CALCULATION
OF REGISTRATION FEE
Title
of Each Class of Securities Offered
|
|
Maximum
Aggregate Offering Price
|
|
Amount
of Registration Fee
|
Contingent
Income Auto-Callable Securities due 2020
|
|
$6,770,000
|
|
$784.64
|
June 2017
Pricing Supplement No. 1,611
Registration Statement Nos. 333-200365;
333-200365-12
Dated June 21, 2017
Filed pursuant to Rule 424(b)(2)
M
organ
S
tanley
F
inance
LLC
Structured
Investments
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due
June 25, 2020
All Payments on the Securities Based on the
Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock
of Bank of America Corporation and the Common Stock of Citigroup Inc.
Fully and Unconditionally
Guaranteed by Morgan Stanley
Principal at Risk Securities
The
securities are unsecured obligations of
Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally
guaranteed by Morgan Stanley. The securities
have the terms described
in the accompanying product supplement and prospectus, as supplemented or modified by this document. The securities do not guarantee
the repayment of principal and do not provide for the regular payment of interest. Instead, the securities will pay a contingent
monthly coupon
but only if
the determination closing
price of
each of the common stock of JPMorgan Chase &
Co., the common stock of Wells Fargo & Company, the common stock of Bank of America Corporation and the common stock of Citigroup
Inc.
, which we refer to collectively as the underlying stocks,
is
at or above
65% of its respective initial share price, which we refer to as the respective downside threshold level,
on the related observation date. If, however, the determination closing
price of
any underlying stock
is less than its respective downside threshold level on any observation date, we will pay
no interest for the related monthly period. In addition, the securities will be automatically redeemed if the determination closing
price of
each underlying stock
is
greater than or equal to
its respective initial share price
on
any monthly redemption determination date (beginning after six months) for the early redemption payment equal to the sum of the
stated principal amount plus the related contingent monthly coupon. At maturity, if
the securities have not previously
been redeemed and the final share price of
each underlying stock
is
greater than or equal to
its respective downside
threshold level, the payment at maturity will also be the sum of the stated principal amount and the related contingent monthly
coupon. However, if the final share price of
any underlying stock
is
less than
its respective downside threshold
level, investors will be exposed to the decline in the worst performing underlying stock on a 1-to-1 basis and will receive a
payment at maturity that is less than 65% of the stated principal amount of the securities and could be zero.
Accordingly,
i
nvestors in the securities must be willing to accept the risk of losing their entire initial investment and also the risk
of not receiving any contingent monthly coupons throughout the 3-year term of the securities.
The securities are for investors
who are willing to risk their principal and seek an opportunity to earn interest at a potentially above-market rate in exchange
for the risk of receiving no monthly interest over the entire 3-year term and in exchange for the possibility of an automatic
early redemption prior to maturity. Because the payment of contingent monthly coupons is based on the worst performing of the
underlying stocks, the fact that the securities are linked to four underlying stocks does not provide any asset diversification
benefits and instead means that a decline of
any
underlying stock below the relevant downside threshold level will result
in no contingent monthly coupons, even if one or more of the other underlying stocks close at or above the respective downside
threshold levels. Because all payments on the securities are based on the worst performing of the underlying stocks, a decline
beyond the respective downside threshold level of any underlying stock will result in no contingent monthly coupon payments and
a significant loss of your investment, even if one or more of the other underlying stocks have appreciated or have not declined
as much. Investors will not participate in any appreciation of any underlying stock. The securities are notes issued as part of
MSFL’s Series A Global Medium-Term Notes program.
All payments are subject to our credit risk. If we default
on our obligations, you could lose some or all of your investment. These securities are not secured obligations and you will not
have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
FINAL TERMS
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Underlying stocks:
|
JPMorgan Chase & Co. common stock (the “JPM Stock”), Wells Fargo & Company common stock (the “WFC Stock”), Bank of America Corporation common stock (the “BAC Stock”) and Citigroup Inc. common stock (the “C Stock”)
|
Aggregate principal amount:
|
$6,770,000
|
Stated principal amount:
|
$1,000 per security
|
Issue price:
|
$1,000 per security
|
Pricing date:
|
June 21, 2017
|
Original issue date:
|
June 26, 2017 (3 business days after the pricing date)
|
Maturity date:
|
June 25, 2020
|
Early redemption:
|
The securities are not subject to automatic early redemption
until December 27, 2017. Following this initial 6-month non-call period, if, on any redemption determination date, beginning on
December 21, 2017, the determination closing price of
each underlying stock
is greater than or equal to its respective
initial share price, the securities will be automatically redeemed for an early redemption payment on the related early redemption
date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any
early redemption date if the determination closing price of any underlying stock is below its respective initial share price on
the related redemption determination date.
|
Early redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount for each security you hold
plus
(ii) the contingent monthly coupon with respect to the related observation date.
|
Determination closing price:
|
With respect to each underlying stock, the closing price of such underlying stock on any redemption determination date or observation date (other than the final observation date),
times
the adjustment factor on such determination date or observation date, as applicable
|
Redemption determination dates:
|
Monthly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below, subject to postponement for non-trading days and certain market disruption events
|
Early redemption dates:
|
Starting on December 27, 2017 (approximately six months after the original issue date), monthly. See “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below. If any such day is not a business day, that early redemption payment will be made on the next succeeding business day and no adjustment will be made to any early redemption payment made on that succeeding business day.
|
Contingent monthly coupon:
|
A
contingent
monthly coupon at an annual rate
of 8.25% (corresponding to approximately $6.875 per month per security) will be paid on the securities on each coupon payment
date
but only if
the determination closing price of
each underlying stock
is at or above its respective downside
threshold level on the related observation date.
If, on any observation date, the determination closing
price of any underlying stock is less than its respective downside threshold level, no contingent monthly coupon will be paid
with respect to that observation date. It is possible that one or more underlying stocks will remain below their respective downside
threshold levels for extended periods of time or even throughout the entire 3-year term of the securities so that you will receive
few or no contingent monthly coupons.
|
Downside threshold level:
|
With respect to the JPM Stock, $56.628, which is equal
to 65% of its initial share price
With respect to the WFC Stock, $34.437, which is equal
to 65% of its initial share price
With respect to the BAC Stock, $15.035, which is equal
to approximately 65% of its initial share price
With respect to the C Stock, $41.490, which is equal
to approximately 65% of its initial share price
|
Payment at maturity:
|
If the securities are not redeemed prior to maturity,
investors will receive a payment at maturity determined as follows:
·
If
the final share price of
each underlying stock
is
greater than or equal to
its respective downside threshold level:
(i) the stated principal amount
plus
(ii) the contingent monthly coupon with respect to the final observation date
·
If
the final share price of
any underlying stock
is
less than
its respective downside threshold level: (i) the stated
principal amount
multiplied by
(ii) the share performance factor of the worst performing underlying stock
Under these circumstances, the payment
at maturity will be significantly less than the stated principal amount of $1,000, and will represent a loss of more than 35%,
and possibly all, of your investment.
|
|
Terms continued on the following page
|
Agent:
|
Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of distribution; conflicts of interest.”
|
Estimated value on the pricing date:
|
$948.70 per security. See “Investment Summary” beginning on page 3.
|
Commissions and issue price:
|
Price to public
|
Agent’s commissions
(1)
|
Proceeds to us
(2)
|
Per security
|
$1,000
|
$35
|
$965
|
Total
|
$6,770,000
|
$236,950
|
$6,533,050
|
(1) Selected dealers and their
financial advisors will collectively receive from the agent, Morgan Stanley & Co. LLC, a fixed sales commission of $35 for
each security they sell. See “Supplemental information regarding plan of distribution; conflicts of interest.” For
additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
(2) See “Use of proceeds
and hedging” on page 32.
