is the relationship between the estimated value on the Trade
Date and the secondary market price of the Notes?

The price at which MS & Co. purchases the Notes in the secondary
market, absent changes in market conditions, including those related to the Basket Commodities, may vary from, and be lower than, the
estimated value on the Trade 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.

MS & Co. currently intends, but is not obligated, to make a market
in the Notes and, if it once chooses to make a market, may cease doing so at any time.

Investor Suitability
The Notes may be suitable for you if: The Notes may not be suitable for you if:

¨   You
fully understand the risks inherent in an investment in the Notes, including the risk of receiving little or no return on your investment.

¨   You
believe that the value of the Basket will increase over the term of the Notes.

¨   You
can tolerate a loss of up to 10% of your investment and are willing to make an investment that has 1 to 1 downside exposure to the first
10% decline if the value of the Basket remains unchanged or decreases over the term of the Notes.

¨   You
can tolerate fluctuations in the price of the Notes prior to maturity that may cause the market value of the Notes to decline below the
price you paid for your Notes.

¨   You
do not seek current income from your investment.

¨   You
understand and accept the risks associated with the Basket Commodities.

¨   You
are willing to hold the Notes to maturity, as set forth on the cover hereof, and accept that there may be little or no secondary market
for the Notes.

¨   You
are willing to assume our credit risk, and understand that if we default on our obligations you may not receive any amounts due to you,
including any payment of the Minimum Payment Amount.

¨  You
do not fully understand the risks inherent in an investment in the Notes, including the risk of receiving little or no return on your
investment
.

¨   You
believe that the value of the Basket will decrease over the term of the Notes.

¨  You
cannot tolerate a loss of up to 10% of your investment and are unwilling to make an investment that has 1 to 1 downside exposure to the
first 10% decline if the value of the Basket remains unchanged or decreases over the term of the Notes.

¨   You
cannot tolerate fluctuations in the price of the Notes prior to maturity that may cause the market value of the Notes to decline below
the price you paid for your Notes.

¨   You
seek current income from your investment.

¨   You
do not understand or are not willing to accept the risks associated with the Basket Commodities.

¨   You
are unable or unwilling to hold the Notes to maturity, as set forth on the cover hereof, or you seek an investment for which there will
be an active secondary market.

¨   You
are not willing or are unable to assume our credit risk for any payment on the Notes, including any payment of the Minimum Payment Amount.

The investor suitability considerations identified above are not
exhaustive. Whether or not the Notes are a suitable investment for you will depend on your individual circumstances and you should reach
an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the suitability
of an investment in the Notes in light of your particular circumstances. You should also review carefully the sections entitled “Key
Risks” beginning on page 6 of this pricing supplement and “Risk Factors” beginning on S-27 of the accompanying prospectus
supplement for commodity-linked partial principal at risk securities for risks related to an investment in the Notes. For more information
about the Basket Commodities, see the information set forth under “The Basket Commodities” on page 17.

Final Terms
Issuer Morgan Stanley Finance LLC
Guarantor Morgan Stanley
Issue Price (per Note) $1,000 (1 Note)
Principal Amount $1,000 per Note
Term 1.25 years
Basket The Notes are linked to an equally-weighted basket consisting of the following Basket Commodities:
Basket Commodity Weighting Initial Basket Commodity Price
West Texas Intermediate light sweet crude oil futures contracts (“WTI crude oil”) 12.50% $121.51
Brent crude oil (“Brent crude oil”) 12.50% $123.07
Natural gas (“Natural gas”) 12.50% $8.963
Corn – CBOT (“corn”) 12.50% 773.00¢
Soybeans – CBOT (“soybeans”) 12.50% 1,769.00¢
Wheat – CBOT (“wheat”) 12.50% 1,071.25¢
Copper grade A (“copper”) 12.50% $9,630.00
Zinc 12.50% $3,792.00
Payment at Maturity
(per Note)

MSFL will pay you a cash payment at maturity as follows:

If the Basket Performance is greater than zero, 

$1,000 + Supplemental Redemption Amount 

If the Basket Performance is less than or equal to
zero, 

$1,000 + ($1,000 x Basket
Performance), subject to the Minimum Payment Amount of $900 per note 

Under no circumstances will the payment at maturity
be less than the Minimum Payment Amount of $900 per Note.
 

Supplemental Redemption Amount $1,000 × Participation Rate × Basket Performance; provided that the Supplemental Redemption Amount will not be less than zero.
Participation Rate 175%
Minimum Payment Amount $900 per Note (90% of the Principal Amount)
Basket Performance The sum of the Commodity Performance Values of each of the Basket Commodities
Commodity Performance Value

With respect to each Basket Commodity: 

[(Final Basket Commodity Price –
Initial Basket Commodity Price) / Initial Basket Commodity Price] × Weighting 

Initial Basket Commodity Price The Commodity Price for the applicable Basket Commodity on the Trade Date, as set forth under “Basket—Initial Basket Commodity Price” above.
Final Basket Commodity Price The Commodity Price for the applicable Basket Commodity on the Determination Date, subject to adjustment for each Basket Commodity individually in the event of a Market Disruption Event or a non-Trading Day.
Determination Date September 11, 2023, subject to adjustment for non-Trading Days or a Market Disruption Event
Commodity Price

For any trading day: 

WTI crude oil: the official settlement price per
barrel of West Texas Intermediate light sweet crude oil on the relevant exchange of the first nearby month futures contract, stated in
U.S. dollars, as made public by the relevant exchange on such date, provided that if such 

 

date falls on the last trading day of such futures contract
(all pursuant to the rules of the relevant exchange), then the second nearby month futures contract on such date.

Brent crude oil: the official settlement price per barrel
of Brent blend crude oil on the relevant exchange of the first nearby month futures contract, stated in U.S. dollars, as made public by
the relevant exchange on such date, provided that if such date falls on the last trading day of such futures contract (all pursuant to
the rules of the relevant exchange), then the second nearby month futures contract on such date.

Natural gas: the official settlement price per one million
British thermal units of natural gas on the relevant exchange of the first nearby month futures contract, stated in U.S. dollars, as made
public by the relevant exchange on such date, provided that if such date falls on the last trading day of such futures contract (all pursuant
to the rules of the relevant exchange), then the second nearby month futures contract on such date.

Corn: the official settlement price per bushel of deliverable-grade
corn on the relevant exchange of the first nearby month futures contract (or, in the case of any trading day after the date of the last
trade of the options contract (if there is more than one options contract, then the options contract with the latest date) pertaining
to the first nearby month futures contract, the second nearby month futures contract), stated in U.S. cents, as made public by the relevant
exchange on such date.

Soybeans: the official settlement price per bushel of
deliverable-grade soybeans on the relevant exchange of the first nearby month futures contract (or, in the case of any trading day after
the date of the last trade of the options contract (if there is more than one options contract, then the options contract with the latest
date) pertaining to the first nearby month futures contract, the second nearby month futures contract), stated in U.S. cents, as made
public by relevant exchange on such date.

Wheat: the official settlement price per bushel of deliverable-grade
wheat on the relevant exchange of the first nearby month futures contract (or, in the case of any trading day after the date of the last
trade of the options contract (if there is more than one options contract, then the options contract with the latest date) pertaining
to the first nearby month futures contract, the second nearby month futures contract), stated in U.S. cents, as made public by the relevant
exchange on such date.

Copper: the official cash offer price per tonne of copper
grade A on the relevant exchange for the spot market, stated in U.S. dollars, as determined by the relevant exchange on such date.

Zinc: the official cash offer price per tonne of special
high grade zinc on the relevant exchange for the spot market, stated in U.S. dollars, as determined by the relevant exchange on such date.

Maturity Date September 14, 2023, subject to postponement in the event of a postponement of the Determination Date.
CUSIP / ISIN 61773QWA3 / US61773QWA39
Calculation Agent Morgan Stanley Capital Group Inc. (“MSCG”)
Investment
Timeline
 
Trade Date The Initial Basket Commodity Price for each Basket Commodity was determined.

The Final Basket Commodity Price for each Basket Commodity is determined
on the Determination Date and the Basket Performance is calculated.

Maturity Date

MSFL will pay you a cash payment at maturity as follows:

If the Basket Performance is greater than zero,

$1,000 + Supplemental Redemption Amount

If the Basket Performance is less than or equal to zero,

$1,000 + ($1,000 x Basket Performance),
subject to the Minimum Payment Amount of $900 per note

Under no circumstances will the payment at maturity
be less than the Minimum Payment Amount of $900 per Note.

    

Investing in the Notes involves
significant risks. The Notes do not pay interest. YOU MAY RECEIVE LITTLE OR NO RETURN OR SUFFER A LOSS OF UP TO 10% OF YOUR INVESTMENT
IN THE NOTES. MSFL will repay AT LEAST 90% OF THE principal amount only if you hold the Notes to maturity. All payments, INCLUDING ANY
PAYMENT OF THE MINIMUM PAYMENT AMOUNT, are subject to our credit risk.

   

An investment in the Notes involves significant risks.
The material risks that apply to the Notes are summarized here, but we urge you to also read the “Risk Factors” section in
the accompanying prospectus and the accompanying prospectus supplement for commodity-linked partial principal at risk securities. You
should also consult your investment, legal, tax, accounting and other advisers in connection with your investment in the Notes.

