Monitoring Period End-Dates
and Redemption Dates
Monitoring
Period End-Dates
|
Coupon
Payment Dates
|
September 29, 2017
|
October 4, 2017
|
October 30, 2017
|
November 2, 2017
|
November 29, 2017
|
December 4, 2017
|
December 29, 2017
|
January 4, 2018
|
January 29, 2018
|
February 1, 2018
|
February 28, 2018
|
March 5, 2018
|
March 28, 2018
|
April 4, 2018
|
April 30, 2018
|
May 4, 2018
|
May 29, 2018
|
June 1, 2018
|
June 28, 2018
|
July 3, 2018
|
July 30, 2018
|
August 2, 2018
|
August 28, 2018
|
August 31, 2018
|
September 28, 2018
|
October 3, 2018
|
October 29, 2018
|
November 1, 2018
|
November 28, 2018
|
December 3, 2018
|
December 28, 2018
|
January 4, 2019
|
January 28, 2019
|
January 31, 2019
|
February 28, 2019
|
March 5, 2019
|
March 28, 2019
|
April 2, 2019
|
April 29, 2019
|
May 3, 2019
|
May 28, 2019
|
May 31, 2019
|
June 28, 2019
|
July 3, 2019
|
July 29, 2019
|
August 1, 2019
|
August 28, 2019
|
September 2, 2019
|
September 30, 2019
|
October 3, 2019
|
October 28, 2019
|
October 31, 2019
|
November 28, 2019
|
December 3, 2019
|
December 30, 2019
|
January 6, 2020
|
January 28, 2020
|
January 31, 2020
|
February 28, 2020
|
March 4, 2020
|
March 30, 2020
|
April 2, 2020
|
April 28, 2020
|
May 5, 2020
|
May 28, 2020
|
June 2, 2020
|
June 29, 2020
|
July 2, 2020
|
July 28, 2020
|
July 31, 2020
|
August 28, 2020
|
September 3, 2020
|
September 28, 2020
|
October 1, 2020
|
October 28, 2020
|
November 2, 2020
|
November 30, 2020
|
December 3, 2020
|
December 29, 2020
|
January 5, 2021
|
January 28, 2021
|
February 2, 2021
|
March 1, 2021
|
March 4, 2021
|
March 29, 2021
|
April 1, 2021
|
April 28, 2021
|
May 4, 2021
|
May 28, 2021
|
June 3, 2021
|
June 1, 2021 (final valuation date)
|
June 4, 2021 (maturity date)
|
Morgan Stanley Finance LLC
Contingent Coupon Buffered Securities Linked to the EURO STOXX 50
®
Index due June 4, 2021
Principal at Risk Securities
Investment Summary
Contingent Coupon Buffered Securities
Principal at Risk Securities
The Contingent Coupon Buffered
Securities Linked to the EURO STOXX 50
®
Index
due June 4, 2021, which we refer to as the securities, provide an opportunity for investors to earn a contingent monthly coupon
at an annual rate of 7.00% (corresponding to approximately $ 5.8333 per month per security) but only if and for as long as the
index closing value of the underlying index has remained greater than or equal to 88% of the initial index value, which we refer
to as the trigger level, on
each day
during the term of the securities. If the index closing value of the underlying index
is less than the trigger level on
any day
during the term of the securities, a trigger event will have occurred and you
will not receive any contingent monthly coupon payment for the corresponding monthly period
or for any subsequent monthly period
.
Therefore, investors in the securities will permanently forfeit their ability to receive subsequent contingent monthly coupon payments
if the index closing value declines below the trigger level on any day during the 45-month term of the securities.
In addition, at maturity, if a trigger event
has not
occurred,
investors will receive the stated principal amount of the securities plus the final contingent monthly coupon payment but will
not participate in any performance of the underlying index. However, if a trigger event
has
occurred, investors will receive
a return that reflects the performance of the underlying index over the term of the securities
plus
the buffer amount of
12%. Therefore, if a trigger event occurs and the underlying index recovers such that the final index value is greater than the
trigger level, investors will receive the stated principal amount of their investment plus a positive return based on the performance
of the underlying index. However, if a trigger event occurs and the final index value is less than the trigger level, investors
will lose 1% for every 1% decline in the level of the underlying index below the trigger level, subject to the minimum payment
at maturity of 12% of the stated principal amount. If the final index value is less than the trigger level, a trigger event will
necessarily have occurred and you will lose some or a significant portion of your investment. Investors may lose up to 88% of the
stated principal amount of the securities.
We are using this preliminary pricing supplement to solicit from
you an offer to purchase the securities. You may revoke your offer to purchase the securities at any time prior to the time at
which we accept such offer by notifying the relevant agent. We reserve the right to change the terms of, or reject any offer to
purchase, the securities prior to their issuance. In the event of any material changes to the terms of the securities, we will
notify you.
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 (212)
761-4000).
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 will be less than $1,000. We estimate that the value of each security
on the pricing date will be approximately $995.50, or within $22.50 of that estimate. Our estimate of the value of the securities
as determined on the pricing date will be set forth in the final pricing supplement.