The securities involve risks not associated
with an investment in ordinary debt securities. See “Risk Factors” beginning on page 12.
The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement
and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not deposits or saving accounts and are
not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations
of, or guaranteed by, a bank.
You should read this document together with the related product
supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information
About the Securities” at the end of this document.
As used in this document, “we,” “us”
and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Product Supplement for Auto-Callable Securities dated February 29, 2016
Prospectus dated February 16, 2016
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Terms continued from previous page:
|
Initial share price:
|
With respect to the JPM Stock, $87.12, which is its
closing price on the pricing date
With respect to the WFC Stock, $52.98, which is its
closing price on the pricing date
With respect to the BAC Stock, $23.13, which is its
closing price on the pricing date
With respect to the C Stock, $63.83, which is its closing
price on the pricing date
|
Coupon payment dates:
|
Monthly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below. If any such day is not a business day, that coupon payment will be made on the next succeeding business day and no adjustment will be made to any coupon payment made on that succeeding business day. The contingent monthly coupon, if any, with respect to the final observation date shall be paid on the maturity date.
|
Observation dates:
|
Monthly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below, subject, independently in the case of each underlying stock, to postponement for non-trading days and certain market disruption events. We also refer to June 22, 2020, which is the third scheduled business day preceding the scheduled maturity date, as the final observation date.
|
Final share price:
|
With respect to each underlying stock, the closing price of such underlying stock on the final observation date
times
the adjustment factor on such date
|
Adjustment factor:
|
With respect to each underlying stock, 1.0, subject to adjustment in the event of certain corporate events affecting such underlying stock
|
Worst performing underlying stock:
|
The underlying stock with the largest percentage decrease from the respective initial share price to the respective final share price
|
Share performance factor:
|
Final share price
divided by
the initial share price
|
CUSIP / ISIN:
|
61768CKZ9 / US61768CKZ94
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Observation Dates, Redemption Determination Dates,
Coupon Payment Dates and Early Redemption Dates
Observation Dates / Redemption Determination Dates
|
Coupon Payment Dates / Early Redemption Dates
|
*7/21/2017
|
*7/26/2017
|
*8/21/2017
|
*8/24/2017
|
*9/21/2017
|
*9/26/2017
|
*10/23/2017
|
*10/26/2017
|
*11/21/2017
|
*11/27/2017
|
12/21/2017
|
12/27/2017
|
1/22/2018
|
1/25/2018
|
2/21/2018
|
2/26/2018
|
3/21/2018
|
3/26/2018
|
4/23/2018
|
4/26/2018
|
5/21/2018
|
5/24/2018
|
6/21/2018
|
6/26/2018
|
7/23/2018
|
7/26/2018
|
8/21/2018
|
8/24/2018
|
9/21/2018
|
9/26/2018
|
10/22/2018
|
10/25/2018
|
11/21/2018
|
11/27/2018
|
12/21/2018
|
12/27/2018
|
1/22/2019
|
1/25/2019
|
2/21/2019
|
2/26/2019
|
3/21/2019
|
3/26/2019
|
4/22/2019
|
4/25/2019
|
5/21/2019
|
5/24/2019
|
6/21/2019
|
6/26/2019
|
7/22/2019
|
7/25/2019
|
8/21/2019
|
8/26/2019
|
9/23/2019
|
9/26/2019
|
10/21/2019
|
10/24/2019
|
11/21/2019
|
11/26/2019
|
12/23/2019
|
12/27/2019
|
1/21/2020
|
1/24/2020
|
2/21/2020
|
2/26/2020
|
3/23/2020
|
3/26/2020
|
4/21/2020
|
4/24/2020
|
5/21/2020
|
5/27/2020
|
6/22/2020 (final observation date)
|
6/25/2020 (maturity date)
|
* The securities are not subject to automatic early redemption
until the sixth coupon payment date, which is December 27, 2017.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Investment Summary
Contingent Income Auto-Callable Securities
Principal at Risk Securities
Contingent Income Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock
of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc. (the “securities”)
do not provide for the regular payment of interest. Instead, the securities will pay a contingent monthly coupon at an annual rate
of 8.25%
but only if
the determination closing price of
each underlying stock
is
at or above
65% of its respective
initial share price, which we refer to as the respective downside threshold level, on the related observation date. If the determination
closing price of
any underlying stock
is less than its downside threshold level on any observation date, we will pay no
coupon for the related monthly period. It is possible that the determination closing price of
one or more underlying stocks
will remain below their respective downside threshold levels
for extended periods of time or even throughout the entire 3-year
term of the securities so that you will receive few or no contingent monthly coupons during the entire term of the securities.
We refer to these coupons as contingent, because there is no guarantee that you will receive a coupon payment on any coupon payment
date. Even if all of the underlying stocks were to be at or above their respective downside threshold levels on some monthly observation
dates, one or more underlying stocks may fluctuate below the respective downside threshold level(s) on others. In addition, if
the securities have not been automatically called prior to maturity and the final share price of
any underlying stock
is
less than its respective downside threshold level, investors will be exposed to the decline in the worst performing underlying
stock on a 1-to-1 basis, and will receive a payment at maturity that is less than 65% of the stated principal amount of the securities
and could be zero.
Accordingly,
i
nvestors in the securities must be willing to accept the risk of losing their entire
initial investment and also the risk of not receiving any contingent monthly payments throughout the entire 3-year term of the
securities.
Maturity:
|
Approximately 3 years
|
Contingent monthly coupon:
|
A
contingent
monthly coupon at an annual rate of 8.25%
(corresponding to approximately $6.875 per month per security) will be paid on the securities on each coupon payment date
but
only if
the determination closing price of
each underlying stock
is at or above its respective downside threshold level
on the related observation date.
If on any observation date, the determination closing
price of any underlying stock is less than its respective downside threshold level, we will pay no coupon for the applicable monthly
period.
|
Automatic early redemption monthly on or after December 27, 2017:
|
Starting on December 27, 2017, if the determination closing price of
each underlying stock
is greater than or equal to their respective initial share price on any monthly redemption determination date, beginning on December 21, 2017, the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount
plus
the contingent monthly coupon with respect to the related observation date.
|
Payment at maturity:
|
If the securities have not previously been redeemed and the final
share price of
each underlying stock
is
greater than or equal to
its respective downside threshold level, the payment
at maturity will be the sum of the stated principal amount and the related contingent monthly coupon.
If the final share price of
any underlying stock
is
less than its downside threshold level, investors will receive a payment at maturity based on the decline in the
worst performing underlying stock over the term of the securities. Under these circumstances, the payment at maturity will
be less than 65% of the stated principal amount of the securities and could be zero.
Accordingly, investors in the
securities must be willing to accept the risk of losing their entire initial investment.