Risks Relating to an Investment in the Notes

¨ The Notes may not pay more than the Minimum Payment Amount
at maturity
— The terms of the Notes differ from those of ordinary debt securities in that the Notes do no pay interest and
provide for a Minimum Payment Amount of only 90% of the Principal Amount at maturity. If the Basket Performance is less than zero, the
payment at maturity will be an amount in cash that is less than the Principal Amount of each Note by an amount proportionate to the decrease
in the value of the Basket, subject to the Minimum Payment Amount of $900 per Note (90.00% of the Principal Amount). You could lose up
to 10.00% of your investment in the Notes based on the Basket Performance.
¨ No interest payments — MSFL will not make any
interest payments with respect to the Notes.
¨ The Minimum Payment Amount applies only at maturity
You should be willing to hold your Notes to maturity. If you are able to sell your Notes in the secondary market, you may have to sell
them at a price less than the Minimum Payment Amount even if the prices of the Basket Commodities have increased from the Initial Basket
Commodity Prices. You will receive the benefit of the Minimum Payment Amount of $900 per Note from MSFL only at maturity, subject to our
creditworthiness.
¨ The market price of the Notes will be influenced by many unpredictable factorsSeveral
factors, many of which are beyond our control, will influence the value of the Notes in the secondary market and the price at which we
or certain of our affiliates, including Morgan Stanley & Co. LLC (“MS & Co.”), may be willing to purchase or sell
the Notes in the secondary market, including: the price of each of the Basket Commodities at any time and, in particular, on the Determination
Date, the volatility (frequency and magnitude of changes in value) of each of the Basket Commodities, interest and yield rates in the
market, geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the Basket Commodities or
commodities markets in general and which may affect the Final Basket Commodity Prices of the Basket Commodities, trends of supply and
demand for the Basket Commodities, as well as the effects of speculation or any government activity that could affect the commodities
markets, the time remaining until the Notes mature and any actual or anticipated changes in our credit ratings or credit spreads. In addition,
the commodities markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity,
participation of speculators and government intervention. As a result, the market value of the Notes will vary and may be less than the
Issue Price at any time prior to maturity.
¨ The Notes are subject to our credit risk, and any actual
or anticipated changes to our credit ratings or our credit spreads may adversely affect the market value of the Notes
— Investors
are dependent on our ability to pay all amounts due on the Notes at maturity, and, therefore, you are subject to our credit risk and to
changes in the market’s view of our creditworthiness. If we default on our obligations under the Notes, your investment would be
at risk and you could lose some or all of your investment. As a result, the market value of the Notes 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
our credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the Notes.
¨ 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 Notes is not linked to the price
of the Basket Commodities at any time other than the Determination Date
— The Final Basket Commodity Price for each Basket Commodity
will be the Commodity Price for such Basket Commodity on the Determination Date, subject to postponement for non-Trading Days and certain
Market Disruption Events. Even if the prices of the Basket Commodities appreciate prior to the Determination Date but then drop by the
Determination Date, the Payment at Maturity will be less, and may be significantly less, than it would have been had the Payment at Maturity
been linked to the price of the Basket Commodities prior to such drop. Although the actual prices of the Basket Commodities on the stated
Maturity Date or at other times during the term of the Notes may be higher than

the Final Basket Commodity Prices, the
Payment at Maturity will be based solely on the Commodity Prices on the Determination Date.

¨ 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 Notes in the Issue Price
reduce the economic terms of the Notes, cause the estimated value of the Notes to be less than the 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 Notes in secondary market transactions will likely be significantly lower
than the Issue Price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are
included in the 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 Notes in the Issue Price and the lower rate we are willing to pay as issuer make the economic terms
of the Notes less favorable to you than they otherwise would be.

¨ The estimated value of the Notes 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 Notes than those generated by others, including other dealers in the market, if they
attempted to value the Notes. In addition, the estimated value on the Trade Date does not represent a minimum or maximum price at which
dealers, including MS & Co., would be willing to purchase your Notes in the secondary market (if any exists) at any time. The value
of your Notes at any time after the date of this pricing supplement 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 Notes will be influenced by many
unpredictable factors” above.
¨ Investing in the Notes is not equivalent to investing
in the Basket Commodities or in futures contracts or forward contracts on the Basket Commodities
–- By purchasing the Notes,
you do not purchase any entitlement to any of the Basket Commodities or futures contracts or forward contracts on any of the Basket Commodities.
Further, by purchasing the Notes, you are taking credit risk to us and not to any counter-party to futures contracts or forward contracts
on the Basket Commodities.
¨ The Notes will not be listed on any securities exchange
and secondary trading may be limited
— The Notes will not be listed on any securities exchange. Therefore, there may be little
or no secondary market for the Notes. MS & Co. currently intends, but is not obligated, to make a market in the Notes 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 Notes, 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 Notes. Even if there is a secondary market, it may not provide
enough liquidity to allow you to trade or sell the Notes easily. Since other broker-dealers may not participate significantly in the secondary
market for the Notes, the price at which you may be able to trade your Notes 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 Notes, it is likely that there would be
no secondary market for the Notes. Accordingly, you should be willing to hold your Notes to maturity.
¨ Hedging and trading activity by our affiliates could potentially adversely affect the value of the Notes One
or more of our affiliates and/or third-party brokers expect to carry out hedging activities related to the Notes (and to other instruments
linked to the Basket Commodities), including trading in the Basket Commodities or futures contracts or forward contracts on the Basket
Commodities, as well as in other instruments related or linked to the Basket Commodities. As a result, these entities may be unwinding
or adjusting hedge positions during the term of the Notes, and the hedging strategy may involve greater and more frequent dynamic adjustments
to the hedge as the Determination Date approaches. MSCG and some of our other affiliates also trade the Basket Commodities and other financial
instruments related to the Basket Commodities on a regular basis as part of their general broker-dealer, commodity trading, proprietary
trading and other businesses. Any of these hedging or trading activities on or prior to the Trade Date could potentially increase the
Initial Basket Commodity Prices and, therefore, could increase the prices at or above which the Basket Commodities must close on the Determination
Date so that you do not lose some of your investment at maturity. Additionally, such hedging or trading activities during the term of
the Notes, including on the Determination Date, could adversely affect the Basket Commodity Prices on the Determination Date and, accordingly,
the amount of cash you will receive at maturity.
¨ Potential conflict of interest — As Calculation
Agent, MSCG will determine the Initial Basket Commodity Price, the Final Basket Commodity Price and the Commodity Performance Value for
each Basket Commodity, the Basket Performance, the Supplemental Redemption Amount, if any, and whether a Market Disruption Event has occurred.
Additionally, the

Calculation Agent will calculate the amount
of cash you will receive at maturity. Moreover, certain determinations made by MSCG, 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 any Commodity Price in the event of a Market Disruption Event. These potentially subjective determinations may
adversely affect the payout to you at maturity. For further information regarding these types of determinations, see “Payment at
Maturity—Calculation Agent and Calculations” and “—Alternate Exchange Calculation in the Case of an Event of Default”
and related definitions in the accompanying prospectus supplement. In addition, MS & Co. has determined the estimated value of the
Notes on the Trade Date.

¨ Potentially inconsistent research, opinions or recommendations
by Morgan Stanley, UBS or our or their respective affiliates
— Morgan Stanley, UBS and our or their respective affiliates publish
research from time to time on financial markets and other matters that may influence the value of the Notes, or express opinions or provide
recommendations that are inconsistent with purchasing or holding the Notes. Any research, opinions or recommendations expressed by Morgan
Stanley, UBS or our or their respective affiliates may not be consistent with each other and may be modified from time to time without
notice. Investors should make their own independent investigation of the merits of investing in the Notes and the Basket Commodities to
which the Notes are linked.

Risks Relating to the Basket Commodities

¨ Changes
in the price of one or more of the Basket Commodities may offset each other
— Price movements in the Basket Commodities may
not correlate with each other. At a time when the price of one Basket Commodity increases, the price of the other Basket Commodities
may not increase as much, or may even decline. Therefore, in calculating the performance of the Basket Commodities on the Determination
Date, increases in the price of one Basket Commodity may be moderated, or wholly offset, by lesser increases or declines in the price
of the other Basket Commodities.
¨ Specific
commodities’ prices are volatile and are affected by numerous factors specific to each market
— Investments, such as
the Notes, linked to the prices of commodities, such as the Basket Commodities, are subject to sharp fluctuations in the prices of commodities
over short periods of time for a variety of factors, including the principal factors set out below:
¨ WTI crude oil. Demand for refined petroleum products
by consumers, as well as by the agricultural, manufacturing and transportation industries, affects the price of crude oil. Crude oil’s
end-use as a refined product is often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most
areas exists, although considerations including relative cost often limit substitution levels. Because the precursors of demand for petroleum
products are linked to economic activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations,
such as environmental or consumption policies. In addition to general economic activity and demand, prices for crude oil are affected
by political events, labor activity, developments in production technology such as fracking and, in particular, direct government intervention
(such as embargos) or supply disruptions in major oil producing regions of the world. Such events tend to affect oil prices worldwide,
regardless of the location of the event. Supply for crude oil may increase or decrease depending on many factors. These include production
decisions by the Organization of the Petroleum Exporting Countries and other crude oil producers. In the event of sudden disruptions in
the supplies of oil, such as those caused by war, natural events, accidents, acts of terrorism or cyberattacks, prices of oil futures
contracts could become extremely volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example,
upon a cessation of hostilities that may exist in countries producing oil, the introduction of new or previously withheld supplies into
the market or the introduction of substitute products or commodities. WTI crude oil is also subject to the risk that it has demonstrated
a lack of correlation with world crude oil prices due to structural differences between the U.S. market for crude oil and the international
market for crude oil. As a result, the price of WTI crude oil may be more volatile than world crude oil prices generally.

In addition, the prices of WTI crude oil
futures contracts may be near zero, zero or negative, which can occur rapidly and unexpectedly. For example, in April 2020, a collapse
of demand for fuel contributed to an oversupply of crude oil that rapidly filled most available oil storage facilities. Storage shortages
meant that market participants that had contracted to buy and take delivery of crude oil were at risk of default under the terms of the
May 2020 NYMEX WTI crude oil futures contract. The scarcity of storage resulted in some market participants selling their futures contracts
at a negative price (effectively paying another market participant to accept delivery of the crude oil referenced by the relevant contracts).
As a result, for the first time in history, crude oil futures contracts traded below zero. On April 20, 2020, the last trading day before
expiration of the May 2020 WTI crude oil futures contract, prices of that contract fell to negative $37.63. See “The Basket Commodities.”

