CALCULATION
OF REGISTRATION FEE
Title of Each Class of Securities
Offered
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Maximum Aggregate
Offering Price
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Amount of Registration
Fee
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Fixed to Floating Rate Notes due 2027
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$3,000,000
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$347.70
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February
2017
Pricing
Supplement No. 1,330
Registration
Statement No. 333-200365
Dated
February 15, 2017
Filed
pursuant to Rule 424(b)(2)
|
Fixed to Floating Rate Notes due 2027
Based on the 10-Year U.S. Dollar ICE Swap Rate
As further described below, interest
will accrue and be payable on the notes quarterly, in arrears, (i)
from the original issue date to February 21, 2019
: at
a rate of 4.00% per annum and (ii)
from February 21, 2019 to maturity
: at a variable rate per annum equal to the 10-Year
U.S. Dollar ICE Swap Rate, subject to the minimum interest rate of 0.00% per annum.
FINAL TERMS
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Issuer:
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Morgan Stanley
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Aggregate principal amount:
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$3,000,000. May be increased prior to the original issue date but
we are not required to do so.
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Issue price:
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$1,000 per note
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Stated principal amount:
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$1,000 per note
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Pricing date:
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February 15, 2017
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Original issue date:
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February 21, 2017 (3 business days after the pricing date)
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Maturity date:
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February 21, 2027
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Interest accrual date:
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February 21, 2017
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Payment at maturity:
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The payment at maturity per note will be the stated principal amount plus accrued
and unpaid interest, if any
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Reference rate:
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The 10-Year U.S. Dollar ICE Swap Rate (10CMS). Please see “Additional
Provisions—Reference Rate” below.
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Interest rate:
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From and including
the original issue date to but excluding February 21, 2019:
4.00% per annum
From and including
February 21, 2019 to but excluding the maturity date (the “floating interest rate period”):
Reference
rate; subject to the minimum interest rate.
For the purpose
of determining the level of the reference rate applicable to an interest payment period, the level of the reference rate
will be determined two (2) U.S. government securities business days prior to the related interest reset date at the start
of such interest payment period (each, an “interest determination date”).
Interest for
each interest payment period during the floating interest rate period is subject to the minimum interest rate of 0.00% per annum.
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Interest payment period:
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Quarterly
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Interest payment period end dates:
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Unadjusted
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Interest payment dates:
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Each February 21, May 21, August 21 and November 21, beginning May 21, 2017;
provided
that if any such day is not a business day, that interest payment will be made on the next succeeding business
day and no adjustment will be made to any interest payment made on that succeeding business day.
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Interest reset dates:
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Each February 21, May 21, August 21 and November 21, beginning February 21, 2019;
provided
that such interest reset dates shall not be adjusted for non-business days.
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Day-count convention:
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30/360
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Minimum interest rate:
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0.00% per annum during the floating interest rate period
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Maximum interest rate:
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Not applicable
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Redemption:
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Not applicable
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Specified currency:
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U.S. dollars
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CUSIP / ISIN:
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61760QKH6 / US61760QKH64
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Book-entry or certificated note:
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Book-entry
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Business day:
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New York
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Agent:
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Morgan Stanley & Co. LLC (“MS & Co.”), a wholly owned subsidiary
of Morgan Stanley. See “Supplemental Information Concerning Plan of Distribution; Conflicts of Interest.”
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Calculation agent:
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Morgan Stanley Capital Services LLC
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Trustee:
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The Bank of New York Mellon
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Estimated value on the pricing date:
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$963.60 per note. The estimated value on any subsequent pricing date may be lower
than this estimate, but will in no case be less than $950.00 per note. See “The Notes” on page 2.
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Commissions and issue price:
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Price to public
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Agent’s commissions
(1)
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Proceeds to issuer
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Per note
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$1,000
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$15
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$985
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Total
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$3,000,000
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$45,000
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$2,955,000
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(1)
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Morgan Stanley or one
of our affiliates will pay varying discounts and commissions to dealers, including Morgan Stanley Wealth Management (an affiliate
of the agent) and their financial advisors, of up to $15 per note depending on market conditions. See “Supplemental Information
Concerning Plan of Distribution; Conflicts of Interest.” For additional information, see “Plan of Distribution (Conflicts
of Interest)” in the accompanying prospectus supplement.