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
The original issue price of each security is
$1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by
you, and, consequently, the estimated value of the securities on the pricing date is less than $1,000. We estimate that the value
of each security on the pricing date is $948.70.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date,
we take into account that the securities comprise both a debt component and a performance-based component linked to the underlying
stocks. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions
relating to the underlying stocks, instruments based on the underlying stocks, volatility and other factors including current and
expected interest rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest
rate at which our conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities,
including the contingent monthly coupon rate and the downside threshold levels, 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 terms of the securities would be
more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the securities?
The price at which MS & Co. purchases the
securities in the secondary market, absent changes in market conditions, including those related to the underlying stocks, may
vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes into account our
secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction
of this type and other factors. However, because the costs associated with issuing, selling, structuring and hedging the securities
are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co.
may buy or sell the securities in the secondary market, absent changes in market conditions, including those related to the underlying
stocks, and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect that
those higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to,
make a market in the securities, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead, the securities will pay a contingent monthly coupon
but only if
the determination closing price of
each underlying
stock
is
at or above
its respective downside threshold level on the related observation date. The securities have been
designed for investors who are willing to forgo market floating interest rates and risk the loss of principal and accept the risk
of receiving few or no coupon payments for the entire 3-year term of the securities in exchange for an opportunity to earn interest
at a potentially above-market rate if all of the underlying stocks close at or above their respective downside threshold levels
on each monthly observation date, unless the securities are redeemed early. The following scenarios are for illustration purposes
only to demonstrate how the coupon and the payment at maturity (if the securities have not previously been redeemed) are calculated,
and do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be redeemed, the contingent
coupon may be payable in none of, or some but not all of, the monthly periods during the 3-year term of the securities, and the
payment at maturity may be less than 65% of the stated principal amount of the securities and may be zero.
Scenario 1: The securities are redeemed prior to maturity
|
This scenario assumes that, prior to early redemption,
all of the underlying stocks close at or above their respective downside threshold levels on some monthly observation dates, but
one or more underlying stocks close below the respective downside threshold level(s) on the others. Investors receive the contingent
monthly coupon for the monthly periods for which the determination closing prices of all of the underlying stocks are at or above
their respective downside threshold levels on the related observation date, but not for the monthly periods for which the determination
closing prices of one or more underlying stocks are below the respective downside threshold level(s) on the related observation
date.
When all of the underlying stocks close at or above
their respective initial share prices on a monthly redemption determination date (beginning after six months), the securities
will be automatically redeemed for the stated principal amount
plus
the contingent monthly coupon with respect to the related
observation date.
|
Scenario 2: The securities are not redeemed prior to maturity, and investors receive principal back at maturity
|
This scenario assumes that all of the underlying stocks close at or above their respective downside threshold levels on some monthly observation dates, but one or more underlying stocks close below the respective downside threshold level(s) on the others, and at least one of the underlying stocks closes below its initial share price on every monthly redemption determination date. Consequently, the securities are not redeemed early, and investors receive the contingent monthly coupon for the monthly periods for which the determination closing prices of all of the underlying stocks are at or above their respective downside threshold levels on the related observation date, but not for the monthly periods for which the determination closing prices of one or more underlying stocks are below the respective downside threshold level(s) on the related observation date. On the final observation date, all of the underlying stocks close at or above their respective downside threshold levels. At maturity, in addition to the contingent monthly coupon with respect to the final observation date, investors will receive the stated principal amount.
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Scenario 3: The securities are not redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity
|
This scenario assumes that all of the underlying stocks close at or above their respective downside threshold levels on some monthly observation dates, but one or more underlying stocks close below the respective downside threshold level(s) on the others, and at least one of the underlying stocks closes below its initial share prices on every monthly redemption determination date. Consequently, the securities are not redeemed early, and investors receive the contingent monthly coupon for the monthly periods for which the determination closing prices of all of the underlying stocks are greater than or equal to their respective downside threshold levels on the related observation date, but not for the monthly periods for which the determination closing prices of one or more underlying stocks are below the respective downside threshold level(s) on the related observation date. On the final observation date, one or more underlying stocks close below the respective downside threshold level(s). At maturity, investors will receive an amount equal to the stated principal amount multiplied by the share performance factor of the worst performing underlying stock. Under these circumstances, the payment at maturity will be less than 65% of the stated principal amount and could be zero. No coupon will be paid at maturity in this scenario.
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on (1) the determination closing prices on each monthly observation date, (2) the determination closing
prices on each monthly redemption determination date and (3) the final share prices. Please see “Hypothetical Examples”
below for an illustration of hypothetical payouts on the securities.
Diagram #1: Contingent Monthly Coupons (Beginning
on the First Coupon Payment Date until Early Redemption or Maturity)
Diagram #2: Automatic Early Redemption (Starting
on December 27, 2017)
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Diagram #3: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about the payout upon
an early redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” below.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent monthly coupon is paid with respect to an observation date and how to calculate the payment at maturity, if
any, assuming the securities are not redeemed prior to maturity. The following examples are for illustrative purposes only. Whether
you receive a contingent monthly coupon will be determined by reference to the determination closing price of each underlying stock
on each monthly observation date, and the amount you will receive at maturity, if any, will be determined by reference to the final
share price of each underlying stock on the final observation date. The actual initial share price and downside threshold level
for each underlying stock are set forth on the cover of this document. All payments on the securities, if any, are subject to our
credit risk. The below examples are based on the following terms:
Hypothetical Contingent Monthly Coupon:
|
8.25% per annum (corresponding to approximately $6.875
per month per security)
1
With respect to each coupon payment date, a contingent
monthly coupon is paid but only if the determination closing price of each underlying stock is at or above its respective downside
threshold level on the related observation date.
|
Payment at Maturity (if the securities are not redeemed prior to maturity):
|
If the final share price of
each
underlying stock
is
greater than or equal to
its respective downside threshold level: the stated principal amount and the contingent monthly
coupon with respect to the final observation date
If the final share price of
any
underlying stock
is
less than
its respective downside threshold level: (i) the stated principal amount
multiplied by
(ii) the share
performance factor of the worst performing underlying stock
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Share Price:
|
With respect to the JPM Stock: $90.00
With respect to the WFC Stock: $50.00
With respect to the BAC Stock: $25.00
With respect to the C Stock: $60.00
|
Hypothetical Downside Threshold Level:
|
With respect to the JPM Stock: $58.50, which is 65%
of its hypothetical initial share price
With respect to the WFC Stock: $32.50, which is 65%
of its hypothetical initial share price
With respect to the BAC Stock: $16.25, which is 65%
of its hypothetical initial share price
With respect to the C Stock: $39.00, which is 65% of
its hypothetical initial share price
|
1
The actual contingent monthly
coupon will be an amount determined by the calculation agent based on the number of days in the applicable payment period, calculated
on a 30/360 day count basis. The hypothetical contingent monthly coupon of $6.875 is used in these examples for ease of analysis.