¨ Brent crude oil. Demand for refined petroleum products
by consumers, as well as by the agricultural, manufacturing and transportation industries, affects the price of crude oil. Crude oil’s
end-use as a refined product is often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most
areas exists, although considerations including relative cost often limit substitution levels. Because the precursors of demand for petroleum
products are linked to economic activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations,
such as environmental or consumption policies. In addition to general economic activity and demand, prices for crude oil are affected
by political events, labor activity, developments in production technology such as

fracking and, in particular, direct government
intervention (such as embargos) or supply disruptions in major oil producing regions of the world. Such events tend to affect oil prices
worldwide, regardless of the location of the event. Supply for crude oil may increase or decrease depending on many factors. These include
production decisions by the Organization of the Petroleum Exporting Countries and other crude oil producers. In the event of sudden disruptions
in the supplies of oil, such as those caused by war, natural events, accidents, acts of terrorism or cyberattacks, prices of oil futures
contracts could become extremely volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example,
upon a cessation of hostilities that may exist in countries producing oil, the introduction of new or previously withheld supplies into
the market or the introduction of substitute products or commodities. The price of Brent crude oil futures has experienced very severe
price fluctuations over the recent past and there can be no assurance that this extreme price volatility will not continue in the future.
See “The Basket Commodities.”

¨ Natural gas. Natural gas is used primarily for residential
and commercial heating and in the production of electricity. Natural gas has also become an increasingly popular source of energy in the
United States, both for consumers and industry. However, because natural gas can be used as a substitute for coal and oil in certain circumstances,
the price of coal and oil influence the price of natural gas. The level of global industrial activity influences the demand for natural
gas. The demand for natural gas has traditionally been cyclical, with higher demand during the winter months and lower demand during relatively
warmer summer months. Seasonal temperatures in countries throughout the world can also heavily influence the demand for natural gas. The
world’s supply of natural gas is concentrated in the former Soviet Union, the Middle East, Europe and Africa. In general, the supply
of natural gas is based on competitive market forces. Inadequate supply at any one time leads to price increases, which signal to production
companies the need to increase the supply of natural gas to the market. The ability of production companies to supply natural gas, however,
is dependent on a number of factors. Factors that affect the short term supply of natural gas include the availability of skilled workers
and equipment, permitting and well development, as well as weather and delivery disruptions (e.g., hurricanes, labor strikes and wars).
In addition, production companies face more general barriers to their ability to increase the supply of natural gas, including access
to land, the expansion of pipelines and the financial environment. These factors, which are not exhaustive, are interrelated and can have
complex and unpredictable effects on the supply for, and the price of, natural gas.
¨ Corn. The demand for corn is in part linked to the
development of industrial and energy uses for corn. This includes the use of corn in the production of ethanol. The demand for corn is
also affected by the production and profitability of the pork and poultry sectors, which use corn for feed. Negative developments in those
industries may lessen the demand for corn. For example, if avian flu were to have a negative effect on world poultry markets, the demand
for corn might decrease. The supply of corn is dependent on many factors including weather patterns, government regulation, the price
of fuel and fertilizers and the current and previous price of corn. The United States is the world’s largest supplier of corn, followed
by China and Brazil. The supply of corn is particularly sensitive to weather patterns in the United States and China. In addition, technological
advances could lead to increases in worldwide production of corn and corresponding decreases in the price of corn.
¨ Soybeans. Demand for soybeans is in part linked to
the development of agricultural, industrial and energy uses for soybeans. In addition, prices for soybeans are affected by governmental
programs and policies regarding agriculture and trade specifically, and trade, fiscal and monetary issues, more generally. Soybean prices
are also affected by extrinsic factors such as weather, crop yields, natural disasters, pestilence, technological developments, wars and
political and civil upheavals. Soy biodiesel, animal agriculture, vegetable oil, edible soybean oil and new industrial uses are examples
of major areas that may impact worldwide soybean demand. In addition, substitution of other commodities for soybeans could also impact
the price of soybeans. The supply of soybeans is particularly sensitive to weather patterns such as floods, drought and freezing conditions,
planting decisions and the price of fuel, seeds and fertilizers. In addition, technological advances and scientific developments could
lead to increases in worldwide production of soybeans and corresponding decreases in the price of soybeans. The United States, Argentina
and Brazil are the three largest suppliers of soybean crops.
¨ Wheat. Wheat prices are primarily affected by weather
and crop growing conditions generally and the global demand for and supply of grain, which are driven by global grain production, population
growth and economic activity. Demand for wheat is in part linked to the development of agricultural, industrial and energy uses for wheat
including the use of wheat for the production of animal feed and bioethanol, which may have a major impact on worldwide demand for wheat.
In addition, prices for wheat are affected by governmental and intergovernmental programs and policies regarding trade, agriculture, and
energy and, more generally, regarding fiscal and monetary issues. Wheat prices may also be influenced by or dependent on retail prices,
social trends, lifestyle changes and market power. Substitution of other commodities for wheat could also impact the price of wheat. The
supply of wheat is particularly sensitive to weather patterns such as floods, drought and freezing conditions, planting decisions, the
price of fuel, seeds and fertilizers and the current and previous price of wheat. In addition, technological advances and scientific developments
could lead to increases in worldwide production of wheat and corresponding decreases in the price of wheat. Extrinsic factors affecting
wheat prices include natural disasters, pestilence, wars and political and civil upheavals. China, India and the United States are the
three largest suppliers of wheat crops.
¨ Copper. Demand for copper is significantly influenced
by the level of global industrial economic activity. Industrial sectors which are particularly important to demand for copper include
the electrical and construction sectors. In recent years demand has been supported by strong consumption from newly industrializing countries
due to their copper-intensive economic growth and infrastructure development. An additional, but highly volatile, component of demand
is adjustments to inventory in response to changes in economic activity and/or pricing levels. There are substitutes for copper in various
applications. Their availability and price will also affect demand for copper. The main sources of copper are mines in Latin America and
Eastern Europe and copper is refined mainly in Latin America, Australia and Asia. The supply of copper is also affected by current and
previous price levels, which will influence investment decisions in new smelters. In previous years, copper supply has been affected by
strikes, financial problems and terrorist activity. It is not possible to predict the aggregate effect of all or any combination of these
factors. See “The Basket Commodities.”
¨ Zinc. Demand for zinc is significantly influenced
by the level of global industrial economic activity. The galvanized steel industrial sector is particularly important to demand for zinc
given that the use of zinc in the manufacture of galvanized steel accounts for a significant percentage of worldwide zinc demand.
The galvanized steel sector is in turn heavily dependent on the automobile and construction sectors. Growth in the production of galvanized
steel will drive zinc demand. An additional, but highly volatile, component of demand is adjustments to inventory in response to changes
in economic activity and/or pricing levels. The supply of zinc concentrate (the raw material) is dominated by Australia, North America
and Latin America. The supply of zinc is also affected by current and previous price levels, which will influence investment decisions
in new mines and smelters.

Additionally, recently, prior to and since
Russia’s further invasion of Ukraine, the prices of oil and wheat, including the prices of WTI crude oil futures contracts, Brent
crude oil futures contracts and wheat futures contracts, have been volatile and increased significantly. This conflict has led to disruptions
in the supply of oil and the supply of wheat and caused fluctuations in the price of oil and the price of wheat, and changing geopolitical
conditions and political events in Europe, the Middle East and elsewhere are likely to cause continued volatility in the price of oil
and the price of wheat. In addition, on March 8, 2022, the U.S. Government issued an executive order banning the import of Russian oil
to the United States. The U.S. Congress has also passed legislation to ban imports of Russian oil. These actions, and similar governmental,
regulatory or legislative actions in the United States or in other jurisdictions, including, without limitation, sanctions-related actions
by the U.S. or foreign governments, could cause prices of oil futures contracts and wheat futures contracts to become even more volatile
and unpredictable. Any of these developments could adversely affect the price of WTI crude oil futures, Brent crude oil futures and wheat
futures, and, therefore, the value of the Notes and the Payment at Maturity.

¨ Suspensions or disruptions of market trading in commodity
and related futures markets may adversely affect the price of the Notes
— 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 prices of some of the Basket Commodities and, therefore, the value of
the Notes.
¨ There
are risks relating to the trading of metals on the London Metal Exchange
— The official cash offer price of copper is determined
by reference to the per unit U.S. dollar cash offer prices of contracts traded on the London Metal Exchange, which we refer to as the
LME. The LME is a principals’ market which operates in a manner more closely analogous to the over-the-counter physical commodity
markets than regulated futures markets. For example, there are no daily price limits on the LME, which would otherwise restrict the extent
of daily fluctuations in the prices of LME contracts. In a declining market, therefore, it is possible that prices would continue to
decline without limitation within a trading day or over a period of trading days. In addition, a contract may be entered into on the
LME calling for delivery on any day from one day to three months following the date of such contract and for monthly delivery in any
of the next 16 to 24 months (depending on the commodity) following such third month, in contrast to trading on futures exchanges, which
call for delivery in stated delivery months. As a result, there may be a greater risk of a concentration of positions in LME contracts
on particular delivery dates, which in turn could cause temporary aberrations in the prices of LME contracts for certain delivery dates.
If such aberrations occur on any Determination Date, the per unit U.S. dollar cash offer prices used to determine the official cash offer
price of copper, and consequently, your Payment at Maturity, if any, could be adversely affected.
¨ An
investment linked to commodity futures contracts is not equivalent to an investment linked to the spot prices of physical commodities
— The Notes have returns based on the change in price of futures contracts on WTI crude oil, Brent crude oil, natural gas,
corn, soybeans and wheat, not the change in the spot price of actual physical commodities to which such futures contracts relate. The
price of a futures contract reflects the expected value of the commodity upon delivery in the future, whereas the price of a physical
commodity reflects the value of such commodity upon immediate delivery, which is referred to as the spot price. Several factors can result
in differences between the price

of a commodity futures contract and the
spot price of a commodity, including the cost of storing such commodity for the length of the futures contract, interest costs related
to financing the purchase of such commodity and expectations of supply and demand for such commodity. While the changes in the price of
a futures contract are usually correlated with the changes in the spot price, such correlation is not exact. In some cases, the performance
of a commodity futures contract can deviate significantly from the spot price performance of the related underlying commodity, especially
over longer periods of time. Accordingly, investments linked to the return of commodities futures contracts may underperform similar investments
that reflect the spot price return on physical commodities.