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The
notes involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on
page 4.
The Securities and Exchange Commission
and state securities regulators have not approved or disapproved these securities, or determined if this pricing supplement or
the accompanying prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal
offense.
You should
read this document together with the related prospectus supplement and prospectus,
each of which can be accessed via the hyperlinks below.
Prospectus Supplement dated January 11, 2017
Prospectus dated February 16, 2016
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.
Fixed to Floating Rate Notes due 2027
Based on the 10-Year U.S. Dollar ICE Swap Rate
The Notes
The notes are debt securities of Morgan Stanley. From the original
issue date until February 21, 2019, interest on the notes will accrue and be payable on the notes quarterly, in arrears, at 4.00%
per annum, and thereafter, during the floating interest rate period, interest on the notes will accrue and be payable on the notes
quarterly, in arrears, at a variable rate per annum equal to 10CMS, subject to the minimum interest rate of 0.00% per annum. We
describe the basic features of these notes in the sections of the accompanying prospectus called “Description of Debt Securities—Floating
Rate Debt Securities” and prospectus supplement called “Description of Notes,” subject to and as modified by
the provisions described below. All payments on the notes are subject to the credit risk of Morgan Stanley.
The stated principal amount and the issue price of each note
is $1,000. This price includes costs associated with issuing and selling the notes, which are borne by you, and, consequently,
the estimated value of the notes on the pricing date is less than the issue price. We estimate that the value of each note on the
pricing date is $963.60. The estimated value on any subsequent pricing date may be lower than this estimate, but will in no case
be less than $950.00 per note.
The price at which MS & Co. purchases the notes in the secondary
market, absent changes in market conditions, including those related to interest rates and 10CMS, may vary from, and be lower than,
the estimated value on the pricing date. MS & Co. may, 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.
Fixed to Floating Rate Notes due 2027
Based on the 10-Year U.S. Dollar ICE Swap Rate
Additional Provisions
Reference Rate
What is the 10-Year U.S. Dollar ICE Swap Rate?
The 10-Year U.S. Dollar ICE Swap Rate (which we refer to as “10CMS”)
is, on any U.S. government securities business day, the fixed rate of interest payable on an interest rate swap with a 10-year
maturity as reported on Reuters Page ICESWAP1 or any successor page thereto at approximately 11:00 a.m. New York City time for
such day. This rate is one of the market-accepted indicators of medium to longer-term interest rates.
The rate reported on Reuters Page ICESWAP1 (or any successor
page thereto) is calculated by ICE Benchmark Administration Limited based on tradeable quotes for the related interest rate swaps
of the relevant tenor that are sourced from electronic trading venues.
An interest rate swap rate, at any given time, generally indicates
the fixed rate of interest (paid semi-annually) that a counterparty in the swaps market would have to pay for a given maturity,
in order to receive a floating rate (paid quarterly) equal to 3-month LIBOR for that same maturity.
U.S. Government Securities Business Day
U.S. government securities business day means any day except
for a Saturday, Sunday or a day on which The Securities Industry and Financial Markets Association recommends that the fixed income
departments of its members be closed for the entire day for purposes of trading in U.S. government securities.
CMS Rate Fallback Provisions
If the reference rate is not displayed by approximately 11:00
a.m. New York City time on the Reuters Page ICESWAP1 on any day on which the level of the reference rate must be determined, the
rate for such day will be determined on the basis of the mid-market semi-annual swap rate quotations to the calculation agent provided
by five leading swap dealers in the New York City interbank market (the “Reference Banks”) at approximately 11:00 a.m.,
New York City time, on such day, and, for this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered
rates for the semi-annual fixed leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. Dollar interest rate
swap transaction with a 10 year maturity commencing on such day and in a representative amount with an acknowledged dealer of good
credit in the swap market, where the floating leg, calculated on an actual/360 day count basis, is equivalent to USD LIBOR with
a designated maturity of three months. The calculation agent will request the principal New York City office of each of the Reference
Banks to provide a quotation of its rate. If at least three quotations are provided, the rate for that day will be the arithmetic
mean of the quotations, eliminating the highest quotation (or, in the event of equality, one of the highest) and the lowest quotation
(or, in the event of equality, one of the lowest). If fewer than three quotations are provided as requested, the reference rate
will be determined by the calculation agent in good faith and in a commercially reasonable manner.