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 index. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the
underlying index, instruments based on the underlying index, 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, the trigger level, the buffer amount and the minimum payment at maturity, we use an internal
funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing,
selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the
economic terms of the 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 index, may vary from, and be lower
than, the estimated value on the pricing date, because the secondary
Morgan Stanley Finance LLC
Contingent Coupon Buffered Securities Linked to the EURO STOXX 50
®
Index due June 4, 2021
Principal at Risk Securities
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 index, 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 Coupon Buffered Securities Linked to the EURO STOXX 50
®
Index due June 4, 2021
Principal at Risk Securities
Key Investment Rationale
The securities do not guarantee repayment of more than 12% of
principal at maturity and offer investors an opportunity to earn a contingent monthly coupon of 7.00% per annum
but only
if
and for as long as the index closing value of the underlying index has remained greater than or equal to 88% of the initial index
value, which we refer to as the trigger level, on each day during the term of the securities. In addition, if a trigger event occurs,
the investor becomes exposed to the downside performance of the underlying index and may lose up to 88% of the stated principal
amount at maturity. The payment at maturity will vary depending on whether or not a trigger event occurs, as follows:
Scenario 1: A trigger event does not occur on any day during the term of the securities.
|
This scenario assumes that the underlying index closes at or above the trigger level on
every day
during the 45-month term of the securities, including on the final valuation date. Therefore, a trigger event has not occurred. In this scenario, investors receive the contingent monthly coupons throughout the term of the securities. At maturity, investors receive the stated principal amount and the contingent monthly coupon with respect to the final valuation date. Investors will not participate in any appreciation in the value of the underlying index from the initial index value, and the return on the securities will be limited to the contingent monthly coupons that are paid on the securities.
|
Scenario 2: A trigger event occurs on any day during the term of the securities. Investors will suffer a loss of all subsequent contingent monthly coupons and possible loss of principal at maturity.
|
This scenario assumes that the underlying index closes below
the trigger level on
any day
during the 45-month term of the securities. Therefore, a trigger event has occurred. In this
scenario, investors will receive contingent monthly coupons only for the monitoring period(s) prior to the monitoring period in
which the trigger event occurs, if any. Therefore, investors either do not receive any contingent monthly coupons or they receive
contingent monthly coupons on only a limited number of coupon payment dates.
In addition, at maturity, investors will receive a return that
reflects the performance of the underlying index over the term of the securities
plus
the buffer amount of 12%. This means
that, if a trigger event occurs and the underlying index recovers such that the final index value is greater than the trigger level,
investors will receive the stated principal amount of their investment plus a positive return based on the performance of the underlying
index. However, if a trigger event occurs and the final index value is less than the trigger level, investors will lose 1% for
every 1% decline in the level of the underlying index below the trigger level, subject to the minimum payment at maturity of 12%
of the stated principal amount. Investors may lose up to 88% of the stated principal amount of the securities.
|
Morgan Stanley Finance LLC
Contingent Coupon Buffered Securities Linked to the EURO STOXX 50
®
Index due June 4, 2021
Principal at Risk Securities
How the Contingent Coupon Buffered Securities
Work
Morgan Stanley Finance LLC
Contingent Coupon Buffered Securities Linked to the EURO STOXX 50
®
Index due June 4, 2021
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples are for illustrative purposes
only. The actual initial index value and trigger level will be determined on the pricing date. Any payment on the securities is
subject to our credit risk. The numbers in the hypothetical examples may be rounded for ease of analysis. The below examples are
based on the following terms:
Stated principal amount:
|
$1,000 per security
|
Hypothetical initial index value:
|
3,500
|
Hypothetical trigger level:
|
3,080, which is 88% of the hypothetical initial index value
|
Contingent monthly coupon:
|
7.00% per annum (corresponding to $5.8333 per month per security)*
|
Buffer amount:
|
12.00%
|
Minimum payment at maturity:
|
$120 per security
|
Total number of monthly periods:
|
45
|
* The actual contingent 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 basis. The hypothetical
contingent monthly coupon payment of $5.8333 is used in these examples for ease of analysis.
Example 1: A trigger event HAS NOT occurred
and the final index value is greater than the initial index value.
Date
|
Trigger event has occurred on or prior to monitoring period end-date
|
Payment (per $1,000 principal amount of securities)
|
First monitoring period end-date
|
No
|
$5.8333
|
Second monitoring period end-date
|
No
|
$5.8333
|
Third through forty-fourth monitoring period end-dates
|
No
|
$5.8333 each (42 x $5.8333 = $244.9986)
|
Final valuation date
(final index value = 5,000)
|
No
|
$1,005.8333
|
Total payments over the term of the securities
|
|
$1,250.8319
|
Because a trigger event has not occurred, investors
receive the contingent monthly coupon payment on each coupon payment date over the term of the securities. Because a trigger event
has not occurred, investors do not participate in the performance of the underlying index, and the payment at maturity for each
$1,000 principal amount of securities will be $1,005.8333 (equal to the stated principal amount of $1,000 plus the contingent monthly
coupon payment applicable to the final valuation date). When added to the contingent monthly coupon payments received with respect
to the prior coupon payment dates, the total amount paid for each $1,000 principal amount of securities over the term of the securities
is $1,250.8319. Investors do not benefit from the appreciation of the underlying index because a trigger event has not occurred.
