$10,000,000 Buffered Phoenix Auto-Callable Securities Based on the Performance of the American Depositary Shares of Pinduoduo Inc. due February 22, 2022, priced on February 17, 2021, were issued by Morgan Stanley Finance LLC. The pricing supplement for this note (CUSIP: 61771VAE0) can be found here.

The notes had a $1,000 face value and paid a monthly coupon of $29.40, so long as the notes had not been called and and Pinduoduo all closed above 80% of their February 17, 2021 closing prices on a determination date. If and Pinduoduo closed below 80% of their February 17, 2021 closing prices on a determination date, the notes did not pay a coupon.

If not previously called, at maturity, the notes returned $1,000 in principal if and Pinduoduo all closed on the final determination date on January 18, 2022 and above 80% of their February 17, 2021 closing prices. If on January 18, 2022 and Pinduoduo closed below 80% of their February 17, 2021 closing prices, the notes paid reduced principal euqal to $1,000 multiplied by the lowest ratio of and Pinduoduo January 18, 2022 closing prices to their February 17, 2021 closing prices.

The notes have matured. They didn't pay any coupon and $303.37 repayment per $1,000 note. Investors thus suffered capital losses of $696.63 and net losses of $696.63.^† In the aggregate, investors in this note suffered $6,966,276 in capital losses and $6,966,276 in net losses. See Table 1 and Figure 1.

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† SLCG estimated these losses based on publicly available information. The issuer ultimately determines the amounts paid which may differ from our estimates. Our reference to capital loss and net loss does not imply SLCG's view of how these losses are treated for tax purposes.

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SLCG Economic Consulting, LLC ("SLCG") specializes in finance, economics, and investment management consulting services. We offer expert witness services tailored to meet the needs of law firms, banks, brokerage firms, and individuals navigating complex litigation. Our team predominantly comprises PhD and MA-level professionals with varied backgrounds spanning academia, industry, and government. Numerous team members have offered expert testimony in state and federal courts, as well as in diverse arbitration forums.

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