Fixed to Floating Rate Notes due 2027
Based on the 10-Year U.S. Dollar ICE Swap Rate
Risk Factors
The notes involve risks not associated with an investment
in ordinary floating rate notes. An investment in the notes entails significant risks not associated with similar investments in
a conventional debt security, including, but not limited to, fluctuations in the reference rate, and other events that are difficult
to predict and beyond the issuer’s control. This section describes the most significant risks relating to the notes. For
a complete list of risk factors, please see the accompanying prospectus supplement and prospectus.
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§
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The historical performance of the reference rate is not an indication of future performance.
The historical performance of the reference rate should not be taken as an indication of future performance during the term
of the notes. Changes in the levels of the reference rate will affect the trading price of the notes, but it is impossible to predict
whether such levels will rise or fall. There can be no assurance that the reference rate will be positive.
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§
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Investors are subject to our credit risk, and any actual or anticipated changes to our credit
ratings or credit spreads may adversely affect the market value of the notes.
Investors are dependent on our ability to pay
all amounts due on the notes on interest payment dates and at maturity and therefore investors are subject to our credit risk and
to changes in the market’s view of our creditworthiness. The notes are not guaranteed by any other entity. 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 the credit spreads charged by the market for taking our credit risk
is likely to adversely affect the value of the notes.
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§
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The price at which the notes may be sold prior to maturity will depend on a number of factors and may be substantially less
than the amount for which they were originally purchased.
Some of these factors include, but are not limited to: (i) actual
or anticipated changes in the level of the reference rate, (ii) volatility of the level of the reference rate, (iii) changes in
interest and yield rates, (iv) any actual or anticipated changes in our credit ratings or credit spreads and (v) time remaining
to maturity.
Generally, the longer the time remaining to maturity, the more the market price of the
notes will be affected by the factors described in the preceding sentence. This can lead to significant adverse changes in the
market price of securities like the notes.
Depending on the actual or anticipated level of the reference rate, the market
value of the notes is expected to decrease and you may receive substantially less than 100% of the issue price if you are able
to sell your notes prior to maturity. In addition, any secondary market prices may differ from values determined by pricing models
used by MS & Co., as a result of dealer discounts, mark-ups or other transaction costs.
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§
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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. may, 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.
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§
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The issuer, its subsidiaries or affiliates may publish research that could affect the market
value of the notes.
The issuer or one or more of its affiliates may, at present or in the future, publish research reports
with respect to movements in interest rates generally or the reference rate specifically. This research is modified from time to
time without notice and may express opinions or provide recommendations that are inconsistent with purchasing or holding the notes.
Any of these activities may affect the market value of the notes.
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§
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The calculation agent, which is a subsidiary of the issuer, will make determinations with
respect to the notes.
Any of these determinations made by the calculation agent may adversely affect the payout to investors.
Moreover, certain determinations made by the calculation agent may require it to exercise discretion and make subjective judgments,
such as with respect to the reference rate. These potentially subjective determinations may adversely affect the payout to you
on the notes. For further information regarding these types of determinations, see “Additional Provisions―Reference
Rate” and related definitions above.
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Fixed to Floating Rate Notes due 2027
Based on the 10-Year U.S. Dollar ICE Swap Rate
Supplemental Information Concerning Plan of Distribution;
Conflicts of Interest
We expect to deliver the notes against payment therefor in New
York, New York on February 21, 2017, which will be the third scheduled business day following the date of the pricing of the notes.
Morgan Stanley or one of our affiliates will
pay varying discounts and commissions to dealers, including Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”)
and their financial advisors, of up to $15 per note depending on market conditions. The agent may distribute the notes through
Morgan Stanley Wealth Management, as selected dealer, or other dealers, which may include Morgan Stanley & Co. International
plc (“MSIP”) and Bank Morgan Stanley AG. Morgan Stanley Wealth Management, MSIP and Bank Morgan Stanley AG are affiliates
of Morgan Stanley.