¨ Differences between futures prices and the spot prices
of the physical commodities which, in part, compose the Basket may decrease the amount payable at maturity
— The Commodity Prices
that are used to determine the Initial Basket Commodity Prices and the Final Basket Commodity Prices for the physical commodities which,
in part, compose the Basket and, therefore, the Payment at Maturity on the Notes are determined by reference to the settlement prices
of the first nearby month futures contract for each such commodity on the Trade Date and Determination Date, respectively, provided that
if such date falls on the last trading day of such futures contract, then the second nearby month futures contract on such date, and will
not therefore reflect the spot prices of such physical commodities on such dates. The market for futures contracts on the Basket Commodities
has experienced periods of backwardation, in which futures prices are lower than the spot price, and periods of contango, in which futures
prices are higher than the spot price. If the contract for any Basket Commodity is in contango on the Trade Date or in backwardation on
the Determination Date, the Payment at Maturity payable, if any, on the Maturity Date, may be less than if the Initial Basket Commodity
Price or the Final Basket Commodity Price for such Basket Commodity, respectively, were determined with reference to the spot price.
¨ Legal and regulatory changes could adversely affect the
return on and value of your Notes
— Futures contracts and options on futures contracts, including those related to the Basket
Commodities, are subject to extensive statutes, regulations, and margin requirements. The Commodity Futures Trading Commission, commonly
referred to as the “CFTC,” and the exchanges on which such futures contracts trade, are authorized to take extraordinary actions
in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin
requirements, the establishment of daily limits and the suspension of trading. Furthermore, certain exchanges have regulations that limit
the amount of fluctuations in futures contract prices that may occur during a single five-minute trading period. These limits could adversely
affect the market prices of relevant futures and options contracts and forward contracts. The regulation of commodity transactions in
the U.S. is subject to ongoing modification by government and judicial action. In addition, various non-U.S. governments have expressed
concern regarding the disruptive effects of speculative trading in the commodity markets and the need to regulate the derivative markets
in general. The effect on the value of the Notes of any future regulatory change is impossible to predict, but could be substantial and
adverse to the interests of holders of the Notes.

For example, the Dodd-Frank Act, which
was enacted on July 21, 2010, requires the CFTC to establish limits on the amount of positions that may be held by any person in certain
commodity futures contracts and swaps, futures and options that are economically equivalent to such contracts. While the effects of these
or other regulatory developments are difficult to predict, when adopted, such rules may have the effect of making the markets for commodities,
commodity futures contracts, options on futures contracts and other related derivatives more volatile and over time potentially less liquid.
Such restrictions may force market participants, including us and our affiliates, or such market participants may decide, to sell their
positions in such futures contracts and other instruments subject to the limits. If this broad market selling were to occur, it would
likely lead to declines, possibly significant declines, in commodity prices, in the price of such commodity futures contracts or instruments
and potentially, the value of the Notes.

Hypothetical Payments on the Notes at Maturity

These examples are based on hypothetical terms.
The actual terms are set forth on the cover of this pricing supplement.

The below scenario analysis and examples are provided for illustrative
purposes only and are purely hypothetical. They do not purport to be representative of every possible scenario concerning increases or
decreases in the price of each of the Basket Commodities relative to the respective Initial Basket Commodity Price. We cannot predict
the Final Basket Commodity Price of any Basket Commodity on the Determination Date. You should not take the scenario analysis and these
examples as an indication or assurance of the expected performance of the Basket Commodities. The numbers set forth in the examples below
have been rounded for ease of analysis. The following scenario analysis and examples illustrate the Payment at Maturity for a $1,000 Principal
Amount of Notes on a hypothetical offering of the Notes, based on the following terms:

Investment term: 1.25 years
Principal amount: $1,000
Participation Rate: 175%
Minimum Payment Amount: $900 per Note

The table below illustrates the Payment at Maturity for a hypothetical
range of Basket Performance and does not cover the complete range of possible payouts at maturity.

Basket Performance Principal Amount Supplemental Redemption Amount Payment at Maturity Return on $1,000 Note(1)
100.0% $1,000 $1,750.00 $2,750.00 175.00%
90.0% $1,000 $1,575.00 $2,575.00 157.50%
80.0% $1,000 $1,400.00 $2,400.00 140.00%
70.0% $1,000 $1,225.00 $2,225.00 122.50%
60.0% $1,000 $1,050.00 $2,050.00 105.00%
50.0% $1,000 $875.00 $1,875.00 87.50%
40.0% $1,000 $700.00 $1,700.00 70.00%
30.0% $1,000 $525.00 $1,525.00 52.50%
20.0% $1,000 $350.00 $1,350.00 35.00%
15.0% $1,000 $262.50 $1,262.50 26.25%
10.0% $1,000 $175.00 $1,175.00 17.50%
5.0% $1,000 $87.50 $1,087.50 8.75%
0.0% $1,000 $0 $1,000.00 0.0%
-5.0% $1,000 $0 $950.00 -5.00%
-9.00% $1,000 $0 $910.00 -9.00%
-10.0% $1,000 $0 $900.00 -10.00%
-20.0% $1,000 $0 $900.00 -10.00%
-30.0% $1,000 $0 $900.00 -10.00%
-40.0% $1,000 $0 $900.00 -10.00%
-50.0% $1,000 $0 $900.00 -10.00%
-60.0% $1,000 $0 $900.00 -10.00%
-70.0% $1,000 $0 $900.00 -10.00%
-80.0% $1,000 $0 $900.00 -10.00%
-90.0% $1,000 $0 $900.00 -10.00%
-100.0% $1,000 $0 $900.00 -10.00%

(1) The “Return on $1,000 Note” is the number, expressed
as a percentage, that results from comparing the Payment at Maturity per $1,000 Principal Amount per Note to the purchase price of $1,000
per Note.

Basket Appreciation Example 1

Below is an example of how to calculate the Payment
at Maturity if the Basket has appreciated. This example is based on the Participation Rate of 175% and the hypothetical data in the table
below. The Initial Basket Commodity Prices and Final Basket Commodity Prices below are hypothetical and do not reflect the actual Initial
Basket Commodity Price or Final Basket Commodity Price for any Basket Commodity. The actual Initial Basket Commodity Price of each Basket
Commodity is set forth on the cover page of this pricing supplement. The numbers appearing below may have been rounded for ease of analysis.
As the Basket has appreciated in value, the Basket Performance is positive and the Payment at Maturity includes a Supplemental Redemption
Amount based on the performance of the Basket.

Basket
Commodity

Weight
in Basket

Hypothetical
Initial Basket Commodity Price 

Hypothetical
Final Basket Commodity Price

Percentage

Change

WTI crude oil 12.50% $100 $120 20%
Brent crude oil 12.50% $100 $90 -10%
Natural gas 12.50% $7.00 $5.25 -25%
Corn 12.50% 800¢ 880¢ 10%
Soybeans 12.50% 1,600¢ 1,520¢ -5%
Wheat 12.50% 1,000¢ 1,400¢ 40%
Copper 12.50% $10,000 $11,000 10%
Zinc 12.50% $2,000 $1,800 -10%

  

Basket Performance = sum
of the products of (x) the Final Basket Commodity Price for each Basket Commodity minus the Initial Basket Commodity Price for
such Basket Commodity divided by the Initial Basket Commodity Price of such Basket Commodity and (y) the Basket Commodity Weighting
for such Basket Commodity:

[(final WTI crude oil price –
initial WTI crude oil price) / initial WTI crude oil price] × 12.50%; plus 

[(final Brent crude oil price
– initial Brent crude oil price) / initial Brent crude oil price] × 12.50%; plus 

[(final natural gas price –
initial natural gas price) / initial natural gas price] × 12.50%; plus 

[(final corn price – initial
corn price) / initial corn price] × 12.50%; plus 

[(final soybeans price –
initial soybeans price) / initial soybeans price] × 12.50%; plus 

[(final wheat price – initial
wheat price) / initial wheat price] × 12.50%; plus 

[(final copper price –
initial copper price) / initial copper price] × 12.50%; plus 

[(final zinc price – initial
zinc price) / initial zinc price] × 12.50%

So, using the Final Basket
Commodity Prices above:

WTI crude
oil =
[($120 – $100) / $100] × 12.50% = 2.50%; plus 

Brent
crude oil =
[($90 – $100) / $100] × 12.50% = -1.25%; plus

 Natural
gas =
[($5.25 – $7.00) / $7.00] × 12.50% = -3.125%; plus 

corn
=
[(880¢ – 800¢) / 800¢] × 12.50% = 1.25%; plus 

soybeans
=
[(1,520¢ – 1,600¢) / 1,600¢] × 12.50% = -0.625%; plus 

wheat
=
[(1,400¢ – 1,000¢) / 1,000¢] × 12.50% = 5.00%; plus 

copper
=
[($11,000 – $10,000) / $10,000] × 12.50% = 1.25%; plus 

zinc =
[($1,800 – $2,000) / $2,000] × 12.50% = -1.25%

which equals 

Basket Performance = 3.75%

The Payment at Maturity will equal $1,000 plus
the Supplemental Redemption Amount. The Supplemental Redemption Amount will equal (i) $1,000 times (ii) the Participation Rate times (iii)
the Basket Performance, or:

$1,000 × 175.00%
× 3.75% = $65.625

The Payment at Maturity will equal $1,000 plus
the Supplemental Redemption Amount, or:

$1,000 + $65.625 =
$1,065.625

Basket Appreciation Example 2

Below is an example of how to calculate the Payment
at Maturity if the Basket has appreciated. This example is based on the Participation Rate of 175% and the hypothetical data in the table
below. The Initial Basket Commodity Prices and Final Basket Commodity Prices below are hypothetical and do not reflect the actual Initial
Basket Commodity Price or Final Basket Commodity Price for any Basket Commodity. The numbers appearing below may have been rounded for
ease of analysis. In this example, although six Basket components have depreciated or remained unchanged over the term of the Notes, the
appreciation of the other two components is great enough to mean that the Basket has appreciated in value. As a result, the Basket Performance
is positive and the Payment at Maturity includes a Supplemental Redemption Amount based on the performance of the Basket.