How to determine whether a contingent monthly
coupon is payable with respect to an observation date:
|
Determination Closing Price
|
|
Hypothetical Contingent Monthly Coupon
|
|
JPM Stock
|
WFC Stock
|
BAC Stock
|
C Stock
|
|
Hypothetical Observation Date 1
|
$75.00 (
at or above
its downside threshold level)
|
$55.00 (
at or above
its downside threshold level)
|
$26.00 (
at or above
its downside threshold level)
|
$62.50 (
at or above
its downside threshold level)
|
$6.875
|
Hypothetical Observation Date 2
|
$50.00 (
below
its downside threshold level)
|
$40.00 (
at or above
its downside threshold level)
|
$17.50 (
at or above
its downside threshold level)
|
$48.00 (
at or above
its downside threshold level)
|
$0
|
Hypothetical
|
$60.00 (
at or
|
$27.00 (
below
its
|
$12.50 (
below
its
|
$33.00 (
below
|
$0
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Observation Date 3
|
above
its downside threshold level)
|
downside threshold level)
|
downside threshold level)
|
its downside threshold level)
|
|
Hypothetical Observation Date 4
|
$32.00 (
below
its downside threshold level)
|
$25.00 (
below
its downside threshold level)
|
$11.00 (
below
its downside threshold level)
|
$30.00 (
below
its downside threshold level)
|
$0
|
On hypothetical observation date 1, each of the underlying stocks
closes at or above its respective downside threshold level. Therefore, a hypothetical contingent monthly coupon of $6.875 is paid
on the relevant coupon payment date.
On each of hypothetical observation dates 2 and 3, at least one
underlying stock closes at or above its downside threshold level, but one or more of the other underlying stocks close below their
respective downside threshold level(s). Therefore, no contingent monthly coupon is paid on the relevant coupon payment date.
On hypothetical observation date 4, each of the underlying stocks
closes below its respective downside threshold level, and accordingly no contingent monthly coupon is paid on the relevant coupon
payment date.
You will not receive a contingent monthly coupon on any coupon
payment date if the determination closing price of any underlying stock is below its respective downside threshold level on the
related observation date.
How to calculate the payment at maturity:
In the following examples, one or more underlying stocks close
below the respective initial share price(s) on each redemption determination date, and, consequently, the securities are not automatically
redeemed prior to, and remain outstanding until, maturity.
|
Final Share Price
|
|
Payment at Maturity
|
|
JPM Stock
|
WFC Stock
|
BAC Stock
|
C Stock
|
|
Example 1:
|
$190.00 (
at or above
its downside threshold level)
|
$62.50 (
at or above
its downside threshold level)
|
$37.50 (
at or above
its downside threshold level)
|
$90.00 (
at or above
its downside threshold level)
|
$1,006.875 (the stated principal amount
plus
the contingent monthly coupon with respect to the final observation date)
|
Example 2:
|
$36.00 (
below
its downside threshold level)
|
$52.00 (
at or above
its initial share price)
|
$26.00 (
at or above
its initial share price)
|
$44.00 (
at or above
its initial share price)
|
$1,000 x share performance factor of the worst performing underlying stock = $1,000 x ($36.00 / $90.00) = $400.00
|
Example 3:
|
$60.00 (
at or above
its downside threshold level)
|
$36.00 (
at or above
its downside threshold level)
|
$12.50 (
below
its downside threshold level)
|
$38.00 (
below
its downside threshold level)
|
$1,000 x ($12.50 / $25.00) = $500.00
|
Example 4:
|
$36.00 (
below
its downside threshold level)
|
$25.00 (
below
its downside threshold level)
|
$12.50 (
below
its downside threshold level)
|
$30.00 (
below
its downside threshold level)
|
$1,000 x ($36.00 / $90.00) = $400.00
|
Example 5:
|
$45.00 (
below
its downside threshold level)
|
$15.00 (
below
its downside threshold level)
|
$12.50 (
below
its downside threshold level)
|
$30.00 (
below
its downside threshold level)
|
$1,000 x ($15.00 / $50.00 = $300.00
|
In example 1, the final share prices of each of the JPM Stock,
the WFC Stock, the BAC Stock and the C Stock are at or above their respective downside threshold levels. Therefore, investors receive
at maturity the stated principal amount of the securities and the
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
hypothetical contingent monthly coupon with respect to the final
observation date. Investors do not participate in the appreciation of any of the underlying stocks.
In example 2, the final share prices of three underlying stocks
are above their respective initial share prices, but the final share price of the other underlying stock is below its downside
threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying stock at maturity
and receive an amount equal to the stated principal amount
times
the share performance factor of the worst performing underlying
stock.
In example 3, the final share prices of two underlying stocks
are at or above their respective downside threshold levels, but the final share prices of the other underlying stocks are below
their respective downside threshold levels. Therefore, investors are exposed to the downside performance of the worst performing
underlying stock at maturity and receive at maturity an amount equal to the stated principal amount times the share performance
factor of the worst performing underlying stock.
In examples 4 and 5, the final share prices of all of the underlying
stocks are below their respective downside threshold levels, and investors receive at maturity an amount equal to the stated principal
amount
times
the share performance factor of the worst performing underlying stock. In example 4, the JPM Stock has declined
60% from its initial share price to its final share price, the WFC Stock has declined 50% from its initial share price to its final
share price, the BAC Stock has declined 50% from its initial share price to its final share price and the C Stock has declined
50% from its initial share price to its final share price. Therefore, the payment at maturity equals the stated principal amount
times
the share performance factor of the JPM Stock, which represents the worst performing underlying stock in this example.
In example 5, the JPM Stock has declined 50% from its initial share price to its final share price, the WFC Stock has declined
70% from its initial share price to its final share price, the BAC Stock has declined 50% from its initial share price to its final
share price and the C Stock has declined 50% from its initial share price to its final share price. Therefore the payment at maturity
equals the stated principal amount
times
the share performance factor of the WFC Stock, which represents the worst performing
underlying stock in this example.
If the final share price of ANY underlying stock is below
its respective downside threshold level, you will be exposed to the downside performance of the worst performing underlying stock
at maturity, and your payment at maturity will be less than 65% of the stated principal amount per security and could be zero.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Risk Factors
The
following is a list of certain key risk factors for investors in the securities. For further discussion of these and other risks,
you should read the section entitled “Risk Factors” in the accompanying product supplement and prospectus. You should
also consult with your investment, legal, tax, accounting and other advisers
in connection with your investment in
the securities
.
|
§
|
The securities do not guarantee the return of any principal.
The
terms of the securities differ from those of ordinary debt securities in that they do not guarantee the return of any of the principal
amount at maturity. If the securities have not been automatically redeemed prior to maturity and if the final share price of
any
underlying stock is less than its downside threshold level of 65% of its initial share price, you will be exposed to the decline
in the closing price of the worst performing underlying stock, as compared to its initial share price, on a 1-to-1 basis, and you
will receive for each security that you hold at maturity an amount equal to the stated principal amount
times
the share
performance factor of the worst performing underlying stock. In this case, the payment at maturity will be less than 65% of the
stated principal amount and could be zero.
You could lose up to your entire investment in the securities.
|
|
§
|
The securities do not provide for the regular payment of interest
and may pay no interest over the entire term of the securities.
The terms of the securities differ from those of ordinary
debt securities in that they do not provide for the regular payment of interest. Instead, the securities will pay a contingent
monthly coupon
but only if
the determination closing price of
each
underlying stock is
at or above
65% of
its respective initial share price, which we refer to as the respective downside threshold level, on the related observation date.