Example 2: A trigger event HAS occurred
on or prior to the first monitoring period end-date, and the final index value is less than the trigger level.
Date
|
Trigger event has occurred on or prior to monitoring period end-date
|
Payment (per $1,000 principal amount of securities)
|
First monitoring period end-date
|
Yes
|
$0
|
Second monitoring period end-date
|
Yes
|
$0
|
Morgan Stanley Finance LLC
Contingent Coupon Buffered Securities Linked to the EURO STOXX 50
®
Index due June 4, 2021
Principal at Risk Securities
Third through forty-fourth monitoring period end-dates
|
Yes
|
$0
|
Final valuation date
(final index value = 1,750)
|
Yes
|
$620
|
Total payments over the term of the securities
|
|
$620
|
Because a trigger event has occurred on or
prior to the first monitoring period end-date, investors receive no contingent monthly coupon payment for that monthly period or
for any subsequent monthly period over the term of the securities. Therefore, investors receive no contingent monthly coupon payments
for the entire 45-month term of the securities. Because the final index value is less than the trigger level, investors lose 1%
of their investment for every 1% that the final index value is less than the trigger level, subject to the minimum payment at maturity.
The payment at maturity will be $620 per $1,000 principal amount of securities, representing a substantial loss on the initial
investment, calculated as follows:
$1,000 +
[$1,000 × (-50.00% + 12.00%)] = $620
Example 3: A trigger event HAS occurred
for the first time between the third monitoring period end-date and the fourth monitoring period end-date, and the final index
value is greater than or equal to the trigger level.
Date
|
Trigger event has occurred on or before monitoring period end-date
|
Payment (per $1,000 principal amount of securities)
|
First monitoring period end-date
|
No
|
$5.8333
|
Second monitoring period end-date
|
No
|
$5.8333
|
Third monitoring period end-date
|
No
|
$5.8333
|
Fourth monitoring period end-date
|
Yes
|
$0
|
Fifth through forty-fourth monitoring period end-dates
|
Yes
|
$0
|
Final valuation date
(final index value = 3,325)
|
Yes
|
$1,070.00
|
Total payments over the term of the securities
|
|
$1,087.4999
|
Because a trigger event has occurred between
the third monitoring period end-date and the fourth monitoring period end-date, investors receive no contingent monthly coupon
payment for the fourth monthly period or for any subsequent monthly period over the term of the securities. Because a trigger event
has occurred and the index percent change is -5.00%, the payment at maturity will be $1,070.00 per $1,000 principal amount of securities
over the term of the securities, calculated as follows:
$1,000 + [$1,000 ×
(-5.00% + 12.00%)] = $1,070.00
When added to the contingent monthly coupon
payments received with respect to the prior monitoring period end-dates, the total amount paid for each $1,000 principal amount
of securities over the term of the securities is $1,087.4999.
Example 4: A trigger event HAS occurred
for the first time between the twenty-fifth monitoring period end-date and the twenty-sixth monitoring period end-date, and the
final index value is less than the trigger level.
Date
|
Trigger event has occurred on
|
Payment (per $1,000 principal amount of securities)
|
Morgan Stanley Finance LLC
Contingent Coupon Buffered Securities Linked to the EURO STOXX 50
®
Index due June 4, 2021
Principal at Risk Securities
|
or before monitoring period end-date
|
|
First monitoring period end-date
|
No
|
$5.8333
|
Second monitoring period end-date
|
No
|
$5.8333
|
Third monitoring period end-date
|
No
|
$5.8333
|
Fourth through twenty-fifth monitoring period end-dates
|
No
|
$5.8333 each (22 x $5.8333 = $128.3326)
|
Twenty-sixth monitoring period end-date
|
Yes
|
$0
|
Twenty-seventh through forty-fourth monitoring period end-dates
|
Yes
|
$0
|
Final valuation date
(final index value = 2,450)
|
Yes
|
$820
|
Total payments over the term of the securities
|
|
$965.8325
|
Because a trigger event has occurred between
the twenty-fifth monitoring period end-date and the twenty-sixth monitoring period end-date, investors receive no contingent monthly
coupon payment for the twenty-sixth monthly period or for any subsequent monthly period over the term of the securities. Because
a trigger event has occurred and the index percent change is -30.00%, the payment at maturity will be $820 per $1,000 principal
amount of securities, representing a substantial loss on the initial investment, calculated as follows:
When added to the contingent monthly coupon
payments received with respect to the prior monitoring period end-dates, the total amount paid for each $1,000 principal amount
of securities over the term of the securities is $965.8325.