Basket
Commodity

Weight
in Basket

Hypothetical
Initial Basket Commodity Price

Hypothetical
Final Basket Commodity Price

Percentage

Change

WTI crude oil 12.50% $100 $95 -5%
Brent crude oil 12.50% $100 $95 -5%
Natural gas 12.50% $7.00 $6.65 -5%
Corn 12.50% 800¢ 800¢  0%
Soybeans 12.50% 1,600¢ 1,520¢ -5%
Wheat 12.50% 1,000¢ 1,400¢  40%
Copper 12.50% $10,000 $16,000  60%
Zinc 12.50% $2,000 $1,800 -10%

  

Basket Performance = sum
of the products of (x) the Final Basket Commodity Price for each Basket Commodity minus the Initial Basket Commodity Price for
such Basket Commodity divided by the Initial Basket Commodity Price of such Basket Commodity and (y) the Basket Commodity Weighting
for such Basket Commodity:

[(final WTI crude oil price –
initial WTI crude oil price) / initial WTI crude oil price] × 12.50%; plus

[(final Brent crude oil price
– initial Brent crude oil price) / initial Brent crude oil price] × 12.50%; plus 

[(final natural gas price –
initial natural gas price) / initial natural gas price] × 12.50%; plus 

[(final corn price – initial
corn price) / initial corn price] × 12.50%; plus 

[(final soybeans price –
initial soybeans price) / initial soybeans price] × 12.50%; plus 

[(final wheat price – initial
wheat price) / initial wheat price] × 12.50%; plus 

[(final copper price – initial
copper price) / initial copper price] × 12.50%; plus

[(final zinc price –
initial zinc price) / initial zinc price] × 12.50%

So, using the Final Basket
Commodity Prices above:

WTI crude
oil =
[($95 – $100) / $100] × 12.50% = -0.625%; plus 

Brent
crude oil =
[($95 – $100) / $100] × 12.50% = -0.625%; plus 

Natural
gas =
[($6.65 – $7.00) / $7.00] × 12.50% = -0.625%; plus 

corn
=
[(800¢ – 800¢) / 800¢] × 12.50% = 0%; plus 

soybeans
=
[(1,520¢ – 1,600¢) / 1,600¢] × 12.50% = -0.625%; plus 

wheat
=
[(1,400¢ – 1,000¢) / 1,000¢] × 12.50% = 5.00%; plus 

copper
=
[($16,000 – $10,000) / $10,000] × 12.50% = 7.50%; plus 

zinc
=
[($1,800 – $2,000) / $2,000] × 12.50% = -1.25%

which equals

Basket Performance = 8.75%

In the above example, the Final Basket Commodity Price
of each of the Basket components except for wheat and copper is lower than its respective Initial Basket Commodity Price. Accordingly,
although the Final Basket Commodity Prices of 75% of the Basket Commodities (by weight) have decreased in value over their respective
Initial Basket Commodity Prices, the Final Basket Commodity Prices of the other 25% (by weight) of the Basket have increased and, because
they have increased significantly, their increase more than offsets the declines in the other Basket Commodities and, consequently, the
Basket Performance is positive. The Payment at Maturity per Note will equal $1,000 plus the Supplemental Redemption Amount; or:

The Payment at Maturity will equal $1,000 plus
the Supplemental Redemption Amount. The Supplemental Redemption Amount will equal (i) $1,000 times (ii) the Participation Rate times (iii)
the Basket Performance, or:

$1,000 × 175.00%
× 8.75% = $153.125

The Payment at Maturity will equal $1,000 plus
the Supplemental Redemption Amount, or:

$1,000 + $153.125
= $1,153.125

Basket Depreciation Example

If the Basket Performance is less than or equal to
0%, investors would receive an amount less than (or equal to) the Principal Amount, based on a 1% loss of principal for each 1% decrease
in the value of the basket, subject to the Minimum Payment Amount of $900 per security. Investors may lose up to 10.00% of the Principal
Amount. Below is an example of a scenario in which the Basket Performance is less than 0% based on the hypothetical data in the table
below. The Initial Basket Commodity Prices and Final Basket Commodity Prices below are hypothetical and do not reflect the actual Initial
Basket Commodity Price or Final Basket Commodity Price for any Basket Commodity. The numbers appearing below may have been rounded for
ease of analysis.

Basket
Commodity

Weight
in Basket

Hypothetical
Initial Basket Commodity Price

Hypothetical
Final Basket Commodity Price

Percentagehange

WTI crude oil 12.50% $100 $90 -10%
Brent crude oil 12.50% $100 $90 -10%
Natural gas 12.50% $7 $5.60 -20%
Corn 12.50% 800¢ 600¢ -25%
Soybeans 12.50% 1,600¢ 1,440¢   -10%
Wheat 12.50% 1,000¢ 850¢ -15%
Copper 12.50% $10,000 $9,000  -10%
Zinc 12.50% $2,000 $1,800   -10%

  

Basket Performance = sum
of the products of (x) the Final Basket Commodity Price for each Basket Commodity minus the Initial Basket Commodity Price for
such Basket Commodity divided by the Initial Basket Commodity Price of such Basket Commodity and (y) the Basket Commodity Weighting
for such Basket Commodity:

[(final WTI crude oil price –
initial WTI crude oil price) / initial WTI crude oil price] × 12.50%; plus 

[(final Brent crude oil price
– initial Brent crude oil price) / initial Brent crude oil price] × 12.50%; plus 

[(final natural gas price –
initial natural gas price) / initial natural gas price] × 12.50%; plus 

[(final corn price – initial
corn price) / initial corn price] × 12.50%; plus 

[(final soybeans price –
initial soybeans price) / initial soybeans price] × 12.50%; plus 

[(final wheat price – initial
wheat price) / initial wheat price] × 12.50%; plus 

[(final copper price –
initial copper price) / initial copper price] × 12.50%; plus 

[(final zinc price – initial
zinc price) / initial zinc price] × 12.50%

So, using the Final Basket
Commodity Prices above:

WTI crude
oil =
[($90 – $100) / $100] × 12.50% = -1.25%; plus 

Brent
crude oil =
[($90 – $100) / $100] × 12.50% = -1.25%; plus 

Natural
gas =
[($5.60 – $7.00) / $7.00] × 12.50% = -2.50%; plus 

corn
=
[(600¢ – 800¢) / 800¢] × 12.50% = -3.125%; plus 

soybeans
=
[(1,440¢ – 1,600¢) / 1,600¢] × 12.50% = -1.25%; plus 

wheat
=
[(850¢ – 1,000¢) / 1,000¢] × 12.50% = -1.875%; plus 

copper
=
[($9,000 – $10,000) / $10,000] × 12.50% = -1.25%; plus 

zinc =
[($1,800 – $2,000) / $2,000] × 12.50% = -1.25%

which equals

Basket Performance = -13.75%

In the above example, the Final Basket Commodity Price of each of the
Basket components is lower than its respective Initial Basket Commodity Price and the Basket Performance is negative. The Payment at Maturity
will equal the Minimum Payment Amount of $900. In this example, investors lose 10% of the Principal Amount.

All payments are subject to our credit risk. If we default on
our obligations, you could lose some or all of your investment.

What
Are the Tax Consequences of the Notes?

In the opinion of our counsel, Davis Polk & Wardwell LLP, the Notes
should be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as described in the section
of the accompanying prospectus supplement called “United States Federal Taxation—Tax Consequences to U.S. Holders.”
Under this treatment, if you are a U.S. taxable investor, you generally will be subject to annual income tax based on the “comparable
yield” (as defined in the accompanying prospectus supplement) of the Notes, adjusted upward or downward to reflect the difference,
if any, between the actual and projected amount of the payments on the Notes. In addition, any gain recognized by U.S. taxable investors
on the sale or exchange, or at maturity, of the Notes generally will be treated as ordinary income. We have determined that the “comparable
yield” for the Notes is a rate of 3.1935% per annum, compounded semi-annually. Based on the comparable yield set forth above, the
“projected payment schedule” for a note (assuming an issue price of $1,000) consists of a single projected amount equal to
$1,040.4403 due at maturity.

You should read the discussion under “United States Federal Taxation”
in the accompanying prospectus supplement concerning the U.S. federal income tax consequences of an investment in the Notes.

The following table states the amount of interest income (without taking
into account any adjustment to reflect the difference, if any, between the actual and the projected amount of the contingent payment on
a note) that will be deemed to have accrued with respect to a note for each accrual period (assuming a day count convention of 30 days
per month and 360 days per year), based upon the comparable yield set forth above

ACCRUAL
PERIOD

INTEREST
INCOME DEEMED TO ACCRUE DURING ACCRUAL PERIOD (PER NOTE)

TOTAL
INTEREST INCOME DEEMED TO HAVE ACCRUED FROM ORIGINAL ISSUE DATE (PER NOTE) AS OF END OF ACCRUAL PERIOD 

Original Issue Date through June 30, 2022 $1.4193 $1.4193
July 1, 2022 through December 31, 2022 $15.9902 $17.4095
January 1, 2023 through June 30, 2023 $16.2455 $33.6550
July 1, 2023 through the Maturity Date $6.7853 $40.4403

The comparable yield and the projected payment schedule will not
be provided for any purpose other than the determination of U.S. Holders’ accruals of interest income and adjustments thereto in
respect of the Notes for U.S. federal income tax purposes, and we make no representation regarding the actual amount of the payments that
will be made on the Notes.