If, on the other hand, the determination closing price of
any
underlying stock is lower than its downside threshold level
on the relevant observation date for any interest period, we will pay no coupon on the applicable coupon payment date. It is possible
that the determination closing price(s) of one or more underlying stocks could remain below the respective downside threshold level(s)
for extended periods of time or even throughout the entire 3-year term of the securities so that you will receive few or no contingent
monthly coupons. If you do not earn sufficient contingent coupons over the term of the securities, the overall return on the securities
may be less than the amount that would be paid on a conventional debt security of ours of comparable maturity.
|
|
§
|
You are exposed to the price risk of all of the underlying stocks,
with respect to both the contingent monthly coupons, if any, and the payment at maturity, if any.
Your
return on the securities is not linked to a basket consisting of the underlying stocks. Rather, it will be contingent upon the
independent performance of each underlying stock. Unlike an instrument with a return linked to a basket of underlying assets, in
which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to each
of the underlying stocks. Poor performance by
any
underlying stock over the term
of the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the other
underlying stocks. To receive
any
contingent monthly coupons,
all
of the underlying stocks must close at or above their respective downside threshold levels on
the applicable observation date. In addition, if
any
underlying stock has declined
to below its respective downside threshold level as of the final observation date, you will be
fully exposed
to
the decline in the worst performing underlying stock over the term of the securities on a 1-to-1 basis, even if the other underlying
stock has appreciated. Under this scenario, the value of any such payment will be less than 65% of the stated principal amount
and could be zero. Accordingly, your investment is subject to the price risk of all of the underlying stocks.
|
|
§
|
The contingent coupon, if any, is based only on the determination closing prices of the underlying stocks on the related
monthly observation date at the end of the related interest period
.
Whether the contingent coupon will be paid on any coupon payment date will be determined at the end of the relevant interest period
based on the determination closing price of each underlying stock on the relevant monthly observation date. As a result, you will
not know whether you will receive the contingent coupon on any coupon payment date until near the end of the relevant interest
period. Moreover, because the contingent coupon is based solely on the price of each underlying stock on monthly observation dates,
if the determination closing price of any underlying stock on any observation date is below the respective downside threshold level,
you will receive no coupon for the related interest period, even if the price(s) of one or more of the underlying stocks were higher
on other days during that interest period.
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
|
§
|
Investors will not participate in any appreciation in the price of any underlying stock.
Investors will not participate
in any appreciation in the price of any underlying stock from its initial share price, and the return on the securities will be
limited to the contingent monthly coupon, if any, that is paid with respect to each observation date on which all determination
closing prices are greater than or equal to their respective downside threshold levels, if any.
|
|
§
|
The market price will be influenced by many unpredictable factors.
Several factors, many of which are beyond our control, will influence the value of the securities
in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary
market. We expect that generally the level of interest rates available in the market and the prices of the
underlying
stocks
on any day, including in relation to the respective
downside threshold levels, will affect the value of the securities more than any other factors. Other factors that may influence
the value of the securities include:
|
|
o
|
the trading price and volatility (frequency and magnitude of changes in value) of the underlying stocks,
|
|
o
|
whether the determination closing price of any underlying stock has been below its respective downside threshold level on any
observation date,
|
|
o
|
dividend rates on the underlying stocks,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying stocks
and which may affect the prices of the underlying stocks,
|
|
o
|
the time remaining until the securities mature,
|
|
o
|
interest and yield rates in the market,
|
|
o
|
the availability of comparable instruments,
|
|
o
|
the occurrence of certain events affecting the underlying stock that may or may not require an adjustment to the adjustment
factor, and
|
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
Some
or all of these factors will influence the price that you will receive if you sell your securities prior to maturity. For example,
you may have to sell your securities at a substantial discount from the stated principal amount of $1,000 per security if the price
of any underlying stock at the time of sale is near or below its downside threshold level or if market interest rates rise.
The
prices of the underlying stocks may be, and have recently been, volatile, and we can give you no assurance that the volatility
will lessen.
The prices of the underlying stocks may decrease and be below the respective downside threshold level(s) on
each observation date so that you will receive no return on your investment and receive a payment at maturity that is less than
65% of the stated principal amount. There can be no assurance that the determination closing prices of all of the underlying stocks
will be at or above their respective downside threshold levels on any observation date so that you will receive a coupon payment
on the securities for the applicable interest period, or, with respect to the final observation date, so that you do no suffer
a significant loss on your initial investment in the securities.
See
“JPMorgan Chase & Co. Overview,” “Wells Fargo & Company Overview,” “Bank of America Corporation
Overview” and “Citigroup Inc. Overview” below.
|
§
|
The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads
may adversely affect the market value of the securities.
You are dependent on our ability to pay all amounts due on the securities
on each coupon payment date, upon automatic redemption and at maturity and therefore you are subject to our credit risk. The securities
are not guaranteed by any other entity. If we default on our obligations under the securities, your investment would be at risk
and you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected
by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase
in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the securities.
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
|
§
|
As a finance subsidiary, MSFL has no independent operations and will have no independent assets.
As a finance subsidiary,
MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets
available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution
or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee
by Morgan Stanley and that guarantee will rank
pari passu
with all other unsecured, unsubordinated obligations of Morgan
Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of
securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should
be treated
pari passu
with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders
of Morgan Stanley-issued securities.
|
|
§
|
Reinvestment risk.
The term
of your investment in the securities may be shortened due to the automatic early redemption feature of the securities. If the securities
are redeemed prior to maturity, you will receive no more contingent monthly coupons and may be forced to invest in a lower interest
rate environment and may not be able to reinvest at comparable terms or returns. However, under no circumstances will the securities
be redeemed in the first six months of the term of the securities.
|
|
§
|
Investing in the securities is not equivalent to investing in the
common stock of JPMorgan Chase & Co., the common stock of Wells Fargo & Company, the common stock of Bank of America Corporation
or the common stock of Citigroup Inc.
Investors in the securities will not participate in
any appreciation in the underlying stocks, and will not have voting rights or rights to receive dividends or other distributions
or any other rights with respect to the underlying stocks.
|
|
§
|
No affiliation with JPMorgan Chase & Co., Wells Fargo & Company, Bank of America Corporation or Citigroup Inc.
JPMorgan Chase & Co., Wells Fargo & Company, Bank of America Corporation and Citigroup Inc. are not affiliates of ours,
are not involved with this offering in any way, and have no obligation to consider your interests in taking any corporate actions
that might affect the value of the securities. We have not made any due diligence inquiry with respect to JPMorgan Chase &
Co., Wells Fargo & Company, Bank of America Corporation or Citigroup Inc. in connection with this offering.
|
|
§
|
We may engage in business with or involving JPMorgan Chase & Co., Wells Fargo & Company, Bank of America Corporation
or Citigroup Inc. without regard to your interests.
We or our affiliates may presently or from time to time engage in business
with JPMorgan Chase & Co., Wells Fargo & Company, Bank of America Corporation or Citigroup Inc. without regard to your
interests and thus may acquire non-public information about JPMorgan Chase & Co., Wells Fargo & Company, Bank of America
Corporation or Citigroup Inc. Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition,
we or our affiliates from time to time have published and in the future may publish research reports with respect to JPMorgan Chase
& Co., Wells Fargo & Company, Bank of America Corporation or Citigroup Inc., which may or may not recommend that investors
buy or hold the underlying stock(s).
|
|
§
|
The antidilution adjustments the calculation agent is required to make do not cover every corporate event that could affect
the underlying stocks.