MS & Co. is our wholly owned subsidiary. MS & Co. will
conduct this offering in compliance with the requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc.,
which is commonly referred to as FINRA, regarding a FINRA member firm’s distribution of the securities of an affiliate and
related conflicts of interest. MS & Co. or any of our other affiliates may not make sales in this offering to any discretionary
account.
Acceleration Amount in Case of an Event of Default
In case an event of default with respect to the notes shall have
occurred and be continuing, the amount declared due and payable per note upon any acceleration of the notes shall be an amount
in cash equal to the stated principal amount plus accrued and unpaid interest.
Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as special counsel
to Morgan Stanley, when the notes offered by this pricing supplement have been executed and issued by Morgan Stanley, authenticated
by the trustee pursuant to the Senior Debt Indenture and delivered against payment as contemplated herein, such notes will be valid
and binding obligations 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 the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the
conclusions expressed above. This opinion is given as of the date hereof and is limited to the laws of the State of New York and
the General Corporation Law of the State of Delaware. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the Senior Debt Indenture and its authentication of the notes and the validity, binding
nature and enforceability of the Senior Debt Indenture with respect to the trustee, all as stated in the letter of such counsel
dated January 11, 2017, which is Exhibit 5.1 to the Form 8-K filed by Morgan Stanley on January 11, 2017.
Contact Information
Morgan Stanley Wealth Management clients may contact their local
Morgan Stanley branch office or our principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (866)
477-4776). All other clients may contact their local brokerage representative. Third-party distributors may contact Morgan Stanley
Structured Investment Sales at (800) 233-1087.
Fixed to Floating Rate Notes due 2027
Based on the 10-Year U.S. Dollar ICE Swap Rate
Tax Considerations
In the opinion of our counsel, Davis Polk & Wardwell LLP,
the notes will be treated as “variable rate debt instruments” for U.S. federal tax purposes. The notes will be treated
as providing for a single fixed rate followed by a single qualified floating rate (“QFR”), as described in the sections
of the accompanying prospectus supplement called “United States Federal Taxation―Tax Consequences to U.S. Holders―Notes―Floating
Rate Notes―General” and “―Floating Rate Notes that Provide for Multiple Rates.” Under applicable
Treasury Regulations, in order to determine the amount of qualified stated interest (“QSI”) and original issue discount
(“OID”) in respect of the notes, an equivalent fixed rate debt instrument must be constructed. The equivalent fixed
rate debt instrument is constructed in the following manner: (i) first, the initial fixed rate is converted to a QFR that would
preserve the fair market value of the notes, and (ii) second, each QFR (including the QFR determined under (i) above) is converted
to a fixed rate substitute (which will generally be the value of that QFR as of the issue date of the notes). The rules under “United
States Federal Taxation―Tax Consequences to U.S. Holders―Notes―Discount Notes―General” must be applied
to the equivalent fixed rate debt instrument to determine the amounts of QSI and OID on the notes. Under this method, the notes
may be issued with OID.
A U.S. holder is required to include any QSI in income in accordance
with the U.S. holder’s regular method of accounting for U.S. federal income tax purposes. U.S. holders will be required to
include OID in income for U.S. federal income tax purposes as it accrues, in accordance with a constant yield method based on a
compounding of interest. QSI allocable to an accrual period must be increased (or decreased) by the amount, if any, which the interest
actually accrued or paid during an accrual period (including the fixed rate payments made during the initial period) exceeds (or
is less than) the interest assumed to be accrued or paid during the accrual period under the equivalent fixed rate debt instrument.
For the QSI and the amount of OID (if any) on a note, please contact Morgan Stanley at StructuredNotesTaxInfo@morganstanley.com.
Both U.S. and non-U.S. holders should read the section of the
accompanying prospectus supplement entitled “United States Federal Taxation.”
You should consult your tax adviser regarding all aspects
of the U.S. federal 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 “Tax
Considerations,” 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.