If you are a non-U.S. investor, please also read the section of the
accompanying prospectus supplement called “United States Federal Taxation—Tax Consequences to Non-U.S. Holders.”

In addition, Section 871(m) of the Internal Revenue Code of 1986, as
amended (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”). Because
the Notes reference a basket of commodities, and neither the basket nor any of the commodities is treated for U.S. federal income tax
purposes as an Underlying Security, payment on the Notes to Non-U.S. Holders should not be subject to Section 871(m).

You should consult your tax adviser regarding all aspects of the
U.S. federal income tax consequences of an investment in the Notes, as well as any tax consequences arising under the laws of any state,
local or non-U.S. taxing jurisdiction.

The discussion in the preceding paragraphs under “What Are
the Tax Consequences of the Notes?” and the discussion contained in the section entitled “United States Federal Taxation”
in the accompanying prospectus supplement, 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 Notes.

The Basket Commodities

Because the Basket exists solely for purposes of these Notes, historical
information on the performance of the Basket does not exist for dates prior to the Trade Date for these Notes. The graph below sets forth
the hypothetical performance of the Basket for the period from January 1, 2017 to June 7, 2022, assuming that the Basket was created on
January 1, 2017 with the same Basket Commodities and corresponding weights in the Basket. The graph does not attempt to show your expected
return on an investment in the Notes. You cannot predict the future performance of any Basket Commodity or of the Basket as a whole, or
whether increases in the price of any Basket Commodity will be offset by decreases in the prices of the other Basket Commodities. The
historical performance of the Basket and the degree of correlation between the price trends of the Basket Commodities (or lack thereof)
should not be taken as an indication of its future performance.

  

WTI Crude Oil

The following table presents the published high and low prices of WTI
crude oil, as well as end-of-quarter prices of WTI crude oil, for each quarter in the period from January 1, 2017 through June 7, 2022.
The Commodity Price on June 7, 2022 was $119.41. The related graph sets forth the daily prices of WTI crude oil for the same time period.
We obtained the prices of WTI crude oil and other information below from Bloomberg Financial Markets (Ticker Symbol: CL1), without independent
verification. The actual Initial Basket Commodity Price with respect to WTI crude oil was determined
as described in the “Final Terms” on page 4 rather than the prices published by Bloomberg Financial Markets, and the Bloomberg
ticker symbol is provided for reference purposes only. WTI crude oil experiences periods of high volatility, and you should not take
the historical values of WTI crude oil as an indication of future performance, and no assurance can be given as to the Commodity Price
on the Determination Date. The prices of WTI crude oil futures contracts may be near zero, zero or negative, which can occur rapidly
and unexpectedly.
In April 2020, crude oil futures contracts traded below zero. See “Key Risks—Specific commodities’
prices are volatile and are affected by numerous factors specific to each market—WTI crude oil.”

Quarter Begin   Quarter End   Quarterly High ($)   Quarterly Low ($)   Quarterly Close ($)
1/1/2017   3/31/2017   54.45   47.34   50.60
4/1/2017   6/30/2017   53.40   42.53   46.04
7/1/2017   9/30/2017   52.22   44.23   51.67
10/1/2017   12/31/2017   60.42   49.29   60.42
1/1/2018   3/31/2018   66.14   59.19   64.94
4/1/2018   6/30/2018   74.15   62.06   74.15
7/1/2018   9/30/2018   74.14   65.01   73.25
10/1/2018   12/31/2018   76.41   42.53   45.41
1/1/2019   3/31/2019   60.14   46.54   60.14
4/1/2019   6/30/2019   66.30   51.14   58.47
7/1/2019   9/30/2019   62.90   51.09   54.07
10/1/2019   12/31/2019   61.72   52.45   61.06
1/1/2020   3/31/2020   63.27   20.09   20.48
4/1/2020   6/30/2020   40.46   -37.63   39.27
7/1/2020   9/30/2020   43.39   36.76   40.22
10/1/2020   12/31/2020   49.10   35.79   48.52
1/1/2021   3/31/2021   66.09   47.62   59.16
4/1/2021   6/30/2021   74.05   58.65   73.47
7/1/2021   9/30/2021   75.45   62.32   75.03
10/1/2021   12/31/2021   84.65   65.57   75.21
1/1/2022   3/31/2022   123.70   76.08   100.28
4/1/2022   6/7/2022*   119.41   94.29   119.41

*       Available information for
the indicated period includes data for less than the entire calendar quarter and accordingly, the “Quarterly High,” “Quarterly
Low” and “Quarterly Close” data indicated are for this shortened period only.

The graph below illustrates the performance of WTI crude oil from January
1, 2017 through June 7, 2022, based on information from Bloomberg. Past performance of WTI crude oil is not indicative of the future
performance of WTI crude oil.

  

Brent Crude Oil

The following table presents the published high and low prices of Brent
crude oil, as well as end-of-quarter prices of Brent crude oil, for each quarter in the period from January 1, 2017 through June 7, 2022.
The Commodity Price on June 7, 2022 was $120.57. The related graph sets forth the daily prices of Brent crude oil for the same time period.
We obtained the prices of Brent crude oil and other information below from Bloomberg Financial Markets (Ticker Symbol: CO1), without independent
verification. The actual Initial Basket Commodity Price with respect to Brent crude oil was determined
as described in the “Final Terms” on page 4 rather than the prices published by Bloomberg Financial Markets, and the Bloomberg
ticker symbol is provided for reference purposes only. Brent crude oil experiences periods of high volatility, and you should not take
the historical values of Brent crude oil as an indication of future performance, and no assurance can be given as to the Commodity Price
on the Determination Date.

Quarter Begin   Quarter End   Quarterly High ($)   Quarterly Low ($)   Quarterly Close ($)
1/1/2017   3/31/2017   57.10   50.56   52.83
4/1/2017   6/30/2017   56.23   44.82   47.92
7/1/2017   9/30/2017   59.02   46.71   57.54
10/1/2017   12/31/2017   67.02   55.62   66.87
1/1/2018   3/31/2018   70.53   62.59   70.27
4/1/2018   6/30/2018   79.80   67.11   79.44
7/1/2018   9/30/2018   82.72   70.76   82.72
10/1/2018   12/31/2018   86.29   50.47   53.80
1/1/2019   3/31/2019   68.50   54.91   68.39
4/1/2019   6/30/2019   74.57   59.97   66.55
7/1/2019   9/30/2019   69.02   56.23   60.78
10/1/2019   12/31/2019   68.44   57.69   66.00
1/1/2020   3/31/2020   68.91   22.74   22.74
4/1/2020   6/30/2020   43.08   19.33   41.15
7/1/2020   9/30/2020   45.86   39.61   40.95
10/1/2020   12/31/2020   52.26   37.46   51.80
1/1/2021   3/31/2021   69.63   51.09   63.54
4/1/2021   6/30/2021   76.18   62.15   75.13
7/1/2021   9/30/2021   79.53   65.18   78.52
10/1/2021   12/31/2021   86.40   68.87   77.78
1/1/2022   3/31/2022   127.98   78.98   107.91
4/1/2022   6/7/2022*   122.84   98.48   120.57

*       Available information for
the indicated period includes data for less than the entire calendar quarter and accordingly, the “Quarterly High,” “Quarterly
Low” and “Quarterly Close” data indicated are for this shortened period only.

The graph below illustrates the performance of Brent crude oil from
January 1, 2017 through June 7, 2022, based on information from Bloomberg. Past performance of Brent crude oil is not indicative
of the future performance of Brent crude oil.

   

Natural Gas

The following table presents the published high and low prices of natural
gas, as well as end-of-quarter prices of natural gas, for each quarter in the period from January 1, 2017 through June 7, 2022. The Commodity
Price on June 7, 2022 was $9.2930. The related graph sets forth the daily prices of natural gas for the same time period. We obtained
the prices of natural gas and other information below from Bloomberg Financial Markets (Ticker Symbol: NG1), without independent verification.
The actual Initial Basket Commodity Price with respect to natural gas was determined as described
in the “Final Terms” on page 4 rather than the prices published by Bloomberg Financial Markets, and the Bloomberg ticker symbol
is provided for reference purposes only. Natural gas experiences periods of high volatility, and you should not take the historical
values of natural gas as an indication of future performance, and no assurance can be given as to the Commodity Price on the Determination
Date.

Quarter Begin   Quarter End   Quarterly High ($)   Quarterly Low ($)   Quarterly Close ($)
1/1/2017   3/31/2017   3.4190   2.5640   3.1900
4/1/2017   6/30/2017   3.4240   2.8930   3.0350
7/1/2017   9/30/2017   3.1460   2.7740   3.0070
10/1/2017   12/31/2017   3.2130   2.5980   2.9530
1/1/2018   3/31/2018   3.6310   2.5520   2.7330
4/1/2018   6/30/2018   3.0220   2.6560   2.9240
7/1/2018   9/30/2018   3.0820   2.7210   3.0080
10/1/2018   12/31/2018   4.8370   2.9400   2.9400
1/1/2019   3/31/2019   3.5910   2.5510   2.6620
4/1/2019   6/30/2019   2.7080   2.1850   2.3080
7/1/2019   9/30/2019   2.6810   2.0700   2.3300
10/1/2019   12/31/2019   2.8620   2.1580   2.1890
1/1/2020   3/31/2020   2.2020   1.6020   1.6400
4/1/2020   6/30/2020   2.1340   1.4820   1.7510
7/1/2020   9/30/2020   2.6570   1.6410   2.5270
10/1/2020   12/31/2020   3.3540   2.3050   2.5390
1/1/2021   3/31/2021   3.2190   2.4460   2.6080
4/1/2021   6/30/2021   3.6500   2.4560   3.6500
7/1/2021   9/30/2021   5.8670   3.5960   5.8670
10/1/2021   12/31/2021   6.3120   3.5610   3.7300
1/1/2022   3/31/2022   6.2650   3.7170   5.6420
4/1/2022   6/7/2022*   9.2930   5.7120   9.2930

*       Available information for
the indicated period includes data for less than the entire calendar quarter and accordingly, the “Quarterly High,” “Quarterly
Low” and “Quarterly Close” data indicated are for this shortened period only.