MS & Co., as calculation agent, will adjust the adjustment factors for certain corporate events
affecting the underlying stocks, such as stock splits and stock dividends, and certain other corporate actions involving the issuers
of the underlying stocks, such as mergers. However, the calculation agent will not make an adjustment for every corporate event
that can affect the underlying stocks. For example, the calculation agent is not required to make any adjustments if the issuers
of the underlying stocks or anyone else makes a partial tender or partial exchange offer for the underlying stocks, nor will adjustments
be made following the final observation date. If an event occurs that does not require the calculation agent to adjust an adjustment
factor, the market price of the
securities
may be materially and adversely affected.
|
|
§
|
The securities will not be listed on any securities exchange and secondary trading may be limited
,
and
accordingly, you should be willing to hold your securities for the entire 3-year term of the securities.
The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS &
Co. may, but is not obligated to, make a market in the securities and, if it once chooses to make a
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
market, may cease doing so at any
time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based on
its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility,
the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and
the likelihood that it will be able to resell the securities. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the securities easily. Since other broker-dealers may not participate significantly in the secondary
market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any,
at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the securities, it
is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities
to maturity.
|
§
|
The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate
implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated
with issuing, selling, structuring and hedging the securities in the original issue price reduce the economic terms of the securities,
cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market
prices.
Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including
MS & Co., may be willing to purchase the securities in secondary market transactions will likely be significantly lower than
the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs
that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well
as other factors.
|
The inclusion of the costs of issuing,
selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the securities less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months
following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes
in market conditions, including those related to the underlying stocks, and to our secondary market credit spreads, it would do
so based on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage
account statements.
|
§
|
The estimated value of the securities is determined by reference to our pricing and valuation models, which may differ from
those of other dealers and is not a maximum or minimum secondary market price.
These pricing and valuation models are proprietary
and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be
incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher
estimated value of the securities than those generated by others, including other dealers in the market, if they attempted to value
the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers,
including MS & Co., would be willing to purchase your securities in the secondary market (if any exists) at any time. The value
of your securities at any time after the date of this document will vary based on many factors that cannot be predicted with accuracy,
including our creditworthiness and changes in market conditions. See also “The market price will be influenced by many unpredictable
factors” above.
|
|
§
|
Hedging and trading activity by our affiliates could potentially affect the value of the securities.
One or more of
our affiliates and/or third-party dealers have carried out, and will continue to carry out, hedging activities related to the securities
(and to other instruments linked to the underlying stocks), including trading in the underlying stocks. Some of our affiliates
also trade the underlying stocks and other financial instruments related to the underlying stocks on a regular basis as part of
their general broker-dealer and other businesses. As a result, these entities may be unwinding or adjusting hedge positions during
the term of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as
the final observation date approaches. Any of these hedging or trading activities on or prior to the pricing date could have increased
the initial share price of an underlying stock, and, therefore, could have increased (i) the value at or above which such underlying
stock must close on the redemption
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
determination dates so that the
securities are redeemed prior to maturity for the early redemption payment (depending also on the performance of the other underlying
stocks) and (ii) the downside threshold level for such underlying stock, which is the value at or above which the underlying stock
must close on the observation dates so that you receive a contingent monthly coupon on the securities (depending also on the performance
of the other underlying stocks), and, with respect to the final observation date, so that you are not exposed to the negative performance
of the worst performing underlying stock at maturity (depending also on the performance of the other underlying stocks). Additionally,
such hedging or trading activities during the term of the securities could potentially affect the value of any underlying stock
on the redemption determination dates and the observation dates, and, accordingly, whether we redeem the securities prior to maturity,
whether we pay a contingent monthly coupon on the securities and the amount of cash you will receive at maturity, if any (depending
also on the performance of the other underlying stocks).
|
§
|
The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the securities.
As calculation agent, MS & Co. has determined the initial share prices and the downside threshold levels
and will determine the final share prices, the payment at maturity, if any, whether you receive a contingent monthly coupon on
each coupon payment date and/or at maturity, whether the securities will be redeemed on any early redemption date, whether a market
disruption event has occurred and whether to make any adjustments to the adjustment factors. Moreover, certain determinations made
by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such
as with respect to the occurrence or non-occurrence of market disruption events and certain adjustments to the adjustment factors.
These potentially subjective determinations may affect the payout to you upon an automatic early redemption or at maturity, if
any. For further information regarding these types of determinations, see “Description of Auto-Callable Securities—Auto-Callable
Securities Linked to Underlying Shares” and “—Calculation Agent and Calculations” and related definitions
in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the securities on the pricing
date.
|
|
§
|
The U.S. federal income tax consequences of an investment in the securities are uncertain.
There is no direct legal
authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects
of the tax treatment of the securities are uncertain.
|
Please read the discussion under
“Additional Provisions—Tax considerations” in this document concerning the U.S. federal income tax consequences
of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract
that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your
regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse
tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. We do not
plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities,
and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative
treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the
tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities
as debt instruments. In that event, U.S. Holders would be required to accrue into income original issue discount on the securities
every year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference, if any,
between the actual and the projected amount of any contingent payments on the securities) and recognize all income and gain in
respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar downside
protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization for
comparable financial instruments that do not have such features.
Non-U.S. Holders should note that we currently intend to withhold
on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at a reduced rate specified by an applicable income tax treaty
under an “other income” or similar provision, and will not be required to pay any additional amounts with respect to
amounts withheld.
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. While it is not clear whether the securities would
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
be viewed as similar to the prepaid
forward contracts described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration
of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and
timing of income or loss and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding
tax. Both U.S. and Non-U.S. Holders (as defined below) should consult their tax advisers regarding the U.S. federal income tax
consequences of an investment in the securities, including possible alternative treatments, the issues presented by this notice
and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
JPMorgan Chase & Co. Overview
JPMorgan Chase & Co. is a financial holding company engaging
in investment banking, financial services for consumers and small businesses, commercial banking, financial transaction processing,
asset management and private equity. The JPM stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”). Information provided to or filed with the Securities and Exchange Commission by JPMorgan Chase & Co.
pursuant to the Exchange Act can be located by reference to the Securities and Exchange Commission file number 001-5805 through
the Securities and Exchange Commission’s website at .www.sec.gov. In addition, information regarding JPMorgan
Chase & Co. may be obtained from other sources including, but not limited to, press releases, newspaper articles and other
publicly disseminated documents.
Neither the issuer nor the agent makes any representation that such publicly available documents
or any other publicly available information regarding the issuer of the JPM Stock is accurate or complete.
Information as of market close on June 21, 2017:
Bloomberg Ticker Symbol:
|
JPM
|
Exchange:
|
NYSE
|
Current Stock Price:
|
$87.12
|
52 Weeks Ago:
|
$62.95
|
52 Week High (on 3/1/2017):
|
$93.60
|
52 Week Low (on 6/27/2016):
|
$57.61
|
Current Dividend Yield:
|
2.30%
|
The following table sets forth the published
high and low closing prices of, as well as dividends on, the JPM Stock for each quarter from January 1, 2014 through June 21, 2017.
The closing price of the JPM Stock on June 21, 2017 was $87.12. The associated graph shows the closing prices of the JPM Stock
for each day from January 1, 2012 through June 21, 2017. We obtained the information in the table and graph below from Bloomberg
Financial Markets, without independent verification. The historical performance of the JPM Stock should not be taken as an indication
of its future performance, and no assurance can be given as to the price of the JPM Stock at any time, including on the redemption
determination dates or the observation dates.