The graph below illustrates the performance of natural gas from January
1, 2017 through June 7, 2022, based on information from Bloomberg. Past performance of natural gas is not indicative of the future
performance of natural gas.

  

The following table presents the published high and low prices of corn,
as well as end-of-quarter prices of corn, for each quarter in the period from January 1, 2017 through June 7, 2022. The Commodity Price
on June 7, 2022 was 757.00¢. The related graph sets forth the daily prices of corn for the same time period. We obtained the prices
of corn and other information below from Bloomberg Financial Markets (Ticker Symbol: C 1), without independent verification. The
actual Initial Basket Commodity Price with respect to corn was determined as described in the “Final Terms” on page 4 rather
than the prices published by Bloomberg Financial Markets, and the Bloomberg ticker symbol is provided for reference purposes only. Corn
experiences periods of high volatility, and you should not take the historical values of corn as an indication of future performance,
and no assurance can be given as to the Commodity Price on the Determination Date.

Quarter Begin   Quarter End   Quarterly High (¢)   Quarterly Low (¢)   Quarterly Close (¢)
1/1/2017   3/31/2017   378.75   353.75   364.25
4/1/2017   6/30/2017   387.75   356.75   370.50
7/1/2017   9/30/2017   392.25   329.50   355.25
10/1/2017   12/31/2017   353.75   335.75   350.75
1/1/2018   3/31/2018   387.75   346.25   387.75
4/1/2018   6/30/2018   408.50   345.00   350.25
7/1/2018   9/30/2018   372.25   330.25   356.25
10/1/2018   12/31/2018   385.50   356.00   375.00
1/1/2019   3/31/2019   383.00   352.50   356.50
4/1/2019   6/30/2019   454.75   342.50   420.25
7/1/2019   9/30/2019   449.50   340.75   388.00
10/1/2019   12/31/2019   397.75   357.75   387.75
1/1/2020   3/31/2020   393.75   335.25   340.75
4/1/2020   6/30/2020   338.50   302.75   338.50
7/1/2020   9/30/2020   379.00   307.75   379.00
10/1/2020   12/31/2020   484.00   379.50   484.00
1/1/2021   3/31/2021   565.00   483.75   564.25
4/1/2021   6/30/2021   772.75   553.25   720.00
7/1/2021   9/30/2021   719.75   495.75   536.75
10/1/2021   12/31/2021   614.75   512.25   593.25
1/1/2022   3/31/2022   764.50   587.50   748.75
4/1/2022   6/7/2022*   818.25   727.00   757.00

*       Available information for
the indicated period includes data for less than the entire calendar quarter and accordingly, the “Quarterly High,” “Quarterly
Low” and “Quarterly Close” data indicated are for this shortened period only.

The graph below illustrates the performance of corn from January 1,
2017 through June 7, 2022, based on information from Bloomberg. Past performance of corn is not indicative of the future performance
of corn.

  

The following table presents the published high and low prices of soybeans,
as well as end-of-quarter prices of soybeans, for each quarter in the period from January 1, 2017 through June 7, 2022. The Commodity
Price on June 7, 2022 was 1,728.25¢. The related graph sets forth the daily prices of soybeans for the same time period. We obtained
the prices of soybeans and other information below from Bloomberg Financial Markets (Ticker Symbol: S 1), without independent verification.
The actual Initial Basket Commodity Price with respect to soybeans was determined as described in
the “Final Terms” on page 4 rather than the prices published by Bloomberg Financial Markets, and the Bloomberg ticker symbol
is provided for reference purposes only. Soybeans experience periods of high volatility, and you should not take the historical values
of soybeans as an indication of future performance, and no assurance can be given as to the Commodity Price on the Determination Date.

Quarter Begin   Quarter End   Quarterly High (¢)   Quarterly Low (¢)   Quarterly Close (¢)
1/1/2017   3/31/2017   1,075.00   946.00   946.00
4/1/2017   6/30/2017   976.25   904.00   942.25
7/1/2017   9/30/2017   1,025.25   921.75   968.25
10/1/2017   12/31/2017   1,008.50   945.75   951.75
1/1/2018   3/31/2018   1,066.75   940.50   1,044.75
4/1/2018   6/30/2018   1,060.75   858.50   858.50
7/1/2018   9/30/2018   903.75   814.00   845.50
10/1/2018   12/31/2018   920.00   833.50   882.50
1/1/2019   3/31/2019   925.25   877.75   884.25
4/1/2019   6/30/2019   915.50   791.00   899.75
7/1/2019   9/30/2019   906.75   843.25   906.00
10/1/2019   12/31/2019   943.00   870.50   943.00
1/1/2020   3/31/2020   944.25   821.75   886.00
4/1/2020   6/30/2020   884.25   826.00   884.25
7/1/2020   9/30/2020   1,043.50   870.25   1,023.50
10/1/2020   12/31/2020   1,315.25   1,020.75   1,315.25
1/1/2021   3/31/2021   1,441.25   1,311.75   1,436.75
4/1/2021   6/30/2021   1,660.50   1,329.75   1,450.00
7/1/2021   9/30/2021   1,467.75   1,256.00   1,256.00
10/1/2021   12/31/2021   1,362.50   1,178.00   1,328.75
1/1/2022   3/31/2022   1,718.75   1,344.00   1,618.25
4/1/2022   6/7/2022*   1,748.25   1,582.75   1,728.25

*       Available information for
the indicated period includes data for less than the entire calendar quarter and accordingly, the “Quarterly High,” “Quarterly
Low” and “Quarterly Close” data indicated are for this shortened period only.

The graph below illustrates the performance of soybeans from January
1, 2017 through June 7, 2022, based on information from Bloomberg. Past performance of soybeans is not indicative of the future
performance of soybeans.

   

  

The following table presents the published high and low prices of wheat,
as well as end-of-quarter prices of wheat, for each quarter in the period from January 1, 2017 through June 7, 2022. The Commodity Price
on June 7, 2022 was 1,071.75¢. The related graph sets forth the daily prices of wheat for the same time period. We obtained the prices
of wheat and other information below from Bloomberg Financial Markets (Ticker Symbol: W 1), without independent verification. The
actual Initial Basket Commodity Price with respect to wheat was determined as described in the “Final Terms” on page 4 rather
than the prices published by Bloomberg Financial Markets, and the Bloomberg ticker symbol is provided for reference purposes only. Wheat
experiences periods of high volatility, and you should not take the historical values of wheat as an indication of future performance,
and no assurance can be given as to the Commodity Price on the Determination Date.

Quarter Begin   Quarter End   Quarterly High (¢)   Quarterly Low (¢)   Quarterly Close (¢)
1/1/2017   3/31/2017   454.75   406.50   426.50
4/1/2017   6/30/2017   511.00   402.50   511.00
7/1/2017   9/30/2017   539.25   400.00   448.25
10/1/2017   12/31/2017   448.00   387.25   427.00
1/1/2018   3/31/2018   505.50   416.50   451.00
4/1/2018   6/30/2018   543.00   446.25   497.50
7/1/2018   9/30/2018   574.50   469.75   509.00
10/1/2018   12/31/2018   535.25   487.25   503.25
1/1/2019   3/31/2019   527.25   422.25   457.75
4/1/2019   6/30/2019   547.50   418.50   528.00
7/1/2019   9/30/2019   536.25   447.25   495.75
10/1/2019   12/31/2019   558.75   488.75   558.75
1/1/2020   3/31/2020   581.50   498.00   568.75
4/1/2020   6/30/2020   556.50   474.00   490.00
7/1/2020   9/30/2020   578.00   489.50   578.00
10/1/2020   12/31/2020   640.75   563.75   640.50
1/1/2021   3/31/2021   680.25   601.75   618.00
4/1/2021   6/30/2021   773.50   611.00   671.50
7/1/2021   9/30/2021   762.25   608.50   725.50
10/1/2021   12/31/2021   856.00   718.75   770.75
1/1/2022   3/31/2022   1,425.25   741.50   1,006.00
4/1/2022   6/7/2022*   1,277.50   984.50   1,071.75

*       Available information for
the indicated period includes data for less than the entire calendar quarter and accordingly, the “Quarterly High,” “Quarterly
Low” and “Quarterly Close” data indicated are for this shortened period only.

The graph below illustrates the performance of wheat from January 1,
2017 through June 7, 2022, based on information from Bloomberg. Past performance of wheat is not indicative of the future performance
of wheat.

   

The following table presents the published high and low prices of copper,
as well as end-of-quarter prices of copper, for each quarter in the period from January 1, 2017 through June 7, 2022. The Commodity Price
on June 7, 2022 was $9,612.00. The related graph sets forth the daily prices of copper for the same time period. We obtained the prices
of copper and other information below from Bloomberg Financial Markets (Ticker Symbol: LOCADY), without independent verification. The
actual Initial Basket Commodity Price with respect to copper was determined as described in the “Final Terms” on page 4 rather
than the prices published by Bloomberg Financial Markets, and the Bloomberg ticker symbol is provided for reference purposes only. Copper
experiences periods of high volatility, and you should not take the historical values of copper as an indication of future performance,
and no assurance can be given as to the Commodity Price on the Determination Date.

Quarter Begin   Quarter End   Quarterly High ($)   Quarterly Low ($)   Quarterly Close ($)
1/1/2017   3/31/2017   6,145.00   5,500.50   5,849.00
4/1/2017   6/30/2017   5,907.50   5,466.00   5,907.50
7/1/2017   9/30/2017   6,904.00   5,780.00   6,485.00
10/1/2017   12/31/2017   7,216.00   6,447.00   7,157.00
1/1/2018   3/31/2018   7,202.50   6,500.00   6,685.00
4/1/2018   6/30/2018   7,262.50   6,625.00   6,646.00
7/1/2018   9/30/2018   6,595.00   5,823.00   6,180.00
10/1/2018   12/31/2018   6,325.00   5,931.50   5,965.00
1/1/2019   3/31/2019   6,572.00   5,811.00   6,485.00
4/1/2019   6/30/2019   6,509.00   5,756.00   5,972.00
7/1/2019   9/30/2019   6,066.00   5,537.00   5,728.00
10/1/2019   12/31/2019   6,211.00   5,599.00   6,156.00
1/1/2020   3/31/2020   6,300.50   4,617.50   4,797.00
4/1/2020   6/30/2020   6,038.00   4,772.00   6,038.00
7/1/2020   9/30/2020   6,837.00   6,016.50   6,610.00
10/1/2020   12/31/2020   7,964.00   6,409.50   7,741.50
1/1/2021   3/31/2021   9,614.50   7,755.50   8,850.50
4/1/2021   6/30/2021   773.50   611.00   671.50
7/1/2021   9/30/2021   9,781.00   8,775.50   9,041.00
10/1/2021   12/31/2021   10,652.00   9,091.50   9,692.00
1/1/2022   3/31/2022   10,730.00   9,565.00   10,337.00
4/1/2022   6/7/2022*   10,426.00   9,018.50   9,612.00

*       Available information for
the indicated period includes data for less than the entire calendar quarter and accordingly, the “Quarterly High,” “Quarterly
Low” and “Quarterly Close” data indicated are for this shortened period only.

The graph below illustrates the performance of copper from January 1,
2017 through June 7, 2022, based on information from Bloomberg. Past performance of copper is not indicative of the future performance
of copper.

   

The following table presents the published high and low prices of zinc,
as well as end-of-quarter prices of zinc, for each quarter in the period from January 1, 2017 through June 7, 2022. The Commodity Price
on June 7, 2022 was $3,745.50. The related graph sets forth the daily prices of zinc for the same time period. We obtained the prices
of zinc and other information below from Bloomberg Financial Markets (Ticker Symbol: LOZSDY), without independent verification. The
actual Initial Basket Commodity Price with respect to zinc was determined as described in the “Final Terms” on page 4 rather
than the prices published by Bloomberg Financial Markets, and the Bloomberg ticker symbol is provided for reference purposes only. Zinc
experiences periods of high volatility, and you should not take the historical values of zinc as an indication of future performance,
and no assurance can be given as to the Commodity Price on the Determination Date.

Quarter Begin   Quarter End   Quarterly High ($)   Quarterly Low ($)   Quarterly Close ($)
1/1/2017   3/31/2017   2,971.00   2,530.00   2,782.50
4/1/2017   6/30/2017   2,777.00   2,434.50   2,754.00
7/1/2017   9/30/2017   3,217.00   2,737.00   3,217.00
10/1/2017   12/31/2017   3,370.00   3,094.00   3,309.00
1/1/2018   3/31/2018   3,618.00   3,215.00   3,332.00
4/1/2018   6/30/2018   3,284.50   2,895.00   2,948.00
7/1/2018   9/30/2018   2,915.00   2,287.00   2,573.00
10/1/2018   12/31/2018   2,740.00   2,506.00   2,510.50
1/1/2019   3/31/2019   3,000.00   2,462.00   3,000.00
4/1/2019   6/30/2019   3,018.00   2,518.00   2,580.50
7/1/2019   9/30/2019   2,546.00   2,211.00   2,377.00
10/1/2019   12/31/2019   2,595.00   2,221.50   2,293.00
1/1/2020   3/31/2020   2,466.50   1,773.50   1,867.50
4/1/2020   6/30/2020   2,073.00   1,843.00   2,056.50
7/1/2020   9/30/2020   2,554.00   2,007.50   2,413.00
10/1/2020   12/31/2020   2,841.50   2,298.00   2,723.50
1/1/2021   3/31/2021   2,894.50   2,539.00   2,795.00
4/1/2021   6/30/2021   3,063.50   2,754.50   2,945.50
7/1/2021   9/30/2021   3,110.00   2,912.00   3,015.00
10/1/2021   12/31/2021   3,815.00   2,999.00   3,630.00
1/1/2022   3/31/2022   4,260.00   3,535.00   4,260.00
4/1/2022   6/7/2022*   4,530.00   3,500.00   3,745.50

*       Available information for
the indicated period includes data for less than the entire calendar quarter and accordingly, the “Quarterly High,” “Quarterly
Low” and “Quarterly Close” data indicated are for this shortened period only.

The graph below illustrates the performance of zinc from January 1,
2017 through June 7, 2022, based on information from Bloomberg. Past performance of zinc is not indicative of the future performance
of zinc.

    

Additional
Terms of the Notes

The accompanying prospectus supplement for commodity-linked partial
principal at risk securities refers to the Notes as the “securities.”

Postponement of Maturity Date

If, due to a Market Disruption Event or otherwise, the date for determining
the Final Basket Commodity Price of any Basket Commodity 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 final date by which the Final Basket Commodity
Price for all Basket Commodities has been determined.

Issuer Notice to Registered Security Holders, the Trustee and the
Depositary

In the event that the Maturity Date is postponed due to a Market Disruption
Event with respect to any Basket Commodity on the scheduled Determination Date or otherwise, 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 Notes
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 Notes 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 actual
date by which the Final Basket Commodity Price for each Basket Commodity has been determined.

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, if any,
to be delivered with respect to the Notes, 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 Notes, if any, to the Trustee for delivery to the Depositary, as holder
of the Notes, on the Maturity Date.

Use
of Proceeds and Hedging

The proceeds from the sale of the Notes will be used by us for general
corporate purposes. We will receive, in aggregate, $1,000 per Note issued, because, when we enter into hedging transactions to meet our
obligations under the securities, our hedging counterparty will reimburse the costs of the Agent’s commisions. The costs of the
Notes borne by you and described on page 2 above comprise the Agent’s commissions and the cost of issuing, structuring and hedging
the Notes. See also “Use of Proceeds and Hedging” in the accompanying prospectus supplement for commodity-linked partial principal
at risk securities.

On or prior to the Trade Date, we expect to hedge our anticipated exposure
in connection with the Notes by entering into hedging transactions with our affiliates and/or third-party brokers. We expect our hedging
counterparties to take positions in any of the Basket Commodities, in futures or options contracts on any of the Basket Commodities 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 increase the Initial Basket Commodity Prices of the Basket Commodities and, therefore, could
increase the price at or above which the Basket Commodities must close on the Determination Date so that you do not lose some of your
investment at maturity. Additionally, such hedging or trading activities during the term of the Notes, including on the Determination
Date, could potentially affect whether the Basket Performance is positive and, accordingly, the amount of cash you will receive at maturity.
For further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging” in the accompanying prospectus
supplement for commodity-linked partial principal at risk securities.

Supplemental
Plan of Distribution; Conflicts of Interest

MS & Co. is the agent for this offering. We have agreed to sell
to MS & Co., and MS & Co. has agreed to purchase, all of the Securities at the issue price less the underwriting discount indicated
on the cover of this document. UBS Financial Services Inc., acting as dealer, will receive from MS & Co. a fixed sales commission
of $10.00 for each Security it sells.

MS & Co. is our affiliate and a wholly owned subsidiary of Morgan
Stanley, and it and other subsidiaries of ours expect to make a profit by selling, structuring and, when applicable, hedging the Notes.

MS & Co. will conduct this offering in compliance with the requirements
of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc. (“FINRA”), regarding a FINRA member firm’s distribution
of the Notes 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.

In order to facilitate the offering of the Notes, the agent may engage
in transactions that stabilize, maintain or otherwise affect the price of the Notes or of the Basket Commodities. Specifically, the agent
may sell more Notes than it is obligated to purchase in connection with the offering, creating a naked short position for its own account.
The agent must close out any naked short position by purchasing Notes in the open market. A naked short position is more likely to be
created if the agent is concerned that there may be downward pressure on the price of the Notes in the open market after pricing that
could adversely affect investors who purchase in the offering. As an additional means of facilitating the offering, the agent may bid
for, and purchase, the Notes or the Basket Commodities in the open market to stabilize the price of the Notes or of the Basket Commodities.
Any of these activities may raise or maintain the market price of the Notes above independent market levels or prevent or retard a decline
in the market price of the Notes. The agent is not required to engage in these activities, and may end any of these activities at any
time. An affiliate of the agent has entered into a hedging transaction with us in connection with this offering of Notes. See “—Use
of Proceeds and Hedging” above.

Validity
of the Notes

In the opinion of Davis Polk & Wardwell LLP, as special counsel
to MSFL and Morgan Stanley, when the Notes offered by this pricing supplement have been executed and issued by MSFL, authenticated by
the trustee pursuant to the MSFL Senior Debt Indenture (as defined in the accompanying prospectus) and delivered against payment as contemplated
herein, such Notes 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 Notes 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.

Exhibit 107.1

  Security
Type
Security
Class Title
Fee
Calculation or Carry Forward Rule
Amount
Registered
Proposed
Maximum Offering Price Per Unit
Maximum
Aggregate Offering Price
Fee
Rate
Amount
of Registration Fee
Carry
Forward Form Type
Carry
Forward File Number
Carry
Forward Initial Effective Date
Filing
Fee Previously Paid In Connection with Unsold Securities to be Carried Forward
Fees
to be Paid
Unallocated
(Universal) Shelf
Basket
Market-Linked Notes
456(b) 4,150 $1,000 $4,150,000 .0000927 $384.71
Fees
Previously Paid
$0 $0

Source: streetinsider.com

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