Common Stock of JPMorgan Chase & Co. (CUSIP 46625H100)
|
High ($)
|
Low ($)
|
Dividends ($)
|
2014
|
|
|
|
First Quarter
|
61.07
|
54.31
|
0.38
|
Second Quarter
|
60.67
|
53.31
|
0.38
|
Third Quarter
|
61.63
|
55.56
|
0.40
|
Fourth Quarter
|
63.15
|
55.08
|
0.40
|
2015
|
|
|
|
First Quarter
|
62.49
|
54.38
|
0.40
|
Second Quarter
|
69.75
|
59.95
|
0.40
|
Third Quarter
|
70.08
|
59.84
|
0.44
|
Fourth Quarter
|
68.46
|
59.99
|
0.44
|
2016
|
|
|
|
First Quarter
|
63.73
|
53.07
|
0.44
|
Second Quarter
|
65.81
|
57.32
|
0.44
|
Third Quarter
|
67.50
|
59.55
|
0.48
|
Fourth Quarter
|
87.13
|
66.51
|
0.48
|
2017
|
|
|
|
First Quarter
|
93.60
|
83.30
|
0.48
|
Second Quarter (through June 21, 2017)
|
88.43
|
82.15
|
0.50
|
We make no representation as to the amount of dividends, if any,
that JPMorgan Chase & Co. may pay in the future. In any event, as an investor in the Contingent Income Auto-Callable Securities,
you will not be entitled to receive dividends, if any, that may be payable on the common stock of JPMorgan Chase & Co.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Common Stock of JPMorgan Chase & Co. – Daily Closing Prices
January 1, 2012 to June 21, 2017
|
|
* The red solid line indicates the downside threshold level of
$56.628, which is 65% of the initial share price.
This document relates only to the securities
referenced hereby and does not relate to the JPM Stock or other securities of JPMorgan Chase & Co. We have derived all disclosures
contained in this document regarding JPMorgan Chase & Co. stock from the publicly available documents described above. In connection
with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any
due diligence inquiry with respect to JPMorgan Chase & Co. Neither we nor the agent makes any representation that such publicly
available documents or any other publicly available information regarding JPMorgan Chase & Co. is accurate or complete. Furthermore,
we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy
or completeness of the publicly available documents described above) that would affect the trading price of the JPM Stock (and
therefore the price of the JPM Stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure
of any such events or the disclosure of or failure to disclose material future events concerning JPMorgan Chase & Co. could
affect the value received with respect to the securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates
makes any representation to you as to the performance of the JPM Stock.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Wells Fargo & Company Overview
Wells Fargo & Company provides retail, commercial and corporate
banking services. The WFC stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”). Information provided to or filed with the Securities and Exchange Commission by Wells Fargo & Company
pursuant to the Exchange Act can be located by reference to the Securities and Exchange Commission file number 001-2979 through
the Securities and Exchange Commission’s website at.www.sec.gov. In addition, information regarding Wells Fargo
& Company may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly
disseminated documents.
Neither the issuer nor the agent makes any representation that such publicly available documents or
any other publicly available information regarding the issuer of the WFC Stock is accurate or complete.
Information as of market close on June 21, 2017:
Bloomberg Ticker Symbol:
|
WFC
|
Exchange:
|
NYSE
|
Current Stock Price:
|
$52.98
|
52 Weeks Ago:
|
$47.23
|
52 Week High (on 3/1/2017):
|
$59.73
|
52 Week Low (on 10/4/2016):
|
$43.75
|
Current Dividend Yield:
|
2.90%
|
The following table sets forth the published
high and low closing prices of, as well as dividends on, the common stock of Wells Fargo & Company for each quarter from January
1, 2014 through June 21, 2017. The closing price of the WFC Stock on June 21, 2017 was $52.98. The associated graph shows the closing
prices of the common stock of Wells Fargo & Company for each day from January 1, 2012 through June 21, 2017. We obtained the
information in the table and graph below from Bloomberg Financial Markets, without independent verification. The historical performance
of the WFC Stock should not be taken as an indication of its future performance, and no assurance can be given as to the price
of the WFC Stock at any time, including on the determination dates.
Common
Stock of Wells Fargo & Company (CUSIP 949746101)
|
High
($)
|
Low
($)
|
Dividends
($)
|
2014
|
|
|
|
First Quarter
|
49.74
|
44.23
|
0.30
|
Second Quarter
|
52.98
|
47.71
|
0.35
|
Third Quarter
|
53.36
|
49.70
|
0.35
|
Fourth Quarter
|
55.71
|
47.85
|
0.35
|
2015
|
|
|
|
First Quarter
|
56.17
|
50.72
|
0.35
|
Second Quarter
|
57.91
|
53.94
|
0.375
|
Third Quarter
|
58.52
|
50.02
|
0.375
|
Fourth Quarter
|
55.97
|
51.26
|
0.375
|
2016
|
|
|
|
First Quarter
|
52.91
|
45.16
|
0.375
|
Second Quarter
|
51.11
|
45.01
|
0.38
|
Third Quarter
|
50.80
|
44.28
|
0.38
|
Fourth Quarter
|
57.29
|
43.75
|
0.38
|
2017
|
|
|
|
First Quarter
|
59.73
|
53.78
|
0.38
|
Second Quarter (through June 21, 2017)
|
55.49
|
51.14
|
0.38
|
We make no representation as to the amount
of dividends, if any, that Wells Fargo & Company may pay in the future. In any event, as an investor in the Contingent Income
Auto-Callable Securities, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Wells
Fargo & Company.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Common Stock of Wells Fargo & Company – Daily Closing Prices
January 1, 2012 to June 21, 2017
|
|
* The red solid line indicates the downside threshold level of
$34.437, which is 65% of the initial share price.
This document relates only to the securities
referenced hereby and does not relate to the WFC Stock or other securities of Wells Fargo & Company. We have derived all disclosures
contained in this document regarding Wells Fargo & Company stock from the publicly available documents described above. In
connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents
or made any due diligence inquiry with respect to Wells Fargo & Company. Neither we nor the agent makes any representation
that such publicly available documents or any other publicly available information regarding Wells Fargo & Company is accurate
or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that
would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price
of the WFC Stock (and therefore the price of the WFC Stock at the time we priced the securities) have been publicly disclosed.
Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning Wells Fargo
& Company could affect the value received with respect to the securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates makes any representation
to you as to the performance of the WFC Stock.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Bank of America Corporation Overview
Bank of America Corporation is a bank holding company and a financial
holding company. The BAC stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information
provided to or filed with the Securities and Exchange Commission by Bank of America Corporation pursuant to the Exchange Act can
be located by reference to the Securities and Exchange Commission file number 001-06523 through the Securities and Exchange Commission’s
website at .www.sec.gov. In addition, information regarding Bank of America Corporation may be obtained from other sources
including, but not limited to, press releases, newspaper articles and other publicly disseminated documents.
Neither the issuer
nor the agent makes any representation that such publicly available documents or any other publicly available information regarding
the issuer of the BAC Stock is accurate or complete.
Information as of market close on June 21, 2017:
Bloomberg Ticker Symbol:
|
BAC
|
Exchange:
|
NYSE
|
Current Stock Price:
|
$23.13
|
52 Weeks Ago:
|
$13.62
|
52 Week High (on 3/1/2017):
|
$25.50
|
52 Week Low (on 6/27/2016):
|
$12.18
|
Current Dividend Yield:
|
1.31%
|
The following table sets forth the published
high and low closing prices of, as well as dividends on, the BAC Stock for each quarter from January 1, 2014 through June 21, 2017.
The closing price of the BAC Stock on June 21, 2017 was $23.13. The associated graph shows the closing prices of the BAC Stock
for each day from January 1, 2012 through June 21, 2017. We obtained the information in the table and graph below from Bloomberg
Financial Markets, without independent verification. The historical performance of the BAC Stock should not be taken as an indication
of its future performance, and no assurance can be given as to the price of the BAC Stock at any time, including on the redemption
determination dates or the observation dates.
Common Stock of Bank of America Corporation (CUSIP 060505104)
|
High ($)
|
Low ($)
|
Dividends ($)
|
2014
|
|
|
|
First Quarter
|
17.92
|
16.10
|
0.01
|
Second Quarter
|
17.34
|
14.51
|
0.01
|
Third Quarter
|
17.18
|
14.98
|
0.05
|
Fourth Quarter
|
18.13
|
15.76
|
0.05
|
2015
|
|
|
|
First Quarter
|
17.90
|
15.15
|
0.05
|
Second Quarter
|
17.67
|
15.41
|
0.05
|
Third Quarter
|
18.45
|
15.26
|
0.05
|
Fourth Quarter
|
17.95
|
15.38
|
0.05
|
2016
|
|
|
|
First Quarter
|
16.43
|
11.16
|
0.05
|
Second Quarter
|
15.11
|
12.18
|
0.05
|
Third Quarter
|
16.19
|
12.74
|
0.075
|
Fourth Quarter
|
23.16
|
15.63
|
0.075
|
2017
|
|
|
|
First Quarter
|
25.50
|
22.05
|
0.075
|
Second Quarter (through June 21, 2017)
|
24.15
|
22.23
|
-
|
We make no representation as to the amount of dividends, if any,
that Bank of America Corporation may pay in the future. In any event, as an investor in the Contingent Income Auto-Callable Securities,
you will not be entitled to receive dividends, if any, that may be payable on the common stock of Bank of America Corporation.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Common Stock of Bank of America Corporation – Daily Closing Prices
January 1, 2012 to June 21, 2017
|
|
* The red solid line indicates the downside threshold level of
$15.035, which is approximately 65% of the initial share price.
This document relates only to the securities
referenced hereby and does not relate to the BAC Stock or other securities of Bank of America Corporation. We have derived all
disclosures contained in this document regarding Bank of America Corporation stock from the publicly available documents described
above. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such
documents or made any due diligence inquiry with respect to Bank of America Corporation. Neither we nor the agent makes any representation
that such publicly available documents or any other publicly available information regarding Bank of America Corporation is accurate
or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that
would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price
of the BAC Stock (and therefore the price of the BAC Stock at the time we priced the securities) have been publicly disclosed.
Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning Bank of
America Corporation could affect the value received with respect to the securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates makes any representation
to you as to the performance of the BAC Stock.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Citigroup Inc. Overview
Citigroup Inc. is a financial services holding company. The C
stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided
to or filed with the Securities and Exchange Commission by Citigroup Inc. pursuant to the Exchange Act can be located by reference
to the Securities and Exchange Commission file number 333-214120 through the Securities and Exchange Commission’s website
at .www.sec.gov. In addition, information regarding Citigroup Inc. may be obtained from other sources including, but not limited
to, press releases, newspaper articles and other publicly disseminated documents.
Neither the issuer nor the agent makes any
representation that such publicly available documents or any other publicly available information regarding the issuer of the C
Stock is accurate or complete.
Information as of market close on June 21, 2017:
Bloomberg Ticker Symbol:
|
C
|
Exchange:
|
NYSE
|
Current Stock Price:
|
$63.83
|
52 Weeks Ago:
|
$42.92
|
52 Week High (on 6/14/2017):
|
$64.72
|
52 Week Low (on 6/27/2016):
|
$38.48
|
Current Dividend Yield:
|
1.01%
|
The following table sets forth the published
high and low closing prices of, as well as dividends on, the C Stock for each quarter from January 1, 2014 through June 21, 2017.
The closing price of the C Stock on June 21, 2017 was $63.83. The associated graph shows the closing prices of the C Stock for
each day from January 1, 2012 through June 21, 2017. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification. The historical performance of the C Stock should not be taken as an indication of its
future performance, and no assurance can be given as to the price of the C Stock at any time, including the redemption determination
dates or the observation dates.
Common Stock of Citigroup Inc. (CUSIP 172967424)
|
High ($)
|
Low ($)
|
Dividends ($)
|
2014
|
|
|
|
First Quarter
|
55.20
|
46.34
|
0.01
|
Second Quarter
|
49.58
|
45.68
|
0.01
|
Third Quarter
|
53.66
|
46.90
|
0.01
|
Fourth Quarter
|
56.37
|
49.68
|
0.01
|
2015
|
|
|
|
First Quarter
|
54.26
|
46.95
|
0.01
|
Second Quarter
|
57.39
|
51.52
|
0.05
|
Third Quarter
|
60.34
|
49.00
|
0.05
|
Fourth Quarter
|
55.87
|
49.88
|
0.05
|
2016
|
|
|
|
First Quarter
|
51.13
|
34.98
|
0.05
|
Second Quarter
|
47.33
|
38.48
|
0.05
|
Third Quarter
|
47.90
|
40.78
|
0.16
|
Fourth Quarter
|
61.09
|
47.03
|
0.16
|
2017
|
|
|
|
First Quarter
|
61.55
|
55.68
|
0.16
|
Second Quarter (through June 21, 2017)
|
64.72
|
57.72
|
0.16
|
We make no representation as to the amount
of dividends, if any, that Citigroup Inc. may pay in the future. In any event, as an investor in the Contingent Income Auto-Callable
Securities, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Citigroup Inc.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities
Common Stock of Citigroup Inc. – Daily Closing Prices
January 1, 2012 to June 21, 2017
|
|
* The red solid line indicates the downside threshold level of
$41.490, which is approximately 65% of the initial share price.
This document relates only to the securities
referenced hereby and does not relate to the C Stock or other securities of Citigroup Inc. We have derived all disclosures contained
in this document regarding Citigroup Inc. stock from the publicly available documents described above. In connection with the offering
of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry
with respect to Citigroup Inc. Neither we nor the agent makes any representation that such publicly available documents or any
other publicly available information regarding Citigroup Inc. is accurate or complete. Furthermore, we cannot give any assurance
that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly
available documents described above) that would affect the trading price of the C Stock (and therefore the price of the C Stock
at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure
of or failure to disclose material future events concerning Citigroup Inc. could affect the value received with respect to the
securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates
makes any representation to you as to the performance of the C Stock.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 25, 2020
All Payments on the Securities Based on the Worst Performing of the Common Stock of JPMorgan Chase & Co., the Common Stock of Wells Fargo & Company, the Common Stock of Bank of America Corporation and the Common Stock of Citigroup Inc.
Principal at Risk Securities